Annual Statements Open main menu

ProShares Trust II - Quarter Report: 2022 September (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 September 30, 2022.
or
 
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
for the transition period from
                    
to
                    
.
Commission
file
number:
001-34200
 
 
PROSHARES TRUST II
(Exact name of registrant as specified in its charter)
 
 
 
Delaware
 
87-6284802
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. Employer
Identification No.)
c/o ProShare Capital Management LLC
7272 Wisconsin Avenue, 21
st
Floor
Bethesda, Maryland 20814
(Address of principal executive offices) (Zip Code)
(240)
497-6400
(Registrant’s telephone number, including area code)
 
 
Securities registered pursuant to Section 12(b) of the Act:
 
Title of each class
 
Trading
Symbol(s)
 
Name of each exchange
on which registered
ProShares Short VIX Short-Term Futures ETF
 
SVXY
 
Cboe BZX Exchange
ProShares Ultra Bloomberg Crude Oil
 
UCO
 
NYSE Arca
ProShares Ultra Bloomberg Natural Gas
 
BOIL
 
NYSE Arca
ProShares Ultra Euro
 
ULE
 
NYSE Arca
ProShares Ultra Gold
 
UGL
 
NYSE Arca
ProShares Ultra Silver
 
AGQ
 
NYSE Arca
ProShares Ultra VIX Short-Term Futures ETF
 
UVXY
 
Cboe BZX Exchange
ProShares Ultra Yen
 
YCL
 
NYSE Arca
ProShares UltraShort Bloomberg Crude Oil
 
SCO
 
NYSE Arca
ProShares UltraShort Bloomberg Natural Gas
 
KOLD
 
NYSE Arca
ProShares UltraShort Euro
 
EUO
 
NYSE Arca
ProShares UltraShort Gold
 
GLL
 
NYSE Arca
ProShares UltraShort Silver
 
ZSL
 
NYSE Arca
ProShares UltraShort Yen
 
YCS
 
NYSE Arca
ProShares VIX
Mid-Term
Futures ETF
 
VIXM
 
Cboe BZX Exchange
ProShares VIX Short-Term Futures ETF
 
VIXY
 
Cboe BZX Exchange
Securities registered pursuant to Section 12(g) of the Act: None
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    ☒  Yes    ☐  No
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation
S-T
(§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    ☒  Yes    ☐  No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a
non-accelerated
filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule
12b-2
of the Exchange Act.
 
Large Accelerated Filer      Accelerated Filer  
       
Non-Accelerated
Filer
     Smaller Reporting Company  
       
Emerging Growth Company           
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.  ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule
12b-2
of the Exchange Act.).    ☐  Yes    ☒  No
Indicate by check mark whether the registrant has filed all documents and reports required to be filed by Sections 12, 13 or 15(d) of the Securities Exchange Act of 1934 subsequent to the distribution of securities under a plan confirmed by a court.    ☒  Yes    ☐  No
As of
October 31
, 2022, the registrant had 183,944,037 shares of common stock, $0 par value per share, outstanding.
 
 
 


Table of Contents

PROSHARES TRUST II

Table of Contents

 

     Page  

Part I. FINANCIAL INFORMATION

  

Item 1. Financial Statements.

     1  

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

     125  

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

     173  

Item 4. Controls and Procedures.

     187  

Part II. OTHER INFORMATION

  

Item 1. Legal Proceedings.

     189  

Item 1A. Risk Factors.

     189  

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

     191  

Item 3. Defaults Upon Senior Securities.

     193  

Item 4. Mine Safety Disclosures.

     193  

Item 5. Other Information.

     193  

Item 6. Exhibits.

     194  


Table of Contents
P1D
Part I. FINANCIAL INFORMATION
 
Item 1.
Financial Statements.
Index
 
Documents
  
Page
 
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:
        
     2  
     7  
     12  
     17  
     22  
     27  
     32  
     37  
     42  
     47  
     52  
     57  
     62  
     67  
     72  
     77  
     82  
     86  
 
1

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

(unaudited)
    
December 31, 2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $136,764,766 and $147,851,244, respectively)
   $ 136,590,474      $ 147,815,719  
Cash
     20,797,038        44,359,519  
Segregated cash balances with brokers for futures contracts
     89,792,144        138,651,465  
Receivable on open futures contracts
     77,902,927        99,544,338  
Interest receivable
     234,601        2,868  
    
 
 
    
 
 
 
Total assets
     325,317,184        430,373,909  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     —          6,125,130  
Payable on open futures contracts
     2,882,905        —    
Brokerage commissions and futures account fees payable
     8,444        104,312  
Payable to Sponsor
     588,662        331,873  
Non-recurring
fees and expenses payable
     6,122        —    
    
 
 
    
 
 
 
Total liabilities
     3,486,133        6,561,315  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     321,831,051        423,812,594  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 325,317,184      $ 430,373,909  
    
 
 
    
 
 
 
Shares outstanding
     6,634,307        6,884,307  
    
 
 
    
 
 
 
Net asset value per share
   $ 48.51      $ 61.56  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 48.59      $ 61.55  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
2

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

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2022
     3,083      $ 97,163,828      $ (12,969,545
VIX Futures - Cboe, expires November 2022
     2,052        63,759,128        (3,296,473
                      
 
 
 
                       $ (16,266,018
                      
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
3

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

September 30,
   
Nine Months Ended

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

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

September 30,
   
Nine Months Ended

September 30,
 
    
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 403,644,956     $ 588,615,946     $ 423,812,594     $ 409,371,468  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 450,000, 550,000, 5,050,000 and 3,400,000 shares, respectively
     23,538,063       30,777,084       255,975,394       150,390,026  
Redemption of 2,200,000, 4,000,000, 5,300,000 and 6,150,000 shares, respectively
     (115,486,048     (220,625,671     (281,273,902     (320,049,434
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (1,750,000), (3,450,000), (250,000) and (2,750,000) shares, respectively
     (91,947,985     (189,848,587     (25,298,508     (169,659,408
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (90,304     (1,466,273     (2,481,226     (4,774,396
Net realized gain (loss)
     27,694,574       34,572,603       (26,521,746     168,119,037  
Change in net unrealized appreciation (depreciation)
     (17,470,190     (43,349,844     (47,680,063     (14,532,856
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     10,134,080       (10,243,514     (76,683,035     148,811,785  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 321,831,051     $ 388,523,845     $ 321,831,051     $ 388,523,845  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
5

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

September 30,
 
    
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ (76,683,035   $ 148,811,785  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
                
Purchases of short-term U.S. government and agency obligations
     (1,119,341,677     (411,950,977
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     1,130,832,801       351,997,423  
Net amortization and accretion on short-term U.S. government and agency obligations
     (491,158     (42,672
Net realized (gain) loss on investments
     86,512       1,303  
Change in unrealized (appreciation) depreciation on investments
     138,767       2,095  
Decrease (Increase) in receivable on open futures contracts
     21,641,411       3,053,471  
Decrease (Increase) in interest receivable
     (231,733     2,611  
Increase (Decrease) in payable to Sponsor
     256,789       (22,522
Increase (Decrease) in brokerage commissions and futures account fees payable
     (95,868     (28,666
Increase (Decrease) in payable on open futures contracts
     2,882,905       (996,159
Increase (Decrease) in
non-recurring
fees and expenses payable
     6,122       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (40,998,164     90,827,692  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     255,975,394       150,390,026  
Payment on shares redeemed
     (287,399,032     (320,049,434
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (31,423,638     (169,659,408
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (72,421,802     (78,831,716
Cash, beginning of period
     183,010,984       266,579,220  
    
 
 
   
 
 
 
Cash, end of period
   $ 110,589,182     $ 187,747,504  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
6

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2022

(unaudited)
    
December 31, 2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $535,375,763 and $848,800,309, respectively)
   $ 535,064,695      $ 848,757,567  
Cash
     130,593,006        86,582,912  
Segregated cash balances with brokers for futures contracts
     55,730,479        130,704,477  
Segregated cash balances with brokers for swap agreements
     146,636,745        —    
Unrealized appreciation on swap agreements
     —          63,928,293  
Receivable on open futures contracts
     891,736        —    
Interest receivable
     320,767        3,523  
    
 
 
    
 
 
 
Total assets
     869,237,428        1,129,976,772  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     16,409,207        —    
Payable on open futures contracts
     2,911,771        25,317,560  
Brokerage commissions and futures account fees payable
     6,468        24,677  
Payable to Sponsor
     1,344,783        850,965  
Unrealized depreciation on swap agreements
     123,956,198        —    
Non-recurring
fees and expenses payable
     13,739        —    
    
 
 
    
 
 
 
Total liabilities
     144,642,166        26,193,202  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     724,595,262        1,103,783,570  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 869,237,428      $ 1,129,976,772  
    
 
 
    
 
 
 
Shares outstanding (Note 1)
     27,643,096        51,243,096  
    
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 26.21      $ 21.54  
    
 
 
    
 
 
 
Market value per share (Note 1) (Note 2)
   $ 26.26      $ 21.70  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
7

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(74% of shareholders’ equity)
                 
Federal Home Loan Discount Notes
^^
:
                 
3.900% due 10/03/22
   $ 200,000,000      $ 199,971,110  
U.S. Treasury Bills
^^
:
                 
2.253% due 10/06/22
     50,000,000        49,989,230  
0.637% due 11/03/22
     181,000,000        180,573,727  
2.682% due 11/17/22
     30,000,000        29,892,000  
3.026% due 12/01/22
     75,000,000        74,638,628  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $535,375,763)
            $ 535,064,695  
             
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires December 2022
     1,450      $ 114,144,000      $ 14,409,192  
WTI Crude Oil - NYMEX, expires June 2023
     1,535        112,055,000        (9,187,751
WTI Crude Oil - NYMEX, expires December 2023
     1,610        112,152,600        (9,069,369
                      
 
 
 
                       $ (3,847,928
                      
 
 
 
Total Return Swap Agreements
^
 
    
Rate Paid

(Received)
*
   
Termination

Date
    
Notional Amount

at Value
**
    
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.35     10/06/22      $ 175,709,387      $ (19,603,867
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.35       10/06/22        218,463,160        (24,373,900
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.35       10/06/22        304,335,914        (33,954,709
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.25       10/06/22        165,828,296        (18,489,319
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.30       10/06/22        246,871,587        (27,534,403
                              
 
 
 
                        Total Unrealized
Depreciation
 
 
   $ (123,956,198
                              
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of September 30, 2022, 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.
 
8

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

September 30,
   
Nine Months Ended

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

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

September 30,
   
Nine Months Ended

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

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

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

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

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

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

Contracts
    
Notional Amount

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

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

September 30,
   
Nine Months Ended

September 30,
 
    
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 909,204     $ 7,355     $ 1,095,255     $ 32,714  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     658,525       161,130       1,589,759       568,903  
Brokerage commissions
     97,589       40,472       300,747       195,831  
Futures account fees
     43,620       18,263       177,950       112,998  
Non-recurring
fees and expenses
     4,791       —         4,791       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     804,525       219,865       2,073,247       877,732  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     104,679       (212,510     (977,992     (845,018
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (5,889,116     33,925,711       235,322,266       80,409,384  
Short-term U.S. government and agency obligations
     (4,181     12       (7,633     563  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (5,893,297     33,925,723       235,314,633       80,409,947  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     97,063,212       25,134,988       (89,157,584     35,685,009  
Short-term U.S. government and agency obligations
     158,315       720       (41,614     (252
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     97,221,527       25,135,708       (89,199,198     35,684,757  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     91,328,230       59,061,431       146,115,435       116,094,704  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 91,432,909     $ 58,848,921     $ 145,137,443     $ 115,249,686  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
14

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 187,297,842     $ 70,213,227     $ 193,892,178     $ 169,800,371  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 6,000,000, 1,150,000, 15,100,000 and 5,200,000 shares, respectively
     425,638,048       79,122,213       1,063,004,747       169,309,627  
Redemption of 5,300,000, 1,400,000, 17,250,000 and 11,550,000 shares, respectively
     (414,982,702     (63,145,980     (1,112,648,271     (309,321,303
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 700,000, (250,000), (2,150,000) and (6,350,000) shares, respectively
     10,655,346       15,976,233       (49,643,524     (140,011,676
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     104,679       (212,510     (977,992     (845,018
Net realized gain (loss)
     (5,893,297     33,925,723       235,314,633       80,409,947  
Change in net unrealized appreciation (depreciation)
     97,221,527       25,135,708       (89,199,198     35,684,757  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     91,432,909       58,848,921       145,137,443       115,249,686  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 289,386,097     $ 145,038,381     $ 289,386,097     $ 145,038,381  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying
notes
to
financial
statements.
 
15

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

September 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 145,137,443     $ 115,249,686  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
                
Purchases of short-term U.S. government and agency obligations
     (750,045,262     (143,979,838
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     734,916,266       140,999,619  
Net amortization and accretion on short-term U.S. government and agency obligations
     (561,077     (16,708
Net realized (gain) loss on investments
     7,633       (563
Change in unrealized (appreciation) depreciation on investments
     41,614       252  
Decrease (Increase) in receivable on open futures contracts
     (36,015,281     1,271,737  
Decrease (Increase) in interest receivable
     (157,395     3,261  
Increase (Decrease) in payable to Sponsor
     294,750       (86,599
Increase (Decrease) in brokerage commissions and futures account fees payable
     (48,246     145  
Increase (Decrease) in payable on open futures contracts
     1,186,502       —    
Increase (Decrease) in
non-recurring
fees and expenses payable
     4,791       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     94,761,738       113,440,992  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     1,083,453,488       156,788,492  
Payment on shares redeemed
     (1,109,986,578     (320,453,849
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (26,533,090     (163,665,357
    
 
 
   
 
 
 
Net increase (decrease) in cash
     68,228,648       (50,224,365
Cash, beginning of period
     54,135,725       137,292,722  
    
 
 
   
 
 
 
Cash, end of period
   $ 122,364,373     $ 87,068,357  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
16

Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2022

(unaudited)
    
December 31, 2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $697,652 and $998,130, respectively)
   $ 696,356      $ 997,678  
Cash
     11,775,775        6,891,458  
Segregated cash balances with brokers for foreign currency forward contracts
     1,359,000        691,000  
Unrealized appreciation on foreign currency forward contracts
     —          84,150  
Receivable from capital shares sold
     478,304        —    
Interest receivable
     13,338        153  
    
 
 
    
 
 
 
Total assets
     14,322,773        8,664,439  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable to Sponsor
     21,934        3,846  
Unrealized depreciation on foreign currency forward contracts
     431,231        1,498  
Non-recurring
fees and expenses payable
     237        —    
    
 
 
    
 
 
 
Total liabilities
     453,402        5,344  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     13,869,371        8,659,095  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 14,322,773      $ 8,664,439  
    
 
 
    
 
 
 
Shares outstanding
     1,450,000        650,000  
    
 
 
    
 
 
 
Net asset value per share
   $ 9.57      $ 13.32  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 9.57      $ 13.33  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
17

Table of Contents
PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(5% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.554% due 11/03/22
   $ 698,000      $ 696,356  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $697,652)
            $ 696,356  
             
 
 
 
Foreign Currency Forward Contracts
^
 
    
Settlement Date
    
Contract Amount

in Local Currency
   
Contract Amount

in U.S. Dollars
   
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
                                 
Euro with Goldman Sachs International
     10/07/22        12,276,921     $ 12,037,961     $ (194,303
Euro with UBS AG
     10/07/22        17,572,502       17,230,469       (236,275
                             
 
 
 
                        Total Unrealized
Depreciation
 
 
  $ (430,578
                             
 
 
 
Contracts to Sell
                                 
Euro with UBS AG
     10/07/22        (1,566,000   $ (1,535,519   $ (653
                             
 
 
 
                        Total Unrealized
Depreciation
 
 
  $ (653
                             
 
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
18

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 36,856     $ 393     $ 47,965     $ 1,415  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     31,331       8,664       66,646       28,158  
Non-recurring
fees and expenses
     237       —         237       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     31,568       8,664       66,883       28,158  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     5,288       (8,271     (18,918     (26,743
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Foreign currency forward contracts
     (1,618,381     (254,219     (2,505,776     (186,149
Short-term U.S. government and agency obligations
     —         —         (5,949     —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (1,618,381     (254,219     (2,511,725     (186,149
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Foreign currency forward contracts
     (98,836     72,810       (513,883     (251,422
Short-term U.S. government and agency obligations
     3,824       43       (844     4  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (95,012     72,853       (514,727     (251,418
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (1,713,393     (181,366     (3,026,452     (437,567
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (1,708,105   $ (189,637   $ (3,045,370   $ (464,310
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
19

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 9,415,626     $ 3,668,741     $ 8,659,095     $ 4,737,350  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 700,000, –, 1,250,000 and 100,000 shares, respectively
     7,168,239       —         13,537,061       1,488,793  
Redemption of 100,000, –, 450,000 and 150,000 shares, respectively
     (1,006,389     —         (5,281,415     (2,282,729
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 600,000, –, 800,000 and (50,000) shares, respectively
     6,161,850       —         8,255,646       (793,936
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     5,288       (8,271     (18,918     (26,743
Net realized gain (loss)
     (1,618,381     (254,219     (2,511,725     (186,149
Change in net unrealized appreciation (depreciation)
     (95,012     72,853       (514,727     (251,418
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (1,708,105     (189,637     (3,045,370     (464,310
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 13,869,371     $ 3,479,104     $ 13,869,371     $ 3,479,104  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
20

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

September 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ (3,045,370   $ (464,310
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
                
Purchases of short-term U.S. government and agency obligations
     (5,984,290     (3,999,381
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     6,290,250       3,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (11,431     (531
Net realized (gain) loss on investments
     5,949       —    
Change in unrealized (appreciation) depreciation on investments
     514,727       251,418  
Decrease (Increase) in interest receivable
     (13,185     62  
Increase (Decrease) in payable to Sponsor
     18,088       (812
Increase (Decrease) in
non-recurring
fees and expenses payable
     237       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (2,225,025     (1,213,554
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     13,058,757       1,488,793  
Payment on shares redeemed
     (5,281,415     (2,282,729
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     7,777,342       (793,936
    
 
 
   
 
 
 
Net increase (decrease) in cash
     5,552,317       (2,007,490
Cash, beginning of period
     7,582,458       4,652,092  
    
 
 
   
 
 
 
Cash, end of period
   $ 13,134,775     $ 2,644,602  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
21

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2022

(unaudited)
    
December 31, 2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $143,646,462 and $207,964,168, respectively)
   $ 143,619,527      $ 207,956,320  
Cash
     8,231,351        9,328,332  
Segregated cash balances with brokers for futures contracts
     2,374,050        6,093,750  
Segregated cash balances with brokers for swap agreements
     12,629,200        —    
Unrealized appreciation on swap agreements
     —          8,639,188  
Receivable on open futures contracts
     120,937        944,644  
Interest receivable
     40,392        690  
    
 
 
    
 
 
 
Total assets
     167,015,457        232,962,924  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Brokerage commissions and futures account fees payable
     —          4,034  
Payable to Sponsor
     303,801        178,356  
Unrealized depreciation on swap agreements
     6,686,424        —    
Non-recurring
fees and expenses payable
     2,940        —    
    
 
 
    
 
 
 
Total liabilities
     6,993,165        182,390  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     160,022,292        232,780,534  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 167,015,457      $ 232,962,924  
    
 
 
    
 
 
 
Shares outstanding
     3,400,000        3,900,000  
    
 
 
    
 
 
 
Net asset value per share
   $ 47.07      $ 59.69  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 46.93      $ 59.81  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
22

Table of Contents
PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(90% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
2.253% due 10/06/22
   $ 50,000,000      $ 49,989,230  
0.223% due 11/03/22
     14,000,000        13,967,029  
2.682% due 11/17/22
     40,000,000        39,856,000  
3.026% due 12/01/22
     40,000,000        39,807,268  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $143,646,462)
            $ 143,619,527  
             
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2022
     409      $ 68,384,800      $ (1,627,042
Total Return Swap Agreements
^
 
    
Rate Paid

(Received)
*
   
Termination

Date
    
Notional Amount

at Value
**
    
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
     0.25     10/06/22      $ 100,068,860      $ (2,464,705
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
     0.25       10/06/22        47,529,603        (1,657,776
Swap agreement with UBS AG based on Bloomberg Gold Subindex
     0.25       10/06/22        104,098,025        (2,563,943
                              
 
 
 
                        Total Unrealized
Depreciation
 
 
   $ (6,686,424
                              
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of September 30, 2022, 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.
 
23

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 678,282     $ 14,338     $ 1,092,549     $ 70,259  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     475,457       582,103       1,863,020       1,718,350  
Brokerage commissions
     8,176       9,421       43,899       32,974  
Futures account fees
     —         19,008       28,169       64,764  
Non-recurring
fees and expenses
     2,940       —         2,940       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     486,573       610,532       1,938,028       1,816,088  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     191,709       (596,194     (845,479     (1,745,829
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (13,871,427     (3,125,004     (22,577,746     (12,636,331
Swap agreements
     (25,954,159     (18,733,085     (17,330,327     (14,963,523
Short-term U.S. government and agency obligations
     (708     —         (708     245  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (39,826,294     (21,858,089     (39,908,781     (27,599,609
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     2,305,467       319,305       (2,281,936     (6,583,282
Swap agreements
     (234,566     15,245,013       (15,325,612     (12,547,844
Short-term U.S. government and agency obligations
     151,932       9,966       (19,087     (5,396
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     2,222,833       15,574,284       (17,626,635     (19,136,522
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (37,603,461     (6,283,805     (57,535,416     (46,736,131
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (37,411,752   $ (6,879,999   $ (58,380,895   $ (48,481,960
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
24

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 239,938,853     $ 243,456,703     $ 232,780,534     $ 263,540,473  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 50,000, 250,000, 1,650,000 and 1,250,000 shares, respectively
     2,645,499       14,836,141       104,903,214       75,112,671  
Redemption of 900,000, 350,000, 2,150,000 and 1,000,000 shares, respectively
     (45,150,308     (20,494,998     (119,280,561     (59,253,337
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (850,000), (100,000), (500,000) and 250,000 shares, respectively
     (42,504,809     (5,658,857     (14,377,347     15,859,334  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     191,709       (596,194     (845,479     (1,745,829
Net realized gain (loss)
     (39,826,294     (21,858,089     (39,908,781     (27,599,609
Change in net unrealized appreciation (depreciation)
     2,222,833       15,574,284       (17,626,635     (19,136,522
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (37,411,752     (6,879,999     (58,380,895     (48,481,960
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 160,022,292     $ 230,917,847     $ 160,022,292     $ 230,917,847  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
25

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

September 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ (58,380,895   $ (48,481,960
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
                
Purchases of short-term U.S. government and agency obligations
     (913,776,847     (502,945,919
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     978,997,411       391,999,771  
Net amortization and accretion on short-term U.S. government and agency obligations
     (903,566     (45,150
Net realized (gain) loss on investments
     708       (245
Change in unrealized (appreciation) depreciation on investments
     15,344,699       12,553,240  
Decrease (Increase) in receivable on open futures contracts
     823,707       (2,562,837
Decrease (Increase) in interest receivable
     (39,702     3,902  
Increase (Decrease) in payable to Sponsor
     125,445       (42,591
Increase (Decrease) in brokerage commissions and futures account fees payable
     (4,034     5,068  
Increase (Decrease) in
non-recurring
fees and expenses payable
     2,940       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     22,189,866       (149,516,721
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     104,903,214       75,112,671  
Payment on shares redeemed
     (119,280,561     (56,471,438
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (14,377,347     18,641,233  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     7,812,519       (130,875,488
Cash, beginning of period
     15,422,082       183,452,109  
    
 
 
   
 
 
 
Cash, end of period
   $ 23,234,601     $ 52,576,621  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
26

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2022

(unaudited)
    
December 31, 2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $162,706,493 and $451,896,236, respectively)
   $ 162,611,595      $ 451,872,982  
Cash
     42,840,235        10,985,565  
Segregated cash balances with brokers for futures contracts
     16,278,750        14,502,938  
Segregated cash balances with brokers for swap agreements
     70,036,000        —    
Unrealized appreciation on swap agreements
     26,804,548        40,591,699  
Receivable from capital shares sold
     4,168,994        —    
Receivable on open futures contracts
     1,699,398        1,384,919  
Interest receivable
     73,633        1,582  
    
 
 
    
 
 
 
Total assets
     324,513,153        519,339,685  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     —          3,483,770  
Brokerage commissions and futures account fees payable
     —          9,833  
Payable to Sponsor
     536,368        392,488  
Non-recurring
fees and expenses payable
     5,922        —    
    
 
 
    
 
 
 
Total liabilities
     542,290        3,886,091  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     323,970,863        515,453,594  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 324,513,153      $ 519,339,685  
    
 
 
    
 
 
 
Shares outstanding
     15,546,526        14,796,526  
    
 
 
    
 
 
 
Net asset value per share
   $ 20.84      $ 34.84  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 20.76      $ 34.74  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
27

Table of Contents
PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(50% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
2.253% due 10/06/22
   $ 50,000,000      $ 49,989,230  
0.223% due 11/03/22
     43,000,000        42,898,731  
2.682% due 11/17/22
     50,000,000        49,820,000  
3.026% due 12/01/22
     20,000,000        19,903,634  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $162,706,493)
            $ 162,611,595  
             
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2022
     2,163      $ 205,906,785      $ (329,232
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     10/06/22      $ 142,330,643      $ 8,433,031  
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
     0.30       10/06/22        18,803,260        1,725,874  
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
     0.30       10/06/22        156,302,767        9,256,039  
Swap agreement with UBS AG based on Bloomberg Silver Subindex
     0.25       10/06/22        124,719,934        7,389,604  
                              
 
 
 
                        Total Unrealized
Appreciation
 
 
   $ 26,804,548  
                              
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of September 30, 2022, 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.
 
28

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

September 30,
   
Nine Months Ended

September 30,
 
    
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 824,171     $ 44,511     $ 1,386,134     $ 208,169  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     798,802       1,394,627       3,098,741       4,640,919  
Brokerage commissions
     34,796       27,419       94,079       114,716  
Futures account fees
     —         47,170       26,693       258,250  
Non-recurring
fees and expenses
     5,922       —         5,922       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     839,520       1,469,216       3,225,435       5,013,885  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (15,349     (1,424,705     (1,839,301     (4,805,716
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (13,577,109     (49,762,947     (30,191,493     (32,273,408
Swap agreements
     (133,807,652     (151,552,363     (156,750,416     (47,760,872
Short-term U.S. government and agency obligations
     (6,553     (4,720     (7,717     (4,529
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (147,391,314     (201,320,030     (186,949,626     (80,038,809
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     3,988,709       9,589,898       (2,835,777     (42,630,013
Swap agreements
     87,216,478       (15,630,674     (13,787,151     (149,513,235
Short-term U.S. government and agency obligations
     272,285       22,486       (71,644     (13,068
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     91,477,472       (6,018,290     (16,694,572     (192,156,316
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (55,913,842     (207,338,320     (203,644,198     (272,195,125
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (55,929,191   $ (208,763,025   $ (205,483,499   $ (277,000,841
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
29

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

September 30,
   
Nine Months Ended

September 30,
 
    
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 355,577,515     $ 661,778,727     $ 515,453,594     $ 745,304,028  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 2,450,000, 1,050,000, 4,250,000 and 4,450,000 shares, respectively
     52,469,935       38,538,861       118,129,234       205,312,655  
Redemption of 1,250,000, 300,000, 3,500,000 and 4,000,000 shares, respectively
     (28,147,396     (11,245,087     (104,128,466     (193,306,366
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 1,200,000, 750,000, 750,000 and 450,000 shares, respectively
     24,322,539       27,293,774       14,000,768       12,006,289  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (15,349     (1,424,705     (1,839,301     (4,805,716
Net realized gain (loss)
     (147,391,314     (201,320,030     (186,949,626     (80,038,809
Change in net unrealized appreciation (depreciation)
     91,477,472       (6,018,290     (16,694,572     (192,156,316
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (55,929,191     (208,763,025     (205,483,499     (277,000,841
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 323,970,863     $ 480,309,476     $ 323,970,863     $ 480,309,476  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
30

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

September 30,
 
    
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ (205,483,499   $ (277,000,841
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
                
Purchases of short-term U.S. government and agency obligations
     (2,619,720,954     (1,369,823,802
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     2,909,963,011       1,119,994,333  
Net amortization and accretion on short-term U.S. government and agency obligations
     (1,060,031     (160,958
Net realized (gain) loss on investments
     7,717       4,529  
Change in unrealized (appreciation) depreciation on investments
     13,858,795       149,526,303  
Decrease (Increase) in receivable on open futures contracts
     (314,479     (421,500
Decrease (Increase) in interest receivable
     (72,051     6,942  
Increase (Decrease) in payable to Sponsor
     143,880       (90,946
Increase (Decrease) in brokerage commissions and futures account fees payable
     (9,833     9,969  
Increase (Decrease) in payable on open futures contracts
     —         (2,038,135
Increase (Decrease) in
non-recurring
fees and expenses payable
     5,922       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     97,318,478       (379,994,106
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     113,960,240       205,312,655  
Payment on shares redeemed
     (107,612,236     (193,306,366
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     6,348,004       12,006,289  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     103,666,482       (367,987,817
Cash, beginning of period
     25,488,503       446,401,960  
    
 
 
   
 
 
 
Cash, end of period
   $ 129,154,985     $ 78,414,143  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
31

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

(unaudited)
    
December 31, 2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $273,396,698 and $221,725,609, respectively)
   $ 273,202,387      $ 221,660,593  
Cash
     134,170,524        108,688,034  
Segregated cash balances with brokers for futures contracts
     363,142,800        463,432,845  
Receivable on open futures contracts
     262,520,415        33,597,688  
Interest receivable
     1,050,905        5,060  
    
 
 
    
 
 
 
Total assets
     1,034,087,031        827,384,220  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     36,597,293        —    
Payable on open futures contracts
     —          9,447,456  
Brokerage commissions and futures account fees payable
     66,068        167,855  
Payable to Sponsor
     1,913,775        611,836  
Unrealized depreciation on swap agreements
     —          477,437  
Non-recurring
fees and expenses payable
     20,117        —    
    
 
 
    
 
 
 
Total liabilities
     38,597,253        10,704,584  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     995,489,778        816,679,636  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 1,034,087,031      $ 827,384,220  
    
 
 
    
 
 
 
Shares outstanding
     77,328,420        65,828,420  
    
 
 
    
 
 
 
Net asset value per share
   $ 12.87      $ 12.41  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 12.85      $ 12.43  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
32

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(27% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
2.253% due 10/06/22
   $ 50,000,000      $ 49,989,230  
0.223% due 11/03/22
     94,000,000        93,778,621  
2.682% due 11/17/22
     50,000,000        49,820,000  
3.026% due 12/01/22
     80,000,000        79,614,536  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $273,396,698)
            $ 273,202,387  
             
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2022
     28,597      $ 901,263,052      $ 167,070,593  
VIX Futures - Cboe, expires November 2022
     19,065        592,381,961        29,704,256  
                      
 
 
 
                       $ 196,774,849  
                      
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
33

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

September 30,
   
Nine Months Ended

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

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

September 30,
   
Nine Months Ended

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

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

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

Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2022

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

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

in Local Currency
   
Contract Amount

in U.S. Dollars
   
Unrealized

Appreciation

(Depreciation)/

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

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

September 30,
   
Nine Months Ended

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

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

September 30,
   
Nine Months Ended

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

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

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

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

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

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

Contracts
    
Notional Amount

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

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

September 30,
   
Nine Months Ended

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

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

September 30,
   
Nine Months Ended

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

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

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

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

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

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

Contracts
    
Notional Amount

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

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 953,050     $ 9,879     $ 1,131,063     $ 25,512  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     730,949       258,824       1,784,017       609,472  
Brokerage commissions
     173,386       67,808       539,244       249,831  
Futures account fees
     48,485       42,064       255,370       99,190  
Non-recurring
fees and expenses
     5,374       —         5,374       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     958,194       368,696       2,584,005       958,493  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (5,144     (358,817     (1,452,942     (932,981
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     8,173,631       (95,609,878     (389,138,752     (112,274,576
Short-term U.S. government and agency obligations
     (57,864     —         (116,673     —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     8,115,767       (95,609,878     (389,255,425     (112,274,576
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     (23,776,729     (17,870,697     116,857,361       (35,668,153
Short-term U.S. government and agency obligations
     309,345       (839     (32,689     (2,080
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (23,467,384     (17,871,536     116,824,672       (35,670,233
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (15,351,617     (113,481,414     (272,430,753     (147,944,809
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (15,356,761   $ (113,840,231   $ (273,883,695   $ (148,877,790
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
49

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 211,823,446     $ 97,525,300     $ 242,145,130     $ 24,977,745  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 58,900,000, 1,025,000, 82,240,000 and 1,402,500 shares, respectively (Note 1)
     790,506,039       210,189,776       1,734,541,781       446,153,207  
Redemption of 49,900,000, 265,000, 69,251,886 and 442,500 shares, respectively (Note 1)
     (744,582,726     (55,406,168     (1,460,413,218     (183,784,485
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 9,000,000, 760,000, 12,988,114 and 960,000 shares, respectively (Note 1)
     45,923,313       154,783,608       274,128,563       262,368,722  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (5,144     (358,817     (1,452,942     (932,981
Net realized gain (loss)
     8,115,767       (95,609,878     (389,255,425     (112,274,576
Change in net unrealized appreciation (depreciation)
     (23,467,384     (17,871,536     116,824,672       (35,670,233
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (15,356,761     (113,840,231     (273,883,695     (148,877,790
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 242,389,998     $ 138,468,677     $ 242,389,998     $ 138,468,677  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
50

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

September 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ (273,883,695   $ (148,877,790
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
                
Purchases of short-term U.S. government and agency obligations
     (641,286,804     (144,983,115
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     680,730,195       98,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (447,861     (12,252
Net realized (gain) loss on investments
     116,673        
Change in unrealized (appreciation) depreciation on investments
     32,689       2,080  
Decrease (Increase) in receivable on open futures contracts
     (17,665,801      
Decrease (Increase) in interest receivable
     (278,702     (2,114
Increase (Decrease) in payable to Sponsor
     354,079       85,465  
Increase (Decrease) in brokerage commissions and futures account fees payable
     (23,511     27,103  
Increase (Decrease) in payable on open futures contracts
     (8,542,438     14,455,099  
Increase (Decrease) in
non-recurring
fees and expenses payable
     5,374        
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (260,889,802     (181,305,524
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     1,734,541,781       446,153,207  
Payment on shares redeemed
     (1,464,617,750     (170,017,033
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     269,924,031       276,136,174  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     9,034,229       94,830,650  
Cash, beginning of period
     113,000,927       19,147,382  
    
 
 
   
 
 
 
Cash, end of period
   $ 122,035,156     $ 113,978,032  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
51

Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2022

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $45,894,901 and $46,968,288, respectively)
   $ 45,854,318      $ 46,961,125  
Cash
     42,105,160        7,554,065  
Segregated cash balances with brokers for foreign currency forward contracts
     3,350,000        —    
Unrealized appreciation on foreign currency forward contracts
     3,108,883        135,118  
Receivable from capital shares sold
     549        —    
Interest receivable
     62,104        603  
    
 
 
    
 
 
 
Total assets
     94,481,014        54,650,911  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     3,484,180        —    
Payable to Sponsor
     142,878        44,707  
Unrealized depreciation on foreign currency forward contracts
     267,843        343,159  
Non-recurring
fees and expenses payable
     1,835        —    
    
 
 
    
 
 
 
Total liabilities
     3,896,736        387,866  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     90,584,278        54,263,045  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 94,481,014      $ 54,650,911  
    
 
 
    
 
 
 
Shares outstanding
     2,600,000        2,100,000  
    
 
 
    
 
 
 
Net asset value per share
   $ 34.84      $ 25.84  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 34.88      $ 25.86  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
52

Table of Contents
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(51% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.223% due 11/03/22
   $ 16,000,000      $ 15,962,318  
2.682% due 11/17/22
     30,000,000        29,892,000  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $45,894,901)
            $ 45,854,318  
             
 
 
 
Foreign Currency Forward Contracts
^
 
    
Settlement Date
    
Contract Amount

in Local Currency
   
Contract Amount

in U.S. Dollars
   
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
                                 
Euro with UBS AG
     10/07/22        38,000,000     $ 37,260,363     $ (267,843
                             
 
 
 
                        Total Unrealized
Depreciation
 
 
  $ (267,843
                             
 
 
 
Contracts to Sell
                                 
Euro with Goldman Sachs International
     10/07/22        (78,612,263   $ (77,082,144   $ 1,292,731  
Euro with UBS AG
     10/07/22        (144,189,199     (141,382,682     1,816,152  
                             
 
 
 
                       
Total Unrealized
Appreciation
 
 
  $ 3,108,883  
                             
 
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
53

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

September 30,
    
Nine Months Ended

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

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

September 30,
   
Nine Months Ended

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

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

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

Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2022

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

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

Contracts
    
Notional Amount

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

(Received)
*
   
Termination

Date
    
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
     0.25     10/06/22      $ (13,547,911   $ 329,122  
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
     0.20       10/06/22        (8,863,141     215,613  
Swap agreement with UBS AG based on Bloomberg Gold Subindex
     0.25       10/06/22        (10,598,433     257,469  
                             
 
 
 
                       
Total Unrealized
Appreciation
 
 
  $ 802,204  
                             
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of September 30, 2022, 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.
 
58

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 72,261     $ 3,075     $ 101,921     $ 9,213  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     76,652       66,304       218,466       199,999  
Brokerage commissions
     3,565       3,301       9,361       9,174  
Futures account fees
     —         1,856       2,446       8,344  
Non-recurring
fees and expenses
     639             639        
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     80,856       71,461       230,912       217,517  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (8,595     (68,386     (128,991     (208,304
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     2,017,269       (883,113     1,336,740       (1,598,368
Swap agreements
     2,970,959       2,096,834       1,900,685       (169,268
Short-term U.S. government and agency obligations
     —         —         4       169  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     4,988,228       1,213,721       3,237,429       (1,767,467
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     725,119       (153,889     1,378,602       628,980  
Swap agreements
     81,220       (1,744,696     1,795,321       1,098,851  
Short-term U.S. government and agency obligations
     35,207       166       (13,647     (50
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     841,546       (1,898,419     3,160,276       1,727,781  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     5,829,774       (684,698     6,397,705       (39,686
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 5,821,179     $ (753,084   $ 6,268,714     $ (247,990
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
59

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 34,611,284     $ 32,835,014     $ 26,859,844     $ 20,337,376  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 350,000, 650,000, 1,500,000 and 1,700,000 shares, respectively
     12,520,359       21,916,482       46,264,925       59,279,388  
Redemption of 650,000, 800,000, 1,550,000 and 1,550,000 shares, respectively
     (23,318,097     (26,267,390     (49,758,758     (51,637,752
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (300,000), (150,000), (50,000) and 150,000 shares, respectively
     (10,797,738     (4,350,908     (3,493,833     7,641,636  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (8,595     (68,386     (128,991     (208,304
Net realized gain (loss)
     4,988,228       1,213,721       3,237,429       (1,767,467
Change in net unrealized appreciation (depreciation)
     841,546       (1,898,419     3,160,276       1,727,781  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     5,821,179       (753,084     6,268,714       (247,990
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 29,634,725     $ 27,731,022     $ 29,634,725     $ 27,731,022  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
60

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

September 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 6,268,714     $ (247,990
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
                
Purchases of short-term U.S. government and agency obligations
     (17,987,492     (40,994,386
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     35,999,990       22,999,935  
Net amortization and accretion on short-term U.S. government and agency obligations
     (26,784     (4,402
Net realized (gain) loss on investments
     (4     (169
Change in unrealized (appreciation) depreciation on investments
     (1,781,674     (1,098,801
Decrease (Increase) in receivable on open futures contracts
     —         1,317  
Decrease (Increase) in interest receivable
     (25,595     443  
Increase (Decrease) in payable to Sponsor
     22,778       3,016  
Increase (Decrease) in brokerage commissions and futures account fees payable
     (294     211  
Increase (Decrease) in payable on open futures contracts
     (49,875     294,581  
Increase (Decrease) in
non-recurring
fees and expenses payable
     639       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     22,420,403       (19,046,245
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     46,264,925       59,279,388  
Payment on shares redeemed
     (49,758,758     (51,637,752
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (3,493,833     7,641,636  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     18,926,570       (11,404,609
Cash, beginning of period
     1,990,354       20,633,371  
    
 
 
   
 
 
 
Cash, end of period
   $ 20,916,924     $ 9,228,762  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
61

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2022

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $1,999,597 and $22,995,121, respectively)
   $ 1,995,290      $ 22,994,261  
Cash
     24,898,921        1,829,901  
Segregated cash balances with brokers for futures contracts
     3,809,063        1,081,575  
Segregated cash balances with brokers for swap agreements
     4,826,000        2,572,000  
Receivable on open futures contracts
     —          15,446  
Interest receivable
     25,398        378  
    
 
 
    
 
 
 
Total assets
     35,554,672        28,493,561  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     598,764        5,840  
Brokerage commissions and futures account fees payable
     —          747  
Payable to Sponsor
     40,841        28,560  
Unrealized depreciation on swap agreements
     1,151,403        1,921,414  
Non-recurring
fees and expenses payable
     612        —    
    
 
 
    
 
 
 
Total liabilities
     1,791,620        1,956,561  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     33,763,052        26,537,000  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 35,554,672      $ 28,493,561  
    
 
 
    
 
 
 
Shares outstanding
     991,329        991,329  
    
 
 
    
 
 
 
Net asset value per share
   $ 34.06      $ 26.77  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 34.15      $ 26.84  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
62

Table of Contents
PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(6% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.223% due 11/03/22
   $ 2,000,000      $ 1,995,290  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $1,999,597)
            $ 1,995,290  
             
 
 
 
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2022
     506      $ 48,168,670      $ 1,453,369  
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     10/06/22      $ (2,288,972   $ (136,329
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
     0.25       10/06/22        (8,338,415     (496,626
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
     0.30       10/06/22        (6,593,089     (392,881
Swap agreement with UBS AG based on Bloomberg Silver Subindex
     0.25       10/06/22        (2,108,259     (125,567
                             
 
 
 
                       
Total Unrealized
Depreciation
 
 
  $ (1,151,403
                             
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of September 30, 2022, 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.
 
63

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 63,222     $ 3,100     $ 90,885     $ 8,895  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     67,215       90,963       190,549       248,539  
Brokerage commissions
     8,699       8,141       20,677       19,409  
Futures account fees
     —         6,528       4,443       20,726  
Non-recurring
fees and expenses
     612       —         612       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     76,526       105,632       216,281       288,674  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (13,304     (102,532     (125,396     (279,779
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     1,719,839       523,159       6,370,119       (929,991
Swap agreements
     4,495,568       6,138,986       1,882,774       (1,216,671
Short-term U.S. government and agency obligations
     —         —         (190     85  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     6,215,407       6,662,145       8,252,703       (2,146,577
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     (1,063,521     2,684,085       800,876       3,176,052  
Swap agreements
     (3,024,441     1,237,760       770,011       7,288,071  
Short-term U.S. government and agency obligations
     12,438       751       (3,447     (336
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (4,075,524     3,922,596       1,567,440       10,463,787  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     2,139,883       10,584,741       9,820,143       8,317,210  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 2,126,579     $ 10,482,209     $ 9,694,747     $ 8,037,431  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
64

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 33,052,840     $ 34,859,763     $ 26,537,000     $ 28,885,775  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 1,000,000, 1,000,000, 2,800,000 and 3,750,000 shares, respectively
     34,082,044       26,169,229       77,349,605       91,351,542  
Redemption of 1,050,000, 1,200,000, 2,800,000 and 3,500,415 shares, respectively
     (35,498,411     (31,137,324     (79,818,300     (87,900,871
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (50,000), (200,000), – and 249,585 shares, respectively
     (1,416,367     (4,968,095     (2,468,695     3,450,671  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (13,304     (102,532     (125,396     (279,779
Net realized gain (loss)
     6,215,407       6,662,145       8,252,703       (2,146,577
Change in net unrealized appreciation (depreciation)
     (4,075,524     3,922,596       1,567,440       10,463,787  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     2,126,579       10,482,209       9,694,747       8,037,431  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 33,763,052     $ 40,373,877     $ 33,763,052     $ 40,373,877  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
65

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

September 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 9,694,747     $ 8,037,431  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
                
Purchases of short-term U.S. government and agency obligations
     (20,979,052     (49,994,362
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     41,999,081       27,999,988  
Net amortization and accretion on short-term U.S. government and agency obligations
     (24,695     (4,676
Net realized (gain) loss on investments
     190       (85
Change in unrealized (appreciation) depreciation on investments
     (766,564     (7,287,735
Decrease (Increase) in receivable on open futures contracts
     15,446       39,445  
Decrease (Increase) in interest receivable
     (25,020     335  
Increase (Decrease) in payable to Sponsor
     12,281       3,356  
Increase (Decrease) in brokerage commissions and futures account fees payable
     (747     1,471  
Increase (Decrease) in payable on open futures contracts
     592,924       90,385  
Increase (Decrease) in
non-recurring
fees and expenses payable
     612       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     30,519,203       (21,114,447
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     77,349,605       89,788,249  
Payment on shares redeemed
     (79,818,300     (84,774,285
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (2,468,695     5,013,964  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     28,050,508       (16,100,483
Cash, beginning of period
     5,483,476       32,155,049  
    
 
 
   
 
 
 
Cash, end of period
   $ 33,533,984     $ 16,054,566  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
66

Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2022

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $4,998,992 and $20,990,068, respectively)
   $ 4,988,225      $ 20,987,825  
Cash
     44,231,706        3,003,251  
Segregated cash balances with brokers for foreign currency forward contracts
     2,320,000        —    
Unrealized appreciation on foreign currency forward contracts
     580,211        1,237,168  
Interest receivable
     42,493        339  
    
 
 
    
 
 
 
Total assets
     52,162,635        25,228,583  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable to Sponsor
     68,901        20,211  
Unrealized depreciation on foreign currency forward contracts
     155,443        367,588  
Non-recurring
fees and expenses payable
     953        —    
    
 
 
    
 
 
 
Total liabilities
     225,297        387,799  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     51,937,338        24,840,784  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 52,162,635      $ 25,228,583  
    
 
 
    
 
 
 
Shares outstanding (Note 1)
     798,580        598,580  
    
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 65.04      $ 41.50  
    
 
 
    
 
 
 
Market value per share (Note 1) (Note 2)
   $ 65.02      $ 41.50  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
67

Table of Contents
PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(10% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.223% due 11/03/22
   $ 5,000,000      $ 4,988,225  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $4,998,992)
            $ 4,988,225  
             
 
 
 
Foreign Currency Forward Contracts
^
 
    
Settlement Date
    
Contract Amount

in Local Currency
   
Contract Amount

in U.S. Dollars
   
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
                                 
Yen with Goldman Sachs International
     10/07/22        513,732,000     $ 3,551,971     $ (61,321
Yen with UBS AG
     10/07/22        1,169,990,000       8,089,375       (94,122
                             
 
 
 
                        Total Unrealized
Depreciation
 
 
  $ (155,443
                             
 
 
 
Contracts to Sell
                                 
Yen with Goldman Sachs International
     10/07/22        (4,358,922,165   $ (30,137,828   $ 154,005  
Yen with UBS AG
     10/07/22        (12,349,528,574     (85,385,320     426,206  
                             
 
 
 
                        Total Unrealized
Appreciation
 
 
  $ 580,211  
                             
 
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
68

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 115,191     $ 2,392     $ 151,503     $ 9,558  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     106,598       57,037       259,599       196,036  
Non-recurring
fees and expenses
     953       —         953       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     107,551       57,037       260,552       196,036  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     7,640       (54,645     (109,049     (186,478
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Foreign currency forward contracts
     5,879,873       197,444       14,877,216       3,055,103  
Short-term U.S. government and agency obligations
     —         —         102,971       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     5,879,873       197,444       14,980,187       3,055,103  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Foreign currency forward contracts
     (546,737     (190,261     (444,812     1,066,540  
Short-term U.S. government and agency obligations
     22,866       329       (8,524     (207
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (523,871     (189,932     (453,336     1,066,333  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     5,356,002       7,512       14,526,851       4,121,436  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 5,363,642     $ (47,133   $ 14,417,802     $ 3,934,958  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
69

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 45,568,882     $ 27,231,748     $ 24,840,784     $ 23,691,070  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 250,000, –, 1,100,000 and 200,000 shares, respectively (Note 1)
     15,352,183       —         59,472,902       7,132,412  
Redemption of 250,000, 100,000, 900,000 and 300,000 shares, respectively (Note 1)
     (14,347,369     (3,855,693     (46,794,150     (11,429,518
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of –, (100,000), 200,000 and (100,000) shares, respectively (Note 1)
     1,004,814       (3,855,693     12,678,752       (4,297,106
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     7,640       (54,645     (109,049     (186,478
Net realized gain (loss)
     5,879,873       197,444       14,980,187       3,055,103  
Change in net unrealized appreciation (depreciation)
     (523,871     (189,932     (453,336     1,066,333  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     5,363,642       (47,133     14,417,802       3,934,958  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 51,937,338     $ 23,328,922     $ 51,937,338     $ 23,328,922  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
70

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

September 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 14,417,802     $ 3,934,958  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
                
Purchases of short-term U.S. government and agency obligations
     (17,984,732     (43,494,229
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     34,102,971       26,500,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (24,192     (4,425
Net realized (gain) loss on investments
     (102,971     —    
Change in unrealized (appreciation) depreciation on investments
     453,336       (1,066,333
Decrease (Increase) in interest receivable
     (42,154     553  
Increase (Decrease) in payable to Sponsor
     48,690       (1,517
Increase (Decrease) in
non-recurring
fees and expenses payable
     953       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     30,869,703       (14,130,993
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     59,472,902       7,132,412  
Payment on shares redeemed
     (46,794,150     (11,429,518
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     12,678,752       (4,297,106
    
 
 
   
 
 
 
Net increase (decrease) in cash
     43,548,455       (18,428,099
Cash, beginning of period
     3,003,251       24,274,564  
    
 
 
   
 
 
 
Cash, end of period
   $ 46,551,706     $ 5,846,465  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
71

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

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $31,993,547 and $85,937,303, respectively)
   $ 31,924,637      $ 85,922,969  
Cash
     63,807,096        8,130,069  
Segregated cash balances with brokers for futures contracts
     15,672,400        18,941,750  
Receivable on open futures contracts
     828,618        63,397  
Interest receivable
     85,354        1,097  
    
 
 
    
 
 
 
Total assets
     112,318,105        113,059,282  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     1,761,987        —    
Payable on open futures contracts
     —          94,495  
Brokerage commissions and futures account fees payable
     —          7,124  
Payable to Sponsor
     133,494        81,983  
Non-recurring
fees and expenses payable
     2,050        —    
    
 
 
    
 
 
 
Total liabilities
     1,897,531        183,602  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     110,420,574        112,875,680  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 112,318,105      $ 113,059,282  
    
 
 
    
 
 
 
Shares outstanding
     3,112,403        3,687,403  
    
 
 
    
 
 
 
Net asset value per share
   $ 35.48      $ 30.61  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 35.50      $ 30.57  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
72

Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(29% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.223% due 11/03/22
   $ 32,000,000      $ 31,924,637  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $31,993,547)
            $ 31,924,637  
             
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires January 2023
     728      $ 22,351,129      $ 1,353,160  
VIX Futures - Cboe, expires February 2023
     1,214        36,796,340        2,580,598  
VIX Futures - Cboe, expires March 2023
     1,214        36,638,520        2,105,825  
VIX Futures - Cboe, expires April 2023
     486        14,700,868        277,649  
                      
 
 
 
                       $ 6,317,232  
                      
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
73

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

September 30,
   
Nine Months Ended

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

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

September 30,
   
Nine Months Ended

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

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

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

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

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

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

Contracts
    
Notional Amount

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

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 1,400,201     $ 11,739     $ 1,678,813     $ 91,187  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     874,070       660,051       2,353,478       2,154,874  
Brokerage commissions
     203,095       97,516       490,751       365,013  
Futures account fees
     54,944       151,758       371,384       591,272  
Non-recurring
fees and expenses
     8,700       —         8,700       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     1,140,809       909,325       3,224,313       3,111,159  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     259,392       (897,586     (1,545,500     (3,019,972
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (45,457,319     (51,868,433     31,935,990       (304,349,667
Short-term U.S. government and agency obligations
     —         —         (300     —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (45,457,319     (51,868,433     31,935,690       (304,349,667
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     51,449,994       42,164,263       84,956,040       27,731,186  
Short-term U.S. government and agency obligations
     248,953       4,034       (104,697     (1,396
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     51,698,947       42,168,297       84,851,343       27,729,790  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     6,241,628       (9,700,136     116,787,033       (276,619,877
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 6,501,020     $ (10,597,722   $ 115,241,533     $ (279,639,849
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
79

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 341,714,316     $ 272,352,675     $ 269,703,164     $ 293,390,549  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 17,775,000, 6,300,000, 35,900,000 and 16,556,250 shares, respectively
     261,088,034       142,476,815       563,456,503       593,853,539  
Redemption of 10,950,000, 1,350,000, 28,150,000 and 5,630,003 shares, respectively
     (171,766,742     (35,454,435     (510,864,572     (238,826,906
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 6,825,000, 4,950,000, 7,750,000 and 10,926,247 shares, respectively
     89,321,292       107,022,380       52,591,931       355,026,633  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     259,392       (897,586     (1,545,500     (3,019,972
Net realized gain (loss)
     (45,457,319     (51,868,433     31,935,690       (304,349,667
Change in net unrealized appreciation (depreciation)
     51,698,947       42,168,297       84,851,343       27,729,790  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     6,501,020       (10,597,722     115,241,533       (279,639,849
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 437,536,628     $ 368,777,333     $ 437,536,628     $ 368,777,333  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
80

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

September 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 115,241,533     $ (279,639,849
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
                
Purchases of short-term U.S. government and agency obligations
     (2,462,189,566     (425,941,319
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     2,455,998,870       383,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (725,037     (50,698
Net realized (gain) loss on investments
     300       —    
Change in unrealized (appreciation) depreciation on investments
     104,697       1,396  
Decrease (Increase) in receivable on open futures contracts
     (67,758,303     834,150  
Decrease (Increase) in interest receivable
     (362,333     (1,076
Increase (Decrease) in payable to Sponsor
     372,867       17,527  
Increase (Decrease) in brokerage commissions and futures account fees payable
     (20,676     (28,852
Increase (Decrease) in payable on open futures contracts
     (2,037,391     1,181,913  
Increase (Decrease) in
non-recurring
fees and expenses payable
     8,700       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     38,633,661       (320,626,808
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     566,483,117       593,853,539  
Payment on shares redeemed
     (498,163,549     (238,826,906
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     68,319,568       355,026,633  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     106,953,229       34,399,825  
Cash, beginning of period
     115,960,816       206,562,147  
    
 
 
   
 
 
 
Cash, end of period
   $ 222,914,045     $ 240,961,972  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
81

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

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $1,816,371,072 and $2,505,722,885, respectively)
   $ 1,815,105,624      $ 2,505,429,337  
Cash
     851,017,429        394,413,910  
Segregated cash balances with brokers for futures contracts
     964,952,140        1,010,799,328  
Segregated cash balances with brokers for foreign currency forward contracts
     7,679,000        916,000  
Segregated cash balances with brokers for swap agreements
     235,294,945        2,572,000  
Unrealized appreciation on swap agreements
     27,606,752        113,159,180  
Unrealized appreciation on foreign currency forward contracts
     3,695,149        1,457,257  
Receivable from capital shares sold
     4,647,847        23,475,355  
Receivable on open futures contracts
     539,065,223        205,819,074  
Interest receivable
     3,118,925        22,943  
    
 
 
    
 
 
 
Total assets
     4,452,183,034        4,258,064,384  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     94,141,256        25,594,902  
Payable on open futures contracts
     13,255,922        51,142,167  
Brokerage commissions and futures account fees payable
     149,226        476,241  
Payable to Sponsor
     7,423,558        3,178,585  
Unrealized depreciation on swap agreements
     131,794,025        3,391,968  
Unrealized depreciation on foreign currency forward contracts
     955,689        806,178  
Non-recurring
fees and expenses payable
     81,773        —    
    
 
 
    
 
 
 
Total liabilities
     247,801,449        84,590,041  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     4,204,381,585        4,173,474,343  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 4,452,183,034      $ 4,258,064,384  
    
 
 
    
 
 
 
Shares outstanding (Note 9)
     197,794,037        151,164,114  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
82

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

September 30,
   
Nine Months Ended

September 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 14,620,209     $ 225,068     $ 19,240,564     $ 1,311,362  
Expenses
                                
Management fee
     11,269,281       9,892,153       33,494,289       32,386,686  
Brokerage commissions
     2,210,735       1,808,557       6,013,653       6,704,455  
Futures account fees
     449,872       1,447,030       3,285,001       5,996,930  
Non-recurring
fees and expenses
     81,773       27,500       81,773       27,500  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     14,011,661       13,175,240       42,874,716       45,115,571  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     608,548       (12,950,172     (23,634,152     (43,804,209
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (321,993,985     (240,784,887     188,147,013       (1,427,934,171
Swap agreements
     (438,845,993     (160,769,089     217,520,213       50,628,405  
Foreign currency forward contracts
     13,695,610       2,892,137       26,532,572       4,813,162  
Short-term U.S. government and agency obligations
     (71,343     (10,753     (264,143     11,145  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (747,215,711     (398,672,592     431,935,655       (1,372,481,459
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     291,970,061       158,443,180       354,740,180       230,326,477  
Swap agreements
     112,369,648       38,179,426       (213,954,485     (93,072,018
Foreign currency forward contracts
     (1,017,583     (724,910     2,088,381       3,952,272  
Short-term U.S. government and agency obligations
     3,053,986       88,814       (971,900     (38,045
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     406,376,112       195,986,510       141,902,176       141,168,686  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (340,839,599     (202,686,082     573,837,831       (1,231,312,773
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (340,231,051   $ (215,636,254   $ 550,203,679     $ (1,275,116,982
    
 
 
   
 
 
   
 
 
   
 
 
 
 
*
The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.
See accompanying notes to financial statements.
 
83

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

September 30,
   
Nine Months Ended

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

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

September 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 550,203,679     $ (1,275,116,982
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
                
Purchases of short-term U.S. government and agency obligations
     (32,181,153,315     (6,612,113,856
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     32,879,938,110       5,319,975,559  
Net amortization and accretion on short-term U.S. government and agency obligations
     (9,697,124     (740,687
Net realized (gain) loss on investments
     264,143       (11,145
Change in unrealized (appreciation) depreciation on investments
     212,838,004       89,157,791  
Decrease (Increase) in receivable on futures contracts
     (333,246,149     (47,134,619
Decrease (Increase) in interest receivable
     (3,095,982     26,005  
Increase (Decrease) in payable to Sponsor
     4,244,972       (248,437
Increase (Decrease) in brokerage commissions and futures account fees payable
     (327,015     (220,325
Increase (Decrease) in payable on futures contracts
     (37,886,245     (3,570,592
Increase (Decrease) in
non-recurring
fees and expenses payable
     81,773       27,500  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     1,082,164,851       (2,529,969,788
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     9,008,566,233       5,632,395,070  
Payment on shares redeemed
     (9,440,488,808     (4,510,804,732
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (431,922,575     1,121,590,338  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     650,242,276       (1,408,379,450
Cash, beginning of period
     1,408,701,238       3,256,463,457  
    
 
 
   
 
 
 
Cash, end of period
   $ 2,058,943,514     $ 1,848,084,007  
    
 
 
   
 
 
 
 
*
The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.
See accompanying notes to financial statements.
 
85

Table of Contents
PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
September 30, 2022
(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 September 30, 2022, the following sixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX
Mid-Term
Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds and the Geared VIX Funds, are collectively referred to as the “Geared Funds” 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.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.
Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either
one-half
the inverse
(-0.5x)
or the inverse
(-1x)
of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and
one-half
times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation.
The Geared Funds do not seek to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g.,
-0.5x,
-1x,
-2x,
1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly.
Share Splits and Reverse Share Splits
The table below includes reverse Share splits for the Funds during the nine months September 30, 2022, and during the year ended December 31, 2021. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.
 
86

Table of Contents
Fund
  
Execution Date
(Prior to Opening
of Trading)
  
Type of Split
  
Date Trading
Resumed at Post-
Split Price
ProShares Ultra VIX Short-Term Futures ETF    May 25, 2021    1-for-10 reverse Share split    May 26, 2021
ProShares UltraShort Bloomberg Crude Oil    May 25, 2021    1-for-4 reverse Share split    May 26, 2021
ProShares UltraShort Silver    May 25, 2021    1-for-4 reverse Share split    May 26, 2021
ProShares VIX Short-Term Futures ETF    May 25, 2021    1-for-4 reverse Share split    May 26, 2021
ProShares UltraShort Bloomberg Natural Gas    January 13, 2022    1-for-5 reverse Share split    January 14, 2022
ProShares UltraShort Yen    May 25, 2022    2-for-1 forward Share split    May 26, 2022
ProShares Ultra Bloomberg Crude Oil    May 25, 2022    4-for-1 forward Share split    May 26, 2022
ProShares UltraShort Bloomberg Natural Gas    May 25, 2022    1-for-4 reverse Share split    May 26, 2022
ProShares UltraShort Bloomberg Crude Oil    May 25, 2022    1-for-5 reverse Share split    May 26, 2022
The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.
The forward splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund. Therefore, the forward splits did not change the aggregate net asset value of a shareholder’s investment at the time of the forward split.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form
10-Q
and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form
10-K
for the year ended December 31, 2021, as filed with the SEC on February 25, 2022.
Use of Estimates & Indemnifications
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant loss to be remote.
Basis of Presentation
Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund.
 
87

Table of Contents
Statements of Cash Flows
The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated September 30, 2022 and 2021, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.
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 nine months ended September 30, 2022 were typically as follows. All times are Eastern Standard Time:
 
Fund
  
Create/Redeem
Cut-off*
  
NAV Calculation
Time
  
NAV Calculation Date
Ultra Silver and UltraShort Silver    1:00 p.m.    1:25 p.m.    September 30, 2022
       
Ultra Gold and UltraShort Gold    1:00 p.m.    1:30 p.m.    September 30, 2022
       
Ultra Bloomberg Crude Oil,               
Ultra Bloomberg Natural Gas,               
UltraShort Bloomberg Crude Oil and               
UltraShort Bloomberg Natural Gas    2:00 p.m.    2:30 p.m.    September 30, 2022
       
Ultra Euro,               
Ultra Yen,               
UltraShort Euro and               
UltraShort Yen    3:00 p.m.    4:00 p.m.    September 30, 2022
       
Short VIX Short-Term Futures ETF,               
Ultra VIX Short-Term Futures ETF,               
VIX
Mid-Term
Futures ETF and
              
VIX Short-Term Futures ETF    2:00 p.m.    4:00 p.m.    September 30, 2022
 
*
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 nine months ended September 30, 2022.
Market value per Share is determined at the close of the applicable primary listing exchange and may be from when the Funds’ NAV per Share is calculated.
For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the nine months ended September 30, 2022.
Investment Valuation
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.
Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts)
are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver and Ultra Short Euro Fund, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver and Ultra Short Euro Fund are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures
 
88

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

Table of Contents
The following table summarizes the valuation of investments at September 30, 2022 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 VIX Short-Term Futures ETF
   $ 136,590,474      $ (16,266,018   $ —       $ —       $ 120,324,456  
ProShares Ultra Bloomberg Crude Oil
     535,064,695        (3,847,928     —         (123,956,198     407,260,569  
ProShares Ultra Bloomberg Natural Gas
     106,563,264        (97,363,745     —         —         9,199,519  
ProShares Ultra Euro
     696,356        —         (431,231     —         265,125  
ProShares Ultra Gold
     143,619,527        (1,627,042     —         (6,686,424     135,306,061  
ProShares Ultra Silver
     162,611,595        (329,232     —         26,804,548       189,086,911  
ProShares Ultra VIX Short-Term Futures ETF
     273,202,387        196,774,849       —         —         469,977,236  
ProShares Ultra Yen
     997,645        —         (95,117     —         902,528  
ProShares UltraShort Bloomberg Crude Oil
     120,666,762        105,314,104       —         —         225,980,866  
ProShares UltraShort Bloomberg Natural Gas
     84,676,656        130,293,612       —         —         214,970,268  
ProShares UltraShort Euro
     45,854,318        —         2,841,040       —         48,695,358  
ProShares UltraShort Gold
     7,981,159        1,536,681       —         802,204       10,320,044  
ProShares UltraShort Silver
     1,995,290        1,453,369       —         (1,151,403     2,297,256  
ProShares UltraShort Yen
     4,988,225        —         424,768       —         5,412,993  
ProShares VIX
Mid-Term
Futures ETF
     31,924,637        6,317,232       —         —         38,241,869  
ProShares VIX Short-Term Futures ETF
     157,672,634        54,825,421       —         —         212,498,055  
    
 
 
    
 
 
   
 
 
   
 
 
   
 
 
 
Combined Trust:
  
$
1,815,105,624
 
  
$
377,081,303
 
 
$
2,739,460
 
 
$
(104,187,273
 
$
2,090,739,114
 
 
*
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, 2021 using the fair value hierarchy:
 
    
Level I - Quoted Prices
   
Level II - Other Significant
Observable Inputs
       
Fund
  
Short-Term U.S.

Government and

Agencies
    
Futures

Contracts
*
   
Foreign

Currency

Forward

Contracts
   
Swap

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

Table of Contents
There were no transfers into or out of Level 3 for the fiscal year end.
The inputs or methodology used for valuing investment
s
are not necessarily an indication of the risk associated with investing in those securities.
Investment Transactions and Related Income
Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations.
Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.
Brokerage Commissions and Futures Account Fees
Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees,
give-up
fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.
Federal Income Tax
Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.
Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to,
on-going
analysis of tax law, regulation, and interpretations thereof.
NOTE 3 – INVESTMENTS
Short-Term Investments
The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.
Accounting for Derivative Instruments
In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.
 
91

Table of Contents
All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.
From the beginning of the reporting period until the close of business on May 2, 2022, the volume of the derivative exposure for each liquidated fund relative to its net assets was generally representative to its investment objective.
Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.
Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.
Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.
Option Contracts
An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.
 
92

Table of Contents
When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).
When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless.
Over-the-counter
options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The
over-the-counter
market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.
Each Oil Fund (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance.
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.
 
93

Table of Contents
Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.
The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.
Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.
Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 2022
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 September 30, 2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
 
94

Table of Contents
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.
Forward Contracts
Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.
The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.
Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates
non-deliverable
forwards (including deliverable forwards where the parties do not take delivery). Certain
non-deliverable
forward contracts, such as
non-deliverable
foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.
The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated
tri-party
account at a third party custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.
A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.
 
95

Table of Contents
The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period.
Fair Value of Derivative Instruments as of September 30, 2022
 
         
Asset Derivatives
   
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized

Appreciation
   
Statements of
Financial Condition
Location
  
Unrealized

Depreciation
 
VIX Futures Contracts
     
Receivable on open futures contracts, unrealized
appreciation on swap agreements
    
Payable on open futures contracts, unrealized
depreciation on swap agreements
  
   ProShares Short VIX Short-Term Futures ETF       $ —          $ 16,266,018
*
 
   ProShares Ultra VIX Short-Term Futures ETF         196,774,849
*
 
       —    
   ProShares VIX
Mid-Term
Futures ETF
        6,317,232
*
 
       —    
   ProShares VIX Short-Term Futures ETF         54,825,421
*
 
       —    
Commodities Contracts
      Receivables on open futures contracts and/or unrealized appreciation on swap agreements      Payable on open futures contracts and/or unrealized depreciation on swap agreements   
   ProShares Ultra Bloomberg Crude Oil         14,409,192
*
 
       142,213,318
*
 
   ProShares Ultra Bloomberg Natural Gas         —            97,363,745
*
 
   ProShares Ultra Gold         —            8,313,466
*
 
   ProShares Ultra Silver         26,804,548
*
 
       329,232
*
 
   ProShares UltraShort Bloomberg Crude Oil         105,314,104
*
 
       —    
   ProShares UltraShort Bloomberg Natural Gas         130,293,612
*
 
       —    
   ProShares UltraShort Gold         2,338,885
*
 
       —    
   ProShares UltraShort Silver         1,453,369
*
 
       1,151,403
*
 
Foreign Exchange Contracts
      Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts      Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts   
   ProShares Ultra Euro         —            431,231  
   ProShares Ultra Yen         6,055          101,172  
   ProShares UltraShort Euro         3,108,883          267,843  
   ProShares UltraShort Yen         580,211          155,443  
        
 
 
      
 
 
 
     
Combined Trust:
  
$
542,226,361
*
 
    
$
266,592,871
*
 
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
 
96

Table of Contents
Fair Value of Derivative Instruments as of December 31, 2021
 
         
Asset Derivatives
   
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized

Appreciation
   
Statements of
Financial Condition
Location
  
Unrealized

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

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

(Loss) on

Derivatives

Recognized in

Income
   
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts
   Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements        
      ProShares Short VIX Short-Term Futures ETF    $ 27,694,574     $ (17,783,632
      ProShares Ultra VIX Short-Term Futures ETF      (289,871,717     161,330,331  
      ProShares VIX
Mid-Term
Futures ETF
     (1,349,272     3,236,565  
      ProShares VIX Short-Term Futures ETF      (45,457,319     51,449,994  
Commodities Contracts
   Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements        
      ProShares Ultra Bloomberg Crude Oil      (344,578,932     (33,971,770
      ProShares Ultra Bloomberg Natural Gas      (5,889,116     97,063,212  
      ProShares Ultra Gold      (39,825,586     2,070,901  
      ProShares Ultra Silver      (147,384,761     91,205,187  
      ProShares UltraShort Bloomberg Crude Oil      66,444,885       76,797,273  
      ProShares UltraShort Bloomberg Natural Gas      8,173,631       (23,776,729
      ProShares UltraShort Gold      4,988,228       806,339  
      ProShares UltraShort Silver      6,215,407       (4,087,962
Foreign Exchange Contracts
   Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts        
      ProShares Ultra Euro      (1,618,381     (98,836
      ProShares Ultra Yen      (1,652,590     (17,967
      ProShares UltraShort Euro      11,086,708       (354,043
      ProShares UltraShort Yen      5,879,873       (546,737
        
 
 
   
 
 
 
     
Combined Trust
  
$
(747,144,368
 
$
403,322,126
 
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
 
98

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

(Loss) on

Derivatives

Recognized in

Income
   
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts
   Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements        
      ProShares Short VIX Short-Term Futures ETF    $ (26,435,234   $ (47,541,296
      ProShares Ultra VIX Short-Term Futures ETF      82,162,402       323,609,043  
      ProShares VIX
Mid-Term
Futures ETF
     11,304,613       6,941,620  
      ProShares VIX Short-Term Futures ETF      31,935,990       84,956,040  
Commodities Contracts
   Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements        
      ProShares Ultra Bloomberg Crude Oil      818,140,230       (339,187,944
      ProShares Ultra Bloomberg Natural Gas      235,322,266       (89,157,584
      ProShares Ultra Gold      (39,908,073     (17,607,548
      ProShares Ultra Silver      (186,941,909     (16,622,928
      ProShares UltraShort Bloomberg Crude Oil      (142,631,216     113,723,566  
      ProShares UltraShort Bloomberg Natural Gas      (389,138,752     116,857,361  
      ProShares UltraShort Gold      3,237,425       3,173,923  
      ProShares UltraShort Silver      8,252,893       1,570,887  
Foreign Exchange Contracts
   Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts        
      ProShares Ultra Euro      (2,505,776     (513,883
      ProShares Ultra Yen      (2,532,839     (2,005
      ProShares UltraShort Euro      16,693,971       3,049,081  
      ProShares UltraShort Yen      14,877,216       (444,812
        
 
 
   
 
 
 
     
Combined Trust:
  
$
431,833,207
 
 
$
142,803,521
 
 
99

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

(Loss) on

Derivatives

Recognized in

Income
   
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts
   Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements        
      ProShares Short VIX Short-Term Futures ETF    $ 34,573,906     $ (43,362,244
      ProShares Ultra VIX Short-Term Futures ETF      (198,380,990     186,737,241  
      ProShares VIX
Mid-Term
Futures ETF
     (4,024,133     10,651,835  
      ProShares VIX Short-Term Futures ETF      (51,868,433     42,164,263  
Commodities Contracts
   Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements        
      ProShares Ultra Bloomberg Crude Oil      106,330,563       (16,910,039
      ProShares Ultra Bloomberg Natural Gas      33,925,711       25,134,988  
      ProShares Ultra Gold      (21,858,089     15,564,318  
      ProShares Ultra Silver      (201,315,310     (6,040,776
      ProShares UltraShort Bloomberg Crude Oil      (11,449,562     (1,521,543
      ProShares UltraShort Bloomberg Natural Gas      (95,609,878     (17,870,697
      ProShares UltraShort Gold      1,213,721       (1,898,585
      ProShares UltraShort Silver      6,662,145       3,921,845  
Foreign Exchange Contracts
   Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts        
      ProShares Short Euro      57,489       (4,770
      ProShares Ultra Euro      (254,219     72,810  
      ProShares Ultra Yen      (25,554     10,988  
      ProShares UltraShort Australian Dollar      188,884       56,770  
      ProShares UltraShort Euro      2,974,466       (618,447
     
ProShares UltraShort Yen
     197,444       (190,261
        
 
 
   
 
 
 
     
Combined Trust
  
$
(398,661,839
 
$
195,897,696
 
 
100

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

(Loss) on

Derivatives

Recognized in

Income
   
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts
  
Net realized gain (loss) on futures contracts and/or swap
agreements/ changes in unrealized appreciation (depreciation) on
futures contracts and/or swap agreements
                     
          ProShares Short VIX Short-Term Futures ETF    $ 168,120,340     $ (14,530,761
          ProShares Ultra VIX Short-Term Futures ETF      (1,757,428,075     146,502,120  
          ProShares VIX
Mid-Term
Futures ETF
     (14,890,359     5,950,464  
          ProShares VIX Short-Term Futures ETF      (304,349,667     27,731,186  
Commodities Contracts
   Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements                      
          ProShares Ultra Bloomberg Crude Oil      761,187,450       176,083,841  
          ProShares Ultra Bloomberg Natural Gas      80,409,384       35,685,009  
          ProShares Ultra Gold      (27,599,854     (19,131,126
          ProShares Ultra Silver      (80,034,280     (192,143,248
          ProShares UltraShort Bloomberg Crude Oil      (86,637,748     (5,829,347
          ProShares UltraShort Bloomberg Natural Gas      (112,274,576     (35,668,153
          ProShares UltraShort Gold      (1,767,636     1,727,831  
          ProShares UltraShort Silver      (2,146,662     10,464,123  
Foreign Exchange Contracts
   Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts                      
          ProShares Short Euro      88,710       91,407  
          ProShares Ultra Euro      (186,149     (251,422
          ProShares Ultra Yen      (305,028     (126,353
          ProShares UltraShort Australian Dollar      17,207       321,113  
         
ProShares UltraShort Euro
     2,249,236       3,263,507  
         
ProShares UltraShort Yen
     3,055,103       1,066,540  
              
 
 
   
 
 
 
         
Combined Trust:
  
$
(1,372,492,604
 
$
141,206,731
 
 
101

Table of Contents
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 September 30, 2022.​​​​​​​
 
Fair Values of Derivative Instruments as of September 30, 2022
 
    
Assets
    
Liabilities
 
Fund
  
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
    
Gross Amounts
Offset in the
Statements of
Financial
Condition
    
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
    
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
    
Gross Amounts
Offset in the
Statements of
Financial
Condition
    
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
                                                     
Swap agreements
   $ —        $ —        $ —        $ 123,956,198      $ —        $ 123,956,198  
ProShares Ultra Euro
                                                     
Foreign currency forward contracts
     —          —          —          431,231        —          431,231  
ProShares Ultra Gold
                                                     
Swap agreements
     —          —          —          6,686,424        —          6,686,424  
ProShares Ultra Silver
                                                     
Swap agreements
     26,804,548        —          26,804,548        —          —          —    
ProShares Ultra Yen
                                                     
Foreign currency forward contracts
     6,055        —          6,055        101,172        —          101,172  
ProShares UltraShort Euro
                                                     
Foreign currency forward contracts
     3,108,883        —          3,108,883        267,843        —          267,843  
ProShares UltraShort Gold
                                                     
Swap agreements
     802,204        —          802,204        —          —          —    
ProShares UltraShort Silver
                                                     
Swap agreements
     —          —          —          1,151,403        —          1,151,403  
ProShares UltraShort Yen
                                                     
Foreign currency forward contracts
     580,211        —          580,211        155,443        —          155,443  
 
102

Table of Contents
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2022. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
 
Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2022
 
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.
   $ (19,603,867   $ —       $ 19,603,867     $ —    
Goldman Sachs International
     (24,373,900     —         24,373,900       —    
Morgan Stanley & Co. International PLC
     (33,954,709     —         33,954,709       —    
Societe Generale
     (18,489,319     17,977,319       512,000       —    
UBS AG
     (27,534,403     19,575,403       7,959,000       —    
ProShares Ultra Euro
                                
Goldman Sachs International
     (194,303     —         194,303       —    
UBS AG
     (236,928     —         236,928       —    
ProShares Ultra Gold
                                
Citibank, N.A.
     (2,464,705     —         2,464,705       —    
Goldman Sachs International
     (1,657,776     1,588,776       69,000       —    
UBS AG
     (2,563,943     —         2,563,943       —    
ProShares Ultra Silver
                                
Citibank, N.A.
     8,433,031       —         —         8,433,031  
Goldman Sachs International
     1,725,874       (1,222,261     —         503,613  
Morgan Stanley & Co. International PLC
     9,256,039       —         (6,573,000     2,683,039  
UBS AG
     7,389,604       (2,828,730     —         4,560,874  
ProShares Ultra Yen
                                
Goldman Sachs International
     (39,854     —         39,854       —    
UBS AG
     (55,263     —         55,263       —    
ProShares UltraShort Euro
                                
Goldman Sachs International
     1,292,731       (1,292,731     —         —    
UBS AG
     1,548,309       (1,548,309     —         —    
ProShares UltraShort Gold
                                
Citibank, N.A.
     329,122       —         —         329,122  
Goldman Sachs International
     215,613       (215,613     —         —    
UBS AG
     257,469       (257,469     —         —    
ProShares UltraShort Silver
                                
Citibank, N.A.
     (136,329     —         136,329       —    
Goldman Sachs International
     (496,626     —         496,626       —    
Morgan Stanley & Co. International PLC
     (392,881     —         392,881       —    
UBS AG
     (125,567     —         125,567       —    
ProShares UltraShort Yen
                                
Goldman Sachs International
     92,684       —         —         92,684  
UBS AG
     332,084       —         —         332,084  
 
103

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

Table of Contents
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2021
 
    
Amounts of Recognized
Assets / (Liabilities)
presented in the
Statements of Financial
Condition
   
Financial Instruments
for the Benefit of (the
Funds) / the
Counterparties
   
Cash Collateral for the
Benefit of (the Funds)
/ the Counterparties
   
Net Amount
 
ProShares Ultra Bloomberg Crude Oil
                                
Citibank, N.A.
   $ 9,839,441     $ —       $ (9,839,441   $ —    
Goldman Sachs International
     13,920,431       (13,889,225     (31,206     —    
Morgan Stanley & Co. International PLC
     17,042,319       —         (17,042,319     —    
Societe Generale
     9,295,046       (9,292,398     (2,648     —    
UBS AG
     13,831,056       —         (13,831,056     —    
ProShares Ultra Euro
                                
Goldman Sachs International
     10,301       —         —         10,301  
UBS AG
     72,351       —         —         72,351  
ProShares Ultra Gold
                                
Citibank, N.A.
     2,974,490       —         (2,100,000     874,490  
Goldman Sachs International
     2,570,443       (1,877,749     (250     692,444  
UBS AG
     3,094,255       —         (2,180,000     914,255  
ProShares Ultra Silver
                                
Citibank, N.A.
     10,785,304       —         (7,890,000     2,895,304  
Goldman Sachs International
     10,781,897       (8,181,572     (5,925     2,594,400  
Morgan Stanley & Co. International PLC
     10,046,034       —         (7,306,000     2,740,034  
UBS AG
     8,978,464       —         (6,570,000     2,408,464  
ProShares Ultra VIX Short-Term Futures ETF
                                
Goldman Sachs & Co.
     (477,437     —         —         (477,437
ProShares Ultra Yen
                                
Goldman Sachs International
     (54,919     —         54,919       —    
UBS AG
     (38,193     —         —         (38,193
ProShares UltraShort Euro
                                
Goldman Sachs International
     (83,325     83,325       —         —    
UBS AG
     (124,716     124,716       —         —    
ProShares UltraShort Gold
                                
Citibank, N.A.
     (407,735     407,735       —         —    
Goldman Sachs International
     (266,413     266,413       —         —    
UBS AG
     (318,969     318,969       —         —    
ProShares UltraShort Silver
                                
Citibank, N.A.
     (367,632     367,632       —         —    
Goldman Sachs International
     (486,710     368,710       118,000       —    
Morgan Stanley & Co. International PLC
     (385,104     —         385,104       —    
UBS AG
     (681,968     681,968       —         —    
ProShares UltraShort Yen
                                
Goldman Sachs International
     312,169       (302,523     —         9,646  
UBS AG
     557,411       —         (520,000     37,411  
NOTE 4 – AGREEMENTS
Management Fee
Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund, pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund.
The Sponsor stopped charging the Management Fee to the liquidated funds on May 2, 2022, the date it was determined that liquidation was imminent.
The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to, (i) the 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
 
105

Table of Contents
trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule
K-1
preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses.
Non-Recurring
Fees and Expenses
Each Fund pays all its
non-recurring
and unusual fees and expenses, if any, as determined by the Sponsor.
Non-recurring
and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.
The Administrator
BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds. The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.
The Custodian
BNY Mellon serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.
The Transfer Agent
BNY Mellon serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor.
The Distributor
SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds.
NOTE 5 – 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.
 
106

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 and nine months ended September 30, 2022 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:
 
    
Three Months Ended
    
Nine Months Ended
 
Fund
  
September 30, 2022
    
September 30, 2022
 
ProShares Short VIX Short-Term Futures ETF
   $ 41,819      $ 160,578  
ProShares Ultra Bloomberg Crude Oil
     —          —    
ProShares Ultra Bloomberg Natural Gas
     —          —    
ProShares Ultra Euro
     —          —    
ProShares Ultra Gold
     —          —    
ProShares Ultra Silver
     —          —    
ProShares Ultra VIX Short-Term Futures ETF
     1,075,047        3,257,919  
ProShares Ultra Yen
     —          —    
ProShares UltraShort Bloomberg Crude Oil
     —          —    
ProShares UltraShort Bloomberg Natural Gas
     —          —    
ProShares UltraShort Euro
     —          —    
ProShares UltraShort Gold
     —          —    
ProShares UltraShort Silver
     —          —    
ProShares UltraShort Yen
     —          —    
ProShares VIX
Mid-Term
Futures ETF
     13,179        42,404  
ProShares VIX Short-Term Futures ETF
     182,543        432,819  
    
 
 
    
 
 
 
Combined Trust:
   $ 1,312,588      $ 3,893,720  
 
107

Table of Contents
NOTE 6 – FINANCIAL HIGHLIGHTS
Selected data for a Share outstanding throughout the three months ended September 30, 2022
For the Three Months Ended September 30, 2022 (unaudited)
 
Per Share Operating
Performance
  
Short VIX
Short-Term

Futures ETF
   
Ultra
Bloomberg
Crude Oil
*
   
Ultra
Bloomberg
Natural Gas
   
Ultra Euro
   
Ultra Gold
   
Ultra Silver
 
Net asset value, at June 30, 2022
   $ 48.14     $ 41.61     $ 39.53     $ 11.08     $ 56.46     $ 24.78  
Net investment income (loss)
     (0.01     0.01       0.03       0.00
(1)
 
    0.05       0.00
(2)
 
Net realized and unrealized gain (loss)#
     0.38       (15.41     13.66       (1.51     (9.44     (3.94
Change in net asset value from operations
     0.37       (15.40     13.69       (1.51     (9.39     (3.94
Net asset value, at September 30, 2022
   $ 48.51     $ 26.21     $ 53.22     $ 9.57     $ 47.07     $ 20.84  
Market value per share, at June 30, 2022
   $ 48.21     $ 41.86     $ 42.10     $ 11.11     $ 56.50     $ 24.47  
Market value per share, at September 30, 2022
   $ 48.59     $ 26.26     $ 53.66     $ 9.57     $ 46.93     $ 20.76  
Total Return, at net asset value^
     0.8     (37.0 )%      34.6     (13.7 )%      (16.6 )%      (15.9 )% 
Total Return, at market value^
     0.8     (37.3 )%      27.5     (13.9 )%      (16.9 )%      (15.2 )% 
Ratios to Average Net Assets**
                                                
Expense ratio^^
     1.14     1.01     1.16     0.96     0.97     1.00
Net investment income gain (loss)
     (0.09 )%      0.07     0.15     0.16     0.38     (0.02 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
(1)
Amount represents less than $0.005.
(2)
Amount represents greater than $(0.005).
 
108

Table of Contents
For the Three Months Ended September 30, 2022 (unaudited)
 
Per Share Operating
Performance
  
Ultra VIX
Short-Term

Futures ETF
   
Ultra Yen
   
UltraShort
Bloomberg
Crude Oil
*
   
UltraShort
Bloomberg
Natural Gas
*
   
UltraShort
Euro
   
UltraShort
Gold
 
Net asset value, at June 30, 2022
   $ 14.51     $ 33.51     $ 23.04     $ 42.65     $ 30.38     $ 31.55  
Net investment income (loss)
     0.00
(1)
 
    0.01       0.02       0.00
(1)
 
    0.01       (0.01
Net realized and unrealized gain (loss)#
     (1.64     (4.49     7.28       (25.30     4.45       5.64  
Change in net asset value from operations
     (1.64     (4.48     7.30       (25.30     4.46       5.63  
Net asset value, at September 30, 2022
   $ 12.87     $ 29.03     $ 30.34     $ 17.35     $ 34.84     $ 37.18  
Market value per share, at June 30, 2022
   $ 14.53     $ 33.49     $ 22.93     $ 40.02     $ 30.41     $ 31.59  
Market value per share, at September 30, 2022
   $ 12.85     $ 29.06     $ 30.28     $ 17.21     $ 34.88     $ 37.30  
Total Return, at net asset value^
     (11.3 )%      (13.3 )%      31.7     (59.3 )%      14.7     17.9
Total Return, at market value^
     (11.6 )%      (13.2 )%      32.1     (57.0 )%      14.7     18.1
Ratios to Average Net Assets**
                                                
Expense ratio^^
     1.46     0.96     1.11     1.25     0.96     1.00
Net investment income gain (loss)
     (0.14 )%      0.18     0.32     (0.01 )%      0.12     (0.11 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
(1)
Amount represents greater than $(0.005).
 
109

Table of Contents
For the Three Months Ended September 30, 2022 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Silver
   
UltraShort
Yen
*
   
VIX Mid-

Term Futures
ETF
   
VIX Short-
Term Futures
ETF
 
Net asset value, at June 30, 2022
   $ 31.74     $ 57.06     $ 35.29     $ 18.22  
Net investment income (loss)
     (0.02     0.01       0.00
(1)
 
    0.01  
Net realized and unrealized gain (loss)#
     2.34       7.97       0.19       (1.13
Change in net asset value from operations
     2.32       7.98       0.19       (1.12
Net asset value, at September 30, 2022
   $ 34.06     $ 65.04     $ 35.48     $ 17.10  
Market value per share, at June 30, 2022
   $ 32.19     $ 57.13     $ 35.38     $ 18.25  
Market value per share, at September 30, 2022
   $ 34.15     $ 65.02     $ 35.50     $ 17.10  
Total Return, at net asset value^
     7.3     14.0     0.6     (6.1 )% 
Total Return, at market value^
     6.1     13.8     0.3     (6.3 )% 
Ratios to Average Net Assets**
                                
Expense ratio^^
     1.08     0.96     0.93     1.11
Net investment income gain (loss)
     (0.19 )%      0.07     (0.01 )%      0.25
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
(1)
Amount represents greater than $(0.005).
 
110

Table of Contents
Selected data for a Share outstanding throughout the three months ended September 30, 2021
For the Three Months Ended September 30, 2021 (unaudited)
 
Per Share Operating
Performance
  
Short VIX
Short-Term

Futures ETF
   
Ultra
Bloomberg
Crude Oil
*
   
Ultra
Bloomberg
Natural Gas
   
Ultra Euro
   
Ultra Gold
   
Ultra Silver
 
Net asset value, at June 30, 2021
   $ 55.61     $ 19.56     $ 35.33     $ 14.67     $ 57.28     $ 45.97  
Net investment income (loss)
     (0.19     (0.05     (0.14     (0.03     (0.14     (0.10
Net realized and unrealized gain (loss)#
     (0.96     1.61       48.28       (0.72     (1.50     (14.16
Change in net asset value from operations
     (1.15     1.56       48.14       (0.75     (1.64     (14.26
Net asset value, at September 30, 2021
   $ 54.46     $ 21.12     $ 83.47     $ 13.92     $ 55.64     $ 31.71  
Market value per share, at June 30, 2021
   $ 55.55     $ 19.56     $ 37.17     $ 14.66     $ 57.22     $ 46.12  
Market value per share, at September 30, 2021
   $ 54.39     $ 21.06     $ 82.30     $ 13.92     $ 55.59     $ 31.99  
Total Return, at net asset value^
     (2.1 )%      8.0     136.3     (5.1 )%      (2.9 )%      (31.0 )% 
Total Return, at market value^
     (2.1 )%      7.7     121.4     (5.1 )%      (2.9 )%      (30.6 )% 
Ratios to Average Net Assets**
                                                
Expense ratio^^
     1.33     1.10     1.30     0.95     1.00     1.00
Net investment income gain (loss)
     (1.32 )%      (1.07 )%      (1.25 )%      (0.91 )%      0.97     (0.97 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
111

Table of Contents
For the Three Months Ended September 30, 2021 (unaudited)
 
Per Share Operating
Performance
  
Ultra VIX
Short-Term

Futures ETF
   
Ultra Yen
   
UltraShort
Bloomberg
Crude Oil
*
   
UltraShort
Bloomberg
Natural Gas
*
   
UltraShort
Euro
   
UltraShort
Gold
 
Net asset value, at June 30, 2021
   $ 27.91     $ 51.24     $ 90.56     $ 431.07     $ 23.81     $ 34.67  
Net investment income (loss)
     (0.11     (0.12     (0.26     (0.91     (0.06     (0.08
Net realized and unrealized gain (loss)#
     (3.37     (0.29     (14.64     (289.76     1.19       0.21  
Change in net asset value from operations
     (3.48     (0.41     (14.90     (290.67     1.13       0.13  
Net asset value, at September 30, 2021
   $ 24.43     $ 50.83     $ 75.66     $ 140.40     $ 24.94     $ 34.80  
Market value per share, at June 30, 2021
   $ 27.98     $ 51.26     $ 90.55     $ 408.80     $ 23.82     $ 34.69  
Market value per share, at September 30, 2021
   $ 24.55     $ 50.82     $ 75.90     $ 142.40     $ 24.93     $ 34.82  
Total Return, at net asset value^
     (12.5 )%      (0.8 )%      (16.5 )%      (67.4 )%      4.8     0.4
Total Return, at market value^
     (12.3 )%      (0.9 )%      (16.2 )%      (65.2 )%      4.7     0.4
Ratios to Average Net Assets**
                                                
Expense ratio^^
     1.71     0.95     1.17     1.35     0.95     1.02
Net investment income gain (loss)
     (1.71 )%      (0.91 )%      (1.14 )%      (1.32 )%      (0.91 )%      (0.98 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
112

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

Term Futures
ETF
   
VIX Short-
Term Futures
ETF
 
Net asset value, at June 30, 2021
   $ 23.37     $ 38.98     $ 30.51     $ 24.09  
Net investment income (loss)
     (0.07     (0.09     (0.08     (0.07
Net realized and unrealized gain (loss)#
     7.97       0.08       1.79       (1.34
Change in net asset value from operations
     7.90       (0.01     1.71       (1.41
Net asset value, at September 30, 2021
   $ 31.27     $ 38.97     $ 32.22     $ 22.68  
Market value per share, at June 30, 2021
   $ 23.28     $ 38.99     $ 30.54     $ 24.08  
Market value per share, at September 30, 2021
   $ 30.97     $ 38.98     $ 32.31     $ 22.80  
Total Return, at net asset value^
     33.8     (0.0 )%
@
 
    5.6     (5.8 )% 
Total Return, at market value^
     33.0     (0.0 )%
@
 
    5.8     (5.3 )% 
Ratios to Average Net Assets**
                                
Expense ratio^^
     1.10     0.95     1.04     1.17
Net investment income gain (loss)
     (1.07 )%      (0.91 )%      (1.01 )%      (1.16 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
@
Amount represents greater than (0.05)%.
 
113

Table of Contents
Selected Data for a Share Outstanding Throughout the nine Months Ended September 30, 2022
For the Nine Months Ended September 30, 2022 (unaudited)
 
Per Share Operating
Performance
  
Short VIX
Short-Term

Futures ETF
   
Ultra
Bloomberg
Crude Oil
*
   
Ultra
Bloomberg
Natural Gas
   
Ultra Euro
   
Ultra Gold
   
Ultra Silver
 
Net asset value, at December 31, 2021
   $ 61.56     $ 21.54     $ 25.55     $ 13.32     $ 59.69     $ 34.84  
Net investment income (loss)
     (0.31     (0.16     (0.27     (0.02     (0.19     (0.13
Net realized and unrealized gain (loss)#
     (12.74     4.83       27.94       (3.73     (12.43     (13.87
Change in net asset value from operations
     (13.05     4.67       27.67       (3.75     (12.62     (14.00
Net asset value, at September 30, 2022
   $ 48.51     $ 26.21     $ 53.22     $ 9.57     $ 47.07     $ 20.84  
Market value per share, at December 31, 2021
   $ 61.55     $ 21.70     $ 26.09     $ 13.33     $ 59.81     $ 34.74  
Market value per share, at September 30, 2022
   $ 48.59     $ 26.26     $ 53.66     $ 9.57     $ 46.93     $ 20.76  
Total Return, at net asset value^
     (21.2 )%      21.7     108.3     (28.2 )%      (21.1 )%      (40.2 )% 
Total Return, at market value^
     (21.1 )%      21.0     105.7     (28.2 )%      (21.5 )%      (40.2 )% 
Ratios to Average Net Assets**
                                                
Expense ratio^^
     1.23     1.04     1.24     0.95     0.99     0.99
Net investment income gain (loss)
     (0.80 )%      (0.59 )%      (0.58 )%      (0.27 )%      (0.43 )%      (0.56 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
114

Table of Contents
For the Nine Months Ended September 30, 2022 (unaudited)
 
Per Share Operating
Performance
  
Ultra VIX
Short-Term

Futures ETF
   
Ultra Yen
   
UltraShort
Bloomberg
Crude Oil
*
   
UltraShort
Bloomberg
Natural Gas
*
   
UltraShort
Euro
   
UltraShort
Gold
 
Net asset value, at December 31, 2021
   $ 12.41     $ 47.29     $ 64.26     $ 247.40     $ 25.84     $ 31.71  
Net investment income (loss)
     (0.09     (0.04     (0.07     (0.14     (0.08     (0.13
Net realized and unrealized gain (loss)#
     0.55       (18.22     (33.85     (229.91     9.08       5.60  
Change in net asset value from operations
     0.46       (18.26     (33.92     (230.05     9.00       5.47  
Net asset value, at September 30, 2022
   $ 12.87     $ 29.03     $ 30.34     $ 17.35     $ 34.84     $ 37.18  
Market value per share, at December 31, 2021
   $ 12.43     $ 47.29     $ 63.75     $ 242.20     $ 25.86     $ 31.66  
Market value per share, at September 30, 2022
   $ 12.85     $ 29.06     $ 30.28     $ 17.21     $ 34.88     $ 37.30  
Total Return, at net asset value^
     3.7     (38.6 )%      (52.8 )%      (93.0 )%      34.8     17.3
Total Return, at market value^
     3.4     (38.6 )%      (52.5 )%      (92.9 )%      34.9     17.8
Ratios to Average Net Assets**
                                                
Expense ratio^^
     1.57     0.96     1.15     1.38     0.95     1.00
Net investment income gain (loss)
     (0.97 )%      (0.15 )%      (0.38 )%      (0.77 )%      (0.37 )%      (0.56 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
115

Table of Contents
For the Nine Months Ended September 30, 2022 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Silver
   
UltraShort
Yen
*
   
VIX Mid-

Term Futures
ETF
   
VIX Short-
Term Futures
ETF
 
Net asset value, at December 31, 2021
   $ 26.77     $ 41.50     $ 30.61     $ 15.12  
Net investment income (loss)
     (0.13     (0.16     (0.15     (0.07
Net realized and unrealized gain (loss)#
     7.42       23.70       5.02       2.05  
Change in net asset value from operations
     7.29       23.54       4.87       1.98  
Net asset value, at September 30, 2022
   $ 34.06     $ 65.04     $ 35.48     $ 17.10  
Market value per share, at December 31, 2021
   $ 26.84     $ 41.50     $ 30.57     $ 15.17  
Market value per share, at September 30, 2022
   $ 34.15     $ 65.02     $ 35.50     $ 17.10  
Total Return, at net asset value^
     27.2     56.7     15.9     13.1
Total Return, at market value^
     27.2     56.7     16.1     12.7
Ratios to Average Net Assets**
                                
Expense ratio^^
     1.08     0.95     0.99     1.16
Net investment income gain (loss)
     (0.63 )%      (0.40 )%      (0.59 )%      (0.56 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
 
116

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

Futures ETF
   
Ultra
Bloomberg
Crude Oil
*
   
Ultra
Bloomberg
Natural Gas
   
Ultra Euro
   
Ultra Gold
   
Ultra Silver
 
Net asset value, at December 31, 2020
   $ 41.42     $ 9.10     $ 21.00     $ 15.79     $ 67.57     $ 50.71  
Net investment income (loss)
     (0.49     (0.12     (0.29     (0.10     (0.43     (0.33
Net realized and unrealized gain (loss)#
     13.53       12.14       62.76       (1.77     (11.50     (18.67
Change in net asset value from operations
     13.04       12.02       62.47       (1.87     (11.93     (19.00
Net asset value, at September 30, 2021
   $ 54.46     $ 21.12     $ 83.47     $ 13.92     $ 55.64     $ 31.71  
Market value per share, at December 31, 2020
   $ 41.44     $ 9.07     $ 21.07     $ 15.81     $ 68.20     $ 51.28  
Market value per share, at September 30, 2021
   $ 54.39     $ 21.06     $ 82.30     $ 13.92     $ 55.59     $ 31.99  
Total Return, at net asset value^
     31.5     132.2     297.6     (11.9 )%      (17.7 )%      (37.5 )% 
Total Return, at market value^
     31.3     132.2     290.7     (11.9 )%      (18.5 )%      (37.6 )% 
Ratios to Average Net Assets**
                                                
Expense ratio^^
     1.35     1.11     1.47     0.95     1.00     1.03
Net investment income gain (loss)
     (1.33 )%      (1.07 )%      (1.41 )%      (0.90 )%      (0.97 )%      (0.98 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
 
117

Table of Contents
For the Nine Months Ended September 30, 2021 (unaudited)
 
Per Share Operating
Performance
  
Ultra VIX
Short-Term

Futures ETF
   
Ultra Yen
   
UltraShort
Bloomberg
Crude Oil
*
   
UltraShort
Bloomberg
Natural Gas
*
   
UltraShort
Euro
   
UltraShort
Gold
 
Net asset value, at December 31, 2020
   $ 106.68     $ 59.83     $ 232.23     $ 951.82     $ 22.53     $ 31.43  
Net investment income (loss)
     (0.59     (0.36     (1.03     (4.56     (0.16     (0.25
Net realized and unrealized gain (loss)#
     (81.66     (8.64     (155.54     (806.86     2.57       3.62  
Change in net asset value from operations
     (82.25     (9.00     (156.57     (811.42     2.41       3.37  
Net asset value, at September 30, 2021
   $ 24.43     $ 50.83     $ 75.66     $ 140.40     $ 24.94     $ 34.80  
Market value per share, at December 31, 2020
   $ 106.50     $ 59.82     $ 232.80     $ 947.60     $ 22.52     $ 31.14  
Market value per share, at September 30, 2021
   $ 24.55     $ 50.82     $ 75.90     $ 142.40     $ 24.93     $ 34.82  
Total Return, at net asset value^
     (77.1 )%      (15.0 )%      (67.4 )%      (85.3 )%      10.7     10.7
Total Return, at market value^
     (77.0 )%      (15.1 )%      (67.4 )%      (85.0 )%      10.7     11.8
Ratios to Average Net Assets**
                                                
Expense ratio^^
     1.75     0.95     1.24     1.49     0.95     1.03
Net investment income gain (loss)
     (1.71 )%      (0.90 )%      (1.18 )%      (1.45 )%      (0.90 )%      (0.99 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
 
118

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

Term Futures
ETF
   
VIX Short-
Term Futures
ETF
 
Net asset value, at December 31, 2020
   $ 27.73     $ 33.91     $ 36.73     $ 55.03  
Net investment income (loss)
     (0.20     (0.25     (0.25     (0.28
Net realized and unrealized gain (loss)#
     3.74       5.31       (4.26     (32.07
Change in net asset value from operations
     3.54       5.06       (4.51     (32.35
Net asset value, at September 30, 2021
   $ 31.27     $ 38.97     $ 32.22     $ 22.68  
Market value per share, at December 31, 2020
   $ 27.40     $ 33.91     $ 36.70     $ 54.96  
Market value per share, at September 30, 2021
   $ 30.97     $ 38.98     $ 32.31     $ 22.80  
Total Return, at net asset value^
     12.8     14.9     (12.3 )%      (58.8 )% 
Total Return, at market value^
     13.0     15.0     (12.0 )%      (58.5 )% 
Ratios to Average Net Assets**
                                
Expense ratio^^
     1.10     0.95     1.05     1.23
Net investment income gain (loss)
     (1.07 )%      (0.90 )%      (1.01 )%      (1.19 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
 
119

Table of Contents
NOTE 7 – RISK
Correlation and Compounding Risk
The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from
one-half
the inverse
(-0.5x),
the inverse
(-1x),
two times the inverse
(-2x),
one and
one-half
times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the period. A Geared Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short or UltraShort), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Geared Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Geared Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective over time.
Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and
one-half
or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of an UltraShort Fund is designed to return two times the inverse
(-2x) of
the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.
While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark;
(3) bid-ask
spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.
A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e.,
-0.5x,
-1x,
-2x,
1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.
 
120

Table of Contents
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 are subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).
Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” 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
 
121

Table of Contents
agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.
In addition, cleared derivatives benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.
The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com.
Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.
The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.
Leverage Risk
The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.
For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and
one-half
times multiplier) include a two times the inverse
(-2x),
or a two times (2x) multiplier, a
single-day
movement in the relevant benchmark approaching 50% at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward
single-day
or intraday movements in the underlying benchmark of an Ultra Fund or upward
single-day
or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.
Liquidity Risk
Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.
 
122

Table of Contents
“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 2021 may specify a January 2022 expiration. As that contract nears expiration, it may be replaced by selling the January 2022 contract and purchasing the contract expiring in March 2022. 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 2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.
Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.
Gold and silver have historically exhibited persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly.
There have been times where WTI crude oil futures contracts experience “extraordinary contango or extraordinary backwardation”. For example, in April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. Conversely, investors in an UltraShort Fund could suffer significant losses or lose their entire investment if prices reversed or were subject to extraordinary backwardation. The effects of rolling futures contracts under extraordinary contango or backwardation market conditions generally are more exaggerated than rolling futures contracts under more typical contango or backwardation market conditions. Either scenario may result in significant losses.
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.
 
123

Table of Contents
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus
(COVID-19)
has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of
COVID-19.
These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. Contemporaneous with the onset of the
COVID-19
pandemic in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil. This led to an oversupply of crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts. In April 20210, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango in the future. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and can result in significant losses. These and other global economic shocks as a result of the
COVID-19
pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.
NOTE 8 – SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.
 
124


Table of Contents

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

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

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

Introduction

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2022, the following sixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds and the Geared VIX Funds, are collectively referred to as the “Geared Funds”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”.

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

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

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

 

125


Table of Contents

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

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

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

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

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

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

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

 

126


Table of Contents

Forward and Reverse Split

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

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

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

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

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

Liquidity and Capital Resources

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

 

Fund

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

ProShares Short VIX Short-Term Futures ETF

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

ProShares Ultra Bloomberg Crude Oil

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

ProShares Ultra Bloomberg Natural Gas

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

ProShares Ultra Euro

    36,856       393       47,965       1,415  

ProShares Ultra Gold

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

ProShares Ultra Silver

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

ProShares Ultra VIX Short-Term Futures ETF

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

ProShares Ultra Yen

    25,362       260       29,299       923  

ProShares UltraShort Bloomberg Crude Oil

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

ProShares UltraShort Bloomberg Natural Gas

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

ProShares UltraShort Euro

    230,824       5,008       285,240       17,814  

ProShares UltraShort Gold

    72,261       3,075       101,921       9,213  

ProShares UltraShort Silver

    63,222       3,100       90,885       8,895  

ProShares UltraShort Yen

    115,191       2,392       151,503       9,558  

ProShares VIX Mid-Term Futures ETF

    220,211       8,914       296,960       27,487  

ProShares VIX Short-Term Futures ETF

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

 

127


Table of Contents

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

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

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

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

Market Risk

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

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

Credit Risk

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

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

 

128


Table of Contents

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

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

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

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

 

   

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

 

   

limiting the outstanding amounts due from counterparties to the Funds;

 

   

not posting margin directly with a counterparty;

 

   

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

 

   

market daily, subject to certain minimum thresholds;

 

   

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

 

   

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

Off-Balance Sheet Arrangements and Contractual Obligations

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

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

Critical Accounting Policies

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

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

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

 

129


Table of Contents

For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended September 30, 2022.

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

Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

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

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

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

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

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

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

 

130


Table of Contents

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

ProShares Short VIX Short-Term Futures ETF

Fund Performance

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

 

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

NAV beginning of period

   $ 403,644,956     $ 588,615,946  

NAV end of period

   $ 321,831,051     $ 388,523,845  

Percentage change in NAV

     (20.3 )%      (34.0 )% 

Shares outstanding beginning of period

     8,384,307       10,584,307  

Shares outstanding end of period

     6,634,307       7,134,307  

Percentage change in shares outstanding

     (20.9 )%      (32.6 )% 

Shares created

     450,000       550,000  

Shares redeemed

     2,200,000       4,000,000  

Per share NAV beginning of period

   $ 48.14     $ 55.61  

Per share NAV end of period

   $ 48.51     $ 54.46  

Percentage change in per share NAV

     0.8     (2.1 )% 

Percentage change in benchmark

     (5.7 )%      (5.6 )% 

Benchmark annualized volatility

     51.0     69.6

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

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

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

 

131


Table of Contents

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (90,304    $ (1,466,273

Management fee

     914,054        1,055,823  

Brokerage commission

     152,661        208,885  

Futures account fees

     23,966        209,717  

Non-recurring fees and expenses

     6,122        —    

Net realized gain (loss)

     27,694,574        34,572,603  

Change in net unrealized appreciation (depreciation)

     (17,470,190      (43,349,844

Net Income (loss)

   $ 10,134,080      $ (10,243,514

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

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

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

 

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

NAV beginning of period

   $ 1,060,867,238     $ 1,303,530,902  

NAV end of period

   $ 724,595,262     $ 1,090,613,716  

Percentage change in NAV

     (31.7 )%      (16.3 )% 

Shares outstanding beginning of period

     25,493,096       66,643,096  

Shares outstanding end of period

     27,643,096       51,643,096  

Percentage change in shares outstanding

     8.4     (22.5 )% 

Shares created

     10,400,000       3,800,000  

Shares redeemed

     8,250,000       18,800,000  

Per share NAV beginning of period

   $ 41.61     $ 19.56  

Per share NAV end of period

   $ 26.21     $ 21.12  

Percentage change in per share NAV

     (37.0 )%      8.0

Percentage change in benchmark

     (18.6 )%      5.4

Benchmark annualized volatility

     42.8     30.9

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

 

132


Table of Contents

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ 153,992      $ (3,130,493

Management fee

     2,118,088        2,775,351  

Brokerage commission

     85,906        198,498  

Futures account fees

     19,466        215,514  

Non-recurring fees and expenses

     13,739        27,500  

Net realized gain (loss)

     (344,578,932      106,325,821  

Change in net unrealized appreciation (depreciation)

     (33,248,174      (16,878,588

Net Income (loss)

   $ (377,673,114    $ 86,316,740  

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

 

*

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

 

133


Table of Contents

ProShares Ultra Bloomberg Natural Gas

Fund Performance

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

 

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

NAV beginning of period

   $ 187,297,842     $ 70,213,227  

NAV end of period

   $ 289,386,097     $ 145,038,381  

Percentage change in NAV

     54.5     106.6

Shares outstanding beginning of period

     4,737,527       1,987,527  

Shares outstanding end of period

     5,437,527       1,737,527  

Percentage change in shares outstanding

     14.8     (12.6 )% 

Shares created

     6,000,000       1,150,000  

Shares redeemed

     5,300,000       1,400,000  

Per share NAV beginning of period

   $ 39.53     $ 35.33  

Per share NAV end of period

   $ 53.22     $ 83.47  

Percentage change in per share NAV

     34.6     136.3

Percentage change in benchmark

     25.3     58.6

Benchmark annualized volatility

     76.6     48.6

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

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ 104,679      $ (212,510

Management fee

     658,525        161,130  

Brokerage commission

     97,589        40,472  

Futures account fees

     43,620        18,263  

Non-recurring fees and expenses

     4,791        —    

Net realized gain (loss)

     (5,893,297      33,925,723  

Change in net unrealized appreciation (depreciation)

     97,221,527        25,135,708  

Net Income (loss)

   $ 91,432,909      $ 58,848,921  

 

134


Table of Contents

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

ProShares Ultra Euro

Fund Performance

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

 

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

NAV beginning of period

   $ 9,415,626     $ 3,668,741  

NAV end of period

   $ 13,869,371     $ 3,479,104  

Percentage change in NAV

     47.3     (5.2 )% 

Shares outstanding beginning of period

     850,000       250,000  

Shares outstanding end of period

     1,450,000       250,000  

Percentage change in shares outstanding

     70.6     —  

Shares created

     700,000       —    

Shares redeemed

     100,000       —    

Per share NAV beginning of period

   $ 11.08     $ 14.67  

Per share NAV end of period

   $ 9.57     $ 13.92  

Percentage change in per share NAV

     (13.7 )%      (5.1 )% 

Percentage change in benchmark

     (6.0 )%      (2.3 )% 

Benchmark annualized volatility

     10.53     4.5

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

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

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

 

135


Table of Contents

Net Income/Loss

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

 

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

Net investment income (loss)

   $ 5,288      $ (8,271

Management fee

     31,331        8,664  

Non-recurring fees and expenses

     237        —    

Net realized gain (loss)

     (1,618,381      (254,219

Change in net unrealized appreciation (depreciation)

     (95,012      72,853  

Net Income (loss)

   $ (1,708,105    $ (189,637

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

ProShares Ultra Gold

Fund Performance

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

 

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

NAV beginning of period

   $ 239,938,853     $ 243,456,703  

NAV end of period

   $ 160,022,292     $ 230,917,847  

Percentage change in NAV

     (33.3 )%      (5.2 )% 

Shares outstanding beginning of period

     4,250,000       4,250,000  

Shares outstanding end of period

     3,400,000       4,150,000  

Percentage change in shares outstanding

     (20.0 )%      (2.4 )% 

Shares created

     50,000       250,000  

Shares redeemed

     900,000       350,000  

Per share NAV beginning of period

   $ 56.46     $ 57.28  

Per share NAV end of period

   $ 47.07     $ 55.64  

Percentage change in per share NAV

     (16.6 )%      (2.9 )% 

Percentage change in benchmark

     (7.9 )%      (1.0 )% 

Benchmark annualized volatility

     13.4     13.8

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

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

 

136


Table of Contents

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ 191,709      $ (596,194

Management fee

     475,457        582,103  

Brokerage commission

     8,176        9,421  

Non-recurring fees and expenses

     2,940        —    

Net realized gain (loss)

     (39,826,294      (21,858,089

Change in net unrealized appreciation (depreciation)

     2,222,833        15,574,284  

Net Income (loss)

   $ (37,411,752    $ (6,879,999

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

ProShares Ultra Silver

Fund Performance

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

 

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

NAV beginning of period

   $ 355,577,515     $ 661,778,727  

NAV end of period

   $ 323,970,863     $ 480,309,476  

Percentage change in NAV

     (8.9 )%      (27.4 )% 

Shares outstanding beginning of period

     14,346,526       14,396,526  

Shares outstanding end of period

     15,546,526       15,146,526  

Percentage change in shares outstanding

     8.4     5.2

Shares created

     2,450,000       1,050,000  

Shares redeemed

     1,250,000       300,000  

Per share NAV beginning of period

   $ 24.78     $ 45.97  

Per share NAV end of period

   $ 20.84     $ 31.71  

Percentage change in per share NAV

     (15.9 )%      (31.0 )% 

Percentage change in benchmark

     (6.5 )%      (16.0 )% 

Benchmark annualized volatility

     31.8     26.7

 

137


Table of Contents

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

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (15,349    $ (1,424,705

Management fee

     798,802        1,394,627  

Brokerage commission

     34,796        27,419  

Futures account fees

     —          47,170  

Non-recurring fees and expenses

     5,922        —    

Net realized gain (loss)

     (147,391,314      (201,320,030

Change in net unrealized appreciation (depreciation)

     91,477,472        (6,018,290

Net Income (loss)

   $ (55,929,191    $ (208,763,025

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

 

138


Table of Contents

ProShares Ultra VIX Short-Term Futures ETF

Fund Performance

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

 

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

NAV beginning of period

   $ 975,683,533     $ 840,870,703  

NAV end of period

   $ 995,489,778     $ 1,020,845,873  

Percentage change in NAV

     2.0     21.4

Shares outstanding beginning of period

     67,228,420       30,128,420  

Shares outstanding end of period

     77,328,420       41,778,420  

Percentage change in shares outstanding

     15.0     38.7

Shares created

     93,400,000       37,800,000  

Shares redeemed

     83,300,000       26,150,000  

Per share NAV beginning of period

   $ 14.51     $ 27.91  

Per share NAV end of period

   $ 12.87     $ 24.43  

Percentage change in per share NAV

     (11.3 )%      (12.5 )% 

Percentage change in benchmark

     (5.7 )%      (5.6 )% 

Benchmark annualized volatility

     51.0     69.6

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

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (402,633    $ (3,993,799

Management fee

     2,831,005        2,221,755  

Brokerage commission

     1,276,819        1,095,975  

Futures account fees

     219,828        668,048  

Non-recurring fees and expenses

     20,117        —    

Net realized gain (loss)

     (289,873,754      (198,380,990

Change in net unrealized appreciation (depreciation)

     161,745,283        186,742,221  

Net Income (loss)

   $ (128,531,104    $ (15,632,568

 

139


Table of Contents

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

ProShares Ultra Yen

Fund Performance

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

 

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

NAV beginning of period

   $ 5,024,773     $ 2,560,348  

NAV end of period

   $ 10,159,189     $ 2,539,880  

Percentage change in NAV

     102.2     (0.8 )% 

Shares outstanding beginning of period

     149,970       49,970  

Shares outstanding end of period

     349,970       49,970  

Percentage change in shares outstanding

     133.4     —  

Shares created

     250,000       —    

Shares redeemed

     50,000       —    

Per share NAV beginning of period

   $ 33.51     $ 51.24  

Per share NAV end of period

   $ 29.03     $ 50.83  

Percentage change in per share NAV

     (13.3 )%      (0.8 )% 

Percentage change in benchmark

     (6.5 )%      (0.2 )% 

Benchmark annualized volatility

     11.15     5.5

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

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

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

 

140


Table of Contents

Net Income/Loss

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

 

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

Net investment income (loss)

   $ 3,923      $ (5,973

Management fee

     21,245        6,233  

Non-recurring fees and expenses

     194        —    

Net realized gain (loss)

     (1,652,590      (25,554

Change in net unrealized appreciation (depreciation)

     (14,681      11,059  

Net Income (loss)

   $ (1,663,348    $ (20,468

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

ProShares UltraShort Bloomberg Crude Oil*

Fund Performance

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

 

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

NAV beginning of period

   $ 501,157,304     $ 79,400,059  

NAV end of period

   $ 368,791,089     $ 93,575,213  

Percentage change in NAV

     (26.4 )%      17.9

Shares outstanding beginning of period

     21,755,220       876,760  

Shares outstanding end of period

     12,155,220       1,236,760  

Percentage change in shares outstanding

     (44.1 )%      41.1

Shares created

     11,050,000       670,000  

Shares redeemed

     20,650,000       310,000  

Per share NAV beginning of period

   $ 23.04     $ 90.56  

Per share NAV end of period

   $ 30.34     $ 75.66  

Percentage change in per share NAV

     31.7     (16.5 )% 

Percentage change in benchmark

     (18.6 )%      5.4

Benchmark annualized volatility

     42.8     30.9

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

 

141


Table of Contents

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ 392,570      $ (241,725

Management fee

     1,160,746        201,146  

Brokerage commission

     148,121        29,277  

Futures account fees

     39,563        18,193  

Non-recurring fees and expenses

     7,548        —    

Net realized gain (loss)

     66,444,885        (11,449,562

Change in net unrealized appreciation (depreciation)

     76,987,949        (1,520,893

Net Income (loss)

   $ 143,825,404      $ (13,212,180

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

 

*

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

 

142


Table of Contents

ProShares UltraShort Bloomberg Natural Gas*

Fund Performance

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

 

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

NAV beginning of period

   $ 211,823,446     $ 97,525,300  

NAV end of period

   $ 242,389,998     $ 138,468,677  

Percentage change in NAV

     14.4     42.0

Shares outstanding beginning of period

     4,966,856       226,242  

Shares outstanding end of period

     13,966,856       986,242  

Percentage change in shares outstanding

     181.2     335.9

Shares created

     58,900,000       1,025,000  

Shares redeemed

     49,900,000       265,000  

Per share NAV beginning of period

   $ 42.65     $ 431.07  

Per share NAV end of period

   $ 17.35     $ 140.40  

Percentage change in per share NAV

     (59.3 )%      (67.4 )% 

Percentage change in benchmark

     25.3     58.6

Benchmark annualized volatility

     76.6     48.6

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

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (5,144    $ (358,817

Management fee

     730,949        258,824  

Brokerage commission

     173,386        67,808  

Futures account fees

     48,485        42,064  

Non-recurring fees and expenses

     5,374        —    

Net realized gain (loss)

     8,115,767        (95,609,878

Change in net unrealized appreciation (depreciation)

     (23,467,384      (17,871,536

Net Income (loss)

   $ (15,356,761    $ (113,840,231

 

143


Table of Contents

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

 

*

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

ProShares UltraShort Euro

Fund Performance

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

 

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

NAV beginning of period

   $ 62,270,097     $ 48,820,440  

NAV end of period

   $ 90,584,278     $ 48,640,817  

Percentage change in NAV

     45.5     (0.4 )% 

Shares outstanding beginning of period

     2,050,000       2,050,000  

Shares outstanding end of period

     2,600,000       1,950,000  

Percentage change in shares outstanding

     26.8     (4.9 )% 

Shares created

     1,100,000       100,000  

Shares redeemed

     550,000       200,000  

Per share NAV beginning of period

   $ 30.38     $ 23.81  

Per share NAV end of period

   $ 34.84     $ 24.94  

Percentage change in per share NAV

     14.7     4.8

Percentage change in benchmark

     (6.5 )%      (2.3 )% 

Benchmark annualized volatility

     11.15     4.5

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

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

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

 

144


Table of Contents

Net Income/Loss

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

 

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

Net investment income (loss)

   $ 25,953      $ (111,725

Management fee

     203,036        116,733  

Non-recurring fees and expenses

     1,835        —    

Net realized gain (loss)

     11,086,708        2,974,466  

Change in net unrealized appreciation (depreciation)

     (292,818      (617,958

Net Income (loss)

   $ 10,819,843      $ 2,244,783  

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

ProShares UltraShort Gold

Fund Performance

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

 

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

NAV beginning of period

   $ 34,611,284     $ 32,835,014  

NAV end of period

   $ 29,634,725     $ 27,731,022  

Percentage change in NAV

     (14.4 )%      (15.5 )% 

Shares outstanding beginning of period

     1,096,977       946,977  

Shares outstanding end of period

     796,977       796,977  

Percentage change in shares outstanding

     (27.3 )%      (15.8 )% 

Shares created

     350,000       650,000  

Shares redeemed

     650,000       800,000  

Per share NAV beginning of period

   $ 31.55     $ 34.67  

Per share NAV end of period

   $ 37.18     $ 34.80  

Percentage change in per share NAV

     17.9     0.4

Percentage change in benchmark

     (7.9 )%      (1.0 )% 

Benchmark annualized volatility

     13.4     13.8

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

 

145


Table of Contents

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (8,595    $ (68,386

Management fee

     76,652        66,304  

Brokerage commission

     3,565        3,301  

Futures account fees

     —          1,856  

Non-recurring fees and expenses

     639        —    

Net realized gain (loss)

     4,988,228        1,213,721  

Change in net unrealized appreciation (depreciation)

     841,546        (1,898,419

Net Income (loss)

   $ 5,821,179      $ (753,084

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

 

146


Table of Contents

ProShares UltraShort Silver

Fund Performance

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

 

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

NAV beginning of period

   $ 33,052,840     $ 34,859,763  

NAV end of period

   $ 33,763,052     $ 40,373,877  

Percentage change in NAV

     2.1     15.8

Shares outstanding beginning of period

     1,041,329       1,491,329  

Shares outstanding end of period

     991,329       1,291,329  

Percentage change in shares outstanding

     (4.8 )%      (13.4 )% 

Shares created

     1,000,000       1,000,000  

Shares redeemed

     1,050,000       1,200,000  

Per share NAV beginning of period

   $ 31.74     $ 23.37  

Per share NAV end of period

   $ 34.06     $ 31.27  

Percentage change in per share NAV

     7.3     33.8

Percentage change in benchmark

     (6.5 )%      (16.0 )% 

Benchmark annualized volatility

     31.8     26.7

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

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (13,304    $ (102,532

Management fee

     67,215        90,963  

Brokerage commission

     8,699        8,141  

Futures account fees

     —          6,528  

Non-recurring fees and expenses

     612        —    

Net realized gain (loss)

     6,215,407        6,662,145  

Change in net unrealized appreciation (depreciation)

     (4,075,524      3,922,596  

Net Income (loss)

   $ 2,126,579      $ 10,482,209  

 

147


Table of Contents

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

ProShares UltraShort Yen*

Fund Performance

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

 

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

NAV beginning of period

   $ 45,568,882     $ 27,231,748  

NAV end of period

   $ 51,937,338     $ 23,328,922  

Percentage change in NAV

     14.0     (14.3 )% 

Shares outstanding beginning of period

     798,580       698,580  

Shares outstanding end of period

     798,580       598,580  

Percentage change in shares outstanding

     —       (14.3 )% 

Shares created

     250,000       —    

Shares redeemed

     250,000       100,000  

Per share NAV beginning of period

   $ 57.06     $ 38.98  

Per share NAV end of period

   $ 65.04     $ 38.97  

Percentage change in per share NAV

     14.0     (0.0 )%@ 

Percentage change in benchmark

     (6.5 )%      (0.2 )% 

Benchmark annualized volatility

     11.2     5.5

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

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

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

 

148


Table of Contents

Net Income/Loss

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

 

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

Net investment income (loss)

   $ 7,640      $ (54,645

Management fee

     106,598        57,037  

Non-recurring fees and expenses

     953        —    

Net realized gain (loss)

     5,879,873        197,444  

Change in net unrealized appreciation (depreciation)

     (523,871      (189,932

Net Income (loss)

   $ 5,363,642      $ (47,133

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

 

*

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

ProShares VIX Mid-Term Futures ETF

Fund Performance

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

 

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

NAV beginning of period

   $ 95,721,271     $ 92,662,734  

NAV end of period

   $ 110,420,574     $ 127,673,137  

Percentage change in NAV

     15.4     37.7

Shares outstanding beginning of period

     2,712,403       3,037,403  

Shares outstanding end of period

     3,112,403       3,962,403  

Percentage change in shares outstanding

     14.7     30.5

Shares created

     850,000       1,200,000  

Shares redeemed

     450,000       275,000  

Per share NAV beginning of period

   $ 35.29     $ 30.51  

Per share NAV end of period

   $ 35.48     $ 32.22  

Percentage change in per share NAV

     0.6     5.6

Percentage change in benchmark

     1.1     6.0

Benchmark annualized volatility

     22.1     22.9

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

 

149


Table of Contents

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (1,269    $ (262,156

Management fee

     201,508        221,356  

Brokerage commission

     17,922        20,803  

Futures account fees

     —          28,911  

Non-recurring fees and expenses

     2,050        —    

Net realized gain (loss)

     (1,349,272      (4,024,133

Change in net unrealized appreciation (depreciation)

     3,368,209        10,652,952  

Net Income (loss)

   $ 2,017,668      $ 6,366,663  

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

 

150


Table of Contents

ProShares VIX Short-Term Futures ETF

Fund Performance

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

 

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

NAV beginning of period

   $ 341,714,316     $ 272,352,675  

NAV end of period

   $ 437,536,628     $ 368,777,333  

Percentage change in NAV

     28.0     35.3

Shares outstanding beginning of period

     18,757,826       11,307,826  

Shares outstanding end of period

     25,582,826       16,257,826  

Percentage change in shares outstanding

     36.4     43.8

Shares created

     17,775,000       6,300,000  

Shares redeemed

     10,950,000       1,350,000  

Per share NAV beginning of period

   $ 18.22     $ 24.09  

Per share NAV end of period

   $ 17.10     $ 22.68  

Percentage change in per share NAV

     (6.1 )%      (5.8 )% 

Percentage change in benchmark

     (5.7 )%      (5.6 )% 

Benchmark annualized volatility

     51.0     69.6

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

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ 259,392      $ (897,586

Management fee

     874,070        660,051  

Brokerage commission

     203,095        97,516  

Futures account fees

     54,944        151,758  

Non-recurring fees and expenses

     8,700        —    

Net realized gain (loss)

     (45,457,319      (51,868,433

Change in net unrealized appreciation (depreciation)

     51,698,947        42,168,297  

Net Income (loss)

   $ 6,501,020      $ (10,597,722

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

 

151


Table of Contents

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

ProShares Short VIX Short-Term Futures ETF

Fund Performance

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

 

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

NAV beginning of period

   $ 423,812,594     $ 409,371,468  

NAV end of period

   $ 321,831,051     $ 388,523,845  

Percentage change in NAV

     (24.1 )%      (5.1 )% 

Shares outstanding beginning of period

     6,884,307       9,884,307  

Shares outstanding end of period

     6,634,307       7,134,307  

Percentage change in shares outstanding

     (3.6 )%      (27.8 )% 

Shares created

     5,050,000       3,400,000  

Shares redeemed

     5,300,000       6,150,000  

Per share NAV beginning of period

   $ 61.56     $ 41.42  

Per share NAV end of period

   $ 48.51     $ 54.46  

Percentage change in per share NAV

     (21.2 )%      31.5

Percentage change in benchmark

     14.7     (58.4 )% 

Benchmark annualized volatility

     86.1     73.8

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

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 31.5% for the nine months ended September 30, 2021, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

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

 

152


Table of Contents

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (2,481,226    $ (4,774,396

Management fee

     2,934,952        3,415,545  

Brokerage commission

     517,911        638,744  

Futures account fees

     348,217        795,836  

Non-recurring fees and expenses

     6,122        —    

Net realized gain (loss)

     (26,521,746      168,119,037  

Change in net unrealized appreciation (depreciation)

     (47,680,063      (14,532,856

Net Income (loss)

   $ (76,683,035    $ 148,811,785  

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

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

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

 

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

NAV beginning of period

   $ 1,103,783,570     $ 902,739,250  

NAV end of period

   $ 724,595,262     $ 1,090,613,716  

Percentage change in NAV

     (34.4 )%      20.8

Shares outstanding beginning of period

     51,243,096       99,243,096  

Shares outstanding end of period

     27,643,096       51,643,096  

Percentage change in shares outstanding

     (46.1 )%      (48.0 )% 

Shares created

     20,700,000       17,400,000  

Shares redeemed

     44,300,000       65,000,000  

Per share NAV beginning of period

   $ 21.54     $ 9.10  

Per share NAV end of period

   $ 26.21     $ 21.12  

Percentage change in per share NAV

     21.7     132.2

Percentage change in benchmark

     18.7     58.2

Benchmark annualized volatility

     45.6     29.1

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

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

 

153


Table of Contents

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (5,154,872    $ (9,100,359

Management fee

     8,301,804        8,104,728  

Brokerage commission

     421,657        701,710  

Futures account fees

     381,754        632,199  

Non-recurring fees and expenses

     13,739        27,500  

Net realized gain (loss)

     818,132,441        761,182,708  

Change in net unrealized appreciation (depreciation)

     (339,456,270      176,076,207  

Net Income (loss)

   $ 473,521,299      $ 928,158,556  

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

 

*

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

 

154


Table of Contents

ProShares Ultra Bloomberg Natural Gas

Fund Performance

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

 

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

NAV beginning of period

   $ 193,892,178     $ 169,800,371  

NAV end of period

   $ 289,386,097     $ 145,038,381  

Percentage change in NAV

     49.3     (14.6 )% 

Shares outstanding beginning of period

     7,587,527       8,087,527  

Shares outstanding end of period

     5,437,527       1,737,527  

Percentage change in shares outstanding

     (28.3 )%      (78.5 )% 

Shares created

     15,100,000       5,200,000  

Shares redeemed

     17,250,000       11,550,000  

Per share NAV beginning of period

   $ 25.55     $ 21.00  

Per share NAV end of period

   $ 53.22     $ 83.47  

Percentage change in per share NAV

     108.3     297.6

Percentage change in benchmark

     86.6     113.0

Benchmark annualized volatility

     71.7     40.5

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 7,587,527 outstanding Shares at December 31, 2021 to 5,437,527 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 1,737,527 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas SubindexSM.

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (977,992    $ (845,018

Management fee

     1,589,759        568,903  

Brokerage commission

     300,747        195,831  

Futures account fees

     177,950        112,998  

Non-recurring fees and expenses

     4,791        —    

Net realized gain (loss)

     235,314,633        80,409,947  

Change in net unrealized appreciation (depreciation)

     (89,199,198      35,684,757  

Net Income (loss)

   $ 145,137,443      $ 115,249,686  

 

155


Table of Contents

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

ProShares Ultra Euro

Fund Performance

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

 

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

NAV beginning of period

   $ 8,659,095     $ 4,737,350  

NAV end of period

   $ 13,869,371     $ 3,479,104  

Percentage change in NAV

     60.2     (26.6 )% 

Shares outstanding beginning of period

     650,000       300,000  

Shares outstanding end of period

     1,450,000       250,000  

Percentage change in shares outstanding

     123.1     (16.7 )% 

Shares created

     1,250,000       100,000  

Shares redeemed

     450,000       150,000  

Per share NAV beginning of period

   $ 13.32     $ 15.79  

Per share NAV end of period

   $ 9.57     $ 13.92  

Percentage change in per share NAV

     (28.2 )%      (11.9 )% 

Percentage change in benchmark

     (13.2 )%      (5.2 )% 

Benchmark annualized volatility

     9.4     5.6

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

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

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

 

156


Table of Contents

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (18,918    $ (26,743

Management fee

     66,646        28,158  

Non-recurring fees and expenses

     237        —    

Net realized gain (loss)

     (2,511,725      (186,149

Change in net unrealized appreciation (depreciation)

     (514,727      (251,418

Net Income (loss)

   $ (3,045,370    $ (464,310

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

ProShares Ultra Gold

Fund Performance

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

 

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

NAV beginning of period

   $ 232,780,534     $ 263,540,473  

NAV end of period

   $ 160,022,292     $ 230,917,847  

Percentage change in NAV

     (31.3 )%      (12.4 )% 

Shares outstanding beginning of period

     3,900,000       3,900,000  

Shares outstanding end of period

     3,400,000       4,150,000  

Percentage change in shares outstanding

     (12.8 )%      6.4

Shares created

     1,650,000       1,250,000  

Shares redeemed

     2,150,000       1,000,000  

Per share NAV beginning of period

   $ 59.69     $ 67.57  

Per share NAV end of period

   $ 47.07     $ 55.64  

Percentage change in per share NAV

     (21.1 )%      (17.7 )% 

Percentage change in benchmark

     (9.3 )%      (7.9 )% 

Benchmark annualized volatility

     17.4     15.7

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

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

 

157


Table of Contents

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (845,479    $ (1,745,829

Management fee

     1,863,020        1,718,350  

Brokerage commission

     43,899        32,974  

Futures account fees

     28,169        64,764  

Non-recurring fees and expenses

     2,940        —    

Net realized gain (loss)

     (39,908,781      (27,599,609

Change in net unrealized appreciation (depreciation)

     (17,626,635      (19,136,522

Net Income (loss)

   $ (58,380,895    $ (48,481,960

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

ProShares Ultra Silver

Fund Performance

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

 

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

NAV beginning of period

   $ 515,453,594     $ 745,304,028  

NAV end of period

   $ 323,970,863     $ 480,309,476  

Percentage change in NAV

     (37.1 )%      (35.6 )% 

Shares outstanding beginning of period

     14,796,526       14,696,526  

Shares outstanding end of period

     15,546,526       15,146,526  

Percentage change in shares outstanding

     5.1     3.1

Shares created

     4,250,000       4,450,000  

Shares redeemed

     3,500,000       4,000,000  

Per share NAV beginning of period

   $ 34.84     $ 50.71  

Per share NAV end of period

   $ 20.84     $ 31.71  

Percentage change in per share NAV

     (40.2 )%      (37.5 )% 

Percentage change in benchmark

     (19.0 )%      (17.0 )% 

Benchmark annualized volatility

     31.7     33.0

 

158


Table of Contents

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

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (1,839,301    $ (4,805,716

Management fee

     3,098,741        4,640,919  

Brokerage commission

     94,079        114,716  

Futures account fees

     26,693        258,250  

Non-recurring fees and expenses

     5,922        —    

Net realized gain (loss)

     (186,949,626      (80,038,809

Change in net unrealized appreciation (depreciation)

     (16,694,572      (192,156,316

Net Income (loss)

   $ (205,483,499    $ (277,000,841

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

 

159


Table of Contents

ProShares Ultra VIX Short-Term Futures ETF

Fund Performance

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

 

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

NAV beginning of period

   $ 816,679,636     $ 1,356,204,199  

NAV end of period

   $ 995,489,778     $ 1,020,845,873  

Percentage change in NAV

     21.9     (24.7 )% 

Shares outstanding beginning of period

     65,828,420       12,713,091  

Shares outstanding end of period

     77,328,420       41,778,420  

Percentage change in shares outstanding

     17.5     228.6

Shares created

     234,900,000       70,385,000  

Shares redeemed

     223,400,000       41,319,671  

Per share NAV beginning of period

   $ 12.41     $ 106.68  

Per share NAV end of period

   $ 12.87     $ 24.43  

Percentage change in per share NAV

     3.7     (77.1 )% 

Percentage change in benchmark

     14.7     (58.4 )% 

Benchmark annualized volatility

     86.1     73.8

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

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 77.1% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (7,265,397    $ (16,038,632

Management fee

     7,085,920        8,897,953  

Brokerage commission

     3,183,788        4,225,879  

Futures account fees

     1,446,639        3,243,304  

Non-recurring fees and expenses

     20,117        —    

Net realized gain (loss)

     81,807,278        (1,757,407,418

Change in net unrealized appreciation (depreciation)

     323,479,748        146,498,138  

Net Income (loss)

   $ 398,021,629      $ (1,626,947,912

 

160


Table of Contents

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

ProShares Ultra Yen

Fund Performance

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

 

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

NAV beginning of period

   $ 2,362,849     $ 2,989,499  

NAV end of period

   $ 10,159,189     $ 2,539,880  

Percentage change in NAV

     330.0     (15.0 )% 

Shares outstanding beginning of period

     49,970       49,970  

Shares outstanding end of period

     349,970       49,970  

Percentage change in shares outstanding

     600.4     —  

Shares created

     350,000       —    

Shares redeemed

     50,000       —    

Per share NAV beginning of period

   $ 47.29     $ 59.83  

Per share NAV end of period

   $ 29.03     $ 50.83  

Percentage change in per share NAV

     (38.6 )%      (15.0 )% 

Percentage change in benchmark

     (20.3 )%      (7.2 )% 

Benchmark annualized volatility

     10.1     5.2

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

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

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

 

161


Table of Contents

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (5,605    $ (18,221

Management fee

     34,710        19,144  

Non-recurring fees and expenses

     194        —    

Net realized gain (loss)

     (2,531,291      (305,028

Change in net unrealized appreciation (depreciation)

     (3,861      (126,370

Net Income (loss)

   $ (2,540,757    $ (449,619

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

ProShares UltraShort Bloomberg Crude Oil*

Fund Performance

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

 

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

NAV beginning of period

   $ 114,167,602     $ 96,839,233  

NAV end of period

   $ 368,791,089     $ 93,575,213  

Percentage change in NAV

     223.0     (3.4 )% 

Shares outstanding beginning of period

     1,776,760       416,994  

Shares outstanding end of period

     12,155,220       1,236,760  

Percentage change in shares outstanding

     584.1     196.6

Shares created

     38,940,000       1,447,500  

Shares redeemed

     28,561,540       627,734  

Per share NAV beginning of period

   $ 64.26     $ 232.23  

Per share NAV end of period

   $ 30.34     $ 75.66  

Percentage change in per share NAV

     (52.8 )%      (67.4 )% 

Percentage change in benchmark

     18.7     58.2

Benchmark annualized volatility

     45.6     29.1

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

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

 

162


Table of Contents

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (1,043,095    $ (751,650

Management fee

     2,599,503        603,444  

Brokerage commission

     332,256        100,902  

Futures account fees

     195,542        83,373  

Non-recurring fees and expenses

     7,548        —    

Net realized gain (loss)

     (142,631,216      (86,637,748

Change in net unrealized appreciation (depreciation)

     113,674,105        (5,829,481

Net Income (loss)

   $ (30,000,206    $ (93,218,879

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

 

*

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

 

163


Table of Contents

ProShares UltraShort Bloomberg Natural Gas*

Fund Performance

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

 

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

NAV beginning of period

   $ 242,145,130     $ 24,977,745  

NAV end of period

   $ 242,389,998     $ 138,468,677  

Percentage change in NAV

     0.1     454.4

Shares outstanding beginning of period

     978,742       26,242  

Shares outstanding end of period

     13,966,856       986,242  

Percentage change in shares outstanding

     1,327.0     3,658.3

Shares created

     82,240,000       1,402,500  

Shares redeemed

     69,251,886       442,500  

Per share NAV beginning of period

   $ 247.40     $ 951.82  

Per share NAV end of period

   $ 17.35     $ 140.40  

Percentage change in per share NAV

     (93.0 )%      (85.3 )% 

Percentage change in benchmark

     86.6     113.0

Benchmark annualized volatility

     71.7     40.5

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

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (1,452,942    $ (932,981

Management fee

     1,784,017        609,472  

Brokerage commission

     539,244        249,831  

Futures account fees

     255,370        99,190  

Non-recurring fees and expenses

     5,374        —    

Net realized gain (loss)

     (389,255,425      (112,274,576

Change in net unrealized appreciation (depreciation)

     116,824,672        (35,670,233

Net Income (loss)

   $ (273,883,695    $ (148,877,790

 

164


Table of Contents

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

 

*

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

ProShares UltraShort Euro

Fund Performance

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

 

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

NAV beginning of period

   $ 54,263,045     $ 52,953,339  

NAV end of period

   $ 90,584,278     $ 48,640,817  

Percentage change in NAV

     66.9     (8.1 )% 

Shares outstanding beginning of period

     2,100,000       2,350,000  

Shares outstanding end of period

     2,600,000       1,950,000  

Percentage change in shares outstanding

     23.8     (17.0 )% 

Shares created

     1,650,000       300,000  

Shares redeemed

     1,150,000       700,000  

Per share NAV beginning of period

   $ 25.84     $ 22.53  

Per share NAV end of period

   $ 34.84     $ 24.94  

Percentage change in per share NAV

     34.8     10.7

Percentage change in benchmark

     (13.2 )%      (5.2 )% 

Benchmark annualized volatility

     9.4     5.6

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

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

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

 

165


Table of Contents

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (184,021    $ (337,637

Management fee

     467,426        355,451  

Non-recurring fees and expenses

     1,835        —    

Net realized gain (loss)

     16,904,945        2,249,236  

Change in net unrealized appreciation (depreciation)

     3,015,661        3,263,109  

Net Income (loss)

   $ 19,736,585      $ 5,174,708  

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

ProShares UltraShort Gold

Fund Performance

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

 

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

NAV beginning of period

   $ 26,859,844     $ 20,337,376  

NAV end of period

   $ 29,634,725     $ 27,731,022  

Percentage change in NAV

     10.3     36.4

Shares outstanding beginning of period

     846,977       646,977  

Shares outstanding end of period

     796,977       796,977  

Percentage change in shares outstanding

     (5.9 )%      23.2

Shares created

     1,500,000       1,700,000  

Shares redeemed

     1,550,000       1,550,000  

Per share NAV beginning of period

   $ 31.71     $ 31.43  

Per share NAV end of period

   $ 37.18     $ 34.80  

Percentage change in per share NAV

     17.3     10.7

Percentage change in benchmark

     (9.3 )%      (7.9 )% 

Benchmark annualized volatility

     17.4     15.7

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

 

166


Table of Contents

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (128,991    $ (208,304

Management fee

     218,466        199,999  

Brokerage commission

     9,361        9,174  

Futures account fees

     2,446        8,344  

Non-recurring fees and expenses

     639        —    

Net realized gain (loss)

     3,237,429        (1,767,467

Change in net unrealized appreciation (depreciation)

     3,160,276        1,727,781  

Net Income (loss)

   $ 6,268,714      $ (247,990

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

 

167


Table of Contents

ProShares UltraShort Silver

Fund Performance

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

 

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

NAV beginning of period

   $ 26,537,000     $ 28,885,775  

NAV end of period

   $ 33,763,052     $ 40,373,877  

Percentage change in NAV

     27.2     39.8

Shares outstanding beginning of period

     991,329       1,041,744  

Shares outstanding end of period

     991,329       1,291,329  

Percentage change in shares outstanding

     —       24.0

Shares created

     2,800,000       3,750,000  

Shares redeemed

     2,800,000       3,500,415  

Per share NAV beginning of period

   $ 26.77     $ 27.73  

Per share NAV end of period

   $ 34.06     $ 31.27  

Percentage change in per share NAV

     27.2     12.8

Percentage change in benchmark

     (19.0 )%      (17.0 )% 

Benchmark annualized volatility

     31.7     33.0

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

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (125,396    $ (279,779

Management fee

     190,549        248,539  

Brokerage commission

     20,677        19,409  

Futures account fees

     4,443        20,726  

Non-recurring fees and expenses

     612        —    

Net realized gain (loss)

     8,252,703        (2,146,577

Change in net unrealized appreciation (depreciation)

     1,567,440        10,463,787  

Net Income (loss)

   $ 9,694,747      $ 8,037,431  

 

168


Table of Contents

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

ProShares UltraShort Yen*

Fund Performance

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

 

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

NAV beginning of period

   $ 24,840,784     $ 23,691,070  

NAV end of period

   $ 51,937,338     $ 23,328,922  

Percentage change in NAV

     109.1     (1.5 )% 

Shares outstanding beginning of period

     598,580       698,580  

Shares outstanding end of period

     798,580       598,580  

Percentage change in shares outstanding

     33.4     (14.3 )% 

Shares created

     1,100,000       200,000  

Shares redeemed

     900,000       300,000  

Per share NAV beginning of period

   $ 41.50     $ 33.91  

Per share NAV end of period

   $ 65.04     $ 38.97  

Percentage change in per share NAV

     56.7     14.9

Percentage change in benchmark

     (20.3 )%      (7.2 )% 

Benchmark annualized volatility

     10.1     5.2

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

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

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

 

169


Table of Contents

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (109,049    $ (186,478

Management fee

     259,599        196,036  

Non-recurring fees and expenses

     953        —    

Net realized gain (loss)

     14,980,187        3,055,103  

Change in net unrealized appreciation (depreciation)

     (453,336      1,066,333  

Net Income (loss)

   $ 14,417,802      $ 3,934,958  

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

 

*

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

ProShares VIX Mid-Term Futures ETF

Fund Performance

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

 

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

NAV beginning of period

   $ 112,875,680     $ 72,075,095  

NAV end of period

   $ 110,420,574     $ 127,673,137  

Percentage change in NAV

     (2.2 )%      77.1

Shares outstanding beginning of period

     3,687,403       1,962,403  

Shares outstanding end of period

     3,112,403       3,962,403  

Percentage change in shares outstanding

     (15.6 )%      101.9

Shares created

     1,850,000       2,625,000  

Shares redeemed

     2,425,000       625,000  

Per share NAV beginning of period

   $ 30.61     $ 36.73  

Per share NAV end of period

   $ 35.48     $ 32.22  

Percentage change in per share NAV

     15.9     (12.3 )% 

Percentage change in benchmark

     17.8     (11.4 )% 

Benchmark annualized volatility

     32.5     28.3

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

 

170


Table of Contents

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (437,530    $ (694,100

Management fee

     627,755        586,702  

Brokerage commission

     58,291        48,211  

Futures account fees

     46,394        86,674  

Non-recurring fees and expenses

     2,050        —    

Net realized gain (loss)

     11,304,277        (14,890,359

Change in net unrealized appreciation (depreciation)

     6,887,044        5,949,460  

Net Income (loss)

   $ 17,753,791      $ (9,634,999

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

 

171


Table of Contents

ProShares VIX Short-Term Futures ETF

Fund Performance

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

 

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

NAV beginning of period

   $ 269,703,164     $ 293,390,549  

NAV end of period

   $ 437,536,628     $ 368,777,333  

Percentage change in NAV

     62.2     25.7

Shares outstanding beginning of period

     17,832,826       5,331,579  

Shares outstanding end of period

     25,582,826       16,257,826  

Percentage change in shares outstanding

     43.5     204.9

Shares created

     35,900,000       16,556,250  

Shares redeemed

     28,150,000       5,630,003  

Per share NAV beginning of period

   $ 15.12     $ 55.03  

Per share NAV end of period

   $ 17.10     $ 22.68  

Percentage change in per share NAV

     13.1     (58.8 )% 

Percentage change in benchmark

     14.7     (58.4 )% 

Benchmark annualized volatility

     86.1     73.8

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

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

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

Net Income/Loss

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

 

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

Net investment income (loss)

   $ (1,545,500    $ (3,019,972

Management fee

     2,353,478        2,154,874  

Brokerage commission

     490,751        365,013  

Futures account fees

     371,384        591,272  

Non-recurring fees and expenses

     8,700        —    

Net realized gain (loss)

     31,935,690        (304,349,667

Change in net unrealized appreciation (depreciation)

     84,851,343        27,729,790  

Net Income (loss)

   $ 115,241,533      $ (279,639,849

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

 

172


Table of Contents

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

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

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

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

ProShares Short VIX Short-Term Futures ETF

As of September 30, 2022 and 2021, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2022

 

Contract

   Long or
Short
  

Expiration

   Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

Futures Positions as of September 30, 2021

 

Contract

   Long or
Short
  

Expiration

   Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

 

173


Table of Contents

ProShares Ultra Bloomberg Crude Oil:

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

Futures Positions as of September 30, 2022

 

Contract

   Long or
Short
  

Expiration

   Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

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

WTI Crude Oil (NYMEX)

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

WTI Crude Oil (NYMEX)

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

Swap Agreements as of September 30, 2022

 

Reference Index

  

Counterparty

   Long or
Short
   Index
Close
     Notional Amount
at Value
 

Bloomberg Commodity Balanced WTI Crude Oil Index

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

Bloomberg Commodity Balanced WTI Crude Oil Index

   Goldman Sachs International    Long      77.9524        218,463,160  

Bloomberg Commodity Balanced WTI Crude Oil Index

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

Bloomberg Commodity Balanced WTI Crude Oil Index

   Societe Generale    Long      77.9524        165,828,296  

Bloomberg Commodity Balanced WTI Crude Oil Index

   UBS AG    Long      77.9524        246,871,587  

Futures Positions as of September 30, 2021

 

Contract

   Long or
Short
  

Expiration

   Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

WTI Crude Oil (NYMEX)

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

WTI Crude Oil (NYMEX)

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

WTI Crude Oil (NYMEX)

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

Swap Agreements as of September 30, 2021

 

Reference Index

  

Counterparty

   Long or
Short
   Index
Close
     Notional Amount
at Value
 

Bloomberg Commodity Balanced WTI Crude Oil Index

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

Bloomberg Commodity Balanced WTI Crude Oil Index

   Goldman Sachs International    Long      63.6871        203,094,978  

Bloomberg Commodity Balanced WTI Crude Oil Index

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

Bloomberg Commodity Balanced WTI Crude Oil Index

   Societe Generale    Long      63.6871        135,481,695  

Bloomberg Commodity Balanced WTI Crude Oil Index

   UBS AG    Long      63.6871        201,694,052  

 

174


Table of Contents

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Bloomberg Natural Gas:

As of September 30, 2022 and 2021, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

 

Contract

   Long or
Short
  

Expiration

   Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

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

Futures Positions as of September 30, 2021

 

Contract

   Long or
Short
  

Expiration

   Contracts      Valuation
Price
     Contract
Multiplier
     Notional Amount
at Value
 

Natural Gas (NYMEX)

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

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Euro:

As of September 30, 2022 and 2021, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2022

 

Reference

Currency

  

Counterparty

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

Euro

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

Euro

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

Euro

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

 

175


Table of Contents

Foreign Currency Forward Contracts as of September 30, 2021

 

 

Reference

Currency

  

Counterparty

  

Long or
Short

   Settlement
Date
     Local Currency     Forward Rate      Market Value
USD
 

Euro

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

Euro

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

Euro

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

Euro

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

The September 30, 2022 and 2021 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Gold:

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

Futures Positions as of September 30, 2022

 

Contract

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

Gold Futures (COMEX)

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

Swap Agreements as of September 30, 2022

 

Reference Index

  

Counterparty

   Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg Gold Subindex

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

Bloomberg Gold Subindex

   Goldman Sachs International    Long      180.7152        47,529,603  

Bloomberg Gold Subindex

   UBS AG    Long      180.7152        104,098,025  

Futures Positions as of September 30, 2021

 

Contract

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

Gold Futures (COMEX)

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

Swap Agreements as of September 30, 2021

 

Reference Index

  

Counterparty

   Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg Gold Subindex

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

Bloomberg Gold Subindex

   Goldman Sachs International    Long      193.6583        92,669,240  

Bloomberg Gold Subindex

   UBS AG    Long      193.6583        111,553,685  

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract

 

176


Table of Contents

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

ProShares Ultra Silver:

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

Futures Positions as of September 30, 2022

 

Contract

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

Silver Futures (COMEX)

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

Swap Agreements as of September 30, 2022

 

Reference Index

  

Counterparty

   Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg Silver Subindex

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

Bloomberg Silver Subindex

   Goldman Sachs International    Long      169.7456        18,803,260  

Bloomberg Silver Subindex

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

Bloomberg Silver Subindex

   UBS AG    Long      169.7456        124,719,934  

Futures Positions as of September 30, 2021

 

Contract

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

Silver Futures (COMEX)

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

Swap Agreements as of September 30, 2021

 

Reference Index

  

Counterparty

   Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg Silver Subindex

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

Bloomberg Silver Subindex

   Goldman Sachs International    Long      200.3035        219,657,055  

Bloomberg Silver Subindex

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

Bloomberg Silver Subindex

   UBS AG    Long      200.3035        182,787,599  

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

 

177


Table of Contents

ProShares Ultra VIX Short-Term Futures ETF

As of September 30, 2022 and 2021, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2022

 

Contract

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

Futures Positions as of September 30, 2021

 

Contract

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

Swap Agreements as of September 30, 2021

 

Reference Index

  

Counterparty

   Long or
Short
   Index
Close
     Notional Amount
at Value
 

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

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

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Yen:

As of September 30, 2022 and 2021, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to exchange rate price risk.

 

178


Table of Contents

Foreign Currency Forward Contracts as of September 30, 2022

 

Reference

Currency

  

Counterparty

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

Yen

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

Yen

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

Yen

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

Yen

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

Foreign Currency Forward Contracts as of September 30, 2021

 

Reference

Currency

  

Counterparty

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

Yen

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

Yen

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

Yen

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

Yen

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

The September 30, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Crude Oil:

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

Futures Positions as of September 30, 2022

 

Contract

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

WTI Crude Oil (NYMEX)

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

WTI Crude Oil (NYMEX)

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

WTI Crude Oil (NYMEX)

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

Futures Positions as of September 30, 2021

 

Contract

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

WTI Crude Oil (NYMEX)

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

WTI Crude Oil (NYMEX)

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

WTI Crude Oil (NYMEX)

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

 

179


Table of Contents

The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. September 30, 2022 and 2021 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Natural Gas:

As of September 30, 2022 and 2021, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

 

Contract

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

Natural Gas (NYMEX)

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

Futures Positions as of September 30, 2021

 

Contract

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

Natural Gas (NYMEX)

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

The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of September 30, 2022 and 2021, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to exchange rate price risk.

 

180


Table of Contents

Foreign Currency Forward Contracts as of September 30, 2022

 

Reference

Currency

  

Counterparty

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

Euro

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

Euro

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

Euro

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

Foreign Currency Forward Contracts as of September 30, 2021

 

Reference

Currency

  

Counterparty

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

Euro

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

Euro

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

Euro

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

The September 30, 2022 and 2021 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Gold:

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

Futures Positions as of September 30, 2022

 

Contract

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

Gold Futures (COMEX)

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

Swap Agreements as of September 30, 2022

 

Reference Index

  

Counterparty

   Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg Gold Subindex

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

Bloomberg Gold Subindex

   Goldman Sachs International    Short      180.7152        (8,863,141

Bloomberg Gold Subindex

   UBS AG    Short      180.7152        (10,598,433

Futures Positions as of September 30, 2021

 

Contract

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

Gold Futures (COMEX)

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

 

181


Table of Contents

Swap Agreements as of September 30, 2021

 

Reference Index

  

Counterparty

   Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg Gold Subindex

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

Bloomberg Gold Subindex

   Goldman Sachs International    Short      193.6583        (9,497,933

Bloomberg Gold Subindex

   UBS AG    Short      193.6583        (11,357,509

The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Silver:

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

Futures Positions as of September 30, 2022

 

Contract

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

Silver Futures (COMEX)

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

Swap Agreements as of September 30, 2022

 

Reference Index

  

Counterparty

   Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg Silver Subindex

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

Bloomberg Silver Subindex

   Goldman Sachs International    Short      169.7456        (8,338,415

Bloomberg Silver Subindex

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

Bloomberg Silver Subindex

   UBS AG    Short      169.7456        (2,108,259

Futures Positions as of September 30, 2021

 

Contract

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

Silver Futures (COMEX)

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

 

182


Table of Contents

Swap Agreements as of September 30, 2021

 

Reference Index

  

Counterparty

   Long or
Short
   Index Close      Notional Amount
at Value
 

Bloomberg Silver Subindex

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

Bloomberg Silver Subindex

   Goldman Sachs International    Short      200.3035        (9,839,512

Bloomberg Silver Subindex

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

Bloomberg Silver Subindex

   UBS AG    Short      200.3035        (13,786,912

The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Yen:

As of September 30, 2022 and 2021, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2022

 

Reference

Currency

  

Counterparty

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

Yen

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

Yen

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

Yen

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

Yen

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

Foreign Currency Forward Contracts as of September 30, 2021

 

Reference

Currency

  

Counterparty

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

Yen

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

Yen

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

Yen

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

Yen

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

The September 30, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

 

183


Table of Contents

ProShares VIX Mid-Term Futures ETF

As of September 30, 2022 and 2021, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2022

 

Contract

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

Futures Positions as of September 30, 2021

 

Contract

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares VIX Short-Term Futures ETF

As of September 30, 2022 and 2021, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of September 30, 2022 and 2021, which were sensitive to equity market volatility risk.

 

184


Table of Contents

Futures Positions as of September 30, 2022

 

Contract

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

Futures Positions as of September 30, 2021

 

Contract

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

VIX Futures (Cboe)

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

VIX Futures (Cboe)

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

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

 

185


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 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).

 

186


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

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

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

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

Item 4. Controls and Procedures.

Disclosure Controls and Procedures

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

 

187


Table of Contents

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

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2022 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

 

188


Table of Contents

Part II. OTHER INFORMATION

 

Item 1.

Legal Proceedings.

As of September 30, 2022, the Trust is not a party to any material legal proceedings.

 

Item 1A.

Risk Factors.

Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.

During April 2020, the collapse of demand for fuel as a result of economic conditions relating to COVID-19 and other factors created an oversupply of crude oil production that rapidly filled most available oil storage facilities. As a result, market participants who contractually promised to buy and take delivery of crude oil were unable to store the crude oil and were at risk of default under the terms of the May 2020 WTI crude oil futures contract. The scarcity in storage was widespread, and some market participants took the extreme measure of selling their futures contracts at a negative price (effectively paying another market participant to accept their crude oil). As a result, for the first time in history, a period of “extraordinary contango” resulted in certain crude oil futures contracts trading below zero. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and could cause significant losses. The oversupply of oil may continue, impacting futures contracts for other delivery months. Such circumstances may arise as a result of a number of factors, including the following: (1) disruptions in oil pipelines and other means to get oil out of storage and delivered to refineries (as might occur due to infrastructure deterioration, work stoppages, or weather/disaster); (2) any agreement by oil producing nations regarding production limits; or (3) potential government intervention (in the form of grants or other aid) to keep oil producers, and the workers they employ, in service. It is not possible to predict if or when these economic conditions will reverse. Any reversal of these conditions could have a significant negative impact on the performance of the Short Crude Oil Fund.

On February 24, 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future could have a significant adverse impact on the Russian economy and related markets. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflicts and related events could have significant impact on a Fund’s performance, and the value of an investment in a Fund may decline significantly.

The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.

Extreme market volatility and economic turbulence in the first part of 2020 has led to 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.

 

189


Table of Contents

Natural Disasters and Public Health Disruptions, such as the COVID-19 Virus, May Have a Significant Negative Impact on the Performance of Each Fund

Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and may continue to be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. For example, during March and April 2020, the U.S. federal government passed various legislation in response to the COVID-19 pandemic, the effects and results of which are uncertain. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities and accuracy of economic projections. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. A widespread crisis, such as the COVID-19 pandemic, may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.

Natural or environmental disasters or public health crisis, such as the COVID-19 pandemic and hurricanes, could result in sudden and large fluctuations in the supply of and demand for crude oil. For example, contemporaneous with the onset of the COVID-19 pandemic in the U.S., crude oil markets experienced shocks to supply of and demand for crude oil, which dramatically impacted the price of crude oil and futures contracts on crude oil and caused extreme volatility in the crude oil markets and crude oil futures markets.

The COVID-19 pandemic has already had, and may continue to have, a significant negative and unpredictable impact on the U.S. and global economy. For example, equity and other markets have experienced extreme declines and volatility. During much of 2020 and the first quarter of 2021, the unemployment rate in the U.S. has been extremely high by historical standards. Further, the global slowdown in the economy contributed to a significant oversupply in the crude oil market, resulting in historic shocks to, and extreme volatility in, the price of oil and related derivatives contracts. It is not possible to predict when unemployment and market conditions will return to more normal levels.

Market downturns, disruptions or illiquidity as a result of, or related to, the COVID-19 pandemic can have a significant negative impact on the value of Fund portfolio investments, the operations of each Fund, the markets in which the Funds invest and the trading of Fund Shares in the secondary market. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margin and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transact on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure consistent with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.

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

The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. These and other global economic shocks as a result of the COVID-19 pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.

 

190


Table of Contents

The Funds as well as the Sponsor and its service providers are vulnerable to the effects of public health crises, including the ongoing COVID-19 pandemic

Pandemics and other public health crises may cause a curtailment of business activities which may potentially impact the ability of the Sponsor and its service providers to operate. The COVID-19 pandemic (including any variants or issues relating to public acceptance of available vaccines) or a similar public health threat could adversely impact the Funds by causing operating delays and disruptions, market disruption and shutdowns (including as a result of government regulation and prevention measures). The COVID-19 pandemic has had and will likely continue to have serious negative effects on social, economic and financial systems, including significant uncertainty and volatility in the financial markets.

Governmental authorities and regulators throughout the world have, in the past, responded to major economic disruptions with a variety of fiscal and monetary policy changes, such as quantitative easing, new monetary programs and lower interest rates. An unexpected or quick reversal of these policies, or the ineffectiveness of these policies, is likely to increase volatility in the market generally, and could specifically increase volatility in the market for gold, which could adversely affect the price of the Funds. The outbreak could also cause the closure of futures exchanges, which could eliminate the ability of Authorized Participants to hedge purchases of Baskets, increasing trading costs and resulting in a sustained premium or discount in the shares of the Funds. The duration of the outbreak and its effects cannot be determined with any reasonable amount of certainty. A prolonged outbreak could result in an increase of the costs of the Funds, affect liquidity in the markets as well as the correlation between the price of the shares of the Funds and the net asset value of the Funds, any of which could adversely and materially affect the value of an investment in the Funds. The outbreak could impair information technology and other operational systems upon which the Funds’ service providers rely and could otherwise disrupt the ability of the employees of such service providers to perform essential tasks on behalf of the Funds.

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

 

a)

None.

 

b)

Not applicable.

 

c)

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

 

Title of Securities Registered*

  

 

   Total Number of
Shares Redeemed
     Average Price
Per Share
 

ProShares Short VIX Short-Term Futures ETF

        

Common Units of Beneficial Interest

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

ProShares Ultra Bloomberg Crude Oil

        

Common Units of Beneficial Interest

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

ProShares Ultra Bloomberg Natural Gas

        

Common Units of Beneficial Interest

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

ProShares Ultra Euro

        

Common Units of Beneficial Interest

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

ProShares Ultra Gold

        

Common Units of Beneficial Interest

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

 

191


Table of Contents

ProShares Ultra Silver

                                                          

Common Units of Beneficial Interest

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

ProShares Ultra VIX Short-Term Futures ETF

       

Common Units of Beneficial Interest

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

ProShares Ultra Yen

       

Common Units of Beneficial Interest

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

ProShares UltraShort Bloomberg Crude Oil

       

Common Units of Beneficial Interest

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

ProShares UltraShort Bloomberg Natural Gas

       

Common Units of Beneficial Interest

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

ProShares UltraShort Euro

       

Common Units of Beneficial Interest

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

ProShares UltraShort Gold

       

Common Units of Beneficial Interest

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

ProShares UltraShort Silver

       

Common Units of Beneficial Interest

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

ProShares UltraShort Yen

       

Common Units of Beneficial Interest

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

ProShares VIX Mid-Term Futures ETF

       

Common Units of Beneficial Interest

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

ProShares VIX Short-Term Futures ETF

       

Common Units of Beneficial Interest

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

 

*

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

 

192


Table of Contents
Item 3.

Defaults Upon Senior Securities.

None.

 

Item 4.

Mine Safety Disclosures.

Not applicable.

 

Item 5.

Other Information.

None.

 

193


Table of Contents
Item 6.

Exhibits.

 

Exhibit
       No.       

  

Description of Document

31.1    Certification by Principal Executive Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
31.2    Certification by Principal Financial Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
32.1*    Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
32.2*    Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
101.INS    XBRL Instance Document (1)
101.SCH    XBRL Taxonomy Extension Schema (1)
101.CAL    XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF    XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB    XBRL Taxonomy Extension Label Linkbase (1)
101.PRE    XBRL Taxonomy Extension Presentation Linkbase (1)
104.1    Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.

 

(1)

Filed herewith.

*

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

 

194


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: November 8, 2022

/s/ Edward Karpowicz

By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: November 8, 2022

 

195