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ProShares Trust II - Quarter Report: 2022 June (Form 10-Q)

 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
 
FORM 10-Q
 
 
 
Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
for the quarterly period ended June 30, 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 August 2, 2022, the registrant had 260,819,037 shares of common stock, $0 par value per share, outstanding.
 
 
 


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

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

(unaudited)
    
December 31, 2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $151,906,089 and $147,851,244, respectively)
   $ 151,418,355      $ 147,815,719  
Cash
     34,531,284        44,359,519  
Segregated cash balances with brokers for futures contracts
     113,898,635        138,651,465  
Receivable on open futures contracts
     105,797,631        99,544,338  
Interest receivable
     76,049        2,868  
    
 
 
    
 
 
 
Total assets
     405,721,954        430,373,909  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     —          6,125,130  
Payable on open futures contracts
     1,735,890        —    
Brokerage commissions and futures account fees payable
     12,121        104,312  
Payable to Sponsor
     328,987        331,873  
    
 
 
    
 
 
 
Total liabilities
     2,076,998        6,561,315  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     403,644,956        423,812,594  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 405,721,954      $ 430,373,909  
    
 
 
    
 
 
 
Shares outstanding
     8,384,307        6,884,307  
    
 
 
    
 
 
 
Net asset value per share
   $ 48.14      $ 61.56  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 48.21      $ 61.55  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
2

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(38% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.967% due 07/14/22
   $ 25,000,000      $ 24,989,618  
1.014% due 07/21/22
     50,000,000        49,970,140  
0.223% due 11/03/22
     77,000,000        76,458,597  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $151,906,089)
            $ 151,418,355  
             
 
 
 
Futures Contracts Sold
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2022
     3,652      $ 104,309,520      $ 809,209  
VIX Futures - Cboe, expires August 2022
     3,346        97,627,580        708,405  
                      
 
 
 
                       $ 1,517,614  
                      
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
3

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

June 30,
   
Six Months Ended

June 30,
 
    
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 225,134     $ 33,687     $ 319,477     $ 67,577  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     1,034,361       1,317,153       2,020,898       2,359,722  
Brokerage commissions
     177,552       253,949       365,250       429,859  
Futures account fees
     107,221       328,342       324,251       586,119  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     1,319,134       1,899,444       2,710,399       3,375,700  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (1,094,000     (1,865,757     (2,390,922     (3,308,123
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (13,029,194     109,337,017       (54,129,808     133,546,434  
Short-term U.S. government and agency obligations
     (76,018     —         (86,512     —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (13,105,212     109,337,017       (54,216,320     133,546,434  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     (34,466,848     (13,290,409     (29,757,664     28,831,483  
Short-term U.S. government and agency obligations
     (40,932     (17,721     (452,209     (14,495
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (34,507,780     (13,308,130     (30,209,873     28,816,988  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (47,612,992     96,028,887       (84,426,193     162,363,422  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (48,706,992   $ 94,163,130     $ (86,817,115   $ 159,055,299  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
4

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

June 30,
   
Six Months Ended

June 30,
 
    
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 495,588,849     $ 527,130,851     $ 423,812,594     $ 409,371,468  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 1,600,000, 450,000, 4,600,000 and 2,850,000 shares, respectively
     75,921,860       21,503,474       232,437,331       119,612,942  
Redemption of 2,300,000, 1,050,000, 3,100,000 and 2,150,000 shares, respectively
     (119,158,761     (54,181,509     (165,787,854     (99,423,763
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (700,000), (600,000), 1,500,000 and 700,000 shares, respectively
     (43,236,901     (32,678,035     66,649,477       20,189,179  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (1,094,000     (1,865,757     (2,390,922     (3,308,123
Net realized gain (loss)
     (13,105,212     109,337,017       (54,216,320     133,546,434  
Change in net unrealized appreciation (depreciation)
     (34,507,780     (13,308,130     (30,209,873     28,816,988  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (48,706,992     94,163,130       (86,817,115     159,055,299  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 403,644,956     $ 588,615,946     $ 403,644,956     $ 588,615,946  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
5

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

June 30,
 
    
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ (86,817,115   $ 159,055,299  
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
     (569,767,938     (371,956,927
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     565,832,801       237,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (206,220     (32,691
Net realized (gain) loss on investments
     86,512       —    
Change in unrealized (appreciation) depreciation on investments
     452,209       14,495  
Decrease (Increase) in receivable on open futures contracts
     (6,253,293     (11,016,780
Decrease (Increase) in interest receivable
     (73,181     1,167  
Increase (Decrease) in payable to Sponsor
     (2,886     124,617  
Increase (Decrease) in brokerage commissions and futures account fees payable
     (92,191     20,038  
Increase (Decrease) in payable on open futures contracts
     1,735,890       4,589,992  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (95,105,412     17,799,210  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     232,437,331       119,612,942  
Payment on shares redeemed
     (171,912,984     (99,423,763
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     60,524,347       20,189,179  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (34,581,065     37,988,389  
Cash, beginning of period
     183,010,984       266,579,220  
    
 
 
   
 
 
 
Cash, end of period
   $ 148,429,919     $ 304,567,609  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
6

PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2022

(unaudited)
    
December 31, 2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $527,457,948 and $848,800,309, respectively)
   $ 526,423,284      $ 848,757,567  
Cash
     395,184,001        86,582,912  
Segregated cash balances with brokers for futures contracts
     99,271,727        130,704,477  
Segregated cash balances with brokers for swap agreements
     234,394,000        —    
Unrealized appreciation on swap agreements
     —          63,928,293  
Interest receivable
     213,841        3,523  
    
 
 
    
 
 
 
Total assets
     1,255,486,853        1,129,976,772  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     20,080,952        —    
Payable on open futures contracts
     21,213,241        25,317,560  
Brokerage commissions and futures account fees payable
     12,600        24,677  
Payable to Sponsor
     1,025,667        850,965  
Unrealized depreciation on swap agreements
     152,287,155        —    
    
 
 
    
 
 
 
Total liabilities
     194,619,615        26,193,202  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     1,060,867,238        1,103,783,570  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 1,255,486,853      $ 1,129,976,772  
    
 
 
    
 
 
 
Shares outstanding (Note 1
)

     25,493,096        51,243,096  
    
 
 
    
 
 
 
Net asset value per share (Note 1
)

   $ 41.61      $ 21.54  
    
 
 
    
 
 
 
Market value per share (Note 1) (Note 2
)

   $ 41.86      $ 21.70  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
7

PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(50% of shareholders’ equity)
                 
Federal Home Loan Discount Notes
^^
:
                 
1.000% due 07/01/22
   $ 150,000,000      $ 150,000,000  
U.S. Treasury Bills
^^
:
                 
0.393% due 07/21/22
     47,000,000        46,971,932  
0.706% due 08/18/22
     150,000,000        149,724,000  
0.637% due 11/03/22
     181,000,000        179,727,352  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $527,457,948)
            $ 526,423,284  
             
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires September 2022
     2,204      $ 227,232,400      $ (17,930,940
WTI Crude Oil - NYMEX, expires December 2022
     2,535        242,244,600        64,744,247  
WTI Crude Oil - NYMEX, expires June 2023
     2,688        235,522,560        11,641,492  
                      
 
 
 
                       $ 58,454,799  
                      
 
 
 
Total Return Swap Agreements
^
 
    
Rate Paid

(Received)
*
   
Termination

Date
    
Notional Amount

at Value
**
    
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.35     07/06/22      $ 215,921,141      $ (21,668,621
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.35       07/06/22        321,089,755        (42,218,820
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.35       07/06/22        373,984,332        (37,530,948
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.25       07/06/22        203,778,726        (20,435,337
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.30       07/06/22        303,369,078        (30,433,429
                              
 
 
 
                       
Total Unrealized
Depreciation
 
 
   $ (152,287,155
                              
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 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 June 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

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

June 30,
   
Six Months Ended

June 30,
 
    
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 1,264,011     $ 111,333     $ 1,572,891     $ 279,408  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     3,098,904       2,794,292       6,183,716       5,329,377  
Brokerage commissions
     140,210       210,012       335,751       503,212  
Futures account fees
     109,601       317,748       362,288       416,685  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     3,348,715       3,322,052       6,881,755       6,249,274  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (2,084,704     (3,210,719     (5,308,864     (5,969,866
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     244,497,710       255,445,062       510,907,542       447,121,563  
Swap agreements
     118,798,382       65,060,597       651,811,620       207,735,324  
Short-term U.S. government and agency obligations
     (4,653     —         (7,789     —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     363,291,439       320,505,659       1,162,711,373       654,856,887  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     (187,136,364     77,503,699       (89,000,726     171,488,571  
Swap agreements
     (24,001,881     80,496,098       (216,215,448     21,505,309  
Short-term U.S. government and agency obligations
     (405,864     (80,658     (991,922     (39,085
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (211,544,109     157,919,139       (306,208,096     192,954,795  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     151,747,330       478,424,798       856,503,277       847,811,682  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 149,662,626     $ 475,214,079     $ 851,194,413     $ 841,841,816  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
9

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

June 30,
   
Six Months Ended

June 30,
 
    
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 1,336,980,685     $ 1,088,579,093     $ 1,103,783,570     $ 902,739,250  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 1,700,000, 4,200,000, 10,300,000 and 13,600,000 shares,
respectively (Note 1)
     72,419,653       60,208,663       402,736,686       177,252,853  
Redemption of 11,450,000, 20,400,000, 36,050,000 and 46,200,000 shares,
respectively (Note 1)
     (498,195,726     (320,470,933     (1,296,847,431     (618,303,017
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (9,750,000), (16,200,000), (25,750,000) and (32,600,000) shares,
respectively (Note 1)
     (425,776,073     (260,262,270     (894,110,745     (441,050,164
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (2,084,704     (3,210,719     (5,308,864     (5,969,866
Net realized gain (loss)
     363,291,439       320,505,659       1,162,711,373       654,856,887  
Change in net unrealized appreciation (depreciation)
     (211,544,109     157,919,139       (306,208,096     192,954,795  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     149,662,626       475,214,079       851,194,413       841,841,816  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 1,060,867,238     $ 1,303,530,902     $ 1,060,867,238     $ 1,303,530,902  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
10

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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 851,194,413     $ 841,841,816  
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
     (4,782,347,856     (1,692,766,532
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     5,104,987,142       980,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (1,304,714     (158,785
Net realized (gain) loss on investments
     7,789       —    
Change in unrealized (appreciation) depreciation on investments
     217,207,370       (21,466,224
Decrease (Increase) in receivable on open futures contracts
     —         (4,050,185
Decrease (Increase) in interest receivable
     (210,318     (38,568
Increase (Decrease) in payable to Sponsor
     174,702       246,994  
Increase (Decrease) in brokerage commissions and futures account fees payable
     (12,077     22,929  
Increase (Decrease) in payable on open futures contracts
     (4,104,319     —    
Increase (Decrease) in securities purchased payable
           149,968,500  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     1,385,592,132       253,599,945  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     402,736,686       177,252,853  
Payment on shares redeemed
     (1,276,766,479     (621,930,951
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (874,029,793     (444,678,098
    
 
 
   
 
 
 
Net increase (decrease) in cash
     511,562,339       (191,078,153
Cash, beginning of period
     217,287,389       667,259,596  
    
 
 
   
 
 
 
Cash, end of period
   $ 728,849,728     $ 476,181,443  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
1
1

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

(unaudited)
    
December 31, 2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $105,954,114 and $90,936,719, respectively)
   $ 105,739,904      $ 90,922,438  
Cash
     33,945,129        6,846,634  
Segregated cash balances with brokers for futures contracts
     52,657,500        47,289,091  
Receivable from capital shares sold
     19,786,612        20,448,741  
Receivable on open futures contracts
     13,543,290        33,998,620  
Interest receivable
     39,868        1,130  
    
 
 
    
 
 
 
Total assets
     225,712,303        199,506,654  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     5,988,252        —    
Payable on open futures contracts
     32,204,426        5,403,658  
Brokerage commissions and futures account fees payable
     6,507        63,628  
Payable to Sponsor
     215,276        147,190  
    
 
 
    
 
 
 
Total liabilities
     38,414,461        5,614,476  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     187,297,842        193,892,178  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 225,712,303      $ 199,506,654  
    
 
 
    
 
 
 
Shares outstanding
     4,737,527        7,587,527  
    
 
 
    
 
 
 
Net asset value per share
   $ 39.53      $ 25.55  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 42.10      $ 26.09  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
1
2

PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(56% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.967% due 07/14/22
   $ 50,000,000      $ 49,979,235  
0.393% due 07/21/22
     24,000,000        23,985,667  
0.223% due 11/03/22
     32,000,000        31,775,002  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $105,954,114)
            $ 105,739,904  
             
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires September 2022
     6,954      $ 374,959,680      $ (194,426,957
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
1
3

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 146,470     $ 11,544     $ 186,051     $ 25,359  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     534,624       152,958       931,234       407,773  
Brokerage commissions
     114,706       63,062       203,158       155,359  
Futures account fees
     63,213       12,887       134,330       94,735  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     712,543       228,907       1,268,722       657,867  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (566,073     (217,363     (1,082,671     (632,508
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     164,990,694       4,901,288       241,211,382       46,483,673  
Short-term U.S. government and agency obligations
     —         —         (3,452     551  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     164,990,694       4,901,288       241,207,930       46,484,224  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     (271,251,560     28,350,804       (186,220,796     10,550,021  
Short-term U.S. government and agency obligations
     (36,909     (2,887     (199,929     (972
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (271,288,469     28,347,917       (186,420,725     10,549,049  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (106,297,775     33,249,205       54,787,205       57,033,273  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (106,863,848   $ 33,031,842     $ 53,704,534     $ 56,400,765  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
1
4

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 145,069,486     $ 74,307,070     $ 193,892,178     $ 169,800,371  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 6,500,000, 650,000, 9,100,000 and 4,050,000 shares, respectively
     549,486,344       13,706,591       637,366,699       90,187,414  
Redemption of 4,350,000, 2,150,000, 11,950,000 and 10,150,000 shares, respectively
     (400,394,140     (50,832,276     (697,665,569     (246,175,323
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 2,150,000, (1,500,000), (2,850,000) and (6,100,000) shares, respectively
     149,092,204       (37,125,685     (60,298,870     (155,987,909
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (566,073     (217,363     (1,082,671     (632,508
Net realized gain (loss)
     164,990,694       4,901,288       241,207,930       46,484,224  
Change in net unrealized appreciation (depreciation)
     (271,288,469     28,347,917       (186,420,725     10,549,049  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (106,863,848     33,031,842       53,704,534       56,400,765  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 187,297,842     $ 70,213,227     $ 187,297,842     $ 70,213,227  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
1
5

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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 53,704,534     $ 56,400,765  
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
     (520,892,453     (118,983,722
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     505,991,302       118,999,676  
Net amortization and accretion on short-term U.S. government and agency obligations
     (119,696     (13,040
Net realized (gain) loss on investments
     3,452       (551
Change in unrealized (appreciation) depreciation on investments
     199,929       972  
Decrease (Increase) in receivable on open futures contracts
     20,455,330       13,775,851  
Decrease (Increase) in interest receivable
     (38,738     2,763  
Increase (Decrease) in payable to Sponsor
     68,086       (91,354
Increase (Decrease) in brokerage commissions and futures account fees payable
     (57,121     296  
Increase (Decrease) in payable on open futures contracts
     26,800,768       210,440  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     86,115,393       70,302,096  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     638,028,828       90,187,414  
Payment on shares redeemed
     (691,677,317     (257,307,869
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (53,648,489     (167,120,455
    
 
 
   
 
 
 
Net increase (decrease) in cash
     32,466,904       (96,818,359
Cash, beginning of period
     54,135,725       137,292,722  
    
 
 
   
 
 
 
Cash, end of period
   $ 86,602,629     $ 40,474,363  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
1
6

PROSHARES ULTRA EURO
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2022

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $4,695,823 and $998,130, respectively)
   $ 4,690,703      $ 997,678  
Cash
     5,061,750        6,891,458  
Segregated cash balances with brokers for foreign currency forward contracts
     —          691,000  
Unrealized appreciation on foreign currency forward contracts
     17,639        84,150  
Interest receivable
     1,535        153  
    
 
 
    
 
 
 
Total assets
     9,771,627        8,664,439  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable to Sponsor
     5,967        3,846  
Unrealized depreciation on foreign currency forward contracts
     350,034        1,498  
    
 
 
    
 
 
 
Total liabilities
     356,001        5,344  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     9,415,626        8,659,095  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 9,771,627      $ 8,664,439  
    
 
 
    
 
 
 
Shares outstanding
     850,000        650,000  
    
 
 
    
 
 
 
Net asset value per share
   $ 11.08      $ 13.32  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 11.11      $ 13.33  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
1
7

PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations

(50% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.393% due 07/21/22
   $ 4,000,000      $ 3,997,611  
0.554% due 11/03/22
     698,000        693,092  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $4,695,823)
            $ 4,690,703  
             
 
 
 
Foreign Currency Forward Contracts
^
 
    
Settlement Date
    
Contract Amount

in Local Currency
   
Contract Amount

in U.S. Dollars
   
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
                                 
Euro with Goldman Sachs International
     07/08/22        4,532,921     $ 4,750,259     $ (123,538
Euro with UBS AG
     07/08/22        14,836,502       15,547,860       (226,496
                             
 
 
 
                        Total Unrealized
Depreciation
 
 
  $ (350,034
                             
 
 
 
Contracts to Sell
                                 
Euro with UBS AG
     07/08/22        (1,446,000   $ (1,515,331   $ 17,639  
                             
 
 
 
                       
Total Unrealized
Appreciation
 
 
  $ 17,639  
                             
 
 
 

All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of June 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.
 
1
8

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 6,522     $ 438     $ 11,109     $ 1,022  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     15,037       9,416       35,315       19,494  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     15,037       9,416       35,315       19,494  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (8,515     (8,978     (24,206     (18,472
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Foreign currency forward contracts
     (446,365     95,412       (887,395     68,070  
Short-term U.S. government and agency obligations
     —         —         (5,949     —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (446,365     95,412       (893,344     68,070  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Foreign currency forward contracts
     (282,077     (13,092     (415,047     (324,232
Short-term U.S. government and agency obligations
     787       (127     (4,668     (39
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (281,290     (13,219     (419,715     (324,271
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (727,655     82,193       (1,313,059     (256,201
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (736,170   $ 73,215     $ (1,337,265   $ (274,673
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
1
9

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 6,236,982     $ 3,611,724     $ 8,659,095     $ 4,737,350  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 450,000, 100,000, 550,000 and 100,000 shares, respectively
     5,052,555       1,488,793       6,368,822       1,488,793  
Redemption of 100,000, 100,000, 350,000 and 150,000 shares, respectively
     (1,137,741     (1,504,991     (4,275,026     (2,282,729
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 350,000, –, 200,000 and (50,000) shares, respectively
     3,914,814       (16,198     2,093,796       (793,936
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (8,515     (8,978     (24,206     (18,472
Net realized gain (loss)
     (446,365     95,412       (893,344     68,070  
Change in net unrealized appreciation (depreciation)
     (281,290     (13,219     (419,715     (324,271
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (736,170     73,215       (1,337,265     (274,673
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 9,415,626     $ 3,668,741     $ 9,415,626     $ 3,668,741  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
20

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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ (1,337,265   $ (274,673
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
     (5,984,289     (2,999,505
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     2,290,249       2,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (9,602     (473
Net realized (gain) loss on investments
     5,949       —    
Change in unrealized (appreciation) depreciation on investments
     419,715       324,271  
Decrease (Increase) in interest receivable
     (1,382     40  
Increase (Decrease) in payable to Sponsor
     2,121       (586
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (4,614,504     (950,926
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     6,368,822       1,488,793  
Payment on shares redeemed
     (4,275,026     (1,548,903
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     2,093,796       (60,110
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (2,520,708     (1,011,036
Cash, beginning of period
     7,582,458       4,652,092  
    
 
 
   
 
 
 
Cash, end of period
   $ 5,061,750     $ 3,641,056  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
2
1

PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2022

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $208,875,314 and $207,964,168, respectively)
   $ 208,696,447      $ 207,956,320  
Cash
     32,582,080        9,328,332  
Segregated cash balances with brokers for futures contracts
     6,922,800        6,093,750  
Segregated cash balances with brokers for swap agreements
     2,207,000        —    
Unrealized appreciation on swap agreements
     —          8,639,188  
Receivable on open futures contracts
     —          944,644  
Interest receivable
     32,405        690  
    
 
 
    
 
 
 
Total assets
     250,440,732        232,962,924  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     2,824,550        —    
Payable on open futures contracts
     1,022,544        —    
Brokerage commissions and futures account fees payable
     —          4,034  
Payable to Sponsor
     202,927        178,356  
Unrealized depreciation on swap agreements
     6,451,858        —    
    
 
 
    
 
 
 
Total liabilities
     10,501,879        182,390  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     239,938,853        232,780,534  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 250,440,732      $ 232,962,924  
    
 
 
    
 
 
 
Shares outstanding
     4,250,000        3,900,000  
    
 
 
    
 
 
 
Net asset value per share
   $ 56.46      $ 59.69  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 56.50      $ 59.81  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
2
2

PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(87% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.967% due 07/14/22
   $ 25,000,000      $ 24,989,618  
0.393% due 07/21/22
     95,000,000        94,943,266  
0.706% due 08/18/22
     75,000,000        74,862,000  
0.223% due 11/03/22
     14,000,000        13,901,563  
             
 
 
 
Total short-term U.S. government and agency obligations (cost $208,875,314)
            $ 208,696,447  
             
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires August 2022
     954      $ 172,416,420      $ (3,932,509
Total Return Swap Agreements
^
 
    
Rate Paid

(Received)
*
   
Termination

Date
    
Notional Amount

at Value
**
    
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
     0.25     07/06/22      $ 109,384,670      $ (2,221,389
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
     0.25       07/06/22        84,543,271        (1,919,639
Swap agreement with UBS AG based on Bloomberg Gold Subindex
     0.25       07/06/22        113,788,925        (2,310,830
                              
 
 
 
                       
Total Unrealized
Depreciation
 
 
   $ (6,451,858
                              
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 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 June 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.
 
2
3

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 319,154     $ 20,094     $ 414,267     $ 55,921  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     716,148       568,040       1,387,563       1,136,247  
Brokerage commissions
     14,064       8,665       35,723       23,553  
Futures account fees
     8,664       13,354       28,169       45,756  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     738,876       590,059       1,451,455       1,205,556  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (419,722     (569,965     (1,037,188     (1,149,635
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (28,896,339     7,294,570       (8,706,319     (9,511,327
Swap agreements
     (29,004,744     38,211,797       8,623,832       3,769,562  
Short-term U.S. government and agency obligations
     —         —         —         245  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (57,901,083     45,506,367       (82,487     (5,741,520
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     3,312,504       (4,648,838     (4,587,403     (6,902,587
Swap agreements
     1,658,698       (28,812,307     (15,091,046     (27,792,857
Short-term U.S. government and agency obligations
     (159     (17,158     (171,019     (15,362
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     4,971,043       (33,478,303     (19,849,468     (34,710,806
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (52,930,040     12,028,064       (19,931,955     (40,452,326
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (53,349,762   $ 11,458,099     $ (20,969,143   $ (41,601,961
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
2
4

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 355,029,822     $ 214,548,056     $ 232,780,534     $ 263,540,473  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 100,000, 400,000, 1,600,000 and 1,000,000 shares, respectively
     6,573,039       23,214,269       102,257,715       60,276,530  
Redemption of 1,150,000, 100,000, 1,250,000 and 650,000 shares, respectively
     (68,314,246     (5,763,721     (74,130,253     (38,758,339
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (1,050,000), 300,000, 350,000 and 350,000 shares, respectively
     (61,741,207     17,450,548       28,127,462       21,518,191  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (419,722     (569,965     (1,037,188     (1,149,635
Net realized gain (loss)
     (57,901,083     45,506,367       (82,487     (5,741,520
Change in net unrealized appreciation (depreciation)
     4,971,043       (33,478,303     (19,849,468     (34,710,806
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (53,349,762     11,458,099       (20,969,143     (41,601,961
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 239,938,853     $ 243,456,703     $ 239,938,853     $ 243,456,703  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
2
5

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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ (20,969,143   $ (41,601,961
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
     (704,533,509     (422,955,514
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     704,000,000       281,999,771  
Net amortization and accretion on short-term U.S. government and agency obligations
     (377,637     (35,590
Net realized (gain) loss on investments
     —         (245
Change in unrealized (appreciation) depreciation on investments
     15,262,065       27,808,219  
Decrease (Increase) in receivable on open futures contracts
     944,644       (520,982
Decrease (Increase) in interest receivable
     (31,715     4,321  
Increase (Decrease) in payable to Sponsor
     24,571       (13,610
Increase (Decrease) in brokerage commissions and futures account fees payable
     (4,034     4,167  
Increase (Decrease) in payable on open futures contracts
     1,022,544       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (4,662,214     (155,311,424
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     102,257,715       40,405,473  
Payment on shares redeemed
     (71,305,703     (38,758,339
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     30,952,012       1,647,134  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     26,289,798       (153,664,290
Cash, beginning of period
     15,422,082       183,452,109  
    
 
 
   
 
 
 
Cash, end of period
   $ 41,711,880     $ 29,787,819  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
2
6

PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2022

(unaudited)
    
December 31,
2021
 
Assets
             
Short-term U.S. government and agency obligations (Note 3) (cost $290,825,356 and $451,896,236, respectively)
   $ 290,458,173      $ 451,872,982  
Cash
     38,062,175        10,985,565  
Segregated cash balances with brokers for futures contracts
     6,634,250        14,502,938  
Segregated cash balances with brokers for swap agreements
     82,100,000        —    
Unrealized appreciation on swap agreements
     —          40,591,699  
Receivable from capital shares sold
     1,240,339        —    
Receivable on open futures contracts
     —          1,384,919  
Interest receivable
     57,161        1,582  
    
 
 
    
 
 
 
Total assets
     418,552,098        519,339,685  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     —          3,483,770  
Payable on open futures contracts
     2,248,743        —    
Brokerage commissions and futures account fees payable
     —          9,833  
Payable to Sponsor
     313,910        392,488  
Unrealized depreciation on swap agreements
     60,411,930        —    
    
 
 
    
 
 
 
Total liabilities
     62,974,583        3,886,091  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     355,577,515        515,453,594  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 418,552,098      $ 519,339,685  
    
 
 
    
 
 
 
Shares outstanding
     14,346,526        14,796,526  
    
 
 
    
 
 
 
Net asset value per share
   $ 24.78      $ 34.84  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 24.47      $ 34.74  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
2
7

PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(82% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.967% due 07/14/22
   $ 50,000,000      $ 49,979,235  
0.818% due 07/21/22
     73,000,000        72,956,405  
0.674% due 07/28/22
     50,000,000        49,962,875  
0.706% due 08/18/22
     75,000,000        74,862,000  
0.223% due 11/03/22
     43,000,000        42,697,658  
             
 
 
 
Total short-term U.S. government and agency obligations (cost $290,825,356)
            $ 290,458,173  
             
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires September 2022
     773      $ 78,660,480      $ (4,317,941
Total Return Swap Agreements
^
 
    
Rate Paid

(Received)
*
   
Termination

Date
    
Notional Amount

at Value
**
    
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
     0.25     07/06/22      $ 153,262,171      $ (14,941,465
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
     0.30       07/06/22        177,466,859        (18,119,916
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
     0.30       07/06/22        168,307,407        (15,214,853
Swap agreement with UBS AG based on Bloomberg Silver Subindex
     0.25       07/06/22        134,298,894        (12,135,696
                              
 
 
 
                       
 
Total
Unrealized
Depreciation
 
 
 
   $ (60,411,930
                              
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 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 June 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.
 
2
8

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 421,514     $ 65,529     $ 561,963     $ 163,658  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     1,082,340       1,615,157       2,299,939       3,246,292  
Brokerage commissions
     28,732       40,715       59,283       87,297  
Futures account fees
     6,188       48,893       26,693       211,080  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     1,117,260       1,704,765       2,385,915       3,544,669  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (695,746     (1,639,236     (1,823,952     (3,381,011
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (10,869,422     10,593,269       (16,614,384     17,489,539  
Swap agreements
     (145,324,753     105,777,210       (22,942,764     103,791,491  
Short-term U.S. government and agency obligations
     (1,174     —         (1,164     191  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (156,195,349     116,370,479       (39,558,312     121,281,221  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     (13,510,319     372,122       (6,824,486     (52,219,911
Swap agreements
     (36,561,200     (48,708,892     (101,003,629     (133,882,561
Short-term U.S. government and agency obligations
     (64,280     (57,475     (343,929     (35,554
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (50,135,799     (48,394,245     (108,172,044     (186,138,026
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (206,331,148     67,976,234       (147,730,356     (64,856,805
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (207,026,894   $ 66,336,998     $ (149,554,308   $ (68,237,816
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
2
9

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 558,375,841     $ 572,501,249     $ 515,453,594     $ 745,304,028  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 800,000, 1,000,000, 1,800,000 and 3,400,000 shares, respectively
     26,625,358       46,374,159       65,659,299       166,773,794  
Redemption of 750,000, 450,000, 2,250,000 and 3,700,000 shares, respectively
     (22,396,790     (23,433,679     (75,981,070     (182,061,279
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 50,000, 550,000, (450,000) and (300,000) shares, respectively
     4,228,568       22,940,480       (10,321,771     (15,287,485
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (695,746     (1,639,236     (1,823,952     (3,381,011
Net realized gain (loss)
     (156,195,349     116,370,479       (39,558,312     121,281,221  
Change in net unrealized appreciation (depreciation)
     (50,135,799     (48,394,245     (108,172,044     (186,138,026
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (207,026,894     66,336,998       (149,554,308     (68,237,816
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 355,577,515     $ 661,778,727     $ 355,577,515     $ 661,778,727  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
30


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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ (149,554,308   $ (68,237,816
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
     (1,255,430,782     (1,149,854,685
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     1,416,997,680       804,999,794  
Net amortization and accretion on short-term U.S. government and agency obligations
     (497,182     (125,027
Net realized (gain) loss on investments
     1,164       (191
Change in unrealized (appreciation) depreciation on investments
     101,347,558       133,918,115  
Decrease (Increase) in receivable on open futures contracts
     1,384,919       (1,452,315
Decrease (Increase) in interest receivable
     (55,579     4,936  
Increase (Decrease) in payable to Sponsor
     (78,578     4,844  
Increase (Decrease) in brokerage commissions and futures account fees payable
     (9,833     17,899  
Increase (Decrease) in payable on open futures contracts
     2,248,743       (2,312,939
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     116,353,802       (283,037,385
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     64,418,960       166,773,794  
Payment on shares redeemed
     (79,464,840     (182,061,279
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (15,045,880     (15,287,485
    
 
 
   
 
 
 
Net increase (decrease) in cash
     101,307,922       (298,324,870
Cash, beginning of period
     25,488,503       446,401,960  
    
 
 
   
 
 
 
Cash, end of period
   $ 126,796,425     $ 148,077,090  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
3
1

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

(unaudited)
    
December 31, 2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $243,860,580 and $221,725,609, respectively)
   $ 243,251,317      $ 221,660,593  
Cash
     82,159,514        108,688,034  
Segregated cash balances with brokers for futures contracts
     389,544,785        463,432,845  
Receivable from capital shares sold
     2,179,827        —    
Receivable on open futures contracts
     259,159,176        33,597,688  
Interest receivable
     198,453        5,060  
    
 
 
    
 
 
 
Total assets
     976,493,072        827,384,220  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     —          9,447,456  
Brokerage commissions and futures account fees payable
     71,435        167,855  
Payable to Sponsor
     738,104        611,836  
Unrealized depreciation on swap agreements
     —          477,437  
    
 
 
    
 
 
 
Total liabilities
     809,539        10,704,584  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     975,683,533        816,679,636  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 976,493,072      $ 827,384,220  
    
 
 
    
 
 
 
Shares outstanding (Note 1)
     67,228,420        65,828,420  
    
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 14.51      $ 12.41  
    
 
 
    
 
 
 
Market value per share (Note 1) (Note 2)
   $ 14.53      $ 12.43  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
3
2

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(25% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.967% due 07/14/22
   $ 50,000,000      $ 49,979,235  
0.393% due 07/21/22
     50,000,000        49,970,140  
0.674% due 07/28/22
     50,000,000        49,962,875  
0.223% due 11/03/22
     94,000,000        93,339,067  
             
 
 
 
Total short-term U.S. government and agency obligations (cost $243,860,580)
            $ 243,251,317  
             
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2022
     26,481      $ 756,358,266      $ 41,121,658  
VIX Futures - Cboe, expires August 2022
     24,277        708,339,740        (5,677,140
                      
 
 
 
                       $ 35,444,518  
                      
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
3
3

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 430,670     $ 202,556     $ 525,931     $ 316,525  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     2,293,738       2,293,121       4,254,915       6,676,198  
Brokerage commissions
     970,211       1,173,276       1,906,969       3,129,904  
Futures account fees
     444,123       711,443       1,226,811       2,555,256  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     3,708,072       4,177,840       7,388,695       12,361,358  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (3,277,402     (3,975,284     (6,862,764     (12,044,833
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     91,039,435       (811,706,279     349,477,533       (1,464,769,961
Swap agreements
           (42,822,782     22,556,586       (94,277,124
Short-term U.S. government and agency obligations
     (337,934     2,137       (353,087     20,657  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     90,701,501       (854,526,924     371,681,032       (1,559,026,428
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     196,657,178       244,143,655       161,801,275       (40,259,928
Swap agreements
     —         —         477,437       24,807  
Short-term U.S. government and agency obligations
     78,171       (28,407     (544,247     (8,962
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     196,735,349       244,115,248       161,734,465       (40,244,083
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     287,436,850       (610,411,676     533,415,497       (1,599,270,511
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 284,159,448     $ (614,386,960   $ 526,552,733     $ (1,611,315,344
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
3
4

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 1,127,608,641     $ 1,284,373,170     $ 816,679,636     $ 1,356,204,199  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 58,400,000, 12,955,000, 141,500,000 and 32,585,000 shares, respectively (Note 1)
     799,757,076       434,635,046       1,971,472,943       2,373,778,077  
Redemption of 74,700,000, 5,629,671, 140,100,000 and 15,169,671 shares, respectively (Note 1)
     (1,235,841,632     (263,750,553     (2,339,021,779     (1,277,796,229
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (16,300,000), 7,325,329, 1,400,000 and 17,415,329 shares, respectively (Note 1)
     (436,084,556     170,884,493       (367,548,836     1,095,981,848  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (3,277,402     (3,975,284     (6,862,764     (12,044,833
Net realized gain (loss)
     90,701,501       (854,526,924     371,681,032       (1,559,026,428
Change in net unrealized appreciation (depreciation)
     196,735,349       244,115,248       161,734,465       (40,244,083
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     284,159,448       (614,386,960     526,552,733       (1,611,315,344
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 975,683,533     $ 840,870,703     $ 975,683,533     $ 840,870,703  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
3
5

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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 526,552,733     $ (1,611,315,344
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
     (1,476,792,269     (921,859,566
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     1,454,556,289       956,989,987  
Net amortization and accretion on short-term U.S. government and agency obligations
     (252,157     (111,822
Net realized (gain) loss on investments
     353,166       (20,657
Change in unrealized (appreciation) depreciation on investments
     66,810       (15,845
Decrease (Increase) in receivable on open futures contracts
     (225,561,488     3,699,493  
Decrease (Increase) in interest receivable
     (193,393     3,866  
Increase (Decrease) in payable to Sponsor
     126,268       (385,457
Increase (Decrease) in brokerage commissions and futures account fees payable
     (96,420     (230,052
Increase (Decrease) in payable on open futures contracts
     (9,447,456     (15,175,224
Increase (Decrease) in securities purchased payable
     —         17,072,317  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     269,312,083       (1,571,348,304
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     1,969,293,116       2,417,278,189  
Payment on shares redeemed
     (2,339,021,779     (1,277,796,229
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (369,728,663     1,139,481,960  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (100,416,580     (431,866,344
Cash, beginning of period
     572,120,879       1,069,671,996  
    
 
 
   
 
 
 
Cash, end of period
   $ 471,704,299     $ 637,805,652  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
3
6

PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2022

(unaudited)
    
December 31, 2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $998,111 and $–, respectively)
   $ 992,969      $ —    
Cash
     4,110,683        2,232,820  
Segregated cash balances with brokers for foreign currency forward contracts
     —          225,000  
Unrealized appreciation on foreign currency forward contracts
     2,012        821  
Interest receivable
     1,364        95  
    
 
 
    
 
 
 
Total assets
     5,107,028        2,458,736  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable to Sponsor
     3,093        1,954  
Unrealized depreciation on foreign currency forward contracts
     79,162        93,933  
    
 
 
    
 
 
 
Total liabilities
     82,255        95,887  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     5,024,773        2,362,849  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 5,107,028      $ 2,458,736  
    
 
 
    
 
 
 
Shares outstanding
     149,970        49,970  
    
 
 
    
 
 
 
Net asset value per share
   $ 33.51      $ 47.29  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 33.49      $ 47.29  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
3
7

PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(20% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.554% due 11/03/22
   $ 1,000,000      $ 992,969  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $998,111)
            $ 992,969  
             
 
 
 
 
Foreign Currency Forward Contracts
^
  
Settlement Date
    
Contract Amount
in Local Currency
   
Contract Amount
in U.S. Dollars
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
                                 
Yen with Goldman Sachs International
     07/08/22        333,241,517     $ 2,456,755     $ (34,398
Yen with UBS AG
     07/08/22        1,080,855,856       7,968,387       (44,764
                             
 
 
 
                        Total Unrealized
Depreciation
 
 
  $ (79,162
                             
 
 
 
Contracts to Sell
                                 
Yen with UBS AG
     07/08/22        (54,170,000   $ (399,357   $ 2,012  
                             
 
 
 
                        Total Unrealized
Appreciation
 
 
  $ 2,012  
                             
 
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
 
^
The positions and counterparties herein are as of June 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.
 
3
8

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

June 30,
   
Six Months Ended

June 30,
 
    
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 3,064     $ 307     $ 3,937     $ 663  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     8,036       6,262       13,465       12,911  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     8,036       6,262       13,465       12,911  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (4,972     (5,955     (9,528     (12,248
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Foreign currency forward contracts
     (761,478     (140,007     (880,249     (279,474
Short-term U.S. government and agency obligations
     —         —         1,548       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (761,478     (140,007     (878,701     (279,474
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Foreign currency forward contracts
     154,501       118,748       15,962       (137,341
Short-term U.S. government and agency obligations
     (2,316     (132     (5,142     (88
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     152,185       118,616       10,820       (137,429
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (609,293     (21,391     (867,881     (416,903
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (614,265   $ (27,346   $ (877,409   $ (429,151
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
3
9

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 2,099,705     $ 2,587,694     $ 2,362,849     $ 2,989,499  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 100,000, –, 100,000 and – shares, respectively
     3,539,333       —         3,539,333       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 100,000, –, 100,000 and – shares, respectively
     3,539,333       —         3,539,333       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (4,972     (5,955     (9,528     (12,248
Net realized gain (loss)
     (761,478     (140,007     (878,701     (279,474
Change in net unrealized appreciation (depreciation)
     152,185       118,616       10,820       (137,429
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (614,265     (27,346     (877,409     (429,151
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 5,024,773     $ 2,560,348     $ 5,024,773     $ 2,560,348  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
40


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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ (877,409   $ (429,151
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
     (2,342     (173
Net realized (gain) loss on investments
     (1,548     —    
Change in unrealized (appreciation) depreciation on investments
     (10,820     137,429  
Decrease (Increase) in interest receivable
     (1,269     44  
Increase (Decrease) in payable to Sponsor
     1,139       (346
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (1,886,470     (1,291,937
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     3,539,333       —    
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     3,539,333       —    
    
 
 
   
 
 
 
Net increase (decrease) in cash
     1,652,863       (1,291,937
Cash, beginning of period
     2,457,820       2,924,696  
    
 
 
   
 
 
 
Cash, end of period
   $ 4,110,683     $ 1,632,759  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
4
1

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

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $232,892,020 and $55,932,300, respectively)
   $ 232,635,606      $ 55,916,023  
Cash
     90,387,278        29,602,412  
Segregated cash balances with brokers for futures contracts
     157,055,967        24,841,141  
Receivable on open futures contracts
     33,012,400        4,064,439  
Interest receivable
     99,815        1,359  
    
 
 
    
 
 
 
Total assets
     513,191,066        114,425,374  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     11,682,748        175,557  
Brokerage commissions and futures account fees payable
     12,618        7,944  
Payable to Sponsor
     338,396        74,271  
    
 
 
    
 
 
 
Total liabilities
     12,033,762        257,772  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     501,157,304        114,167,602  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 513,191,066      $ 114,425,374  
    
 
 
    
 
 
 
Shares outstanding (Note 1)
     21,755,220        1,776,760  
    
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 23 .04      $ 64 .26  
    
 
 
    
 
 
 
Market value per share (Note 1) (Note 2)
   $ 22 .93      $ 63 .75  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
4
2

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(46% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.967% due 07/14/22
   $ 75,000,000      $ 74,968,852  
0.824% due 07/21/22
     72,000,000        71,957,002  
0.674% due 07/28/22
     50,000,000        49,962,875  
0.223% due 11/03/22
     36,000,000        35,746,877  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $232,892,020)
            $ 232,635,606  
             
 
 
 
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires September 2022
     3,134      $ 323,115,400      $ 23,341,763  
WTI Crude Oil - NYMEX, expires December 2022
     3,605        344,493,800        (352,389
WTI Crude Oil - NYMEX, expires June 2023
     3,824        335,058,880        5,527,457  
                      
 
 
 
                       $ 28,516,831  
                      
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
4
3

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 289,299     $ 18,343     $ 343,206     $ 29,178  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     946,110       181,035       1,438,757       402,298  
Brokerage commissions
     107,079       28,581       184,135       71,625  
Futures account fees
     85,802       17,468       155,979       65,180  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     1,138,991       227,084       1,778,871       539,103  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (849,692     (208,741     (1,435,665     (509,925
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (102,594,000     (26,010,421     (209,076,101     (75,188,186
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (102,594,000     (26,010,421     (209,076,101     (75,188,186
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     34,810,301       (9,944,438     36,926,293       (4,307,804
Short-term U.S. government and agency obligations
     (53,187     (2,994     (240,137     (784
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     34,757,114       (9,947,432     36,686,156       (4,308,588
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (67,836,886     (35,957,853     (172,389,945     (79,496,774
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (68,686,578   $ (36,166,594   $ (173,825,610   $ (80,006,699
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
4
4

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 416,799,231     $ 91,718,390     $ 114,167,602     $ 96,839,233  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 12,320,000, 387,500, 27,890,000 and 777,500 shares, respectively (Note 1)
     278,861,920       43,181,460       788,890,799       107,484,439  
Redemption of 4,851,540, 147,734, 7,911,540 and 317,734 shares, respectively (Note 1)
     (125,817,269     (19,333,197     (228,075,487     (44,916,914
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 7,468,460, 239,766, 19,978,460 and 459,766 shares, respectively (Note 1)
     153,044,651       23,848,263       560,815,312       62,567,525  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (849,692     (208,741     (1,435,665     (509,925
Net realized gain (loss)
     (102,594,000     (26,010,421     (209,076,101     (75,188,186
Change in net unrealized appreciation (depreciation)
     34,757,114       (9,947,432     36,686,156       (4,308,588
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (68,686,578     (36,166,594     (173,825,610     (80,006,699
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 501,157,304     $ 79,400,059     $ 501,157,304     $ 79,400,059  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
4
5

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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ (173,825,610   $ (80,006,699
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
     (988,742,468     (92,987,219
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     812,000,000       60,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (217,252     (9,935
Change in unrealized (appreciation) depreciation on investments
     240,137       784  
Decrease (Increase) in receivable on open futures contracts
     (28,947,961     32,573  
Decrease (Increase) in interest receivable
     (98,456     1,820  
Increase (Decrease) in payable to Sponsor
     264,125       (22,244
Increase (Decrease) in brokerage commissions and futures account fees payable
     4,674       12,516  
Increase (Decrease) in payable on open futures contracts
     11,507,191       242,424  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (367,815,620     (112,735,980
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     788,890,799       107,484,439  
Payment on shares redeemed
     (228,075,487     (44,916,914
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     560,815,312       62,567,525  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     192,999,692       (50,168,455
Cash, beginning of period
     54,443,553       97,113,373  
    
 
 
   
 
 
 
Cash, end of period
   $ 247,443,245     $ 46,944,918  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
4
6

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

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $59,954,167 and $123,855,553, respectively)
   $ 59,578,128      $ 123,821,548  
Cash
     49,173,153        53,547,476  
Segregated cash balances with brokers for futures contracts
     61,959,000        59,453,451  
Receivable on open futures contracts
     73,179,660        30,090,351  
Interest receivable
     37,048        1,749  
    
 
 
    
 
 
 
Total assets
     243,926,989        266,914,575  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     25,091,911        15,986,002  
Payable on open futures contracts
     6,843,311        8,542,438  
Brokerage commissions and futures account fees payable
     11,280        46,867  
Payable to Sponsor
     157,041        194,138  
    
 
 
    
 
 
 
Total liabilities
     32,103,543        24,769,445  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     211,823,446        242,145,130  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 243,926,989      $ 266,914,575  
    
 
 
    
 
 
 
Shares outstanding (Note 1)
     4,966,856        978,742  
    
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 42.65      $ 247.40  
    
 
 
    
 
 
 
Market value per share (Note 1) (Note 2)
   $ 40.02      $ 242.20  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
4
7

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(28% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.223% due 11/03/22
   $ 60,000,000      $ 59,578,128  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $59,954,167)
            $ 59,578,128  
             
 
 
 
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires September 2022
     7,871      $ 424,404,320      $ 154,070,341  
^^ Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
4
8

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

June 30,
   
Six Months Ended

June 30,
 
    
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 122,188     $ 7,750     $ 178,013     $ 15,633  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     510,704       191,311       1,053,068       350,648  
Brokerage commissions
     144,907       96,343       365,858       182,023  
Futures account fees
     76,956       33,853       206,885       57,126  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     732,567       321,507       1,625,811       589,797  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (610,379     (313,757     (1,447,798     (574,164
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (282,646,685     (10,305,304     (397,312,383     (16,664,698
Short-term U.S. government and agency obligations
     (199     —         (58,809     —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (282,646,884     (10,305,304     (397,371,192     (16,664,698
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     228,166,248       (33,691,003     140,634,090       (17,797,456
Short-term U.S. government and agency obligations
     (87,121     (2,758     (342,034     (1,241
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     228,079,127       (33,693,761     140,292,056       (17,798,697
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (54,567,757     (43,999,065     (257,079,136     (34,463,395
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (55,178,136   $ (44,312,822   $ (258,526,934   $ (35,037,559
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
4
9

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 250,340,837     $ 69,459,275     $ 242,145,130     $ 24,977,745  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 18,700,000, 172,500, 23,340,000 and 377,500 shares, respectively (Note 1)
     489,076,501       93,913,245       944,035,742       235,963,431  
Redemption of 17,601,764, 35,000, 19,351,886 and 177,500 shares, respectively (Note 1)
     (472,415,756     (21,534,398     (715,830,492     (128,378,317
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 1,098,236, 137,500, 3,988,114 and 200,000 shares, respectively (Note 1)
     16,660,745       72,378,847       228,205,250       107,585,114  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (610,379     (313,757     (1,447,798     (574,164
Net realized gain (loss)
     (282,646,884     (10,305,304     (397,371,192     (16,664,698
Change in net unrealized appreciation (depreciation)
     228,079,127       (33,693,761     140,292,056       (17,798,697
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (55,178,136     (44,312,822     (258,526,934     (35,037,559
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 211,823,446     $ 97,525,300     $ 211,823,446     $ 97,525,300  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
50


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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ (258,526,934   $ (35,037,559
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
     (346,906,626     (94,989,543
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     410,859,860       64,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (110,657     (7,481
Net realized (gain) loss on investments
     58,809       —    
Change in unrealized (appreciation) depreciation on investments
     342,034       1,241  
Decrease (Increase) in receivable on open futures contracts
     (43,089,309     —    
Decrease (Increase) in interest receivable
     (35,299     (1,297
Increase (Decrease) in payable to Sponsor
     (37,097     43,211  
Increase (Decrease) in brokerage commissions and futures account fees payable
     (35,587     9,927  
Increase (Decrease) in payable on open futures contracts
     (1,699,127     469,496  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (239,179,933     (65,512,005
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     944,035,742       235,963,431  
Payment on shares redeemed
     (706,724,583     (130,982,494
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     237,311,159       104,980,937  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (1,868,774     39,468,932  
Cash, beginning of period
     113,000,927       19,147,382  
    
 
 
   
 
 
 
Cash, end of period
   $ 111,132,153     $ 58,616,314  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
5
1

PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2022

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $19,986,920 and $46,968,288, respectively)
   $ 19,885,112      $ 46,961,125  
Cash
     39,223,441        7,554,065  
Unrealized appreciation on foreign currency forward contracts
     3,382,293        135,118  
Interest receivable
     17,859        603  
    
 
 
    
 
 
 
Total assets
     62,508,705        54,650,911  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable to Sponsor
     51,398        44,707  
Unrealized depreciation on foreign currency forward contracts
     187,210        343,159  
    
 
 
    
 
 
 
Total liabilities
     238,608        387,866  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     62,270,097        54,263,045  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 62,508,705      $ 54,650,911  
    
 
 
    
 
 
 
Shares outstanding
     2,050,000        2,100,000  
    
 
 
    
 
 
 
Net asset value per share
   $ 30.38      $ 25.84  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 30.41      $ 25.86  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
5
2

PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(32% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.393% due 07/21/22
   $ 4,000,000      $ 3,997,611  
0.223% due 11/03/22
     16,000,000        15,887,501  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $19,986,920)
            $ 19,885,112  
             
 
 
 
Foreign Currency Forward Contracts
^
 
    
Settlement Date
    
Contract Amount
in Local
Currency
   
Contract Amount
in U.S. Dollars
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
                                 
Euro with Goldman Sachs International
     07/08/22        12,080,000     $ 12,659,194     $ (101,019
Euro with UBS AG
     07/08/22        12,060,000       12,638,235       (86,191
                             
 
 
 
                       
 
Total
Unrealized
Depreciation
 
 
 
  $ (187,210
                             
 
 
 
Contracts to Sell
                                 
Euro with Goldman Sachs International
     07/08/22        (51,635,263   $ (54,110,993   $ 1,346,162  
Euro with UBS AG
     07/08/22        (91,489,199     (95,875,786     2,036,131  
                             
 
 
 
                       
 
Total
Unrealized
Appreciation
 
 
 
  $ 3,382,293  
                             
 
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of June 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.
 
5
3

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 39,011     $ 5,640     $ 54,416     $ 12,806  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     146,934       114,680       264,390       238,718  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     146,934       114,680       264,390       238,718  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (107,923     (109,040     (209,974     (225,912
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Foreign currency forward contracts
     3,065,129       (795,757     5,607,263       (725,230
Short-term U.S. government and agency obligations
     —         —         210,974       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     3,065,129       (795,757     5,818,237       (725,230
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Foreign currency forward contracts
     3,061,048       (509,443     3,403,124       3,881,954  
Short-term U.S. government and agency obligations
     (21,310     (1,727     (94,645     (887
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     3,039,738       (511,170     3,308,479       3,881,067  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     6,104,867       (1,306,927     9,126,716       3,155,837  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 5,996,944     $ (1,415,967   $ 8,916,742     $ 2,929,925  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
5
4

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 50,498,084     $ 54,932,137     $ 54,263,045     $ 52,953,339  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 500,000, –, 550,000 and 200,000 shares, respectively
     14,656,401       —         16,028,063       4,613,244  
Redemption of 300,000, 200,000, 600,000 and 500,000 shares, respectively
     (8,881,332     (4,695,730     (16,937,753     (11,676,068
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 200,000, (200,000), (50,000) and (300,000) shares, respectively
     5,775,069       (4,695,730     (909,690     (7,062,824
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (107,923     (109,040     (209,974     (225,912
Net realized gain (loss)
     3,065,129       (795,757     5,818,237       (725,230
Change in net unrealized appreciation (depreciation)
     3,039,738       (511,170     3,308,479       3,881,067  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     5,996,944       (1,415,967     8,916,742       2,929,925  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 62,270,097     $ 48,820,440     $ 62,270,097     $ 48,820,440  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
5
5

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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 8,916,742     $ 2,929,925  
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
     (44,986,222     (69,991,234
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     72,210,974       52,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (32,410     (6,372
Net realized (gain) loss on investments
     (210,974     —    
Change in unrealized (appreciation) depreciation on investments
     (3,308,479     (3,881,067
Decrease (Increase) in interest receivable
     (17,256     970  
Increase (Decrease) in payable to Sponsor
     6,691       (7,018
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     32,579,066       (18,954,796
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     16,028,063       4,613,244  
Payment on shares redeemed
     (16,937,753     (11,676,068
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (909,690     (7,062,824
    
 
 
   
 
 
 
Net increase (decrease) in cash
     31,669,376       (26,017,620
Cash, beginning of period
     7,554,065       44,132,228  
    
 
 
   
 
 
 
Cash, end of period
   $ 39,223,441     $ 18,114,608  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
5
6

PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2022

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $13,992,602 and $25,984,097, respectively)
   $ 13,940,167      $ 25,980,516  
Cash
     17,059,170        1,287,229  
Segregated cash balances with brokers for futures contracts
     1,338,300        703,125  
Unrealized appreciation on swap agreements
     720,984        —    
Receivable from capital shares sold
     1,579,684        —    
Receivable on open futures contracts
     5,100        —    
Interest receivable
     6,819        434  
    
 
 
    
 
 
 
Total assets
     34,650,224        27,971,304  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     14,954        92,537  
Brokerage commissions and futures account fees payable
     —          294  
Payable to Sponsor
     23,986        25,512  
Unrealized depreciation on swap agreements
     —          993,117  
    
 
 
    
 
 
 
Total liabilities
     38,940        1,111,460  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     34,611,284        26,859,844  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 34,650,224      $ 27,971,304  
    
 
 
    
 
 
 
Shares outstanding
     1,096,977        846,977  
    
 
 
    
 
 
 
Net asset value per share
   $ 31.55      $ 31.71  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 31.59      $ 31.66  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
5
7

PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(40% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.393% due 07/21/22
   $ 6,000,000      $ 5,996,417  
0.223% due 11/03/22
     8,000,000        7,943,750  
             
 
 
 
Total short-term U.S. government and agency obligations
                 
(cost $13,992,602)
            $ 13,940,167  
             
 
 
 
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires August 2022
     184      $ 33,254,320      $ 811,562  
Total Return Swap Agreements
^
 
    
Rate Paid

(Received)
*
   
Termination

Date
    
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
     0.25     07/06/22      $ (14,809,140   $ 295,777  
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
     0.20       07/06/22        (9,688,247     193,824  
Swap agreement with UBS AG based on Bloomberg Gold Subindex
     0.25       07/06/22        (11,585,084     231,383  
                             
 
 
 
                       
Total Unrealized
Appreciation
 
 
  $ 720,984  
                             
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 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 June 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.
 
5
8

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 19,975     $ 3,176     $ 29,660     $ 6,138  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     75,676       69,968       141,814       133,695  
Brokerage commissions
     2,985       2,283       5,796       5,873  
Futures account fees
     580       1,802       2,446       6,488  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     79,241       74,053       150,056       146,056  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (59,266     (70,877     (120,396     (139,918
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     1,310,720       (2,050,237     (680,529     (715,255
Swap agreements
     3,247,150       (4,934,310     (1,070,274     (2,266,102
Short-term U.S. government and agency obligations
     —         —         4       169  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     4,557,870       (6,984,547     (1,750,799     (2,981,188
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     485,575       546,794       653,483       782,869  
Swap agreements
     (187,339     3,260,286       1,714,101       2,843,547  
Short-term U.S. government and agency obligations
     (8,285     (1,027     (48,854     (216
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     289,951       3,806,053       2,318,730       3,626,200  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     4,847,821       (3,178,494     567,931       645,012  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 4,788,555     $ (3,249,371   $ 447,535     $ 505,094  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
5
9

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 32,598,451     $ 41,243,515     $ 26,859,844     $ 20,337,376  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 700,000, 300,000, 1,150,000 and 1,050,000 shares, respectively
     20,554,617       10,071,690       33,744,566       37,362,906  
Redemption of 800,000, 450,000, 900,000 and 750,000 shares, respectively
     (23,330,339     (15,230,820     (26,440,661     (25,370,362
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (100,000), (150,000), 250,000 and 300,000 shares, respectively
     (2,775,722     (5,159,130     7,303,905       11,992,544  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (59,266     (70,877     (120,396     (139,918
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     4,557,870       (6,984,547     (1,750,799     (2,981,188
Change in net unrealized appreciation (depreciation)
     289,951       3,806,053       2,318,730       3,626,200  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     4,788,555       (3,249,371     447,535       505,094  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 34,611,284     $ 32,835,014     $ 34,611,284     $ 32,835,014  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
60


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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 447,535     $ 505,094  
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
     (17,987,491     (30,995,460
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     29,999,990       18,999,936  
Net amortization and accretion on short-term U.S. government and agency obligations
     (21,000     (2,843
Net realized (gain) loss on investments
     (4     (169
Change in unrealized (appreciation) depreciation on investments
     (1,665,247     (2,843,331
Decrease (Increase) in receivable on open futures contracts
     (5,100     1,317  
Decrease (Increase) in interest receivable
     (6,385     89  
Increase (Decrease) in payable to Sponsor
     (1,526     4,798  
Increase (Decrease) in brokerage commissions and futures account fees payable
     (294     406  
Increase (Decrease) in payable on open futures contracts
     (77,583     81,805  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     10,682,895       (14,248,358
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     32,164,882       37,362,906  
Payment on shares redeemed
     (26,440,661     (25,370,362
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     5,724,221       11,992,544  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     16,407,116       (2,255,814
Cash, beginning of period
     1,990,354       20,633,371  
    
 
 
   
 
 
 
Cash, end of period
   $ 18,397,470     $ 18,377,557  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
6
1

PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2022

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $12,996,113 and $22,995,121, respectively)
   $ 12,979,368      $ 22,994,261  
Cash
     12,637,173        1,829,901  
Segregated cash balances with brokers for futures contracts
     3,798,437        1,081,575  
Segregated cash balances with brokers for swap agreements
     —          2,572,000  
Unrealized appreciation on swap agreements
     1,873,038        —    
Receivable from capital shares sold
     1,587,633        —    
Receivable on open futures contracts
     191,494        15,446  
Interest receivable
     5,185        378  
    
 
 
    
 
 
 
Total assets
     33,072,328        28,493,561  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     —          5,840  
Brokerage commissions and futures account fees payable
     —          747  
Payable to Sponsor
     19,488        28,560  
Unrealized depreciation on swap agreements
     —          1,921,414  
    
 
 
    
 
 
 
Total liabilities
     19,488        1,956,561  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     33,052,840        26,537,000  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 33,072,328      $ 28,493,561  
    
 
 
    
 
 
 
Shares outstanding (Note 1)
     1,041,329        991,329  
    
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 31.74      $ 26.77  
    
 
 
    
 
 
 
Market value per share (Note 1) (Note 2)
   $ 32.19      $ 26.84  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
6
2

PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(39% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.393% due 07/21/22
   $ 11,000,000      $ 10,993,430  
0.223% due 11/03/22
     2,000,000        1,985,938  
             
 
 
 
Total short-term U.S. government and agency obligations (cost $12,996,113)
            $ 12,979,368  
             
 
 
 
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires September 2022
     445      $ 45,283,200      $ 2,516,890  
Total Return Swap Agreements
^
 
    
Rate Paid

(Received)
*
   
Termination

Date
    
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
     0.25     07/06/22      $ (2,464,774   $ 221,841  
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
     0.25       07/06/22        (8,978,838     808,139  
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
     0.30       07/06/22        (7,099,463     638,732  
Swap agreement with UBS AG based on Bloomberg Silver Subindex
     0.25       07/06/22        (2,270,181     204,326  
                             
 
 
 
                       
Total Unrealized
Appreciation
 
 
  $ 1,873,038  
                             
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 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 June 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.
 
6
3

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 18,743     $ 2,678     $ 27,663     $ 5,795  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     62,381       72,831       123,334       157,576  
Brokerage commissions
     6,677       3,824       11,978       11,268  
Futures account fees
     1,169       4,207       4,443       14,198  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     70,227       80,862       139,755       183,042  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (51,484     (78,184     (112,092     (177,247
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     5,944,050       (216,957     4,650,280       (1,453,150
Swap agreements
     3,467,182       (5,659,499     (2,612,794     (7,355,657
Short-term U.S. government and agency obligations
     —         —         (190     85  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     9,411,232       (5,876,456     2,037,296       (8,808,722
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     2,249,743       (3,005,003     1,864,397       491,967  
Swap agreements
     1,599,944       2,081,517       3,794,452       6,050,311  
Short-term U.S. government and agency obligations
     3,625       (1,834     (15,885     (1,087
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     3,853,312       (925,320     5,642,964       6,541,191  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     13,264,544       (6,801,776     7,680,260       (2,267,531
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 13,213,060     $ (6,879,960   $ 7,568,168     $ (2,444,778
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
6
4

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 23,406,516     $ 45,144,664     $ 26,537,000     $ 28,885,775  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 700,000, 300,000, 1,800,000 and 2,750,000 shares, respectively (Note 1)
     17,707,417       7,086,666       43,267,561       65,182,313  
Redemption of 750,000, 425,415, 1,750,000 and 2,300,415 shares, respectively (Note 1)
     (21,274,153     (10,491,607     (44,319,889     (56,763,547
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (50,000), (125,415), 50,000 and 449,585 shares, respectively (Note 1)
     (3,566,736     (3,404,941     (1,052,328     8,418,766  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (51,484     (78,184     (112,092     (177,247
Net realized gain (loss)
     9,411,232       (5,876,456     2,037,296       (8,808,722
Change in net unrealized appreciation (depreciation)
     3,853,312       (925,320     5,642,964       6,541,191  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     13,213,060       (6,879,960     7,568,168       (2,444,778
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
  
$
33,052,840
 
 
$
34,859,763
 
 
$
33,052,840
 
 
$
34,859,763
 
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
6
5

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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 7,568,168     $ (2,444,778
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
     (20,979,051     (39,995,436
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     30,999,081       22,999,988  
Net amortization and accretion on short-term U.S. government and agency obligations
     (21,212     (3,358
Net realized (gain) loss on investments
     190       (85
Change in unrealized (appreciation) depreciation on investments
     (3,778,567     (6,049,224
Decrease (Increase) in receivable on open futures contracts
     (176,048     38,813  
Decrease (Increase) in interest receivable
     (4,807     304  
Increase (Decrease) in payable to Sponsor
     (9,072     (3,427
Increase (Decrease) in brokerage commissions and futures account fees payable
     (747     620  
Increase (Decrease) in payable on open futures contracts
     (5,840     (80,422
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     13,592,095       (25,537,005
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     41,679,928       65,182,313  
Payment on shares redeemed
     (44,319,889     (56,763,547
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (2,639,961     8,418,766  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     10,952,134       (17,118,239
Cash, beginning of period
     5,483,476       32,155,049  
    
 
 
   
 
 
 
Cash, end of period
   $ 16,435,610     $ 15,036,810  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
6
6

PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2022

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $10,994,894 and $20,990,068, respectively)
   $ 10,961,261      $ 20,987,825  
Cash
     33,655,143        3,003,251  
Unrealized appreciation on foreign currency forward contracts
     1,127,711        1,237,168  
Interest receivable
     12,600        339  
    
 
 
    
 
 
 
Total assets
     45,756,715        25,228,583  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable to Sponsor
     31,627        20,211  
Unrealized depreciation on foreign currency forward contracts
     156,206        367,588  
    
 
 
    
 
 
 
Total liabilities
     187,833        387,799  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     45,568,882        24,840,784  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 45,756,715      $ 25,228,583  
    
 
 
    
 
 
 
Shares outstanding (Note 1
)

     798,580        598,580  
    
 
 
    
 
 
 
Net asset value per share (Note 1
)

   $ 57.06      $ 41.50  
    
 
 
    
 
 
 
Market value per share (Note 1) (Note 2
)

   $ 57.13      $ 41.50  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
6
7

PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(24% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.393% due 07/21/22
   $ 6,000,000      $ 5,996,417  
0.223% due 11/03/22
     5,000,000        4,964,844  
             
 
 
 
Total short-term U.S. government and agency obligations (cost $10,994,894)
            $ 10,961,261  
             
 
 
 
Foreign Currency Forward Contracts
^
 
    
Settlement
Date
    
Contract Amount

in Local Currency
   
Contract Amount

in U.S. Dollars
   
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
                                 
Yen with UBS AG
     07/08/22        1,505,180,000     $ 11,096,632     $ (156,206
                             
 
 
 
                        Total Unrealized
Depreciation
 
 
  $ (156,206
                             
 
 
 
Contracts to Sell
                                 
Yen with Goldman Sachs International
     07/08/22        (1,658,463,165   $ (12,226,680   $ 164,849  
Yen with UBS AG
     07/08/22        (12,207,008,574     (89,993,668     962,862  
                             
 
 
 
                       
Total Unrealized
Appreciation
 
 
  $ 1,127,711  
                             
 
 
 
 
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of June 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.
 
6
8

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 26,913     $ 3,570     $ 36,312     $ 7,166  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     93,181       72,446       153,001       138,999  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     93,181       72,446       153,001       138,999  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (66,268     (68,876     (116,689     (131,833
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Foreign currency forward contracts
     7,917,170       1,598,086       8,997,343       2,857,659  
Short-term U.S. government and agency obligations
     —         —         102,971       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     7,917,170       1,598,086       9,100,314       2,857,659  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Foreign currency forward contracts
     (1,364,477     (1,644,087     101,925       1,256,801  
Short-term U.S. government and agency obligations
     (3,452     (1,390     (31,390     (536
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (1,367,929     (1,645,477     70,535       1,256,265  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     6,549,241       (47,391     9,170,849       4,113,924  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
  
$
6,482,973
 
 
$
(116,267
 
$
9,054,160
 
 
$
3,982,091
 
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
6
9

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 27,726,701     $ 34,921,840     $ 24,840,784     $ 23,691,070  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 650,000, –, 850,000 and 200,000 shares,
respectively (Note 1)
     34,515,397       —         44,120,719       7,132,412  
Redemption of 450,000, 200,000, 650,000 and 200,000 shares,
respectively (Note 1)
     (23,156,189     (7,573,825     (32,446,781     (7,573,825
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 200,000, (200,000), 200,000 and – shares,
respectively (Note 1)
     11,359,208       (7,573,825     11,673,938       (441,413
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (66,268     (68,876     (116,689     (131,833
Net realized gain (loss)
     7,917,170       1,598,086       9,100,314       2,857,659  
Change in net unrealized appreciation (depreciation)
     (1,367,929     (1,645,477     70,535       1,256,265  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     6,482,973       (116,267     9,054,160       3,982,091  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 45,568,882     $ 27,231,748     $ 45,568,882     $ 27,231,748  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
70

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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 9,054,160     $ 3,982,091  
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
     (17,984,733     (33,495,479
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     28,102,971       21,500,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (20,093     (3,456
Net realized (gain) loss on investments
     (102,971     —    
Change in unrealized (appreciation) depreciation on investments
     (70,535     (1,256,265
Decrease (Increase) in interest receivable
     (12,261     184  
Increase (Decrease) in payable to Sponsor
     11,416       1,932  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     18,977,954       (9,270,993
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     44,120,719       7,132,412  
Payment on shares redeemed
     (32,446,781     (7,573,825
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     11,673,938       (441,413
    
 
 
   
 
 
 
Net increase (decrease) in cash
     30,651,892       (9,712,406
Cash, beginning of period
     3,003,251       24,274,564  
    
 
 
   
 
 
 
Cash, end of period
   $ 33,655,143     $ 14,562,158  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
7
1

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

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $31,975,556 and $85,937,303, respectively)
   $ 31,775,002      $ 85,922,969  
Cash
     48,979,153        8,130,069  
Segregated cash balances with brokers for futures contracts
     14,189,600        18,941,750  
Receivable on open futures contracts
     815,775        63,397  
Interest receivable
     22,932        1,097  
    
 
 
    
 
 
 
Total assets
     95,782,462        113,059,282  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     —          94,495  
Brokerage commissions and futures account fees payable
     —          7,124  
Payable to Sponsor
     61,191        81,983  
    
 
 
    
 
 
 
Total liabilities
     61,191        183,602  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     95,721,271        112,875,680  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 95,782,462      $ 113,059,282  
    
 
 
    
 
 
 
Shares outstanding
     2,712,403        3,687,403  
    
 
 
    
 
 
 
Net asset value per share
   $ 35.29      $ 30.61  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 35.38      $ 30.57  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
7
2

PROSHARES VIX MID-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(33% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.223% due 11/03/22
   $ 32,000,000      $ 31,775,002  
             
 
 
 
Total short-term U.S. government and agency obligations (cost $31,975,556)
            $ 31,775,002  
             
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2022
     569      $ 16,944,251      $ 1,648,250  
VIX Futures - Cboe, expires November 2022
     1,089        32,144,884        1,059,336  
VIX Futures - Cboe, expires December 2022
     1,090        31,400,611        444,206  
VIX Futures - Cboe, expires January 2023
     521        15,420,610        (71,125
                      
 
 
 
                       $ 3,080,667  
                      
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
7
3

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 52,826     $ 8,349     $ 76,749     $ 18,573  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     210,584       187,266       426,247       365,346  
Brokerage commissions
     15,500       16,096       40,369       27,408  
Futures account fees
     10,906       32,131       46,394       57,763  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     236,990       235,493       513,010       450,517  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (184,164     (227,144     (436,261     (431,944
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     7,862,052       (14,405,542     12,653,885       (10,866,226
Short-term U.S. government and agency obligations
     —         —         (336     —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     7,862,052       (14,405,542     12,653,549       (10,866,226
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     4,040,230       3,575,301       3,705,055       (4,701,371
Short-term U.S. government and agency obligations
     (47,560     (3,271     (186,220     (2,121
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     3,992,670       3,572,030       3,518,835       (4,703,492
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     11,854,722       (10,833,512     16,172,384       (15,569,718
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 11,670,558     $ (11,060,656   $ 15,736,123     $ (16,001,662
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
7
4

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 97,869,914     $ 75,122,747     $ 112,875,680     $ 72,075,095  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 300,000, 1,025,000, 1,000,000 and 1,425,000 shares, respectively
     10,043,451       33,730,245       32,179,053       49,610,239  
Redemption of 700,000, 150,000, 1,975,000 and 350,000 shares, respectively
     (23,862,652     (5,129,602     (65,069,585     (13,020,938
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (400,000), 875,000, (975,000) and 1,075,000 shares, respectively
     (13,819,201     28,600,643       (32,890,532     36,589,301  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (184,164     (227,144     (436,261     (431,944
Net realized gain (loss)
     7,862,052       (14,405,542     12,653,549       (10,866,226
Change in net unrealized appreciation (depreciation)
     3,992,670       3,572,030       3,518,835       (4,703,492
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     11,670,558       (11,060,656     15,736,123       (16,001,662
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 95,721,271     $ 92,662,734     $ 95,721,271     $ 92,662,734  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
7
5

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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 15,736,123     $ (16,001,662
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
     (51,992,010     (72,990,517
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     105,998,548       93,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (45,127     (8,188
Net realized (gain) loss on investments
     336       —    
Change in unrealized (appreciation) depreciation on investments
     186,220       2,121  
Decrease (Increase) in receivable on open futures contracts
     (752,378     136,487  
Decrease (Increase) in interest receivable
     (21,835     (1,364
Increase (Decrease) in payable to Sponsor
     (20,792     7,645  
Increase (Decrease) in brokerage commissions and futures account fees payable
     (7,124     2,100  
Increase (Decrease) in payable on open futures contracts
     (94,495     102,601  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     68,987,466       4,249,223  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     32,179,053       48,084,371  
Payment on shares redeemed
     (65,069,585     (13,936,725
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (32,890,532     34,147,646  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     36,096,934       38,396,869  
Cash, beginning of period
     27,071,819       27,802,834  
    
 
 
   
 
 
 
Cash, end of period
   $ 63,168,753     $ 66,199,703  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
7
6

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

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $169,905,842 and $150,887,871, respectively)
   $ 169,526,219      $ 150,861,898  
Cash
     36,024,677        11,013,736  
Segregated cash balances with brokers for futures contracts
     97,881,220        104,947,080  
Receivable from capital shares sold
     —          3,026,614  
Receivable on open futures contracts
     38,448,080        2,115,232  
Interest receivable
     72,133        1,774  
    
 
 
    
 
 
 
Total assets
     341,952,329        271,966,334  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     —          2,037,391  
Brokerage commissions and futures account fees payable
     18,674        38,926  
Payable to Sponsor
     219,339        186,853  
    
 
 
    
 
 
 
Total liabilities
     238,013        2,263,170  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     341,714,316        269,703,164  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 341,952,329      $ 271,966,334  
    
 
 
    
 
 
 
Shares outstanding (Note 1)
     18,757,826        17,832,826  
    
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 18.22      $ 15.12  
    
 
 
    
 
 
 
Market value per share (Note 1) (Note 2)
   $ 18.25      $ 15.17  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
7
7

PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2022
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
                 
(50% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.967% due 07/14/22
   $ 25,000,000      $ 24,989,618  
0.894% due 07/21/22
     62,000,000        61,962,973  
0.674% due 07/28/22
     25,000,000        24,981,438  
0.223% due 11/03/22
     58,000,000        57,592,190  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $169,905,842)
            $ 169,526,219  
             
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2022
     6,185      $ 176,657,825      $ 5,185,782  
VIX Futures - Cboe, expires August 2022
     5,672        165,494,213        (1,810,355
                      
 
 
 
                       $ 3,375,427  
                      
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
7
8

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 207,903     $ 40,988     $ 278,612     $ 79,448  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     773,717       669,363       1,479,408       1,494,823  
Brokerage commissions
     171,182       94,839       287,656       267,497  
Futures account fees
     115,783       174,368       316,440       439,514  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     1,060,682       938,570       2,083,504       2,201,834  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (852,779     (897,582     (1,804,892     (2,122,386
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     23,659,182       (175,846,641     77,393,309       (252,481,234
Short-term U.S. government and agency obligations
     (397     —         (300     —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     23,658,785       (175,846,641     77,393,009       (252,481,234
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     46,680,364       39,005,837       33,506,046       (14,433,077
Short-term U.S. government and agency obligations
     (79,587     (13,490     (353,650     (5,430
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     46,600,777       38,992,347       33,152,396       (14,438,507
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     70,259,562       (136,854,294     110,545,405       (266,919,741
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 69,406,783     $ (137,751,876   $ 108,740,513     $ (269,042,127
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
7
9

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 404,950,400     $ 349,578,758     $ 269,703,164     $ 293,390,549  
Addition of 8,175,000, 3,925,000, 18,125,000 and 10,256,250 shares, respectively (Note 1)
     141,195,554       124,484,014       302,368,469       451,376,724  
Redemption of 13,800,000, 1,992,503, 17,200,000 and 4,280,003 shares, respectively (Note 1)
     (273,838,421     (63,958,221     (339,097,830     (203,372,471
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (5,625,000), 1,932,497, 925,000 and 5,976,247 shares, respectively (Note 1)
     (132,642,867     60,525,793       (36,729,361     248,004,253  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (852,779     (897,582     (1,804,892     (2,122,386
Net realized gain (loss)
     23,658,785       (175,846,641     77,393,009       (252,481,234
Change in net unrealized appreciation (depreciation)
     46,600,777       38,992,347       33,152,396       (14,438,507
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     69,406,783       (137,751,876     108,740,513       (269,042,127
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 341,714,316     $ 272,352,675     $ 341,714,316     $ 272,352,675  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
80

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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 108,740,513     $ (269,042,127
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
     (772,834,858     (330,954,205
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     753,998,870       308,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (182,283     (43,465
Net realized (gain) loss on investments
     300       —    
Change in unrealized (appreciation) depreciation on investments
     353,650       5,430  
Decrease (Increase) in receivable on open futures contracts
     (36,332,848     317,767  
Decrease (Increase) in interest receivable
     (70,359     1,122  
Increase (Decrease) in payable to Sponsor
     32,486       (12,148
Increase (Decrease) in brokerage commissions and futures account fees payable
     (20,252     (15,157
Increase (Decrease) in payable on open futures contracts
     (2,037,391     2,355,834  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     51,647,828       (289,386,949
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     305,395,083       451,376,724  
Payment on shares redeemed
     (339,097,830     (203,372,471
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (33,702,747     248,004,253  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     17,945,081       (41,382,696
Cash, beginning of period
     115,960,816       206,562,147  
    
 
 
   
 
 
 
Cash, end of period
   $ 133,905,897     $ 165,179,451  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
8
1

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

(unaudited)
    
December 31,
2021
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $2,087,271,449 and $2,505,722,885, respectively)
   $ 2,082,952,015      $ 2,505,429,337  
Cash
     952,775,804        394,413,910  
Segregated cash balances with brokers for futures contracts
     1,005,152,221        1,010,799,328  
Segregated cash balances with brokers for foreign currency forward contracts
     —          916,000  
Segregated cash balances with brokers for swap agreements
     318,701,000        2,572,000  
Unrealized appreciation on swap agreements
     2,594,022        113,159,180  
Unrealized appreciation on foreign currency forward contracts
     4,529,655        1,457,257  
Receivable from capital shares sold
     26,374,095        23,475,355  
Receivable on open futures contracts
     524,152,606        205,819,074  
Interest receivable
     895,067        22,943  
    
 
 
    
 
 
 
Total assets
     4,918,126,485        4,258,064,384  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     53,985,665        25,594,902  
Payable on open futures contracts
     76,965,857        51,142,167  
Brokerage commissions and futures account fees payable
     145,235        476,241  
Payable to Sponsor
     3,736,397        3,178,585  
Unrealized depreciation on swap agreements
     219,150,943        3,391,968  
Unrealized depreciation on foreign currency forward contracts
     772,612        806,178  
    
 
 
    
 
 
 
Total liabilities
     354,756,709        84,590,041  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     4,563,369,776        4,173,474,343  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 4,918,126,485      $ 4,258,064,384  
    
 
 
    
 
 
 
Shares outstanding (Note 1)
     178,619,037        151,164,114  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
8
2

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Investment Income
                                
Interest
   $ 3,593,473     $ 536,552     $ 4,620,355     $ 1,086,294  
Expenses
                                
Management fee
     11,608,051       10,325,523       22,225,008       22,494,533  
Brokerage commissions
     1,894,153       1,992,098       3,802,918       4,895,898  
Futures account fees
     1,030,206       1,696,496       2,835,129       4,549,900  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     14,532,410       14,014,117       28,863,055       31,940,331  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (10,938,937     (13,477,565     (24,242,700     (30,854,037
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     101,692,223       (653,015,480     510,140,998       (1,187,149,284
Swap agreements
     (48,816,783     155,633,013       656,366,206       211,397,494  
Options
     —         —         —         —    
Foreign currency forward contracts
     9,774,456       757,734       12,836,962       1,921,025  
Short-term U.S. government and agency obligations
     (420,375     2,137       (192,800     21,898  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     62,229,521       (496,622,596     1,179,151,366       (973,808,867
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     10,131,053       328,994,435       62,770,119       71,883,297  
Swap agreements
     (57,491,778     8,316,702       (326,324,133     (131,251,444
Foreign currency forward contracts
     1,568,995       (2,047,874     3,105,964       4,677,182  
Short-term U.S. government and agency obligations
     (768,379     (233,144     (4,025,886     (126,859
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (46,560,109     335,030,119       (264,473,936     (54,817,824
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     15,669,412       (161,592,477     914,677,430       (1,028,626,691
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 4,730,475     $ (175,070,042   $ 890,434,730     $ (1,059,480,728
    
 
 
   
 
 
   
 
 
   
 
 
 
 
*
The operations include the activity of ProShares Short Euro
ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. 
See accompanying notes to financial statements.
 
8
3

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

June 30,
   
Six Months Ended

June 30,
 
  
2022
   
2021
   
2022
   
2021
 
Shareholders’ equity, beginning of period
   $ 5,338,066,570     $ 4,534,203,653     $ 4,173,474,343     $ 4,474,251,414  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 111,695,000, 25,865,000, 244,305,000 and
74,621,250 shares, respectively
 (Note 1)
     2,545,986,476       913,598,315       5,628,786,761       3,948,096,111  
Redemption of 134,203,304, 33,480,323, 245,538,426 and
87,095,323 shares, respectively
 (Note 1)
     (3,325,413,745     (867,885,062     (6,129,326,058     (2,958,019,933
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (22,508,304), (7,615,323),
(1,233,426) and (12,474,073) shares, respectively
 (Note
1)
     (779,427,269     45,713,253       (500,539,297     990,076,178  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (10,938,937     (13,477,565     (24,242,700     (30,854,037
Net realized gain (loss)
     62,229,521       (496,622,596     1,179,151,366       (973,808,867
Change in net unrealized appreciation (depreciation)
     (46,560,109     335,030,119       (264,473,936     (54,817,824
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     4,730,475       (175,070,042     890,434,730       (1,059,480,728
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 4,563,369,776     $ 4,404,846,864     $ 4,563,369,776     $ 4,404,846,864  
    
 
 
   
 
 
   
 
 
   
 
 
 
 
*
The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.
See accompanying notes to financial statements.
 
8
4

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

June 30,
 
  
2022
   
2021
 
Cash flow from operating activities
                
Net income (loss)
   $ 890,434,730     $ (1,059,480,728
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
     (11,579,158,324     (5,451,274,846
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     12,000,836,596       4,024,989,152  
Net amortization and accretion on short-term U.S. government and agency obligations
     (3,419,714     (563,137
Net realized (gain) loss on investments
     192,879       (21,898
Change in unrealized (appreciation) depreciation on investments
     327,244,055       126,701,121  
Decrease (Increase) in receivable on futures contracts
     (318,333,532     964,203  
Decrease (Increase) in interest receivable
     (872,124     (19,482
Increase (Decrease) in payable to Sponsor
     557,811       (104,518
Increase (Decrease) in brokerage commissions and futures account fees payable
     (331,006     (154,311
Increase (Decrease) in payable on futures contracts
     25,823,690       (9,525,111
Increase (Decrease) in securities purchased payable
     —         167,040,817  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     1,342,975,061       (2,201,448,738
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     5,625,888,021       3,970,199,298  
Payment on shares redeemed
     (6,100,935,295     (2,975,566,551
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (475,047,274     994,632,747  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     867,927,787       (1,206,815,991
Cash, beginning of period
     1,408,701,238       3,256,463,457  
    
 
 
   
 
 
 
Cash, end of period
   $ 2,276,629,025     $ 2,049,647,466  
    
 
 
   
 
 
 
 
*
The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.
See accompanying notes to financial statements.
 
8
5

PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
June 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 June 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.
On March 11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on May 2, 2022. Trading in each liquidated fund was suspended prior to market open on May 3, 2022. Proceeds of the liquidation were sent to shareholders on May 12, 2022 (the “Distribution Date”). From May 3, 2022 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on May 12, 2022.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.
Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
Each “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.
 
8
6

Share Splits and Reverse Share Splits
The table below includes reverse Share splits for the Funds during the six months June 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.
 
    
Execution Date
       
Date Trading
    
(Prior to Opening
       
Resumed at Post-
Fund
  
of Trading)
  
Type of Split
  
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.
 
8
7

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.
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 June 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 six months ended June 30, 2022 were typically as follows. All times are Eastern Standard Time:
 
    
Create/Redeem
  
NAV Calculation
  
NAV
Fund
  
Cut-off*
  
Time
  
Calculation Date
Ultra Silver and UltraShort Silver    1:00 p.m.    1:25 p.m.    June 30, 2022
       
Ultra Gold and UltraShort Gold    1:00 p.m.    1:30 p.m.    June 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.    June 30, 2022
       
Ultra Euro,               
Ultra Yen,               
UltraShort Euro and               
UltraShort Yen    3:00 p.m.    4:00 p.m.    June 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.    June 30, 2022
 
8
8

*
Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the six months ended June 30, 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 six months ended June 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, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
Fair Value of Financial Instruments
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:
Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.
Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).
 
8
9

Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.
In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.
Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.
The following table summarizes the valuation of investments at June 30, 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
   $ 151,418,355      $ 1,517,614     $ —       $ —       $ 152,935,969  
ProShares Ultra Bloomberg Crude Oil
     526,423,284        58,454,799       —         (152,287,155     432,590,928  
ProShares Ultra Bloomberg Natural Gas
     105,739,904        (194,426,957     —         —         (88,687,053
ProShares Ultra Euro
     4,690,703        —         (332,395     —         4,358,308  
ProShares Ultra Gold
     208,696,447        (3,932,509     —         (6,451,858     198,312,080  
ProShares Ultra Silver
     290,458,173        (4,317,941     —         (60,411,930     225,728,302  
ProShares Ultra VIX Short-Term Futures ETF
     243,251,317        35,444,518       —         —         278,695,835  
ProShares Ultra Yen
     992,969        —         (77,150     —         915,819  
ProShares UltraShort Bloomberg Crude Oil
     232,635,606        28,516,831       —         —         261,152,437  
ProShares UltraShort Bloomberg Natural Gas
     59,578,128        154,070,341       —         —         213,648,469  
ProShares UltraShort Euro
     19,885,112        —         3,195,083       —         23,080,195  
ProShares UltraShort Gold
     13,940,167        811,562       —         720,984       15,472,713  
ProShares UltraShort Silver
     12,979,368        2,516,890       —         1,873,038       17,369,296  
ProShares UltraShort Yen
     10,961,261        —         971,505       —         11,932,766  
ProShares VIX Mid-Term Futures ETF
     31,775,002        3,080,667       —         —         34,855,669  
ProShares VIX Short-Term Futures ETF
     169,526,219        3,375,427       —         —         172,901,646  
    
 
 
    
 
 
   
 
 
   
 
 
   
 
 
 
Combined Trust:
  
$
2,082,952,015
 
  
$
85,111,242
 
 
$
3,757,043
 
 
$
(216,556,921
 
$
1,955,263,379
 
 
*
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.
 
9
0

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.
There were no transf
e
rs into or out of Level 3 for the fiscal year end.
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
Investment Transactions and Related Income
Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations.
Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.
Brokerage Commissions and 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.
 
9
1

Federal Income Tax
Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.
Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.
NOTE 3 – INVESTMENTS
Short-Term Investments
The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.
Accounting for Derivative Instruments
In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.
All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.
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.
 
9
2

Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.
Option Contracts
An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.
When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).
When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless. Over-the-counter 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.
 
9
3

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.
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.
 
9
4

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at June 30, 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 June 30, 2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market 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
 
9
5

the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of June 30, 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.
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 June 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
      Receivables on open futures contracts      Payable on open futures contracts   
   ProShares Short VIX Short-Term Futures ETF       $ 1,517,614
*
 
     $ —    
   ProShares Ultra VIX Short-Term Futures ETF         41,121,658
*
 
       5,677,140
*
 
   ProShares VIX Mid-Term Futures ETF         3,151,792
*
 
       71,125
*
 
   ProShares VIX Short-Term Futures ETF         5,185,782
*
 
       1,810,355
*
 
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         76,385,739
*
 
       170,218,095
*
 
   ProShares Ultra Bloomberg Natural Gas         —            194,426,957
*
 
   ProShares Ultra Gold         —            10,384,367
*
 
  
ProShares Ultra Silver
     
 
—  
 
    
 
64,729,871
*
 
   ProShares UltraShort           
   Bloomberg Crude Oil         28,869,220
*
 
       352,389
*
 
   ProShares UltraShort Bloomberg Natural Gas         154,070,341
*
 
       —    
   ProShares UltraShort Gold         1,532,546
*
 
       —    
   ProShares UltraShort Silver         4,389,928
*
 
       —    
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         17,639          350,034  
   ProShares Ultra Yen         2,012          79,162  
   ProShares UltraShort Euro         3,382,293          187,210  
   ProShares UltraShort Yen         1,127,711          156,206  
        
 
 
      
 
 
 
     
Combined Trust:
  
$
320,754,275
*
 
    
$
448,442,911
*
 
 
*
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.
 
9
6

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
      Receivables on open futures contracts, unrealized appreciation on swap agreements      Payable on open futures contracts, unrealized depreciation on swap agreements   
   ProShares Short VIX Short-Term Futures ETF       $ 31,275,278
*
 
     $ —    
   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
*
 
 
9
7

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended June 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/ changes in unrealized appreciation (depreciation) on futures contracts        
      ProShares Short VIX Short-Term Futures ETF    $ (13,029,194   $ (34,466,848
      ProShares Ultra VIX Short-Term Futures ETF      91,039,435       196,657,178  
      ProShares VIX Mid-Term Futures ETF      7,862,052       4,040,230  
      ProShares VIX Short-Term Futures ETF      23,659,182       46,680,364  
Commodities Contracts
   Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements        
      ProShares Ultra Bloomberg Crude Oil      363,296,092       (211,138,245
      ProShares Ultra Bloomberg Natural Gas      164,990,694       (271,251,560
      ProShares Ultra Gold      (57,901,083     4,971,202  
      ProShares Ultra Silver      (156,194,175     (50,071,519
      ProShares UltraShort Bloomberg Crude Oil      (102,594,000     34,810,301  
      ProShares UltraShort Bloomberg Natural Gas      (282,646,685     228,166,248  
      ProShares UltraShort Gold      4,557,870       298,236  
      ProShares UltraShort Silver      9,411,232       3,849,687  
Foreign Exchange Contracts
   Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts        
      ProShares Ultra Euro      (446,365     (282,077
      ProShares Ultra Yen      (761,478     154,501  
      ProShares UltraShort Euro      3,065,129       3,061,048  
      ProShares UltraShort Yen      7,917,170       (1,364,477
        
 
 
   
 
 
 
     
Combined Trust
  
$
62,225,876
 
 
$
(45,885,731
 
*
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.
 
9
8

The Effect of Derivative Instruments on the Statement of Operations
For the six months ended June 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    $ (54,129,808   $ (29,757,664
      ProShares Ultra VIX Short-Term Futures ETF      372,034,119       162,278,712  
      ProShares VIX Mid-Term Futures ETF      12,653,885       3,705,055  
      ProShares VIX Short-Term Futures ETF      77,393,309       33,506,046  
Commodities Contracts
   Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements        
      ProShares Ultra Bloomberg Crude Oil      1,162,719,162       (305,216,174
      ProShares Ultra Bloomberg Natural Gas      241,211,382       (186,220,796
      ProShares Ultra Gold      (82,487     (19,678,449
      ProShares Ultra Silver      (39,557,148     (107,828,115
      ProShares UltraShort Bloomberg Crude Oil      (209,076,101     36,926,293  
      ProShares UltraShort Bloomberg Natural Gas      (397,312,383     140,634,090  
      ProShares UltraShort Gold      (1,750,803     2,367,584  
      ProShares UltraShort Silver      2,037,486       5,658,849  
Foreign Exchange Contracts
   Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts        
      ProShares Ultra Euro      (887,395     (415,047
      ProShares Ultra Yen      (880,249     15,962  
      ProShares UltraShort Euro      5,607,263       3,403,124  
      ProShares UltraShort Yen      8,997,343       101,925  
        
 
 
   
 
 
 
     
Combined Trust:
  
$
1,178,977,575
 
 
$
(260,518,605
 
9
9

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended June 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    $ 109,337,017     $ (13,290,409
      ProShares Ultra VIX Short-Term Futures ETF      (854,529,061     244,143,655  
      ProShares VIX Mid-Term Futures ETF      (14,405,542     3,575,301  
      ProShares VIX Short-Term Futures ETF      (175,846,641     39,005,837  
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      320,505,659       157,999,797  
      ProShares Ultra Bloomberg Natural Gas      4,901,288       28,350,804  
      ProShares Ultra Gold      45,506,367       (33,461,145
      ProShares Ultra Silver      116,370,479       (48,336,770
      ProShares UltraShort Bloomberg Crude Oil      (26,010,421     (9,944,438
      ProShares UltraShort Bloomberg Natural Gas      (10,305,304     (33,691,003
      ProShares UltraShort Gold      (6,984,547     3,807,080  
      ProShares UltraShort Silver      (5,876,456     (923,486
Foreign Exchange Contracts
   Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts        
      ProShares Short Euro      (38,172     17,623  
      ProShares Ultra Euro      95,412       (13,092
      ProShares Ultra Yen      (140,007     118,748  
      ProShares UltraShort Australian Dollar      (7,133     58,291  
      ProShares UltraShort Euro      (795,757     (509,443
      ProShares UltraShort Yen      1,598,086       (1,644,087
        
 
 
   
 
 
 
     
Combined Trust
  
$
(496,624,733
 
$
335,263,263
 
 
100

The Effect of Derivative Instruments on the Statement of Operations
For the six months ended June 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    $ 133,546,434     $ 28,831,483  
      ProShares Ultra VIX Short-Term Futures ETF      (1,559,047,085     (40,235,121
      ProShares VIX Mid-Term Futures ETF      (10,866,226     (4,701,371
      ProShares VIX Short-Term Futures ETF      (252,481,234     (14,433,077
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      654,856,887       192,993,880  
      ProShares Ultra Bloomberg Natural Gas      46,483,673       10,550,021  
      ProShares Ultra Gold      (5,741,765     (34,695,444
      ProShares Ultra Silver      121,281,030       (186,102,472
      ProShares UltraShort Bloomberg Crude Oil      (75,188,186     (4,307,804
      ProShares UltraShort Bloomberg Natural Gas      (16,664,698     (17,797,456
      ProShares UltraShort Gold      (2,981,357     3,626,416  
      ProShares UltraShort Silver      (8,808,807     6,542,278  
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      31,221       96,177  
      ProShares Ultra Euro      68,070       (324,232
      ProShares Ultra Yen      (279,474     (137,341
      ProShares UltraShort Australian Dollar      (171,677     264,343  
      ProShares UltraShort Euro      (725,230     3,881,954  
      ProShares UltraShort Yen      2,857,659       1,256,801  
        
 
 
   
 
 
 
     
Combined Trust:
  
$
(973,830,765)
 
 
$
(54,690,965)
 
 
10
1

Offsetting Assets and Liabilities
Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of June 30, 2022.
 
Fair Values of Derivative Instruments as of June 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
   $ —        $ —        $ —        $ 152,287,155      $ —        $ 152,287,155  
ProShares Ultra Euro
                 
Foreign currency forward contracts
     17,639        —          17,639        350,034        —          350,034  
ProShares Ultra Gold
                 
Swap agreements
     —          —          —          6,451,858        —          6,451,858  
ProShares Ultra Silver
                 
Swap agreements
     —          —          —          60,411,930        —          60,411,930  
ProShares Ultra Yen
                 
Foreign currency forward contracts
     2,012        —          2,012        79,162        —          79,162  
ProShares UltraShort Euro
                 
Foreign currency forward contracts
     3,382,293        —          3,382,293        187,210        —          187,210  
ProShares UltraShort Gold
                 
Swap agreements
     720,984        —          720,984        —          —          —    
ProShares UltraShort Silver
                 
Swap agreements
     1,873,038        —          1,873,038        —          —          —    
ProShares UltraShort Yen
                 
Foreign currency forward contracts
     1,127,711        —          1,127,711        156,206        —          156,206  
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 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”.
 
10
2

Gross Amounts Not Offset in the Statements of Financial Condition as of June 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.
   $ (21,668,621    $ —        $ 21,668,621      $ —    
Goldman Sachs International
     (42,218,820      —          42,218,820        —    
Morgan Stanley & Co. International PLC
     (37,530,948      —          37,530,948        —    
Societe Generale
     (20,435,337      18,175,337        2,260,000        —    
UBS AG
     (30,433,429      22,524,429        7,909,000        —    
ProShares Ultra Euro
           
Goldman Sachs International
     (123,538      123,538        —          —    
UBS AG
     (208,857      208,857        —          —    
ProShares Ultra Gold
           
Citibank, N.A.
     (2,221,389      1,781,389        440,000        —    
Goldman Sachs International
     (1,919,639      1,919,639        —          —    
UBS AG
     (2,310,830      543,830        1,767,000        —    
ProShares Ultra Silver
           
Citibank, N.A.
     (14,941,465      —          14,941,465        —    
Goldman Sachs International
     (18,119,916      18,119,916        —          —    
Morgan Stanley & Co. International PLC
     (15,214,853      —          15,214,853        —    
UBS AG
     (12,135,696      9,307,696        2,828,000        —    
ProShares Ultra Yen
           
Goldman Sachs International
     (34,398      34,398        —          —    
UBS AG
     (42,752      42,752        —          —    
ProShares UltraShort Euro
           
Goldman Sachs International
     1,245,143        (1,245,143      —          —    
UBS AG
     1,949,940        (1,892,423 )      —        57,517  
ProShares UltraShort Gold
           
Citibank, N.A.
     295,777        —          —          295,777  
Goldman Sachs International
     193,824        —          —          193,824  
UBS AG
     231,383        —          —          231,383  
ProShares UltraShort Silver
           
Citibank, N.A.
     221,841        —          —          221,841  
Goldman Sachs International
     808,139        (510,736      —          297,403  
Morgan Stanley & Co. International PLC
     638,732        —          (381,000      257,732  
UBS AG
     204,326        —          —          204,326  
ProShares UltraShort Yen
           
Goldman Sachs International
     162,849        —          —          162,849  
UBS AG
     806,656        (806,656      —          —    
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:
 
10
3

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”.
 
10
4

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 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.
 
10
5

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.
 
10
6

Transaction Fees on Creation and Redemption Transactions
The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.
Authorized Participants may pay a fixed transaction fee (typically $250) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.
Transaction fees for the three and six months ended June 30, 2022 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:
 
Fund
  
Three Months Ended
June 30, 2022
    
Six Months Ended
June 30, 2022
 
ProShares Short VIX Short-Term Futures ETF
   $ 58,615      $ 118,759  
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
     956,110        2,182,872  
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
     10,258        29,225  
ProShares VIX Short-Term Futures ETF
     149,306        250,276  
    
 
 
    
 
 
 
Combined Trust:
   $ 1,174,289      $ 2,581,132  
 
10
7

NOTE 6 – FINANCIAL HIGHLIGHTS
Selected Data for a Share Outstanding Throughout the Three Months Ended June 30, 2022
 
For the Three Months Ended June 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
 
Net asset value, at March 31, 2022
   $ 54.55     $ 37.94     $ 56.06     $ 12.47     $ 66.99  
Net investment income (loss)
     (0.13     (0.07     (0.21     (0.02     (0.09
Net realized and unrealized gain (loss)#
     (6.28     3.74       (16.32     (1.37     (10.44
Change in net asset value from operations
     (6.41     3.67       (16.53     (1.39     (10.53
Net asset value, at June 30, 2022
   $ 48.14     $ 41.61     $ 39.53     $ 11.08     $ 56.46  
Market value per share, at March 31, 2022
   $ 54.56     $ 38.33     $ 56.31     $ 12.46     $ 66.14  
Market value per share, at June 30, 2022
   $ 48.21     $ 41.86     $ 42.10     $ 11.11     $ 56.50  
Total Return, at net asset value^
     (11.8 )%      9 .7     (29.5 )%      (11.1 )%      (15.7 )% 
Total Return, at market value^
     (11.6 )%      9 .2     (25.2 )%      (10.8 )%      (14.6 )% 
Ratios to Average Net Assets**
                                        
Expense ratio^^
     1.21     1.01     1 .26     0.95     0 .98
Net investment income gain (loss)
     (1.00 )%      (0.64 )%      (1.01 )%      (0.54 )%      (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 June 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
 
108

For the Three Months Ended June 30, 2022 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
 
 
Ultra VIX
Short-Term

Futures ETF
 
 
Ultra Yen
 
 
UltraShort
Bloomberg
Crude Oil*
 
 
UltraShort
Bloomberg
Natural Gas*
 
Net asset value, at March 31, 2022
   $ 39.06     $ 13.50     $ 42.02     $ 29.17     $ 64.71  
Net investment income (loss)
     (0.05     (0.05     (0.05     (0.05     (0.08
Net realized and unrealized gain (loss)#
     (14.23     1.06       (8.46     (6.08     (21.98
Change in net asset value from operations
     (14.28     1.01       (8.51     (6.13     (22.06
Net asset value, at June 30, 2022
   $ 24.78     $ 14.51     $ 33.51     $ 23.04     $ 42.65  
Market value per share, at March 31, 2022
   $ 38.53     $ 13.46     $ 42.09     $ 28.95     $ 64.56  
Market value per share, at June 30, 2022
   $ 24.47     $ 14.53     $ 33.49     $ 22.93     $ 40.02  
Total Return, at net asset value^
     (36.6 )%      7 .5     (20.3 )%      (21.0 )%      (34.1 )% 
Total Return, at market value^
     (36.5 )%      8 .0     (20.4 )%      (20.8 )%      (38.0 )% 
Ratios to Average Net Assets**
                                        
Expense ratio^^
     0.98     1.53     0.95     1.14     1.36
Net investment income gain (loss)
     (0.61 )%      (1.36 )%      (0.59 )%      (0.85 )%      (1.14 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.
 
109

For the Three Months Ended June 30, 2022 (unaudited) 
 
Per Share Operating
Performance
  
UltraShort
Euro
 
 
UltraShort
Gold
 
 
UltraShort
Silver
 
 
UltraShort
Yen*
 
 
VIX Mid-
Term Futures
ETF
 
 
VIX Short-
Term Futures
ETF
 
Net asset value, at March 31, 2022
   $ 27.30     $ 27.23     $ 21.45     $ 46.32     $ 31.45     $ 16.61  
Net investment income (loss)
     (0.05     (0.05     (0.05     (0.09     (0.06     (0.04
Net realized and unrealized gain (loss)#
     3.13       4.37       10.34       10.83       3.90       1.65  
Change in net asset value from operations
     3.08       4.32       10.29       10.74       3.84       1.61  
Net asset value, at June 30, 2022
   $ 30.38     $ 31.55     $ 31.74     $ 57.06     $ 35.29     $ 18.22  
Market value per share, at March 31, 2022
   $ 27.31     $ 27.61     $ 21.78     $ 46.37     $ 31.50     $ 16.57  
Market value per share, at June 30, 2022
   $ 30.41     $ 31.59     $ 32.19     $ 57.13     $ 35.38     $ 18.25  
Total Return, at net asset value^
     11.3     15.9     48.0     23.2     12.2     9 .6
Total Return, at market value^
     11.4     14.4     47.8     23.2     12.3     10.1
Ratios to Average Net Assets**
                                                
Expense ratio^^
     0.95     0.99     1.06     0.95     0.96     1.16
Net investment income gain (loss)
     (0.70 )%      (0.74 )%      (0.78 )%      (0.68 )%      (0.74 )%      (0.94 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 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.
 
1
10

Selected data for a Share outstanding throughout the three months ended June 30, 2021
 
For the Three Months Ended June 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
 
Net asset value, at March 31, 2021
   $ 47.13     $ 13.14     $ 21.31     $ 14.45     $ 54.32  
Net investment income (loss)
     (0.17     (0.04     (0.08     (0.03     (0.14
Net realized and unrealized gain (loss)#
     8.65       6.46       14.10       0.25       3.10  
Change in net asset value from operations
     8.48       6.42       14.02       0.22       2.96  
Net asset value, at June 30, 2021
   $ 55.61     $ 19.56     $ 35.33     $ 14.67     $ 57.28  
Market value per share, at March 31, 2021
   $ 47.10     $ 13.21     $ 21.20     $ 14.47     $ 53.91  
Market value per share, at June 30, 2021
   $ 55.55     $ 19.56     $ 37.17     $ 14.66     $ 57.22  
Total Return, at net asset value^
     18.0     48.9     65.8     1.6     5.5
Total Return, at market value^
     17.9     48.0     75.3     1.3     6.1
Ratios to Average Net Assets**
          
Expense ratio^^
     1.37     1.13     1.42     0.95     0.99
Net investment income gain (loss)
     (1.35 )%      (1.09 )%      (1.35 )%      (0.91 )%      (0.95 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
1
11

For the Three Months Ended June 30, 2021 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
   
Ultra VIX
Short-Term

Futures ETF
*
   
Ultra Yen
   
UltraShort
Bloomberg
Crude Oil
*
   
UltraShort
Bloomberg
Natural Gas*
 
Net asset value, at March 31, 2021
   $ 41.35     $ 56.32     $ 51.78     $ 143.99     $ 782.71  
Net investment income (loss)
     (0.12     (0.17     (0.12     (0.31     (2.47
Net realized and unrealized gain (loss)#
     4.74       (28.24     (0.42     (53.12     (349.17
Change in net asset value from operations
     4.62       (28.41     (0.54     (53.43     (351.64
Net asset value, at June 30, 2021
   $ 45.97     $ 27.91     $ 51.24     $ 90.56     $ 431.07  
Market value per share, at March 31, 2021
   $ 41.10     $ 56.50     $ 51.78     $ 143.00     $ 786.40  
Market value per share, at June 30, 2021
   $ 46.12     $ 27.98     $ 51.26     $ 90.55     $ 408.80  
Total Return, at net asset value^
     11.2     (50.5 )%      (1.1 )%      (37.1 )%      (44.9 )% 
Total Return, at market value^
     12.2     (50.5 )%      (1.0 )%      (36.7 )%      (48.0 )% 
Ratios to Average Net Assets**
          
Expense ratio^^
     1.00     1.73     0.95     1.19     1.60
Net investment income gain (loss)
     (0.96 )%      (1.65 )%      (0.90 )%      (1.10 )%      (1.56 )% 
 
*
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 June 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
11
2

For the Three Months Ended June 30, 2021 (unaudited) 
 
Per Share Operating
Performance
  
UltraShort
Euro
   
UltraShort
Gold
   
UltraShort
Silver
*
   
UltraShort
Yen*
   
VIX Mid-
Term Futures
ETF
   
VIX Short-
Term Futures
ETF
*
 
Net asset value, at March 31, 2021
   $ 24.41     $ 37.60     $ 27.92     $ 38.86     $ 34.74     $ 37.29  
Net investment income (loss)
     (0.05     (0.08     (0.06     (0.09     (0.08     (0.09
Net realized and unrealized gain (loss)#
     (0.55     (2.85     (4.49     0.21       (4.15     (13.11
Change in net asset value from operations
     (0.60     (2.93     (4.55     0.12       (4.23     (13.20
Net asset value, at June 30, 2021
   $ 23.81     $ 34.67     $ 23.37     $ 38.98     $ 30.51     $ 24.09  
Market value per share, at March 31, 2021
   $ 24.42     $ 37.89     $ 28.04     $ 38.88     $ 35.06     $ 37.40  
Market value per share, at June 30, 2021
   $ 23.82     $ 34.69     $ 23.28     $ 38.99     $ 30.54     $ 24.08  
Total Return, at net asset value^
     (2.5 )%      (7.8 )%      (16.3 )%      0.3     (12.2 )%      (35.6 )% 
Total Return, at market value^
     (2.5 )%      (8.4 )%      (17.0 )%      0.3     (12.9 )%      (35.4 )% 
Ratios to Average Net Assets**
            
Expense ratio^^
     0.95     1.01     1.05     0.95     1.07     1.19
Net investment income gain (loss)
     (0.90 )%      (0.96 )%      (1.02 )%      (0.90 )%      (1.03 )%      (1.14 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
 
11
3

Selected Data for a Share Outstanding Throughout the six Months Ended June 30, 2022
 
For the Six Months Ended June 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
 
Net asset value, at December 31, 2021
   $ 61.56     $ 21.54     $ 25.55     $ 13.32     $ 59.69  
Net investment income (loss)
     (0.29     (0.15     (0.29     (0.04     (0.22
Net realized and unrealized gain (loss)#
     (13.13     20.22       14.27       (2.20     (3.01
Change in net asset value from operations
     (13.42     20.07       13.98       (2.24     (3.23
Net asset value, at June 30, 2022
   $ 48.14     $ 41.61     $ 39.53     $ 11.08     $ 56.46  
Market value per share, at December 31, 2021
   $ 61.55     $ 21.70     $ 26.09     $ 13.33     $ 59.81  
Market value per share, at June 30, 2022
   $ 48.21     $ 41.86     $ 42.10     $ 11.11     $ 56.50  
Total Return, at net asset value^
     (21.8 )%      93.2     54.7     (16.8 )%      (5.4 )% 
Total Return, at market value^
     (21.7 )%      92.9     61.4     (16.7 )%      (5.5 )% 
Ratios to Average Net Assets**
          
Expense ratio^^
     1.28     1.05     1.29     0.95     0.99
Net investment income gain (loss)
     (1.12 )%      (0.82 )%      (1.10 )%      (0.65 )%      (0.71 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
11
4

For the Six Months Ended June 30, 2022 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
   
Ultra VIX
Short-Term

Futures ETF
*
   
Ultra Yen
   
UltraShort
Bloomberg
Crude Oil
*
   
UltraShort
Bloomberg
Natural Gas
*
 
Net asset value, at December 31, 2021
   $ 34.84     $ 12.41     $ 47.29     $ 64.26     $ 247.40  
Net investment income (loss)
     (0.13     (0.11     (0.13     (0.12     (0.31
Net realized and unrealized gain (loss)#
     (9.93     2.21       (13.65     (41.10     (204.44
Change in net asset value from operations
     (10.06     2.10       (13.78     (41.22     (204.75
Net asset value, at June 30, 2022
   $ 24.78     $ 14.51     $ 33.51     $ 23.04     $ 42.65  
Market value per share, at December 31, 2021
   $ 34.74     $ 12.43     $ 47.29     $ 63.75     $ 242.20  
Market value per share, at June 30, 2022
   $ 24.47     $ 14.53     $ 33.49     $ 22.93     $ 40.02  
Total Return, at net asset value^
     (28.9 )%      17.0     (29.2 )%      (64.2 )%      (82.8 )% 
Total Return, at market value^
     (29.6 )%      16.9     (29.2 )%      (64.0 )%      (83.5 )% 
Ratios to Average Net Assets**
          
Expense ratio^^
     0.98     1.65     0.95     1.18     1.47
Net investment income gain (loss)
     (0.75 )%      (1.53 )%      (0.67 )%      (0.95 )%      (1.30 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.
 
11
5

For the Six Months Ended June 30, 2022 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
   
UltraShort
Gold
   
UltraShort
Silver
*
   
UltraShort
Yen*
   
VIX Mid-
Term Futures
ETF
   
VIX Short-
Term Futures
ETF
*
 
Net asset value, at December 31, 2021
   $ 25.84     $ 31.71     $ 26.77     $ 41.50     $ 30.61     $ 15.12  
Net investment income (loss)
     (0.11     (0.12     (0.11     (0.17     (0.14     (0.09
Net realized and unrealized gain (loss)#
     4.65       (0.04     5.08       15.73       4.82       3.19  
Change in net asset value from operations
     4.54       (0.16     4.97       15.56       4.68       3.10  
Net asset value, at June 30, 2022
   $ 30.38     $ 31.55     $ 31.74     $ 57.06     $ 35.29     $ 18.22  
Market value per share, at December 31, 2021
   $ 25.86     $ 31.66     $ 26.84     $ 41.50     $ 30.57     $ 15.17  
Market value per share, at June 30, 2022
   $ 30.41     $ 31.59     $ 32.19     $ 57.13     $ 35.38     $ 18.25  
Total Return, at net asset value^
     17.5     (0.5 )%      18.6     37.5     15.3     20.4
Total Return, at market value^
     17.6     (0.2 )%      19.9     37.7     15.7     20.3
Ratios to Average Net Assets**
            
Expense ratio^^
     0.95     1.00     1.07     0.95     1.02     1.20
Net investment income gain (loss)
     (0.75 )%      (0.81 )%      (0.86 )%      (0.72 )%      (0.87 )%      (1.04 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2022.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.
 
11
6

Selected Data for a Share Outstanding Throughout the six Months Ended June 30, 2021
 
For the Six Months Ended June 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
 
Net asset value, at December 31, 2020
   $ 41.42     $ 9.10     $ 21.00     $ 15.79     $ 67.57  
Net investment income (loss)
     (0.31     (0.07     (0.17     (0.07     (0.29
Net realized and unrealized gain (loss)#
     14.50       10.53       14.50       (1.05     (10.00
Change in net asset value from operations
     14.19       10.46       14.33       (1.12     (10.29
Net asset value, at June 30, 2021
   $ 55.61     $ 19.56     $ 35.33     $ 14.67     $ 57.28  
Market value per share, at December 31, 2020
   $ 41.44     $ 9.07     $ 21.07     $ 15.81     $ 68.20  
Market value per share, at June 30, 2021
   $ 55.55     $ 19.56     $ 37.17     $ 14.66     $ 57.22  
Total Return, at net asset value^
     34.3     115.0     68.3     (7.1 )%      (15.2 )% 
Total Return, at market value^
     34.1     115.7     76.4     (7.3 )%      (16.1 )% 
Ratios to Average Net Assets**
          
Expense ratio^^
     1.36     1.11     1.53     0.95     1.01
Net investment income gain (loss)
     (1.33 )%      (1.06 )%      (1.47 )%      (0.90 )%      (0.96 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2021.
^^
The expense ratio would be 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.
 
11
7

For the Six Months Ended June 30, 2021 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
   
Ultra VIX
Short-Term

Futures ETF
*
   
Ultra Yen
   
UltraShort
Bloomberg
Crude Oil
*
   
UltraShort
Bloomberg
Natural Gas
*
 
Net asset value, at December 31, 2020
   $ 50.71     $ 106.68     $ 59.83     $ 232.23     $ 951.82  
Net investment income (loss)
     (0.24     (0.55     (0.25     (0.81     (5.26
Net realized and unrealized gain (loss)#
     (4.50     (78.22     (8.34     (140.86     (515.49
Change in net asset value from operations
     (4.74     (78.77     (8.59     (141.67     (520.75
Net asset value, at June 30, 2021
   $ 45.97     $ 27.91     $ 51.24     $ 90.56     $ 431.07  
Market value per share, at December 31, 2020
   $ 51.28     $ 106.50     $ 59.82     $ 232.80     $ 947.60  
Market value per share, at June 30, 2021
   $ 46.12     $ 27.98     $ 51.26     $ 90.55     $ 408.80  
Total Return, at net asset value^
     (9.4 )%      (73.8 )%      (14.4 )%      (61.0 )%      (54.7 )% 
Total Return, at market value^
     (10.1 )%      (73.7 )%      (14.3 )%      (61.1 )%      (56.9 )% 
Ratios to Average Net Assets**
          
Expense ratio^^
     1.04     1.76     0.95     1.27     1.60
Net investment income gain (loss)
     (0.99 )%      (1.71 )%      (0.90 )%      (1.20 )%      (1.56 )% 
 
*
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 June 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.
 
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For the Six Months Ended June 30, 2021 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
   
UltraShort
Gold
   
UltraShort
Silver
*
   
UltraShort
Yen*
   
VIX Mid-
Term Futures
ETF
   
VIX Short-
Term Futures
ETF
*
 
Net asset value, at December 31, 2020
   $ 22.53     $ 31.43     $ 27.73     $ 33.91     $ 36.73     $ 55.03  
Net investment income (loss)
     (0.10     (0.17     (0.13     (0.16     (0.18     (0.23
Net realized and unrealized gain (loss)#
     1.38       3.41       (4.23     5.22       (6.04     (30.71
Change in net asset value from operations
     1.28       3.24       (4.36     5.06       (6.22     (30.94
Net asset value, at June 30, 2021
   $ 23.81     $ 34.67     $ 23.37     $ 38.98     $ 30.51     $ 24.09  
Market value per share, at December 31, 2020
   $ 22.52     $ 31.14     $ 27.40     $ 33.91     $ 36.70     $ 54.96  
Market value per share, at June 30, 2021
   $ 23.82     $ 34.69     $ 23.28     $ 38.99     $ 30.54     $ 24.08  
Total Return, at net asset value^
     5.7     10.3     (15.7 )%      15.0     (16.9 )%      (56.2 )% 
Total Return, at market value^
     5.8     11.4     (15.0 )%      14.9     (16.8 )%      (56.2 )% 
Ratios to Average Net Assets**
            
Expense ratio^^
     0.95     1.04     1.10     0.95     1.05     1.25
Net investment income gain (loss)
     (0.90 )%      (0.99 )%      (1.07 )%      (0.90 )%      (1.00 )%      (1.21 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2021.
^^
The expense ratio would be 0.95%, 0.95%, 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.
 
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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.
 
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Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.
Counterparty Risk
Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks.
Regulatory Treatment
Derivatives are generally traded in OTC markets and 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 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.
 
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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.
 
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“Contango” and “Backwardation” Risk
In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 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.
 
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Natural Disaster/Epidemic Risk
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your investment.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. Contemporaneous with the onset of the COVID-19 pandemic in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil. This led to an oversupply of crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts. In April 20210, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango in the future. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and can result in significant losses. These and other global economic shocks as a result of the COVID-19 pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.
NOTE 8 – SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.
 
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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.
Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements.
Introduction
ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of June 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”.
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 March 11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on May 2, 2022. Trading in each liquidated fund was suspended prior to market open on May 3, 2022. Proceeds of the liquidation were sent to shareholders on May 12, 2022 (the “Distribution Date”). From May 3, 2022 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on May 12, 2022.
 
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Table of Contents
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.
Forward Split
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.
Reverse Split
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.
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.
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.
 
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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.
Liquidity and Capital Resources
In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and six months ended June 30, 2022 and 2021, each of the Funds earned interest income as follows:
 
Fund
  
Interest Income

Three Months

Ended

June 30, 2022
    
Interest Income

Three Months

Ended

June 30, 2021
    
Interest Income

Six Months

Ended

June 30, 2022
    
Interest Income

Six Months

Ended

June 30, 2021
 
ProShares Short VIX Short-Term Futures ETF
     225,134        33,687        319,477        67,577  
ProShares Ultra Bloomberg Crude Oil
     1,264,011        111,333        1,572,891        279,408  
ProShares Ultra Bloomberg Natural Gas
     146,470        11,544        186,051        25,359  
ProShares Ultra Euro
     6,522        438        11,109        1,022  
ProShares Ultra Gold
     319,154        20,094        414,267        55,921  
ProShares Ultra Silver
     421,514        65,529        561,963        163,658  
ProShares Ultra VIX Short-Term Futures ETF
     430,670        202,556        525,931        316,525  
ProShares Ultra Yen
     3,064        307        3,937        663  
 
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ProShares UltraShort Bloomberg Crude Oil
     289,299        18,343        343,206        29,178  
ProShares UltraShort Bloomberg Natural Gas
     122,188        7,750        178,013        15,633  
ProShares UltraShort Euro
     39,011        5,640        54,416        12,806  
ProShares UltraShort Gold
     19,975        3,176        29,660        6,138  
ProShares UltraShort Silver
     18,743        2,678        27,663        5,795  
ProShares UltraShort Yen
     26,913        3,570        36,312        7,166  
ProShares VIX Mid-Term Futures ETF
     52,826        8,349        76,749        18,573  
ProShares VIX Short-Term Futures ETF
     207,903        40,988        278,612        79,448  
Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.
Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.
The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.
Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).
Market Risk
Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.
For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q.
Credit Risk
When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.
Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.
 
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Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.
The Sponsor attempts to minimize certain of these market and credit risks by normally:
 
   
executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;
 
   
limiting the outstanding amounts due from counterparties to the Funds;
 
   
not posting margin directly with a counterparty;
 
   
requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;
 
   
limiting the amount of margin or premium posted at a FCM; and
 
   
ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.
Off-Balance Sheet Arrangements and Contractual Obligations
As of August 9, 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).
For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended June 30, 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.
 
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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.
 
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Results of Operations for the Three Months Ended June 30, 2022 Compared to the Three Months Ended June 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 June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 495,588,849     $ 527,130,851  
NAV end of period
   $ 403,644,956     $ 588,615,946  
Percentage change in NAV
     (18.6 )%      11.7
Shares outstanding beginning of period
     9,084,307       11,184,307  
Shares outstanding end of period
     8,384,307       10,584,307  
Percentage change in shares outstanding
     (7.7 )%      (5.4 )% 
Shares created
     1,600,000       450,000  
Shares redeemed
     2,300,000       1,050,000  
Per share NAV beginning of period
   $ 54.55     $ 47.13  
Per share NAV end of period
   $ 48.14     $ 55.61  
Percentage change in per share NAV
     (11.8 )%      18.0
Percentage change in benchmark
     10.3     (35.2 )% 
Benchmark annualized volatility
     90.4     70.4
During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 9,084,307 outstanding Shares at March 31, 2022 to 8,384,307 outstanding Shares at June 30, 2022.
By comparison, during the three months ended June 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 one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 11,184,307 outstanding Shares at March 31, 2021 to 10,584,307 outstanding Shares at June 30, 2021.
For the three months ended June 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 decrease of 11.8% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 18.0% for the three months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s rise of 10.3% for the three months ended June 30, 2022, as compared to the benchmark’s decline of 35.2% for the three months ended June 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 June 30, 2022.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (1,094,000    $ (1,865,757
Management fee
     1,034,361        1,317,153  
Brokerage commission
     177,552        253,949  
Futures account fees
     107,221        328,342  
Net realized gain (loss)
     (13,105,212      109,337,017  
Change in net unrealized appreciation (depreciation)
     (34,507,780      (13,308,130
Net Income (loss)
   $ (48,706,992    $ 94,163,130  
The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to an increase in the value of futures prices during the three months ended June 30, 2022.
ProShares Ultra Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 1,336,980,685     $ 1,088,579,093  
NAV end of period
   $ 1,060,867,238     $ 1,303,530,902  
Percentage change in NAV
     (20.7 )%      19.7
Shares outstanding beginning of period
     35,243,096       82,843,096  
Shares outstanding end of period
     25,493,096       66,643,096  
Percentage change in shares outstanding
     (27.7 )%      (19.6 )% 
Shares created
     1,700,000       4,200,000  
Shares redeemed
     11,450,000       20,400,000  
Per share NAV beginning of period
   $ 37.94     $ 13.14  
Per share NAV end of period
   $ 41.61     $ 19.56  
Percentage change in per share NAV
     9.7     48.9
Percentage change in benchmark
     6.8     23.1
Benchmark annualized volatility
     37.5     23.9
 
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During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily due to decrease in shareholder activity offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV offset by an increase from 8,810,774 outstanding Shares at March 31, 2022 to 25,493,096 outstanding Shares at June 30, 2022.
By comparison, during the three months ended June 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 Balanced WTI Crude Oil Index
SM
. The increase in the Fund’s NAV was offset by a decrease from 82,843,096 outstanding Shares at March 31, 2021 to 66,643,096 outstanding Shares at June 30, 2021.
For the three months ended June 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 9.7% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 48.9% for the three months ended June 30, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s rise of 6.8% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 23.1% for the three months ended June 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (2,084,704    $ (3,210,719
Management fee
     3,098,904        2,794,292  
Brokerage commission
     140,210        210,012  
Futures account fees
     109,601        317,748  
Net realized gain (loss)
     363,291,439        320,505,659  
Change in net unrealized appreciation (depreciation)
     (211,544,109      157,919,139  
Net Income (loss)
   $ 149,662,626      $ 475,214,079  
The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil during the three months ended June 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 Ultra Bloomberg Crude Oil.
 
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ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 145,069,486     $ 74,307,070  
NAV end of period
   $ 187,297,842     $ 70,213,227  
Percentage change in NAV
     29.1     (5.5 )% 
Shares outstanding beginning of period
     2,587,527       3,487,527  
Shares outstanding end of period
     4,737,527       1,987,527  
Percentage change in shares outstanding
     83.1     (43.0 )% 
Shares created
     6,500,000       650,000  
Shares redeemed
     4,350,000       2,150,000  
Per share NAV beginning of period
   $ 56.06     $ 21.31  
Per share NAV end of period
   $ 39.53     $ 35.33  
Percentage change in per share NAV
     (29.5 )%      65.8
Percentage change in benchmark
     (6.0 )%      30.3
Benchmark annualized volatility
     37.5     27.8
During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,587,527 outstanding Shares at March 31, 2022 to 4,737,527 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
.
By comparison, during the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,487,527 outstanding Shares at March 31, 2021 to 1,987,527 outstanding Shares at June 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 Natural Gas Subindex
SM
.
For the three months ended June 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 29.5% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 65.8% for the three months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s decline of 6% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 30.3% for the three months ended June 30, 2021, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (566,073    $ (217,363
Management fee
     534,624        152,958  
Brokerage commission
     114,706        63,062  
Futures account fees
     63,213        12,887  
Net realized gain (loss)
     164,990,694        4,901,288  
Change in net unrealized appreciation (depreciation)
     (271,288,469      28,347,917  
Net Income (loss)
   $ (106,863,848    $ 33,031,842  
 
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The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of Henry Hub Natural Gas during the three months ended June 30, 2022.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 6,236,982     $ 3,611,724  
NAV end of period
   $ 9,415,626     $ 3,668,741  
Percentage change in NAV
     51.0     1.6
Shares outstanding beginning of period
     500,000       250,000  
Shares outstanding end of period
     850,000       250,000  
Percentage change in shares outstanding
     70.0     —  
Shares created
     450,000       100,000  
Shares redeemed
     100,000       100,000  
Per share NAV beginning of period
   $ 12.47     $ 14.45  
Per share NAV end of period
   $ 11.08     $ 14.67  
Percentage change in per share NAV
     (11.1 )%      1.6
Percentage change in benchmark
     (5.3 )%      1.1
Benchmark annualized volatility
     9.1     5.9
During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 500,000 outstanding Shares at March 31, 2022 to 850,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
By comparison, during the three months ended June 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 spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2021 to June 30, 2021.
For the three months ended June 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 11.1% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 1.6% for the three months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s decline of 5.3% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 1.1% for the three months ended June 30, 2021, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2022.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (8,515    $ (8,978
Management fee
     15,037        9,416  
Net realized gain (loss)
     (446,365      95,412  
Change in net unrealized appreciation (depreciation)
     (281,290      (13,219
Net Income (loss)
   $ (736,170    $ 73,215  
The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended June 30, 2022.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 355,029,822     $ 214,548,056  
NAV end of period
   $ 239,938,853     $ 243,456,703  
Percentage change in NAV
     (32.4 )%      13.5
Shares outstanding beginning of period
     5,300,000       3,950,000  
Shares outstanding end of period
     4,250,000       4,250,000  
Percentage change in shares outstanding
     (19.8 )%      7.6
Shares created
     100,000       400,000  
Shares redeemed
     1,150,000       100,000  
Per share NAV beginning of period
   $ 66.99     $ 54.32  
Per share NAV end of period
   $ 56.46     $ 57.28  
Percentage change in per share NAV
     (15.7 )%      5.5
Percentage change in benchmark
     (7.6 )%      3.2
Benchmark annualized volatility
     13.8     14.6
During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,300,000 outstanding Shares at March 31, 2022 to 4,250,000 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
.
By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 3,950,000 outstanding Shares at March 31, 2021 to 4,250,000 outstanding Shares at June 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 (2x) the daily performance of the Bloomberg Gold Subindex
SM
.
For the three months ended June 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 15.7% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 5.5% for the three months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s decline of 7.6% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 3.2% for the three months ended June 30, 2021, can be attributed to a decrease in the value of gold futures contracts during the period ended June 30, 2022.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (419,722    $ (569,965
Management fee
     716,148        568,040  
Brokerage commission
     14,064        8,665  
Futures account fees
     8,664        13,354  
Net realized gain (loss)
     (57,901,083      45,506,367  
Change in net unrealized appreciation (depreciation)
     4,971,043        (33,478,303
Net Income (loss)
   $ (53,349,762    $ 11,458,099  
The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of futures prices during the three months ended June 30, 2022.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 558,375,841     $ 572,501,249  
NAV end of period
   $ 355,577,515     $ 661,778,727  
Percentage change in NAV
     (36.3 )%      15.6
Shares outstanding beginning of period
     14,296,526       13,846,526  
Shares outstanding end of period
     14,346,526       14,396,526  
Percentage change in shares outstanding
     0.3     4.0
Shares created
     800,000       1,000,000  
Shares redeemed
     750,000       450,000  
Per share NAV beginning of period
   $ 39.06     $ 41.35  
Per share NAV end of period
   $ 24.78     $ 45.97  
Percentage change in per share NAV
     (36.6 )%      11.2
Percentage change in benchmark
     (19.4 )%      6.5
Benchmark annualized volatility
     23.7     25.5
During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 14,296,526 outstanding Shares at March 31, 2022 to 14,346,526 outstanding Shares at June 30, 2022.
By comparison, during the three months ended June 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 Silver Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 13,846,526 outstanding Shares at March 31, 2021 to 14,396,526 outstanding Shares at June 30, 2021.
For the three months ended June 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 36.6% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 11.2% for the three months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
 
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The benchmark’s decline of 19.4% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 6.5% for the three months ended June 30, 2021, can be attributed to a decrease in the value of silver futures contracts during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (695,746    $ (1,639,236
Management fee
     1,082,340        1,615,157  
Brokerage commission
     28,732        40,715  
Futures account fees
     6,188        48,893  
Net realized gain (loss)
     (156,195,349      116,370,479  
Change in net unrealized appreciation (depreciation)
     (50,135,799      (48,394,245
Net Income (loss)
   $ (207,026,894    $ 66,336,998  
The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of futures prices during the three months ended June 30, 2022.
ProShares Ultra VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 1,127,608,641     $ 1,284,373,170  
NAV end of period
   $ 975,683,533     $ 840,870,703  
Percentage change in NAV
     (13.5 )%      (34.5 )% 
Shares outstanding beginning of period
     83,528,420       22,803,091  
Shares outstanding end of period
     67,228,420       30,128,420  
Percentage change in shares outstanding
     (19.5 )%      32.1
Shares created
     58,400,000       12,955,000  
Shares redeemed
     74,700,000       5,629,671  
Per share NAV beginning of period
   $ 13.50     $ 56.32  
Per share NAV end of period
   $ 14.51     $ 27.91  
Percentage change in per share NAV
     7.5     (50.5 )% 
Percentage change in benchmark
     10.3     (35.2 )% 
Benchmark annualized volatility
     90.4     70.4
 
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During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 83,528,420 outstanding Shares at March 31, 2022 to 67,228,420 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
By comparison, during the three months ended June 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 22,803,091 outstanding Shares at March 31, 2021 to 30,128,420 outstanding Shares at June 30, 2021.
For the three months ended June 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 increase of 7.5% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 50.5% for the three months ended June 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s rise of 10.3% for the three months ended June 30, 2022, as compared to the benchmark’s decline of 35.2% for the three months ended June 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 June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (3,277,402    $ (3,975,284
Management fee
     2,293,738        2,293,121  
Brokerage commission
     970,211        1,173,276  
Futures account fees
     444,123        711,443  
Net realized gain (loss)
     90,701,501        (854,526,924
Change in net unrealized appreciation (depreciation)
     196,735,349        244,115,248  
Net Income (loss)
   $ 284,159,448      $ (614,386,960
The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to an increase in the value of futures prices during the three months ended June 30, 2022.
 
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ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 2,099,705     $ 2,587,694  
NAV end of period
   $ 5,024,773     $ 2,560,348  
Percentage change in NAV
     139.3     (1.1 )% 
Shares outstanding beginning of period
     49,970       49,970  
Shares outstanding end of period
     149,970       49,970  
Percentage change in shares outstanding
     200.1     —  
Shares created
     100,000       —    
Shares redeemed
     —         —    
Per share NAV beginning of period
   $ 42.02     $ 51.78  
Per share NAV end of period
   $ 33.51     $ 51.24  
Percentage change in per share NAV
     (20.3 )%      (1.1 )% 
Percentage change in benchmark
     (10.3 )%      (0.3 )% 
Benchmark annualized volatility
     11.5     4.9
During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at March 31, 2022 to 149,970 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
By comparison, during the three months ended June 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 March 31, 2021 to June 30, 2021.
For the three months ended June 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 20.3% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 1.1% for the three months ended June 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s decline of 10.3% for the three months ended June 30, 2022, as compared to the benchmark’s decline of 0.3% for the three months ended June 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 June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (4,972    $ (5,955
Management fee
     8,036        6,262  
Net realized gain (loss)
     (761,478      (140,007
Change in net unrealized appreciation (depreciation)
     152,185        118,616  
Net Income (loss)
   $ (614,265    $ (27,346
The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 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 June 30, 2022.
 
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ProShares UltraShort Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 416,799,231     $ 91,718,390  
NAV end of period
   $ 501,157,304     $ 79,400,059  
Percentage change in NAV
     20.2     (13.4 )% 
Shares outstanding beginning of period
     14,286,760       636,994  
Shares outstanding end of period
     21,755,220       876,760  
Percentage change in shares outstanding
     52.3     37.6
Shares created
     12,320,000       387,500  
Shares redeemed
     4,851,540       147,734  
Per share NAV beginning of period
   $ 29.17     $ 143.99  
Per share NAV end of period
   $ 23.04     $ 90.56  
Percentage change in per share NAV
     (21.0 )%      (37.1 )% 
Percentage change in benchmark
     6.8     23.1
Benchmark annualized volatility
     37.5     23.9
During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily due to increase in shares outstanding and offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The increase in the Fund’s NAV was offset by a increase from 14,286,760 outstanding Shares at March 31, 2022 to 21,755,220 outstanding Shares at June 30, 2022.
By comparison, during the three months ended June 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) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV was offset by an increase from 636,994 outstanding Shares at March 31, 2021 to 876,760 outstanding Shares at June 30, 2021.
 
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For the three months ended June 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 21.0% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 37.1% for the three months ended June 30, 2021, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s rise of 6.8% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 23.1% for the three months ended June 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (849,692    $ (208,741
Management fee
     946,110        181,035  
Brokerage commission
     107,079        28,581  
Futures account fees
     85,802        17,468  
Net realized gain (loss)
     (102,594,000      (26,010,421
Change in net unrealized appreciation (depreciation)
     34,757,114        (9,947,432
Net Income (loss)
   $ (68,686,578    $ (36,166,594
The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil during the three months ended June 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.
ProShares UltraShort Bloomberg Natural Gas*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 250,340,837     $ 69,459,275  
NAV end of period
   $ 211,823,446     $ 97,525,300  
Percentage change in NAV
     (15.4 )%      40.4
Shares outstanding beginning of period
     3,868,619       88,742  
Shares outstanding end of period
     4,966,856       226,242  
Percentage change in shares outstanding
     28.4     154.9
Shares created
     18,700,000       172,500  
Shares redeemed
     17,601,764       35,000  
Per share NAV beginning of period
   $ 64.71     $ 782.71  
Per share NAV end of period
   $ 42.65     $ 431.07  
Percentage change in per share NAV
     (34.1 )%      (44.9 )% 
Percentage change in benchmark
     (6.0 )%      30.3
Benchmark annualized volatility
     87.3     27.8
 
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During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a increase from 3,868,619 outstanding Shares at March 31, 2022 to 4,966,856 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 88,742 outstanding Shares at March 31, 2021 to 226,242 outstanding Shares at June 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 Subindex
SM
.
For the three months ended June 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 34.1% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 44.9% for the three months ended June 30, 2021, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s decline of 6.0% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 30.3% for the three months ended June 30, 2021, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (610,379    $ (313,757
Management fee
     510,704        191,311  
Brokerage commission
     144,907        96,343  
Futures account fees
     76,956        33,853  
Net realized gain (loss)
     (282,646,884      (10,305,304
Change in net unrealized appreciation (depreciation)
     228,079,127        (33,693,761
Net Income (loss)
   $ (55,178,136    $ (44,312,822
The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of Henry Hub Natural Gas during the three months ended June 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.
 
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ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 50,498,084     $ 54,932,137  
NAV end of period
   $ 62,270,097     $ 48,820,440  
Percentage change in NAV
     23.3     (11.1 )% 
Shares outstanding beginning of period
     1,850,000       2,250,000  
Shares outstanding end of period
     2,050,000       2,050,000  
Percentage change in shares outstanding
     10.8     (8.9 )% 
Shares created
     500,000       —    
Shares redeemed
     300,000       200,000  
Per share NAV beginning of period
   $ 27.30     $ 24.41  
Per share NAV end of period
   $ 30.38     $ 23.81  
Percentage change in per share NAV
     11.3     (2.5 )% 
Percentage change in benchmark
     (5.3 )%      1.1
Benchmark annualized volatility
     9.1     5.9
During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,850,000 outstanding Shares at March 31, 2022 to 2,050,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.
By comparison, during the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,250,000 outstanding Shares at March 31, 2021 to 2,050,000 outstanding Shares at June 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 the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended June 30, 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 11.3% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 2.5% for the three months ended June 30, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s decline of 5.3% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 1.1% for the three months ended June 30, 2021, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (107,923    $ (109,040
Management fee
     146,934        114,680  
Net realized gain (loss)
     3,065,129        (795,757
Change in net unrealized appreciation (depreciation)
     3,039,738        (511,170
Net Income (loss)
   $ 5,996,944      $ (1,415,967
 
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The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended June 30, 2022.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 32,598,451     $ 41,243,515  
NAV end of period
   $ 34,611,284     $ 32,835,014  
Percentage change in NAV
     6.2     (20.4 )% 
Shares outstanding beginning of period
     1,196,977       1,096,977  
Shares outstanding end of period
     1,096,977       946,977  
Percentage change in shares outstanding
     (8.4 )%      (13.7 )% 
Shares created
     700,000       300,000  
Shares redeemed
     800,000       450,000  
Per share NAV beginning of period
   $ 27.23     $ 37.60  
Per share NAV end of period
   $ 31.55     $ 34.67  
Percentage change in per share NAV
     15.9     (7.8 )% 
Percentage change in benchmark
     (7.6 )%      3.2
Benchmark annualized volatility
     13.8     14.6
During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 1,196,977 outstanding Shares at March 31, 2022 to 1,096,977 outstanding Shares at June 30, 2022.
By comparison, during the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,096,977 outstanding Shares at March 31, 2021 to 946,977 outstanding Shares at June 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 Bloomberg Gold Subindex
SM
.
For the three months ended June 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 15.9% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 7.8% for the three months ended June 30, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s decline of 7.6% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 3.2% for the three months ended June 30, 2021, can be attributed to decrease in the value of gold futures contracts during the period ended June 30, 2022.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (59,266    $ (70,877
Management fee
     75,676        69,968  
Brokerage commission
     2,985        2,283  
Futures account fees
     580        1,802  
Net realized gain (loss)
     4,557,870        (6,984,547
Change in net unrealized appreciation (depreciation)
     289,951        3,806,053  
Net Income (loss)
   $ 4,788,555      $ (3,249,371
The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to decrease in the value of the futures prices during the three months ended June 30, 2022.
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 23,406,516     $ 45,144,664  
NAV end of period
   $ 33,052,840     $ 34,859,763  
Percentage change in NAV
     41.2     (22.8 )% 
Shares outstanding beginning of period
     1,091,329       1,616,744  
Shares outstanding end of period
     1,041,329       1,491,329  
Percentage change in shares outstanding
     (4.6 )%      (7.8 )% 
Shares created
     700,000       300,000  
Shares redeemed
     750,000       425,415  
Per share NAV beginning of period
   $ 21.45     $ 27.92  
Per share NAV end of period
   $ 31.74     $ 23.37  
Percentage change in per share NAV
     48.0     (16.3 )% 
Percentage change in benchmark
     (19.4 )%      6.5
Benchmark annualized volatility
     23.7     25.5
During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 1,091,329 outstanding Shares at March 31, 2022 to 1,041,329 outstanding Shares at June 30, 2022.
By comparison, during the three months ended June 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) of the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 1,616,744 outstanding Shares at March 31, 2021 to 1,491,329 outstanding Shares at June 30, 2021.
For the three months ended June 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 48.0% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 16.3% for the three months ended June 30, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
 
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The benchmark’s decline of 19.4% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 6.5% for the three months ended June 30, 2021, can be attributed to a decrease in the value of the silver futures contracts during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (51,484    $ (78,184
Management fee
     62,381        72,831  
Brokerage commission
     6,677        3,824  
Futures account fees
     1,169        4,207  
Net realized gain (loss)
     9,411,232        (5,876,456
Change in net unrealized appreciation (depreciation)
     3,853,312        (925,320
Net Income (loss)
   $ 13,213,060      $ (6,879,960
The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of futures prices during the three months ended June 30, 2022.
ProShares UltraShort Yen*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 27,726,701     $ 34,921,840  
NAV end of period
   $ 45,568,882     $ 27,231,748  
Percentage change in NAV
     64.4     (22.0 )% 
Shares outstanding beginning of period
     598,580       898,580  
Shares outstanding end of period
     798,580       698,580  
Percentage change in shares outstanding
     33.4     (22.3 )% 
Shares created
     650,000       —    
Shares redeemed
     450,000       200,000  
Per share NAV beginning of period
   $ 46.32     $ 38.86  
Per share NAV end of period
   $ 57.06     $ 38.98  
Percentage change in per share NAV
     23.2     0.3
Percentage change in benchmark
     (10.3 )%      (0.3 )% 
Benchmark annualized volatility
     11.4     4.9
During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 598,580 outstanding Shares at March 31, 2022 to 798,580 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted in part from 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.
 
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By comparison, during the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 898,580 outstanding Shares at March 31, 2021 to 698,580 outstanding Shares at June 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 three months ended June 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 23.2% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 0.3% for the three months ended June 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s decline of 10.3% for the three months ended June 30, 2022, as compared to the benchmark’s decline of 0.3% for the three months ended June 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 June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (66,268    $ (68,876
Management fee
     93,181        72,446  
Net realized gain (loss)
     7,917,170        1,598,086  
Change in net unrealized appreciation (depreciation)
     (1,367,929      (1,645,477
Net Income (loss)
   $ 6,482,973      $ (116,267
The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 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 June 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 June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 97,869,914     $ 75,122,747  
NAV end of period
   $ 95,721,271     $ 92,662,734  
Percentage change in NAV
     (2.2 )%      23.3
Shares outstanding beginning of period
     3,112,403       2,162,403  
Shares outstanding end of period
     2,712,403       3,037,403  
Percentage change in shares outstanding
     (12.9 )%      40.5
Shares created
     300,000       1,025,000  
Shares redeemed
     700,000       150,000  
Per share NAV beginning of period
   $ 31.45     $ 34.74  
Per share NAV end of period
   $ 35.29     $ 30.51  
Percentage change in per share NAV
     12.2     (12.2 )% 
Percentage change in benchmark
     12.9     (11.9 )% 
Benchmark annualized volatility
     37.1     31.1
 
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During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,112,403 outstanding Shares at March 31, 2022 to 2,712,403 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.
By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 2,162,403 outstanding Shares at March 31, 2021 to 3,037,403 outstanding Shares at June 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.
For the three months ended June 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 12.2% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.2% for the three months ended June 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s rise of 12.9% for the three months ended June 30, 2022, as compared to the benchmark’s decline of 11.9% for the three months ended June 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 June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (184,164    $ (227,144
Management fee
     210,584        187,266  
Brokerage commission
     15,500        16,096  
Futures account fees
     10,906        32,131  
Net realized gain (loss)
     7,862,052        (14,405,542
Change in net unrealized appreciation (depreciation)
     3,992,670        3,572,030  
Net Income (loss)
   $ 11,670,558      $ (11,060,656
The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to an increase in the value of the futures prices during the three months ended June 30, 2022.
 
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ProShares VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
   
Three Months Ended

June 30, 2021
 
NAV beginning of period
   $ 404,950,400     $ 349,578,758  
NAV end of period
   $ 341,714,316     $ 272,352,675  
Percentage change in NAV
     (15.6 )%      (22.1 )% 
Shares outstanding beginning of period
     24,382,826       9,375,329  
Shares outstanding end of period
     18,757,826       11,307,826  
Percentage change in shares outstanding
     (23.1 )%      20.6
Shares created
     8,175,000       3,925,000  
Shares redeemed
     13,800,000       1,992,503  
Per share NAV beginning of period
   $ 16.61     $ 37.29  
Per share NAV end of period
   $ 18.22     $ 24.09  
Percentage change in per share NAV
     9.6     (35.6 )% 
Percentage change in benchmark
     10.3     (35.2 )% 
Benchmark annualized volatility
     90.4     70.5
During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 24,382,826 outstanding Shares at March 31, 2022 to 18,757,826 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
By comparison, during the three months ended June 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 the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 9,375,329 outstanding Shares at March 31, 2021 to 11,307,826 outstanding Shares at June 30, 2021.
For the three months ended June 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 9.6% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 35.6% for the three months ended June 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.
The benchmark’s rise of 10.3% for the three months ended June 30, 2022, as compared to the benchmark’s decline of 35.2% for the three months ended June 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 June 30, 2022.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:
 
    
Three Months Ended

June 30, 2022
    
Three Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (852,779    $ (897,582
Management fee
     773,717        669,363  
Brokerage commission
     171,182        94,839  
Futures account fees
     115,783        174,368  
Net realized gain (loss)
     23,658,785        (175,846,641
Change in net unrealized appreciation (depreciation)
     46,600,777        38,992,347  
Net Income (loss)
   $ 69,406,783      $ (137,751,876
The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to an increase in the value of the futures prices during the three months ended June 30, 2022.
 
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Results of Operations for the Six Months Ended June 30, 2022 Compared to the Six Months Ended June 30, 2021
ProShares Short VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 423,812,594     $ 409,371,468  
NAV end of period
   $ 403,644,956     $ 588,615,946  
Percentage change in NAV
     (4.8 )%      43.8
Shares outstanding beginning of period
     6,884,307       9,884,307  
Shares outstanding end of period
     8,384,307       10,584,307  
Percentage change in shares outstanding
     21.8     7.1
Shares created
     4,600,000       2,850,000  
Shares redeemed
     3,100,000       2,150,000  
Per share NAV beginning of period
   $ 61.56     $ 41.42  
Per share NAV end of period
   $ 48.14     $ 55.61  
Percentage change in per share NAV
     (21.8 )%      34.3
Percentage change in benchmark
     21.6     (56.0 )% 
Benchmark annualized volatility
     88.1     76.0
During the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 6,884,307 outstanding Shares at December 31, 2021 to 8,384,307 outstanding Shares at June 30, 2022.
 
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By comparison, during the six months ended June 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 one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 9,884,307 outstanding Shares at December 31, 2020 to 10,584,307 outstanding Shares at June 30, 2021.
For the six months ended June 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 21.8% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 34.3% for the six months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s rise of 21.6% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 56.0% for the six months ended June 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 June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (2,390,922    $ (3,308,123
Management fee
     2,020,898        2,359,722  
Brokerage commission
     365,250        429,859  
Futures account fees
     324,251        586,119  
Net realized gain (loss)
     (54,216,320      133,546,434  
Change in net unrealized appreciation (depreciation)
     (30,209,873      28,816,988  
Net Income (loss)
   $ (86,817,115    $ 159,055,299  
The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to an increase in the value of futures prices during the six months ended June 30, 2022.
 
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ProShares Ultra Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 1,103,783,570     $ 902,739,250  
NAV end of period
   $ 1,060,867,238     $ 1,303,530,902  
Percentage change in NAV
     (3.9 )%      44.4
Shares outstanding beginning of period
     51,243,096       99,243,096  
Shares outstanding end of period
     25,493,096       66,643,096  
Percentage change in shares outstanding
     (50.3 )%      (32.8 )% 
Shares created
     10,300,000       13,600,000  
Shares redeemed
     36,050,000       46,200,000  
Per share NAV beginning of period
   $ 21.54     $ 9.10  
Per share NAV end of period
   $ 41.61     $ 19.56  
Percentage change in per share NAV
     93.2     115.0
Percentage change in benchmark
     45.9     50.1
Benchmark annualized volatility
     41.9     28.2
During the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily due to the change in shares outstanding and offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an decrease from 51,243,096 outstanding Shares at December 31, 2021 to 25,493,096 outstanding Shares at June 30, 2022
By comparison, during the six months ended June 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 Index
SM
. The increase in the Fund’s NAV was offset by a decrease from 99,243,096 outstanding Shares at December 31, 2020 to 66,643,096 outstanding Shares at June 30, 2021.
For the six months ended June 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 93.2% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 115.0% for the six months ended June 30, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s rise of 45.9% for the six months ended June 30, 2022, as compared to the benchmark’s rise of 50.1% for the six months ended June 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (5,308,864    $ (5,969,866
Management fee
     6,183,716        5,329,377  
Brokerage commission
     335,751        503,212  
Futures account fees
     362,288        416,685  
Net realized gain (loss)
     1,162,711,373        654,856,887  
Change in net unrealized appreciation (depreciation)
     (306,208,096      192,954,795  
Net Income (loss)
   $ 851,194,413      $ 841,841,816  
 
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The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 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 six months ended June 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 Ultra Bloomberg Crude Oil.
ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 193,892,178     $ 169,800,371  
NAV end of period
   $ 187,297,842     $ 70,213,227  
Percentage change in NAV
     (3.4 )%      (58.6 )% 
Shares outstanding beginning of period
     7,587,527       8,087,527  
Shares outstanding end of period
     4,737,527       1,987,527  
Percentage change in shares outstanding
     (37.6 )%      (75.4 )% 
Shares created
     9,100,000       4,050,000  
Shares redeemed
     11,950,000       10,150,000  
Per share NAV beginning of period
   $ 25.55     $ 21.00  
Per share NAV end of period
   $ 39.53     $ 35.33  
Percentage change in per share NAV
     54.7     68.3
Percentage change in benchmark
     48.9     34.2
Benchmark annualized volatility
     80.3     35.5
During the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 7,587,527 outstanding Shares at December 31, 2021 to 4,737,527 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
.
By comparison, during the six months ended June 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 1,987,527 outstanding Shares at June 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 Natural Gas Subindex
SM
.
For the six months ended June 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 54.7% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 68.3% for the six months ended June 30, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s rise of 48.9% for the six months ended June 30, 2022, as compared to the benchmark’s rise of 34.2% for the six months ended June 30, 2021, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended June 30, 2022.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (1,082,671    $ (632,508
Management fee
     931,234        407,773  
Brokerage commission
     203,158        155,359  
Futures account fees
     134,330        94,735  
Net realized gain (loss)
     241,207,930        46,484,224  
Change in net unrealized appreciation (depreciation)
     (186,420,725      10,549,049  
Net Income (loss)
   $ 53,704,534      $ 56,400,765  
The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the six months ended June 30, 2022.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 8,659,095     $ 4,737,350  
NAV end of period
   $ 9,415,626     $ 3,668,741  
Percentage change in NAV
     8.7     (22.6 )% 
Shares outstanding beginning of period
     650,000       300,000  
Shares outstanding end of period
     850,000       250,000  
Percentage change in shares outstanding
     30.8     (16.7 )% 
Shares created
     550,000       100,000  
Shares redeemed
     350,000       150,000  
Per share NAV beginning of period
   $ 13.32     $ 15.79  
Per share NAV end of period
   $ 11.08     $ 14.67  
Percentage change in per share NAV
     (16.8 )%      (7.1 )% 
Percentage change in benchmark
     (7.9 )%      (2.9 )% 
Benchmark annualized volatility
     8.8     6.1
During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 850,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
By comparison, during the six months ended June 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 June 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 six months ended June 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 16.8% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 7.1% for the six months ended June 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
 
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The benchmark’s decline of 7.9% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 2.9% for the six months ended June 30, 2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (24,206    $ (18,472
Management fee
     35,315        19,494  
Net realized gain (loss)
     (893,344      68,070  
Change in net unrealized appreciation (depreciation)
     (419,715      (324,271
Net Income (loss)
   $ (1,337,265    $ (274,673
The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the six months ended June 30, 2022.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 232,780,534     $ 263,540,473  
NAV end of period
   $ 239,938,853     $ 243,456,703  
Percentage change in NAV
     3.1     (7.6 )% 
Shares outstanding beginning of period
     3,900,000       3,900,000  
Shares outstanding end of period
     4,250,000       4,250,000  
Percentage change in shares outstanding
     9.0     9.0
Shares created
     1,600,000       1,000,000  
Shares redeemed
     1,250,000       650,000  
Per share NAV beginning of period
   $ 59.69     $ 67.57  
Per share NAV end of period
   $ 56.46     $ 57.28  
Percentage change in per share NAV
     (5.4 )%      (15.2 )% 
Percentage change in benchmark
     (1.5 )%      (7.0 )% 
Benchmark annualized volatility
     15.7     16.6
During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,900,000 outstanding Shares at December 31, 2021 to 4,250,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
.
 
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By comparison, during the six months ended June 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 Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 4,250,000 outstanding Shares at June 30, 2021.
For the six months ended June 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 5.4% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 15.2% for the six months ended June 30, 2021, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s decline of 1.5% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 7.0% for the six months ended June 30, 2021, can be attributed to a lesser decrease in the value of gold futures contracts during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (1,037,188    $ (1,149,635
Management fee
     1,387,563        1,136,247  
Brokerage commission
     35,723        23,553  
Futures account fees
     28,169        45,756  
Net realized gain (loss)
     (82,487      (5,741,520
Change in net unrealized appreciation (depreciation)
     (19,849,468      (34,710,806
Net Income (loss)
   $ (20,969,143    $ (41,601,961
The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a lesser decrease in the value of futures prices during the six months ended June 30, 2022.
 
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ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 515,453,594     $ 745,304,028  
NAV end of period
   $ 355,577,515     $ 661,778,727  
Percentage change in NAV
     (31.0 )%      (11.2 )% 
Shares outstanding beginning of period
     14,796,526       14,696,526  
Shares outstanding end of period
     14,346,526       14,396,526  
Percentage change in shares outstanding
     (3.0 )%      (2.0 )% 
Shares created
     1,800,000       3,400,000  
Shares redeemed
     2,250,000       3,700,000  
Per share NAV beginning of period
   $ 34.84     $ 50.71  
Per share NAV end of period
   $ 24.78     $ 45.97  
Percentage change in per share NAV
     (28.9 )%      (9.4 )% 
Percentage change in benchmark
     (13.4 )%      (1.2 )% 
Benchmark annualized volatility
     28.2     35.9
During the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 14,796,526 outstanding Shares at December 31, 2021 to 14,346,526 outstanding Shares at June 30, 2022.
By comparison, during the six months ended June 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 Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 14,696,526 outstanding Shares at December 31, 2020 to 14,396,526 outstanding Shares at June 30, 2021.
For the six months ended June 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 28.9% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 9.4% for the six months ended June 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s decline of 13.4% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 1.2% for the six months ended June 30, 2021, can be attributed to a greater decrease in the value of silver futures contracts during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (1,823,952    $ (3,381,011
Management fee
     2,299,939        3,246,292  
Brokerage commission
     59,283        87,297  
Futures account fees
     26,693        211,080  
Net realized gain (loss)
     (39,558,312      121,281,221  
Change in net unrealized appreciation (depreciation)
     (108,172,044      (186,138,026
Net Income (loss)
   $ (149,554,308    $ (68,237,816
 
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The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater decrease in the value of futures prices during the six months ended June 30, 2022.
ProShares Ultra VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 816,679,636     $ 1,356,204,199  
NAV end of period
   $ 975,683,533     $ 840,870,703  
Percentage change in NAV
     19.5     (38.0 )% 
Shares outstanding beginning of period
     65,828,420       12,713,091  
Shares outstanding end of period
     67,228,420       30,128,420  
Percentage change in shares outstanding
     2.1     137.0
Shares created
     141,500,000       32,585,000  
Shares redeemed
     140,100,000       15,169,671  
Per share NAV beginning of period
   $ 12.41     $ 106.68  
Per share NAV end of period
   $ 14.51     $ 27.91  
Percentage change in per share NAV
     17.0     (73.8 )% 
Percentage change in benchmark
     21.6     (56.0 )% 
Benchmark annualized volatility
     88.1 %%      76.0
During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 65,828,420 outstanding Shares at December 31, 2021 to 67,228,420 outstanding Shares at June 30, 2022.
By comparison, during the six months ended June 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 30,128,420 outstanding Shares at June 30, 2021.
For the six months ended June 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 17.0% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 73.8% for the six months ended June 30, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
 
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The benchmark’s rise of 21.6% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 56.0% for the six months ended June 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 June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (6,862,764    $ (12,044,833
Management fee
     4,254,915        6,676,198  
Brokerage commission
     1,906,969        3,129,904  
Futures account fees
     1,226,811        2,555,256  
Net realized gain (loss)
     371,681,032        (1,559,026,428
Change in net unrealized appreciation (depreciation)
     161,734,465        (40,244,083
Net Income (loss)
   $ 526,552,733      $ (1,611,315,344
The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to an increase in the value of futures prices during the six months ended June 30, 2022.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 2,362,849     $ 2,989,499  
NAV end of period
   $ 5,024,773     $ 2,560,348  
Percentage change in NAV
     112.7     (14.4 )% 
Shares outstanding beginning of period
     49,970       49,970  
Shares outstanding end of period
     149,970       49,970  
Percentage change in shares outstanding
     200.1     —  
Shares created
     100,000       —    
Shares redeemed
     —         —    
Per share NAV beginning of period
   $ 47.29     $ 59.83  
Per share NAV end of period
   $ 33.51     $ 51.24  
Percentage change in per share NAV
     (29.2 )%      (14.4 )% 
Percentage change in benchmark
     (15.2 )%      (7.1 )% 
Benchmark annualized volatility
     9.5     5.0
During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 149,970 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
By comparison, during the six months ended June 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 June 30, 2021.
For the six months ended June 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 29.2% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 14.4% for the six months ended June 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s decline of 15.2% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 7.1% for the six months ended June 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 June 30, 2022.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (9,528    $ (12,248
Management fee
     13,465        12,911  
Net realized gain (loss)
     (878,701      (279,474
Change in net unrealized appreciation (depreciation)
     10,820        (137,429
Net Income (loss)
   $ (877,409    $ (429,151
The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2022.
ProShares UltraShort Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 114,167,602     $ 96,839,233  
NAV end of period
   $ 501,157,304     $ 79,400,059  
Percentage change in NAV
     339.0     (18.0 )% 
Shares outstanding beginning of period
     1,776,760       416,994  
Shares outstanding end of period
     21,755,220       876,760  
Percentage change in shares outstanding
     1,124.4     110.3
Shares created
     27,890,000       777,500  
Shares redeemed
     7,911,540       317,734  
Per share NAV beginning of period
   $ 64.26     $ 232.23  
Per share NAV end of period
   $ 23.04     $ 90.56  
Percentage change in per share NAV
     (64.2 )%      (61.0 )% 
Percentage change in benchmark
     45.9     50.1
Benchmark annualized volatility
     41.9     28.2
 
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During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 21,755,220 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
.
By comparison, during the six months ended June 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 Index
SM
. The decrease in the Fund’s NAV was offset by an increase from 416,994 outstanding Shares at December 31, 2020 to 876,760 outstanding Shares at June 30, 2021.
For the six months ended June 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 64.2% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 61.0% for the six months ended June 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s rise of 45.9% for the six months ended June 30, 2022, as compared to the benchmark’s rise of 50.1% for the six months ended June 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (1,435,665    $ (509,925
Management fee
     1,438,757        402,298  
Brokerage commission
     184,135        71,625  
Futures account fees
     155,979        65,180  
Net realized gain (loss)
     (209,076,101      (75,188,186
Change in net unrealized appreciation (depreciation)
     36,686,156        (4,308,588
Net Income (loss)
   $ (173,825,610    $ (80,006,699
The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 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 six months ended June 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.
 
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ProShares UltraShort Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 242,145,130     $ 24,977,745  
NAV end of period
   $ 211,823,446     $ 97,525,300  
Percentage change in NAV
     (12.5 )%      290.4
Shares outstanding beginning of period
     978,742       26,242  
Shares outstanding end of period
     4,966,856       226,242  
Percentage change in shares outstanding
     407.5     762.1
Shares created
     23,340,000       377,500  
Shares redeemed
     19,351,886       177,500  
Per share NAV beginning of period
   $ 247.40     $ 951.82  
Per share NAV end of period
   $ 42.65     $ 431.07  
Percentage change in per share NAV
     (82.8 )%      (54.7 )% 
Percentage change in benchmark
     48.9     34.2
Benchmark annualized volatility
     80.3     35.5
During the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 978,742 outstanding Shares at December 31, 2021 to 4,966,856 outstanding Shares at June 30, 2022.
By comparison, during the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 26,242 outstanding Shares at December 31, 2020 to 226,242 outstanding Shares at June 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 Subindex
SM
.
For the six months ended June 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 82.8% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 54.7% for the six months ended June 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s rise of 48.9% for the six months ended June 30, 2022, as compared to the benchmark’s rise of 34.2% for the six months ended June 30, 2021, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (1,447,798    $ (574,164
Management fee
     1,053,068        350,648  
Brokerage commission
     365,858        182,023  
Futures account fees
     206,885        57,126  
Net realized gain (loss)
     (397,371,192      (16,664,698
Change in net unrealized appreciation (depreciation)
     140,292,056        (17,798,697
Net Income (loss)
   $ (258,526,934    $ (35,037,559
 
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The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater increase in the value of Henry Hub Natural Gas, during the six months ended June 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 six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 54,263,045     $ 52,953,339  
NAV end of period
   $ 62,270,097     $ 48,820,440  
Percentage change in NAV
     14.8     (7.8 )% 
Shares outstanding beginning of period
     2,100,000       2,350,000  
Shares outstanding end of period
     2,050,000       2,050,000  
Percentage change in shares outstanding
     (2.4 )%      (12.8 )% 
Shares created
     550,000       200,000  
Shares redeemed
     600,000       500,000  
Per share NAV beginning of period
   $ 25.84     $ 22.53  
Per share NAV end of period
   $ 30.38     $ 23.81  
Percentage change in per share NAV
     17.5     5.7
Percentage change in benchmark
     (7.9 )%      (2.9 )% 
Benchmark annualized volatility
     8.8     6.1
During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 2,050,000 outstanding Shares at June 30, 2022.
By comparison, during the six months ended June 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 2,050,000 outstanding Shares at June 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 six months ended June 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 17.5% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 5.7% for the six months ended June 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
 
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The benchmark’s decline of 7.9% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 2.9% for the six months ended June 30, 2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (209,974    $ (225,912
Management fee
     264,390        238,718  
Net realized gain (loss)
     5,818,237        (725,230
Change in net unrealized appreciation (depreciation)
     3,308,479        3,881,067  
Net Income (loss)
   $ 8,916,742      $ 2,929,925  
The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the six months ended June 30, 2022.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 26,859,844     $ 20,337,376  
NAV end of period
   $ 34,611,284     $ 32,835,014  
Percentage change in NAV
     28.9     61.5
Shares outstanding beginning of period
     846,977       646,977  
Shares outstanding end of period
     1,096,977       946,977  
Percentage change in shares outstanding
     29.5     46.4
Shares created
     1,150,000       1,050,000  
Shares redeemed
     900,000       750,000  
Per share NAV beginning of period
   $ 31.71     $ 31.43  
Per share NAV end of period
   $ 31.55     $ 34.67  
Percentage change in per share NAV
     (0.5 )%      10.3
Percentage change in benchmark
     (1.5 )%      (7.0 )% 
Benchmark annualized volatility
     15.7     16.6
During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 846,977 outstanding Shares at December 31, 2021 to 1,096,977 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex
SM
.
 
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By comparison, during the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at December 31, 2020 to 946,977 outstanding Shares at June 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 Subindex
SM
.
For the six months ended June 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 0.5% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 10.3% for the six months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s decline of 1.5% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 7.0% for the six months ended June 30, 2021, can be attributed to a lesser decrease in the value of gold futures contracts during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (120,396    $ (139,918
Management fee
     141,814        133,695  
Brokerage commission
     5,796        5,873  
Futures account fees
     2,446        6,488  
Net realized gain (loss)
     (1,750,799      (2,981,188
Change in net unrealized appreciation (depreciation)
     2,318,730        3,626,200  
Net Income (loss)
   $ 447,535      $ 505,094  
The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a lesser decrease in the value of the futures prices during the six months ended June 30, 2022.
 
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ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 26,537,000     $ 28,885,775  
NAV end of period
   $ 33,052,840     $ 34,859,763  
Percentage change in NAV
     24.6     20.7
Shares outstanding beginning of period
     991,329       1,041,744  
Shares outstanding end of period
     1,041,329       1,491,329  
Percentage change in shares outstanding
     5.0     43.2
Shares created
     1,800,000       2,750,000  
Shares redeemed
     1,750,000       2,300,415  
Per share NAV beginning of period
   $ 26.77     $ 27.73  
Per share NAV end of period
   $ 31.74     $ 23.37  
Percentage change in per share NAV
     18.6     (15.7 )% 
Percentage change in benchmark
     (13.4 )%      (1.2 )% 
Benchmark annualized volatility
     28.2     35.9
During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 991,329 outstanding Shares at December 31, 2021 to 1,041,329 outstanding Shares at June 30, 2022.
By comparison, during the six months ended June 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 1,491,329 outstanding Shares at June 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 Silver Subindex
SM
.
For the six months ended June 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 18.6% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 15.7% for the six months ended June 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s decline of 13.4% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 1.2% for the six months ended June 30, 2021, can be attributed to a greater decrease in the value of the silver futures contracts during the period ended June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (112,092    $ (177,247
Management fee
     123,334        157,576  
Brokerage commission
     11,978        11,268  
Futures account fees
     4,443        14,198  
Net realized gain (loss)
     2,037,296        (8,808,722
Change in net unrealized appreciation (depreciation)
     5,642,964        6,541,191  
Net Income (loss)
   $ 7,568,168      $ (2,444,778
The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater decrease in the value of futures prices during the six months ended June 30, 2022.
 
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ProShares UltraShort Yen*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 24,840,784     $ 23,691,070  
NAV end of period
   $ 45,568,882     $ 27,231,748  
Percentage change in NAV
     83.4     14.9
Shares outstanding beginning of period
     598,580       698,580  
Shares outstanding end of period
     798,580       698,580  
Percentage change in shares outstanding
     33.4     —  
Shares created
     850,000       200,000  
Shares redeemed
     650,000       200,000  
Per share NAV beginning of period
   $ 41.50     $ 33.91  
Per share NAV end of period
   $ 57.06     $ 38.98  
Percentage change in per share NAV
     37.5     15.0
Percentage change in benchmark
     (15.2 )%      (7.1 )% 
Benchmark annualized volatility
     9.5     5.0
During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 598,980 outstanding Shares at December 31, 2021 to 798,580 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
By comparison, during the six months ended June 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 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 June 30, 2021.
For the six months ended June 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 37.5% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 15.0% for the six months ended June 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s decline of 15.2% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 7.1% for the six months ended June 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 June 30, 2022.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (116,689    $ (131,833
Management fee
     153,001        138,999  
Net realized gain (loss)
     9,100,314        2,857,659  
Change in net unrealized appreciation (depreciation)
     70,535        1,256,265  
Net Income (loss)
   $ 9,054,160      $ 3,982,091  
The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the six months ended June 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 six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 112,875,680     $ 72,075,095  
NAV end of period
   $ 95,721,271     $ 92,662,734  
Percentage change in NAV
     (15.2 )%      28.6
Shares outstanding beginning of period
     3,687,403       1,962,403  
Shares outstanding end of period
     2,712,403       3,037,403  
Percentage change in shares outstanding
     (26.4 )%      54.8
Shares created
     1,000,000       1,425,000  
Shares redeemed
     1,975,000       350,000  
Per share NAV beginning of period
   $ 30.61     $ 36.73  
Per share NAV end of period
   $ 35.29     $ 30.51  
Percentage change in per share NAV
     15.3     (16.9 )% 
Percentage change in benchmark
     16.5     (16.4 )% 
Benchmark annualized volatility
     34.9     30.8
During the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,687,403 outstanding Shares at December 31, 2021 to 2,712,403 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.
By comparison, during the six months ended June 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 3,037,403 outstanding Shares at June 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.
 
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For the six months ended June 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 15.3% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 16.9% for the six months ended June 30, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s rise of 16.5% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 16.4% for the six months ended June 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 June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (436,261    $ (431,944
Management fee
     426,247        365,346  
Brokerage commission
     40,369        27,408  
Futures account fees
     46,394        57,763  
Net realized gain (loss)
     12,653,549        (10,866,226
Change in net unrealized appreciation (depreciation)
     3,518,835        (4,703,492
Net Income (loss)
   $ 15,736,123      $ (16,001,662
The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to an increase in the value of the futures prices during the six months ended June 30, 2022.
ProShares VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
   
Six Months Ended

June 30, 2021
 
NAV beginning of period
   $ 269,703,164     $ 293,390,549  
NAV end of period
   $ 341,714,316     $ 272,352,675  
Percentage change in NAV
     26.7     (7.2 )% 
Shares outstanding beginning of period
     17,832,826       5,331,579  
Shares outstanding end of period
     18,757,826       11,307,826  
Percentage change in shares outstanding
     5.2     112.1
Shares created
     18,125,000       10,256,250  
Shares redeemed
     17,200,000       4,280,003  
Per share NAV beginning of period
   $ 15.12     $ 55.03  
Per share NAV end of period
   $ 18.22     $ 24.09  
Percentage change in per share NAV
     20.4     (56.2 )% 
Percentage change in benchmark
     21.6     (56.0 )% 
Benchmark annualized volatility
     88.1     76.0
During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 17,832,826 outstanding Shares at December 31, 2021 to 18,757,826 outstanding Shares at June 30, 2022.
 
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By comparison, during the six months ended June 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 the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 5,331,579 outstanding Shares at December 31, 2020 to 11,307,826 outstanding Shares at June 30, 2021.
For the six months ended June 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 20.4% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 56.2% for the six months ended June 30, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.
The benchmark’s rise of 21.6% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 56.0% for the six months ended June 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 June 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:
 
    
Six Months Ended

June 30, 2022
    
Six Months Ended

June 30, 2021
 
Net investment income (loss)
   $ (1,804,892    $ (2,122,386
Management fee
     1,479,408        1,494,823  
Brokerage commission
     287,656        267,497  
Futures account fees
     316,440        439,514  
Net realized gain (loss)
     77,393,009        (252,481,234
Change in net unrealized appreciation (depreciation)
     33,152,396        (14,438,507
Net Income (loss)
   $ 108,740,513      $ (269,042,127
The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to an increase in the value of the futures prices during the six months ended June 30, 2022.
 
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Item 3. Quantitative and Qualitative Disclosures About Market Risk.
Quantitative Disclosure
Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity
Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments.
The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of June 30, 2022 and 2021, each of the Fund’s positions were as follows:
ProShares Short VIX Short-Term Futures ETF
As of June 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 June 30, 2022 and 2021, which were sensitive to equity market volatility risk.
 
Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
     Short      July 2022      3,652      $ 28.56        1,000      $ (104,309,520
VIX Futures (Cboe)
     Short      August 2022      3,346        29.18        1,000        (97,627,580
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional
Amount

at Value
 
VIX Futures (Cboe)
     Short      July 2021      8,517      $ 17.90        1,000      $ (152,482,406
VIX Futures (Cboe)
     Short      August 2021      7,201        19.75        1,000        (142,210,389
The June 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.
 
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ProShares Ultra Bloomberg Crude Oil:
As of June 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 Index
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.
 
Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
     Long      September 2022      2,204      $ 103.10        1,000      $ 227,232,400  
WTI Crude Oil (NYMEX)
     Long      December 2022      2,535        95.56        1,000        242,244,600  
WTI Crude Oil (NYMEX)
     Long      June 2023      2,688        87.62        1,000        235,522,560  
 
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount

at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
   Citibank, N.A.      Long      $ 95.7921      $ 215,921,141  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Goldman Sachs International      Long        95.7921        321,089,755  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Morgan Stanley & Co.
International PLC
     Long        95.7921        373,984,332  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Societe Generale      Long        95.7921        203,778,726  
Bloomberg Commodity Balanced WTI Crude Oil Index
   UBS AG      Long        95.7921        303,369,078  
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
     Long      September 2021      8,113      $ 72.77        1,000      $ 590,383,010  
WTI Crude Oil (NYMEX)
     Long      December 2021      8,603        70.13        1,000        603,328,390  
WTI Crude Oil (NYMEX)
     Long      June 2022      8,948        66.54        1,000        595,399,920  
 
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Swap Agreements as of June 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      $ 60.4445      $ 54,331,869  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Goldman Sachs International      Long        60.4445        192,754,488  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Morgan Stanley & Co.
International PLC
     Long        60.4445        249,583,741  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Societe Generale      Long        60.4445        128,583,706  
Bloomberg Commodity Balanced WTI Crude Oil Index
   UBS AG      Long        60.4445        191,424,891  
The June 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 June 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 June 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 June 30, 2022 and 2021, which were sensitive to commodity price risk.
 
Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Natural Gas (NYMEX)
     Long      September 2022      6,954      $ 5.39        10,000      $ 374,959,680  
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Natural Gas (NYMEX)
     Long      September 2021      3,875      $ 3.62        10,000      $ 140,430,000  
The June 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.
 
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ProShares Ultra Euro:
As of June 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 June 30, 2022 and 2021, which were sensitive to exchange rate price risk.
 
Foreign Currency Forward Contracts as of June 30, 2022
 
Reference
Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local Currency
   
Forward
Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International      Long        07/08/22        4,532,921       1.0752      $ 4,873,797  
Euro
   UBS AG      Long        07/08/22        14,836,502       1.0632        15,774,356  
Euro
   UBS AG      Short        07/08/22        (1,446,000     1.0601      $ (1,532,970
 
Foreign Currency Forward Contracts as of June 30, 2021
 
Reference
Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local Currency
   
Forward
Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International      Long        07/09/21        3,450,921       1.2118      $ 4,181,993  
Euro
   UBS AG      Long        07/09/21        4,235,502       1.2213        5,172,812  
Euro
   UBS AG      Short        07/09/21        (1,496,000     1.1883      $ (1,777,623
The June 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 June 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 Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.
 
Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
    
Expiration
    
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Gold Futures (COMEX)
     Long        August 2022        954      $ 1,807.30        100      $ 172,416,420  
 
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount

at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.      Long      $ 197.5387      $ 109,384,670  
Bloomberg Gold Subindex
   Goldman Sachs International      Long        197.5387        84,543,271  
Bloomberg Gold Subindex
   UBS AG      Long        197.5387        113,788,925  
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
    
Expiration
    
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Gold Futures (COMEX)
     Long        August 2021        972      $ 1,771.60        100      $ 172,199,520  
 
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Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount

at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.      Long      $ 195.7033      $ 108,368,339  
Bloomberg Gold Subindex
   Goldman Sachs International      Long        195.7033        93,647,812  
Bloomberg Gold Subindex
   UBS AG      Long        195.7033        112,731,674  
The June 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 June 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 or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares Ultra Silver:
As of June 30, 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 Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.
 
Futures Positions as of June 30, 2022
Contract
  
Long or

Short
    
Expiration
    
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Silver Futures (COMEX)
     Long        September 2022        773      $ 20.35        5,000      $ 78,660,480  
 
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount

at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.      Long      $ 182.7827      $ 153,262,171  
Bloomberg Silver Subindex
   Goldman Sachs International      Long        182.7827        177,466,859  
Bloomberg Silver Subindex
   Morgan Stanley & Co.
International PLC
     Long        182.7827        168,307,407  
Bloomberg Silver Subindex
   UBS AG      Long        182.7827        134,298,894  
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
    
Expiration
    
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Silver Futures (COMEX)
     Long        September 2021        2,217      $ 26.19        5,000      $ 290,360,490  
 
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Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount

at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.      Long      $ 238.4964      $ 310,326,474  
Bloomberg Silver Subindex
   Goldman Sachs International      Long        238.4964        261,540,197  
Bloomberg Silver Subindex
   Morgan Stanley & Co.
International PLC
     Long        238.4964        243,690,136  
Bloomberg Silver Subindex
   UBS AG      Long        238.4964        217,640,652  
The June 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 June 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. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares Ultra VIX Short-Term Futures ETF
As of June 30, 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 June 30, 2022 and 2021, which were sensitive to equity market volatility risk.
 
Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
     Long      July 2022      26,481      $ 28.56        1,000      $ 756,358,266  
VIX Futures (Cboe)
     Long      August 2022      24,277        29.18        1,000        708,339,740  
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
    
Expiration
    
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
     Long        July 2021        34,175      $ 17.90        1,000      $ 611,845,278  
VIX Futures (Cboe)
     Long        August 2021        28,926        19.75        1,000        571,250,896  
 
Swap Agreements as of June 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 & Co.        Long      $ 29.4600      $ 77,700,750  
The June 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 June 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
 
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subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares Ultra Yen:
As of June 30, 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 June 30, 2022 and 2021, which were sensitive to exchange rate price risk.
 
    
Foreign Currency Forward Contracts as of June 30, 2022
              
Reference
Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local Currency
   
Forward Rate
    
Market Value
USD
 
Yen
   Goldman Sachs International      Long        07/08/22        333,241,517       0.007476      $ 2,491,153  
Yen
   UBS AG      Long        07/08/22        1,080,855,856       0.007414        8,013,151  
Yen
   UBS AG      Short        07/08/22        (54,170,000     0.007409      $ (401,369
 
    
Foreign Currency Forward Contracts as of June 30, 2021
              
Reference
Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local Currency
   
Forward Rate
    
Market Value
USD
 
Yen
   Goldman Sachs International      Long        07/09/21        336,192,517       0.009125      $ 3,067,633  
Yen
   UBS AG      Long        07/09/21        246,112,756       0.009124        2,245,458  
Yen
   UBS AG      Short        07/09/21        (13,400,000     0.009047      $ (121,227
The June 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 June 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 June 30, 2022 and 2021, which were sensitive to commodity price risk.
 
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Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
     Short      September 2022      3,134      $ 103.10        1,000      $ (323,115,400
WTI Crude Oil (NYMEX)
     Short      December 2022      3,605        95.56        1,000        (344,493,800
WTI Crude Oil (NYMEX)
     Short      June 2023      3,824        87.62        1,000        (335,058,880
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
     Short      September 2021      720      $ 72.77        1,000      $ (52,394,400
WTI Crude Oil (NYMEX)
     Short      December 2021      764        70.13        1,000        (53,579,320
WTI Crude Oil (NYMEX)
     Short      June 2022      794        66.54        1,000        (52,832,760
The June 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. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Bloomberg Natural Gas:
As of June 30, 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 June 30, 2022 and 2021, which were sensitive to commodity price risk.
 
Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Natural Gas (NYMEX)
     Short      September 2022      7,871      $ 5.39        10,000      $ (424,404,320
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Natural Gas (NYMEX)
     Short      September 2021      5,382      $ 3.62        10,000      $ (195,043,680
The June 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
 
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decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Euro:
As of June 30, 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 June 30, 2022 and 2021, which were sensitive to exchange rate price risk.
 
Foreign Currency Forward Contracts as of June 30, 2022
 
Reference
Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local Currency
   
Forward Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International      Long        07/08/22        12,080,000       1.0563      $ 12,760,213  
Euro
   UBS AG      Long        07/08/22        12,060,000       1.0551        12,724,426  
Euro
   Goldman Sachs International      Short        07/08/22        (51,635,263     1.0740      $ (55,457,155
Euro
   UBS AG      Short        07/08/22        (91,489,199     1.0702        (97,911,917
 
Foreign Currency Forward Contracts as of June 30, 2021
 
Reference
Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local Currency
   
Forward Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International      Long        07/09/21        950,000       1.2101      $ 1,149,583  
Euro
   UBS AG      Long        07/09/21        2,380,000       1.2022        2,861,261  
Euro
   Goldman Sachs International      Short        07/09/21        (37,911,263     1.2211      $ (46,293,004
Euro
   UBS AG      Short        07/09/21        (47,835,199     1.2168        (58,206,953
The June 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.
 
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ProShares UltraShort Gold:
As of June 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 Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.
 
Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
    
Expiration
    
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Gold Futures (COMEX)
     Short        August 2022        184      $ 1,807.30        100      $ (33,254,320
 
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount

at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.      Short      $ 197.5387      $ (14,809,140
Bloomberg Gold Subindex
   Goldman Sachs International      Short        197.5387        (9,688,247
Bloomberg Gold Subindex
   UBS AG      Short        197.5387        (11,585,084
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
    
Expiration
    
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Gold Futures (COMEX)
     Short        August 2021        169      $ 1,771.60        100      $ (29,940,040
 
Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount

at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.      Short      $ 195.7033      $ (14,671,543
Bloomberg Gold Subindex
   Goldman Sachs International      Short        195.7033        (9,598,230
Bloomberg Gold Subindex
   UBS AG      Short        195.7033        (11,477,443
The June 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 June 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. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
 
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ProShares UltraShort Silver:
As of June 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 Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.
 
Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Silver Futures (COMEX)
     Short      September 2022      445      $ 20.35        5,000      $ (45,283,200
 
Swap Agreements as of June 30, 2022
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount

at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.      Short      $ 182.7827      $ (2,464,774
Bloomberg Silver Subindex
   Goldman Sachs International      Short        182.7827        (8,978,838
Bloomberg Silver Subindex
   Morgan Stanley & Co.
International PLC
     Short        182.7827        (7,099,463
Bloomberg Silver Subindex
   UBS AG      Short        182.7827        (2,270,181
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Silver Futures (COMEX)
     Short      September 2021      179      $ 26.19        5,000      $ (23,443,630
 
Swap Agreements as of June 30, 2021
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount

at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.      Short      $ 238.4964      $ (8,849,343
Bloomberg Silver Subindex
   Goldman Sachs International      Short        238.4964        (11,715,662
Bloomberg Silver Subindex
   Morgan Stanley & Co.
International PLC
     Short        238.4964        (9,263,439
Bloomberg Silver Subindex
   UBS AG      Short        238.4964        (16,415,733
The June 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 June 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. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
 
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ProShares UltraShort Yen:
As of June 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 June 30, 2022 and 2021, which were sensitive to exchange rate price risk.
 
Foreign Currency Forward Contracts as of June 30, 2022
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local Currency
   
Forward Rate
    
Market Value
USD
 
Yen
   UBS AG    Long      07/08/22        1,505,180,000       0.007476      $ 11,252,838  
Yen
   Goldman Sachs International    Short      07/08/22        (1,658,463,165     0.007476      $ (12,389,197
Yen
   UBS AG    Short      07/08/22        (12,207,008,574     0.007451        (90,956,530
 
Foreign Currency Forward Contracts as of June 30, 2021
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local Currency
   
Forward Rate
    
Market Value
USD
 
Yen
   Goldman Sachs International    Long      07/09/21        995,120,000       0.009133      $ 9,088,259  
Yen
   UBS AG    Long      07/09/21        152,800,000       0.009096        1,389,896  
Yen
   Goldman Sachs International    Short      07/09/21        (2,069,325,165     0.009121      $ (18,874,773
Yen
   UBS AG    Short      07/09/21        (5,125,948,875     0.009118        (46,736,956
The June 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.
ProShares VIX Mid-Term Futures ETF
As of June 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 June 30, 2022 and 2021, which were sensitive to equity market volatility risk.
 
Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
     Long      October 2022      569      $ 29.78        1,000      $ 16,944,251  
VIX Futures (Cboe)
     Long      November 2022      1,089        29.52        1,000        32,144,884  
VIX Futures (Cboe)
     Long      December 2022      1,090        28.81        1,000        31,400,611  
VIX Futures (Cboe)
     Long      January 2023      521        29.60        1,000        15,420,610  
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
     Long      October 2021      747      $ 21.85        1,000      $ 16,325,237  
VIX Futures (Cboe)
     Long      November 2021      1,379        22.26        1,000        30,695,161  
VIX Futures (Cboe)
     Long      December 2021      1,379        22.38        1,000        30,859,951  
VIX Futures (Cboe)
     Long      January 2022      632        23.38        1,000        14,775,781  
 
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The June 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 June 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 June 30, 2022 and 2021, which were sensitive to equity market volatility risk.
 
Futures Positions as of June 30, 2022
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
     Long      July 2022      6,185      $ 28.56        1,000      $ 176,657,825  
VIX Futures (Cboe)
     Long      August 2022      5,672        29.18        1,000        165,494,213  
 
Futures Positions as of June 30, 2021
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
     Long      July 2021      7,861      $ 17.90        1,000      $ 140,737,841  
VIX Futures (Cboe)
     Long      August 2021      6,655        19.75        1,000        131,427,599  
The June 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
 
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Qualitative Disclosure
As described in Item 7 in the Annual Report on Form 10-K, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, of its corresponding benchmark. Each Short Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results, before fees and expenses, that correspond to one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative one-half, one, one and one-half, two or three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
Primary Market Risk Exposure
The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).
Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading strategies and other factors could ultimately lead to a loss of all or substantially all of investors’ capital.
As described in Item 7 in the Annual Report on Form 10-K, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.
Commodity Price Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.
Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).
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
 
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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 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.
 
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Changes in Internal Control over Financial Reporting
There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended June 30, 2022 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.
Certifications
The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.
 
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Part II. OTHER INFORMATION
Item 1. Legal Proceedings.
As of June 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.
 
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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.
 
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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.
Not applicable.
 
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Title of Securities Registered*
  
Shares Sold For the
Three Months Ended
June 30, 2022
    
Sale Price of Shares
Sold For the Three
Months Ended
June 30, 2022
    
Shares Sold For the
Six Months Ended
June 30, 2022
    
Sale Price of Shares
Sold For the Six Months
Ended June 30, 2022
 
ProShares Short VIX Short-Term Futures ETF
           
Common Units of Beneficial Interest
     1,600,000      $ 75,921,860        4,600,000      $ 232,437,331  
ProShares Ultra Bloomberg Crude Oil
           
Common Units of Beneficial Interest
     1,700,000      $ 72,419,653        10,300,000      $ 402,736,686  
ProShares Ultra Bloomberg Natural Gas
           
Common Units of Beneficial Interest
     6,500,000      $ 549,486,344        9,100,000      $ 637,366,699  
ProShares Ultra Euro
           
Common Units of Beneficial Interest
     450,000      $ 5,052,555        550,000      $ 6,368,822  
ProShares Ultra Gold
           
Common Units of Beneficial Interest
     100,000      $ 6,573,039        1,600,000      $ 102,257,715  
ProShares Ultra Silver
           
Common Units of Beneficial Interest
     800,000      $ 26,625,358        1,800,000      $ 65,659,299  
ProShares Ultra VIX Short-Term Futures ETF
           
Common Units of Beneficial Interest
     58,400,000      $ 799,757,076        141,500,000      $ 1,971,472,943  
ProShares Ultra Yen
           
Common Units of Beneficial Interest
     100,000      $ 3,539,333        100,000      $ 3,539,333  
ProShares UltraShort Bloomberg Crude Oil
           
Common Units of Beneficial Interest
     12,320,000      $ 278,861,920        27,890,000      $ 788,890,799  
ProShares UltraShort Bloomberg Natural Gas
*
           
Common Units of Beneficial Interest
     18,700,000      $ 489,076,501        23,340,000      $ 944,035,742  
ProShares UltraShort Euro
           
Common Units of Beneficial Interest
     500,000      $ 14,656,401        550,000      $ 16,028,063  
ProShares UltraShort Gold
           
Common Units of Beneficial Interest
     700,000      $ 20,554,617        1,150,000      $ 33,744,566  
 
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Title of Securities Registered*
  
Shares Sold For the
Three Months Ended
June 30, 2022
    
Sale Price of Shares
Sold For the Three
Months Ended
June 30, 2022
    
Shares Sold For the
Six Months Ended
June 30, 2022
    
Sale Price of Shares
Sold For the Six Months
Ended June 30, 2022
 
ProShares UltraShort Silver
           
Common Units of Beneficial Interest
     700,000      $ 17,707,417        1,800,000      $ 43,267,561  
ProShares UltraShort Yen
           
Common Units of Beneficial Interest
     650,000      $ 34,515,397        850,000      $ 44,120,719  
ProShares VIX Mid-Term Futures ETF
           
Common Units of Beneficial Interest
     300,000      $ 10,043,451        1,000,000      $ 32,179,053  
ProShares VIX Short-Term Futures ETF
           
Common Units of Beneficial Interest
     8,175,000      $ 141,195,554        18,125,000      $ 302,368,469  
  
 
 
    
 
 
    
 
 
    
 
 
 
Total Trust:
  
 
111,695,000
 
  
$
2,545,986,476
 
  
 
244,255,000
 
  
$
5,626,473,800
 
 
*
The registration statement covers an indeterminate amount of securities to be offered or sold.
Item 3. Defaults Upon Senior Securities.
None.
Item 4. Mine Safety Disclosures.
Not applicable.
Item 5. Other Information.
None.
 
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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.
 
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Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
PROSHARES TRUST II
/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: August 9, 2022
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: August 9, 2022
 
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