Quarterly Report (10-q)

Table of Contents
P1DfalseQ20001415311--12-31Rates shown represent discount rate at the time of purchase.All or partial amount pledged as collateral for swap agreements.All or partial amount pledged as collateral for foreign currency forward contracts.shown represent discount rate at the time of purchase.The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.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, 2021.On Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time).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.Percentages are annualized.See Note 1 of these Notes to Financial Statements.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%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85%, and 0.85% if brokerage commissions and futures account fees were excluded.Percentages are not annualized for the period ended June 30, 2020.The expense ratio would be 0.95%, 0.95%, 0.96%, 0.95%, 0.85%, and 0.85% if brokerage commissions and futures account fees were excluded.Amount represents greater than $(0.005).Reflects the floating financing rate, as of June 30, 2021, 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.The positions and counterparties herein are as of June 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.For swap agreements, a positive amount represents “long” exposure to the benchmark index. 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Table of Contents
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
 
FORM
10-Q
 
 
 
☒
Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended June 30, 2021.
or
 
☐
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from
                    
to
                    
.
Commission file number:
001-34200
 
 
PROSHARES TRUST II
(Exact name of registrant as specified in its charter)
 
 
 
Delaware
 
87-6284802
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. Employer
Identification No.)
c/o ProShare Capital Management LLC
7501 Wisconsin Avenue, Suite 1000
Bethesda, Maryland 20814
(Address of principal executive offices) (Zip Code)
(240)
497-6400
(Registrant’s telephone number, including area code)
 
 
Securities registered pursuant to Section 12(b) of the Act:
 
Title of each class
  
Trading Symbol(s)
  
Name of each exchange
on which registered
ProShares Short Euro
  
EUFX
  
NYSE Arca
ProShares Short VIX Short-Term Futures ETF
  
SVXY
  
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 Australian Dollar
  
CROC
  
NYSE Arca
ProShares UltraShort Bloomberg Crude Oil
  
SCO
  
NYSE Arca
ProShares UltraShort Bloomberg Natural Gas
  
KOLD
  
NYSE Arca
ProShares UltraShort Euro
  
EUO
  
NYSE Arca
ProShares UltraShort Gold
  
GLL
  
NYSE Arca
ProShares UltraShort Silver
  
ZSL
  
NYSE Arca
ProShares UltraShort Yen
  
YCS
  
NYSE Arca
ProShares VIX
Mid-Term
Futures ETF
  
VIXM
  
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
July 27,
2021, the registrant had 102,673,980 shares of common stock, $0 par value per share, outstanding.
 
 
 
Table of Contents
PROSHARES TRUST II
Table of Contents
 
 
  
Page
 
Part I. FINANCIAL INFORMATION
  
     
  
 
3
 
  
 
139
 
  
 
194
 
  
 
209
 
   
Part II. OTHER INFORMATION
  
     
  
 
211
 
  
 
211
 
  
 
213
 
  
 
215
 
  
 
215
 
  
 
215
 
  
 
216
 
 
2
Table of Contents
Part I.    FINANCIAL INFORMATION
Item 1.    Financial Statements.
Index
 
Documents
  
Page
 
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:
  
     
  
 
4
 
  
 
9
 
  
 
14
 
  
 
19
 
  
 
24
 
  
 
29
 
  
 
34
 
  
 
39
 
  
 
44
 
  
 
49
 
  
 
54
 
  
 
59
 
  
 
64
 
  
 
69
 
  
 
74
 
  
 
79
 
  
 
84
 
  
 
89
 
  
 
94
 
  
 
98
 
 
3
Table of Contents 
PROSHARES SHORT EURO
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Cash
   $ 2,117,049      $ 4,105,781  
Segregated cash balances with brokers for futures contracts
     36,300        68,310  
Receivable on open futures contracts
     7,340        21,094  
Interest receivable
     86        175  
    
 
 
    
 
 
 
Total assets
     2,160,775        4,195,360  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable to Sponsor
     1,659        3,391  
Non-recurring
fees and expenses payable
     14        14  
    
 
 
    
 
 
 
Total liabilities
     1,673        3,405  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     2,159,102        4,191,955  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 2,160,775      $ 4,195,360  
    
 
 
    
 
 
 
Shares outstanding
     50,000        100,000  
    
 
 
    
 
 
 
Net asset value per share
   $ 43.18      $ 41.92  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 43.14      $ 41.35  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
4
Table of Contents
PROSHARES SHORT EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
Futures Contracts Sold
        
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Euro Fx Currency Futures - CME, expires September 2021
     15      $ 2,224,688      $ 51,551  
See accompanying notes to financial statements.
 
5
Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 310     $ 54     $ 906     $ 7,649  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     5,032       5,516       14,085       11,019  
Brokerage commissions
     79       90       260       190  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     5,111       5,606       14,345       11,209  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (4,801 )      (5,552 )      (13,439 )      (3,560 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (38,172 )      (20,020 )      31,221       (38,658 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (38,172 )      (20,020 )      31,221       (38,658 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     17,623       (20,804 )      96,177       46,520  
Short-term U.S. government and agency obligations
     (88 )      —         —         (30 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     17,535       (20,804 )      96,177       46,490  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (20,637 )      (40,824 )      127,398       7,832  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (25,438 )    $ (46,376 )    $ 113,959     $ 4,272  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
6
Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 2,184,540     $ 2,332,843     $ 4,191,955     $ 2,282,195  
    
 
 
   
 
 
   
 
 
   
 
 
 
Redemption of –, –, 50,000 and – shares, respectively
     —         —         (2,146,812 )      —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of –, –, (50,000) and – shares, respectively
     —         —         (2,146,812 )      —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (4,801 )      (5,552 )      (13,439 )      (3,560 ) 
Net realized gain (loss)
     (38,172 )      (20,020 )      31,221       (38,658 ) 
Change in net unrealized appreciation (depreciation)
     17,535       (20,804 )      96,177       46,490  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (25,438 )      (46,376 )      113,959       4,272  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 2,159,102     $ 2,286,467     $ 2,159,102     $ 2,286,467  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
7
Table of Contents
PROSHARES SHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ 113,959     $ 4,272  
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
     (1,999,562 )      —    
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     2,000,000       747,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (438 )      (1,225 ) 
Change in unrealized appreciation (depreciation) on investments
     —         30  
Decrease (Increase) in receivable on futures contracts
     13,754       (300 ) 
Decrease (Increase) in interest receivable
     89       2,158  
Increase (Decrease) in payable to Sponsor
     (1,732 )      (82 ) 
Increase (Decrease) in payable on futures contracts
     —         (5,100 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     126,070       746,753  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Payment on shares redeemed
     (2,146,812 )      —    
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (2,146,812 )      —    
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (2,020,742 )      746,753  
Cash, beginning of period
     4,174,091       1,540,916  
    
 
 
   
 
 
 
Cash, end of period
   $ 2,153,349     $ 2,287,669  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
8
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $204,988,345 and $69,998,727, respectively)
   $ 204,974,762      $ 69,999,639  
Cash
     83,694,986        132,392,153  
Segregated cash balances with brokers for futures contracts
     220,872,623        134,187,067  
Receivable on open futures contracts
     85,243,605        74,226,825  
Interest receivable
     3,217        4,384  
    
 
 
    
 
 
 
Total assets
     594,789,193        410,810,068  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     5,586,151        996,159  
Brokerage commissions and futures account fees payable
     134,560        114,522  
Payable to Sponsor
     451,183        326,566  
Non-recurring
fees and expenses payable
     1,353        1,353  
    
 
 
    
 
 
 
Total liabilities
     6,173,247        1,438,600  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     588,615,946        409,371,468  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 594,789,193      $ 410,810,068  
    
 
 
    
 
 
 
Shares outstanding
     10,584,307        9,884,307  
    
 
 
    
 
 
 
Net asset value per share
   $ 55.61      $ 41.42  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 55.55      $ 41.44  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
9
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(35% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.017% due 08/19/21
   $ 50,000,000      $ 49,996,940  
0.013% due 09/16/21
     40,000,000        39,996,152  
0.017% due 10/14/21
     25,000,000        24,996,720  
0.006% due 10/21/21
     20,000,000        19,997,200  
0.029% due 11/18/21
     70,000,000        69,987,750  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $204,988,345)
      $ 204,974,762  
     
 
 
 
Futures Contracts Sold
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2021
     8,517      $ 152,482,406      $ 32,933,870  
VIX Futures - Cboe, expires August 2021
     7,201        142,210,389        4,246,396  
        
 
 
 
         $ 37,180,266  
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
10
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 33,687     $ 106,023     $ 67,577     $ 855,884  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     1,317,153       1,589,036       2,359,722       2,475,233  
Brokerage commissions
     253,949       228,176       429,859       417,708  
Future
s account
fees
     328,342       431,791       586,119       461,519  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     1,899,444       2,249,003       3,375,700       3,354,460  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (1,865,757 )      (2,142,980 )      (3,308,123 )      (2,498,576 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     109,337,017       54,615,763       133,546,434       (189,684,841 ) 
Short-term U.S. government and agency obligations
     —         (758 )      —         (758 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     109,337,017       54,615,005       133,546,434       (189,685,599 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     (13,290,409 )      (22,216,796 )      28,831,483       (1,242,994 ) 
Short-term U.S. government and agency obligations
     (17,721 )      (84,533 )      (14,495 )      (2,677 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (13,308,130 )      (22,301,329 )      28,816,988       (1,245,671 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     96,028,887       32,313,676       162,363,422       (190,931,270 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 94,163,130     $ 30,170,696     $ 159,055,299     $ (193,429,846 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
11
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 527,130,851     $ 809,257,658     $ 409,371,468     $ 284,437,179  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 450,000, 1,000,000, 2,850,000 and 25,850,000 shares, respectively
     21,503,474       30,843,161       119,612,942       914,411,669  
Redemption of 1,050,000, 10,850,000, 2,150,000 and 13,950,000 shares, respectively
     (54,181,509 )      (360,459,662 )      (99,423,763 )      (495,607,149 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (600,000), (9,850,000), 700,000 and 11,900,000 shares, respectively
     (32,678,035 )      (329,616,501 )      20,189,179       418,804,520  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (1,865,757 )      (2,142,980 )      (3,308,123 )      (2,498,576 ) 
Net realized gain (loss)
     109,337,017       54,615,005       133,546,434       (189,685,599 ) 
Change in net unrealized appreciation (depreciation)
     (13,308,130 )      (22,301,329 )      28,816,988       (1,245,671 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     94,163,130       30,170,696       159,055,299       (193,429,846 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 588,615,946     $ 509,811,853     $ 588,615,946     $ 509,811,853  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
12
Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ 159,055,299     $ (193,429,846 ) 
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
     (371,956,927 )      (339,626,542 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     237,000,000       271,998,224  
Net amortization and accretion on short-term U.S. government and agency obligations
     (32,691 )      (420,582 ) 
Net realized gain (loss) on investments
     —         758  
Change in unrealized appreciation (depreciation) on investments
     14,495       2,677  
Decrease (Increase) in receivable on futures contracts
     (11,016,780 )      (101,415,612 ) 
Decrease (Increase) in interest receivable
     1,167       112,177  
Increase (Decrease) in payable to Sponsor
     124,617       203,612  
Increase (Decrease) in brokerage commissions and
futures account
 
fees payable
     20,038       153,542  
Increase (Decrease) in payable on futures contracts
     4,589,992       17,172,752  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     17,799,210       (345,248,840 ) 
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     119,612,942       914,411,669  
Payment on shares redeemed
     (99,423,763 )      (495,607,149 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     20,189,179       418,804,520  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     37,988,389       73,555,680  
Cash, beginning of period
     266,579,220       167,544,087  
    
 
 
   
 
 
 
Cash, end of period
   $ 304,567,609     $ 241,099,767  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
13
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $932,921,470 and $219,996,153, respectively)
   $ 932,884,626      $ 219,998,394  
Cash
     287,085,393        491,732,847  
Segregated cash balances with brokers for futures contracts
     189,096,050        175,526,749  
Unrealized appreciation on swap agreements
     39,747,504        18,242,195  
Receivable on open futures contracts
     5,661,793        1,611,608  
Interest receivable
     59,956        21,388  
    
 
 
    
 
 
 
Total assets
     1,454,535,322        907,133,181  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     —          3,627,934  
Brokerage commissions and
futures account
fees payable
     22,929        —    
Payable to Sponsor
     975,949        728,955  
Securities purchased payable
     149,968,500        —    
Non-recurring
fees and expenses payable
     37,042        37,042  
    
 
 
    
 
 
 
Total liabilities
     151,004,420        4,393,931  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     1,303,530,902        902,739,250  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 1,454,535,322      $ 907,133,181  
    
 
 
    
 
 
 
Shares outstanding
     16,660,774        24,810,774  
    
 
 
    
 
 
 
Net asset value per share
   $ 78.24      $ 36.38  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 78.23      $ 36.27  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
14
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(72% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.061% due 07/15/21
†
   $ 175,000,000      $ 174,996,938  
0.017% due 08/19/21
†
     100,000,000        99,993,880  
0.025% due 09/16/21
†
     93,000,000        92,991,053  
0.014% due 10/14/21
†
     125,000,000        124,983,600  
0.027% due 10/21/21
     140,000,000        139,980,400  
0.033% due 11/18/21
†
     150,000,000        149,973,750  
0.046% due 12/16/21
     150,000,000        149,965,005  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $932,921,470)
      $ 932,884,626  
     
 
 
 
Futures Contracts Purchased
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires September 2021
     8,113      $ 590,383,010      $ 35,502,348  
WTI Crude Oil - NYMEX, expires December 2021
     8,603        603,328,390        184,574,670  
WTI Crude Oil - NYMEX, expires June 2022
     8,948        595,399,920        95,975,592  
        
 
 
 
         $ 316,052,610  
        
 
 
 
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 %      07/06/21      $ 54,331,869      $ 2,643,422  
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.35       07/06/21        192,754,488        9,378,129  
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.35       07/06/21        249,583,741        12,143,056  
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.25       07/06/21        128,583,706        6,263,720  
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.30       07/06/21        191,424,891        9,319,177  
          
 
 
 
         
Total Unrealized
Appreciation
  		   $ 39,747,504  
          
 
 
 
 
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 2021. 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, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
15
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 111,333     $ 365,747     $ 279,408     $ 1,767,207  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     2,794,292       2,806,288       5,329,377       3,676,527  
Brokerage commissions
     210,012       1,017,545       503,212       1,143,882  
Futures account
fees
     317,748       536,749       416,685       536,749  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     3,322,052       4,360,582       6,249,274       5,357,158  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (3,210,719 )      (3,994,835 )      (5,969,866 )      (3,589,951 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     255,445,062       (31,090,802 )      447,121,563       (120,038,012 ) 
Swap agreements
     65,060,597       (640,451,755 )      207,735,324       (1,057,095,811 ) 
Short-term U.S. government and agency obligations
     —         121,849       —         159,318  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     320,505,659       (671,420,708 )      654,856,887       (1,176,974,505 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     77,503,699       424,261,108       171,488,571       350,547,390  
Swap agreements
     80,496,098       237,286,565       21,505,309       (11,776,267 ) 
Short-term U.S. government and agency obligations
     (80,658 )      (368,827 )      (39,085 )      (13,938 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     157,919,139       661,178,846       192,954,795       338,757,185  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     478,424,798       (10,241,862 )      847,811,682       (838,217,320 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 475,214,079     $ (14,236,697 )    $ 841,841,816     $ (841,807,271 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
16
Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 1,088,579,093     $ 435,593,381     $ 902,739,250     $ 309,844,582  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 1,050,000, 77,482,000, 3,400,000 and 88,162,000 shares, respectively
     60,208,663       1,895,200,511       177,252,853       2,953,530,675  
Redemption of 5,100,000, 35,569,679, 11,550,000 and 36,009,679 shares, respectively
     (320,470,933 )      (807,895,736 )      (618,303,017 )      (912,906,527 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (4,050,000), 41,912,321, (8,150,000) and 52,152,321 shares, respectively
     (260,262,270 )      1,087,304,775       (441,050,164 )      2,040,624,148  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (3,210,719 )      (3,994,835 )      (5,969,866 )      (3,589,951 ) 
Net realized gain (loss)
     320,505,659       (671,420,708 )      654,856,887       (1,176,974,505 ) 
Change in net unrealized appreciation (depreciation)
     157,919,139       661,178,846       192,954,795       338,757,185  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     475,214,079       (14,236,697 )      841,841,816       (841,807,271 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 1,303,530,902     $ 1,508,661,459     $ 1,303,530,902     $ 1,508,661,459  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
17
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PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ 841,841,816     $ (841,807,271 ) 
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
     (1,692,766,532 )      (409,801,073 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     980,000,000       611,325,152  
Net amortization and accretion on short-term U.S. government and agency obligations
     (158,785 )      (1,263,236 ) 
Net realized gain (loss) on investments
     —         (159,318 ) 
Change in unrealized appreciation (depreciation) on investments
     (21,466,224 )      11,790,205  
Decrease (Increase) in securities sold receivable
     —         (3,718,972 ) 
Decrease (Increase) in receivable on futures contracts
     (4,050,185 )      (108,300,298 ) 
Decrease (Increase) in interest receivable
     (38,568 )      45,517  
Increase (Decrease) in payable to Sponsor
     246,994       990,466  
Increase (Decrease) in brokerage commissions and
 futures account
fees payable
     22,929       —    
Increase (Decrease) in payable on futures contracts
     —         52,061,296  
Increase (Decrease) in securities purchased payable
     149,968,500       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     253,599,945       (688,837,532 ) 
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     177,252,853       2,953,530,675  
Payment on shares redeemed
     (621,930,951 )      (840,445,530 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (444,678,098 )      2,113,085,145  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (191,078,153 )      1,424,247,613  
Cash, beginning of period
     667,259,596       88,315,563  
    
 
 
   
 
 
 
Cash, end of period
   $ 476,181,443     $ 1,512,563,176  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
18
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PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $29,997,222 and $29,999,585, respectively)
   $ 29,996,554      $ 29,999,889  
Cash
     31,362,630        92,972,312  
Segregated cash balances with brokers for futures contracts
     9,111,733        44,320,410  
Receivable on open futures contracts
     —          13,775,851  
Interest receivable
     1,563        4,326  
    
 
 
    
 
 
 
Total assets
     70,472,480        181,072,788  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     —          11,132,546  
Payable on open futures contracts
     210,440        —    
Brokerage commissions and
futures account
fees payable
     296        —    
Payable to Sponsor
     48,101        139,455  
Non-recurring
fees and expenses payable
     416        416  
    
 
 
    
 
 
 
Total liabilities
     259,253        11,272,417  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     70,213,227        169,800,371  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 70,472,480      $ 181,072,788  
    
 
 
    
 
 
 
Shares outstanding
     1,987,527        8,087,527  
    
 
 
    
 
 
 
Net asset value per share
   $ 35.33      $ 21.00  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 37.17      $ 21.07  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
19
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PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(43% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.017% due 08/19/21
   $ 2,000,000      $ 1,999,878  
0.034% due 09/16/21
     20,000,000        19,998,076  
0.043% due 11/18/21
     8,000,000        7,998,600  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $29,997,222)
      $ 29,996,554  
     
 
 
 
Futures Contracts Purchased
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires September 2021
     3,875      $ 140,430,000      $ 17,050,742  
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
20
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PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 11,544     $ 36,474     $ 25,359     $ 175,813  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     152,958       81,904       407,773       179,012  
Brokerage commissions
     63,062       63,224       155,359       107,806  
Futures account
fees
     12,887       12,642       94,735       12,642  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     228,907       157,770       657,867       299,460  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (217,363 )      (121,296 )      (632,508 )      (123,647 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     4,901,288       (16,111,161 )      46,483,673       (38,930,766 ) 
Short-term U.S. government and agency obligations
     —         (77 )      551       977  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     4,901,288       (16,111,238 )      46,484,224       (38,929,789 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     28,350,804       4,884,617       10,550,021       417,794  
Short-term U.S. government and agency obligations
     (2,887 )      (31,345 )      (972 )      (1,559 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     28,347,917       4,853,272       10,549,049       416,235  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     33,249,205       (11,257,966 )      57,033,273       (38,513,554 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 33,031,842     $ (11,379,262 )    $ 56,400,765     $ (38,637,201 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
21
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PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 74,307,070     $ 26,671,617     $ 169,800,371     $ 45,160,205  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 650,000, 1,260,000, 4,050,000 and 1,485,000 shares, respectively
     13,706,591       38,571,988       90,187,414       54,252,228  
Redemption of 2,150,000, 110,288, 10,150,000 and 235,288 shares, respectively
     (50,832,276 )      (3,264,560 )      (246,175,323 )      (10,175,449 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (1,500,000), 1,149,712, (6,100,000) and 1,249,712 shares, respectively
     (37,125,685 )      35,307,428       (155,987,909 )      44,076,779  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (217,363 )      (121,296 )      (632,508 )      (123,647 ) 
Net realized gain (loss)
     4,901,288       (16,111,238 )      46,484,224       (38,929,789 ) 
Change in net unrealized appreciation (depreciation)
     28,347,917       4,853,272       10,549,049       416,235  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     33,031,842       (11,379,262 )      56,400,765       (38,637,201 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 70,213,227     $ 50,599,783     $ 70,213,227     $ 50,599,783  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ 56,400,765     $ (38,637,201 ) 
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
     (118,983,722 )      (41,900,001 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     118,999,676       53,563,843  
Net amortization and accretion on short-term U.S. government and agency obligations
     (13,040 )      (131,818 ) 
Net realized gain (loss) on investments
     (551 )      (977 ) 
Change in unrealized appreciation (depreciation) on investments
     972       1,559  
Decrease (Increase) in receivable on futures contracts
     13,775,851       (1,646,280 ) 
Decrease (Increase) in interest receivable
     2,763       9,728  
Increase (Decrease) in payable to Sponsor
     (91,354 )      (8,931 ) 
Increase (Decrease) in brokerage commissions and
 futures account
fees payable
     296       —    
Increase (Decrease) in payable on futures contracts
     210,440       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     70,302,096       (28,750,078 ) 
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     90,187,414       54,252,228  
Payment on shares redeemed
     (257,307,869 )      (10,175,449 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (167,120,455 )      44,076,779  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (96,818,359 )      15,326,701  
Cash, beginning of period
     137,292,722       17,619,062  
    
 
 
   
 
 
 
Cash, end of period
   $ 40,474,363     $ 32,945,763  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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PROSHARES ULTRA EURO
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $999,978 and $—, respectively)
   $ 999,939      $ —    
Cash
     3,641,056        4,045,092  
Segregated cash balances with brokers for foreign currency forward contracts
     —          607,000  
Unrealized appreciation on foreign currency forward contracts
     3,403        89,103  
Interest receivable
     122        162  
    
 
 
    
 
 
 
Total assets
     4,644,520        4,741,357  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     733,826        —    
Payable to Sponsor
     3,039        3,625  
Unrealized depreciation on foreign currency forward contracts
     238,899        367  
Non-recurring
fees and expenses payable
     15        15  
    
 
 
    
 
 
 
Total liabilities
     975,779        4,007  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     3,668,741        4,737,350  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 4,644,520      $ 4,741,357  
    
 
 
    
 
 
 
Shares outstanding
     250,000        300,000  
    
 
 
    
 
 
 
Net asset value per share
   $ 14.67      $ 15.79  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 14.66      $ 15.81  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
24
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PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
(27% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.017% due 08/19/21
†
   $ 1,000,000      $ 999,939  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $999,978)
            $ 999,939  
             
 
 
 
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
     07/09/21        3,450,921     $ 4,092,706     $ (89,287 ) 
Euro with UBS AG
     07/09/21        4,235,502       5,023,200       (149,612 ) 
                             
 
 
 
                       
Total Unrealized
Depreciation 		 
  		  $ (238,899 ) 
                             
 
 
 
Contracts to Sell
                                 
Euro with UBS AG
     07/09/21        (1,496,000 )    $ (1,774,220 )    $ 3,403  
                             
 
 
 
                       
Total Unrealized
Appreciation
  		  $ 3,403  
                             
 
 
 
 
 
†
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of June 30, 2021. 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.
 
25
Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 438     $ 192     $ 1,022     $ 15,993  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     9,416       8,894       19,494       21,448  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     9,416       8,894       19,494       21,448  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (8,978 )      (8,702 )      (18,472 )      (5,455 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Foreign currency forward contracts
     95,412       (18,635 )      68,070       (71,903 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     95,412       (18,635 )      68,070       (71,903 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Foreign currency forward contracts
     (13,092 )      97,408       (324,232 )      (123,926 ) 
Short-term U.S. government and agency obligations
     (127 )      —         (39 )      (208 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (13,219 )      97,408       (324,271 )      (124,134 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     82,193       78,773       (256,201 )      (196,037 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 73,215     $ 70,071     $ (274,673 )    $ (201,492 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
26
Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 3,611,724     $ 3,949,142     $ 4,737,350     $ 6,204,424  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 100,000, 50,000, 100,000 and 100,000 shares, respectively
     1,488,793       698,183       1,488,793       1,368,038  
Redemption of 100,000, 50,000, 150,000 and 250,000 shares, respectively
     (1,504,991 )      (649,710 )      (2,282,729 )      (3,303,284 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of —, —, (50,000) and (150,000) shares, respectively
     (16,198 )      48,473       (793,936 )      (1,935,246 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (8,978 )      (8,702 )      (18,472 )      (5,455 ) 
Net realized gain (loss)
     95,412       (18,635 )      68,070       (71,903 ) 
Change in net unrealized appreciation (depreciation)
     (13,219 )      97,408       (324,271 )      (124,134 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     73,215       70,071       (274,673 )      (201,492 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 3,668,741     $ 4,067,686     $ 3,668,741     $ 4,067,686  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
27
Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ (274,673 )    $ (201,492 ) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
                
Purchases of short-term U.S. government and agency obligations
     (2,999,505 )      (1,395,795 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     2,000,000       5,375,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (473 )      (9,001 ) 
Change in unrealized appreciation (depreciation) on investments
     324,271       124,134  
Decrease (Increase) in interest receivable
     40       1,086  
Increase (Decrease) in payable to Sponsor
     (586 )      (1,916 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (950,926 )      3,892,016  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     1,488,793       1,368,038  
Payment on shares redeemed
     (1,548,903 )      (3,303,284 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (60,110 )      (1,935,246 ) 
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (1,011,036 )      1,956,770  
Cash, beginning of period
     4,652,092       2,127,437  
    
 
 
   
 
 
 
Cash, end of period
   $ 3,641,056     $ 4,084,207  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
28
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PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31, 2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $215,989,861 and $74,998,283, respectively)
   $ 215,975,683      $ 74,999,467  
Cash
     19,656,069        164,381,859  
Segregated cash balances with brokers for futures contracts
     10,131,750        11,581,250  
Segregated cash balances with brokers for swap agreements
     —          7,489,000  
Unrealized appreciation on swap agreements
     —          5,140,980  
Receivable from capital shares sold
     19,871,057        —    
Receivable on open futures contracts
     669,766        148,784  
Interest receivable
     2,210        6,531  
    
 
 
    
 
 
 
Total assets
     266,306,535        263,747,871  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Brokerage commissions and
 future
s
account
fees payable
     4,167        —    
Payable to Sponsor
     192,784        206,394  
Unrealized depreciation on swap agreements
     22,651,877        —    
Non-recurring
fees and expenses payable
     1,004        1,004  
    
 
 
    
 
 
 
Total liabilities
     22,849,832        207,398  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     243,456,703        263,540,473  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 266,306,535      $ 263,747,871  
    
 
 
    
 
 
 
Shares outstanding
     4,250,000        3,900,000  
    
 
 
    
 
 
 
Net asset value per share
   $ 57.28      $ 67.57  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 57.22      $ 68.20  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
29
Table of Contents
PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
(89% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.017% due 08/19/21
†
   $ 50,000,000      $ 49,996,940  
0.027% due 09/16/21
†
     60,000,000        59,994,228  
0.013% due 10/14/21
†
     50,000,000        49,993,440  
0.006% due 10/21/21
†
     25,000,000        24,996,500  
0.028% due 11/18/21
†
     31,000,000        30,994,575  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $215,989,861)
      $ 215,975,683  
     
 
 
 
Futures Contracts Purchased
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires August 2021
     972      $ 172,199,520      $ (4,255,713 ) 
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 %      07/06/21      $ 108,368,339      $ (7,799,090 ) 
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
     0.25     07/06/21        93,647,812        (6,739,676 ) 
Swap agreement with UBS AG based on Bloomberg Gold Subindex
     0.25     07/06/21        112,731,674        (8,113,111 ) 
          
 
 
 
         
Total Unrealized
Depreciation
  		   $ (22,651,877 ) 
          
 
 
 
 
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 2021. 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, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
30
Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 20,094     $ 69,857     $ 55,921     $ 484,541  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     568,040       333,463       1,136,247       628,874  
Brokerage commissions
     8,665       6,119       23,553       16,484  
Futures account
fees
     13,354       10,196       45,756       10,196  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     590,059       349,778       1,205,556       655,554  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (569,965 )      (279,921 )      (1,149,635 )      (171,013 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     7,294,570       3,122,599       (9,511,327 )      3,054,438  
Swap agreements
     38,211,797       1,242,729       3,769,562       22,808,946  
Short-term U.S. government and agency obligations
     —         —         245       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     45,506,367       4,365,328       (5,741,520 )      25,863,384  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     (4,648,838 )      5,677,906       (6,902,587 )      2,039,670  
Swap agreements
     (28,812,307 )      20,275,792       (27,792,857 )      4,760,732  
Short-term U.S. government and agency obligations
     (17,158 )      (60,686 )      (15,362 )      (4,750 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (33,478,303 )      25,893,012       (34,710,806 )      6,795,652  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     12,028,064       30,258,340       (40,452,326 )      32,659,036  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 11,458,099     $ 29,978,419     $ (41,601,961 )    $ 32,488,023  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
31
Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 214,548,056     $ 128,481,796     $ 263,540,473     $ 110,726,032  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 400,000, 300,000, 1,000,000 and 1,450,000 shares, respectively
     23,214,269       18,995,286       60,276,530       83,989,061  
Redemption of 100,000, 200,000, 650,000 and 1,150,000 shares, respectively
     (5,763,721 )      (11,766,451 )      (38,758,339 )      (61,514,066 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 300,000, 100,000, 350,000 and 300,000 shares, respectively
     17,450,548       7,228,835       21,518,191       22,474,995  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (569,965 )      (279,921 )      (1,149,635 )      (171,013 ) 
Net realized gain (loss)
     45,506,367       4,365,328       (5,741,520 )      25,863,384  
Change in net unrealized appreciation (depreciation)
     (33,478,303 )      25,893,012       (34,710,806 )      6,795,652  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     11,458,099       29,978,419       (41,601,961 )      32,488,023  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 243,456,703     $ 165,689,050     $ 243,456,703     $ 165,689,050  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
32
Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ (41,601,961 )    $ 32,488,023  
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
     (422,955,514 )      (171,756,777 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     281,999,771       137,257,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (35,590 )      (310,838 ) 
Net realized gain (loss) on investments
     (245 )      —    
Change in unrealized appreciation (depreciation) on investments
     27,808,219       (4,755,982 ) 
Decrease (Increase) in receivable on futures contracts
     (520,982 )      (957,235 ) 
Decrease (Increase) in interest receivable
     4,321       43,172  
Increase (Decrease) in payable to Sponsor
     (13,610 )      25,225  
Increase (Decrease) in brokerage commissions and
futures account
fees payable
     4,167       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (155,311,424 )      (7,967,412 ) 
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     40,405,473       83,989,061  
Payment on shares redeemed
     (38,758,339 )      (61,514,066 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     1,647,134       22,474,995  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (153,664,290 )      14,507,583  
Cash, beginning of period
     183,452,109       38,526,723  
    
 
 
   
 
 
 
Cash, end of period
   $ 29,787,819     $ 53,034,306  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
33
Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $589,967,360 and $244,987,251, respectively)
   $ 589,938,544      $ 244,993,989  
Cash
     110,040,840        301,951,458  
Segregated cash balances with brokers for futures contracts
     38,036,250        66,062,502  
Segregated cash balances with brokers for swap agreements
     —          78,388,000  
Unrealized appreciation on swap agreements
     —          56,752,666  
Receivable on open futures contracts
     1,452,315        —    
Interest receivable
     5,762        10,698  
    
 
 
    
 
 
 
Total assets
     739,473,711        748,159,313  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     —          2,312,939  
Brokerage commissions and
 futures account
fees payable
     17,899        —    
Payable to Sponsor
     544,830        539,986  
Unrealized depreciation on swap agreements
     77,129,895        —    
Non-recurring
fees and expenses payable
     2,360        2,360  
    
 
 
    
 
 
 
Total liabilities
     77,694,984        2,855,285  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     661,778,727        745,304,028  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 739,473,711      $ 748,159,313  
    
 
 
    
 
 
 
Shares outstanding
     14,396,526        14,696,526  
    
 
 
    
 
 
 
Net asset value per share
   $ 45.97      $ 50.71  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 46.12      $ 51.28  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
34
Table of Contents
PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
(89% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.056% due 07/15/21
†
   $ 125,000,000      $ 124,997,812  
0.017% due 08/19/21
†
     50,000,000        49,996,940  
0.025% due 09/16/21
†
     90,000,000        89,991,342  
0.014% due 10/14/21
†
     125,000,000        124,983,600  
0.024% due 10/21/21
†
     110,000,000        109,984,600  
0.032% due 11/18/21
†
     90,000,000        89,984,250  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $589,967,360)
      $ 589,938,544  
     
 
 
 
Futures Contracts Purchased
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires September 2021
     2,217      $ 290,360,490      $ (15,029,699 ) 
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 %      07/06/21      $ 310,326,474      $ (22,036,546 ) 
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
     0.30       07/06/21        261,540,197        (18,581,016 ) 
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
     0.30       07/06/21        243,690,136        (17,312,866 ) 
Swap agreement with UBS AG based on Bloomberg Silver Subindex
     0.25       07/06/21        217,640,652        (19,199,467 ) 
          
 
 
 
         
Total Unrealized
Depreciation
  		   $ (77,129,895 ) 
          
 
 
 
 
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 2021. 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, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
35
Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 65,529     $ 138,315     $ 163,658     $ 914,602  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     1,615,157       425,646       3,246,292       906,893  
Brokerage commissions
     40,715       26,966       87,297       45,174  
Futures account
fees
     48,893       20,946       211,080       20,946  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     1,704,765       473,558       3,544,669       973,013  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (1,639,236 )      (335,243 )      (3,381,011 )      (58,411 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     10,593,269       19,483,543       17,489,539       9,841,567  
Swap agreements
     105,777,210       (8,097,230 )      103,791,491       (2,152,908 ) 
Short-term U.S. government and agency obligations
     —         —         191       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     116,370,479       11,386,313       121,281,221       7,688,659  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     372,122       4,631,606       (52,219,911 )      382,020  
Swap agreements
     (48,708,892 )      64,789,761       (133,882,561 )      (16,133,265 ) 
Short-term U.S. government and agency obligations
     (57,475 )      (119,307 )      (35,554 )      (8,526 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (48,394,245 )      69,302,060       (186,138,026 )      (15,759,771 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     67,976,234       80,688,373       (64,856,805 )      (8,071,112 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 66,336,998     $ 80,353,130     $ (68,237,816 )    $ (8,129,523 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
36
Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 572,501,249     $ 129,785,536     $ 745,304,028     $ 239,254,842  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 1,000,000, 1,500,000, 3,400,000 and 2,250,000 shares, respectively
     46,374,159       42,297,617       166,773,794       56,459,730  
Redemption of 450,000, 100,000, 3,700,000 and 1,350,000 shares, respectively
     (23,433,679 )      (2,764,315 )      (182,061,279 )      (37,913,081 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 550,000, 1,400,000, (300,000) and 900,000 shares, respectively
     22,940,480       39,533,302       (15,287,485 )      18,546,649  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (1,639,236 )      (335,243 )      (3,381,011 )      (58,411 ) 
Net realized gain (loss)
     116,370,479       11,386,313       121,281,221       7,688,659  
Change in net unrealized appreciation (depreciation)
     (48,394,245 )      69,302,060       (186,138,026 )      (15,759,771 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     66,336,998       80,353,130       (68,237,816 )      (8,129,523 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 661,778,727     $ 249,671,968     $ 661,778,727     $ 249,671,968  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
37
Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ (68,237,816 )    $ (8,129,523 ) 
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
     (1,149,854,685 )      (234,541,441 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     804,999,794       259,705,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (125,027 )      (610,089 ) 
Net realized gain (loss) on investments
     (191 )      —    
Change in unrealized appreciation (depreciation) on investments
     133,918,115       16,141,791  
Decrease (Increase) in receivable on futures contracts
     (1,452,315 )      (4,663,920 ) 
Decrease (Increase) in interest receivable
     4,936       84,509  
Increase (Decrease) in payable to Sponsor
     4,844       (9,140 ) 
Increase (Decrease) in brokerage commissions and
 futures account
fees payable
     17,899       —    
Increase (Decrease) in payable on futures contracts
     (2,312,939 )      (398,936 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (283,037,385 )      27,578,251  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     166,773,794       49,334,251  
Payment on shares redeemed
     (182,061,279 )      (37,913,081 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (15,287,485 )      11,421,170  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (298,324,870 )      38,999,421  
Cash, beginning of period
     446,401,960       79,058,662  
    
 
 
   
 
 
 
Cash, end of period
   $ 148,077,090     $ 118,058,083  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
38
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $209,992,849 and $244,990,791, respectively)
   $ 209,989,065      $ 244,995,969  
Cash
     72,997,291        181,991,996  
Segregated cash balances with brokers for futures contracts
     564,808,361        879,704,000  
Segregated cash balances with brokers for swap agreements
     —          7,976,000  
Receivable from capital shares sold
     5,586,276        49,086,388  
Receivable on open futures contracts
     12,723,019        16,422,512  
Interest receivable
     3,188        7,054  
    
 
 
    
 
 
 
Total assets
     866,107,200        1,380,183,919  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     7,249,251        22,424,475  
Brokerage commissions and
 futures account
fees payable
     254,987        485,039  
Payable to Sponsor
     655,125        1,040,582  
Unrealized depreciation on swap agreements
     —          24,807  
Securities purchased payable
     17,072,317        —    
Non-recurring
fees and expenses payable
     4,817        4,817  
    
 
 
    
 
 
 
Total liabilities
     25,236,497        23,979,720  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     840,870,703        1,356,204,199  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 866,107,200      $ 1,380,183,919  
    
 
 
    
 
 
 
Shares outstanding (Note 1)
     30,128,420        12,713,091  
    
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 27.91      $ 106.68  
    
 
 
    
 
 
 
Market value per share (Note 1)(Note 2)
   $ 27.98      $ 106.50  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
39
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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations

(25% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.053% due 07/15/21
†
   $ 150,000,000      $ 149,997,375  
0.017% due 10/14/21
     50,000,000        49,993,440  
0.042% due 11/18/21
     10,000,000        9,998,250  
             
 
 
 
Total short-term U.S. government and agency obligations
(cost $209,992,849)
            $ 209,989,065  
             
 
 
 
Futures Contracts Purchased
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2021
     34,175      $ 611,845,278      $ (70,286,758 ) 
VIX Futures - Cboe, expires August 2021
     28,926        571,250,896        (18,497,836 ) 
                      
 
 
 
                       $ (88,784,594 ) 
                      
 
 
 
Total Return Swap Agreements
^
 
    
Rate Paid
(Received)
*
   
Termination
Date
    
Notional Amount
at Value
**
    
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Goldman Sachs & Co. based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
     0.94 %      07/28/21      $ 77,700,750      $ —  
                              
 
 
 
                        Total Unrealized
Depreciation
  		   $ —  
                              
 
 
 
 
†
All or partial
 
amount 
pledged
 as coll
a
teral
 for swap
agreements.
^
The positions and counterparties herein are as of June 30, 2021. 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, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
40
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 202,556     $ 101,523     $ 316,525     $ 1,513,263  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     2,293,121       1,293,878       6,676,198       2,677,153  
Brokerage commissions
     1,173,276       438,851       3,129,904       1,179,860  
Futures account
fees
     711,443       454,550       2,555,256       471,271  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     4,177,840       2,187,279       12,361,358       4,328,284  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (3,975,284 )      (2,085,756 )      (12,044,833 )      (2,815,021 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (811,706,279 )      (70,710,151 )      (1,464,769,961 )      585,435,077  
Swap agreements
     (42,822,782 )      (37,170,640 )      (94,277,124 )      32,769,363  
Short-term U.S. government and agency obligations
     2,137       —         20,657       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (854,526,924 )      (107,880,791 )      (1,559,026,428 )      618,204,440  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     244,143,655       (143,576,454 )      (40,259,928 )      54,779,500  
Swap agreements
     —         18,224,215       24,807       (3,749,878 ) 
Short-term U.S. government and agency obligations
     (28,407 )      (148,640 )      (8,962 )      (13,586 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     244,115,248       (125,500,879 )      (40,244,083 )      51,016,036  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (610,411,676 )      (233,381,670 )      (1,599,270,511 )      669,220,476  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (614,386,960 )    $ (235,467,426 )    $ (1,611,315,344 )    $ 666,405,455  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
41
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 1,284,373,170     $ 592,820,492     $ 1,356,204,199     $ 527,636,003  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 12,955,000, 2,485,000, 32,585,000 and 3,475,000 shares, respectively (Note 1)
     434,635,046       850,559,658       2,373,778,077       1,209,649,869  
Redemption of 5,629,671, 485,000, 15,169,671 and 4,625,000 shares, respectively (Note 1)
     (263,750,553 )      (215,756,117 )      (1,277,796,229 )      (1,411,534,720 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 7,325,329, 2,000,000, 17,415,329 and (1,150,000) shares, respectively (Note 1)
     170,884,493       634,803,541       1,095,981,848       (201,884,851 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (3,975,284 )      (2,085,756 )      (12,044,833 )      (2,815,021 ) 
Net realized gain (loss)
     (854,526,924 )      (107,880,791 )      (1,559,026,428 )      618,204,440  
Change in net unrealized appreciation (depreciation)
     244,115,248       (125,500,879 )      (40,244,083 )      51,016,036  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (614,386,960 )      (235,467,426 )      (1,611,315,344 )      666,405,455  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 840,870,703     $ 992,156,607     $ 840,870,703     $ 992,156,607  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
42
Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ (1,611,315,344 )    $ 666,405,455  
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
     (921,859,566 )      (295,430,934 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     956,989,987       379,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (111,822 )      (818,563 ) 
Net realized gain (loss) on investments
     (20,657 )      —    
Change in unrealized appreciation (depreciation) on investments
     (15,845 )      3,763,464  
Decrease (Increase) in receivable on futures contracts
     3,699,493       (18,827,433 ) 
Decrease (Increase) in interest receivable
     3,866       183,042  
Increase (Decrease) in payable to Sponsor
     (385,457 )      189,418  
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
     (230,052 )      248,909  
Increase (Decrease) in payable on futures contracts
     (15,175,224 )      27,599,533  
Increase (Decrease) in securities purchased payable
     17,072,317       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (1,571,348,304 )      762,312,891  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     2,417,278,189       1,147,154,570  
Payment on shares redeemed
     (1,277,796,229 )      (1,411,534,720 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     1,139,481,960       (264,380,150 ) 
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (431,866,344 )      497,932,741  
Cash, beginning of period
     1,069,671,996       361,561,329  
    
 
 
   
 
 
 
Cash, end of period
   $ 637,805,652     $ 859,494,070  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
43
Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $999,913 and $–, respectively)
   $ 999,825      $ —    
Cash
     1,632,759        2,618,696  
Segregated cash balances with brokers for foreign currency forward contracts
     —          306,000  
Unrealized appreciation on foreign currency forward contracts
     592        67,235  
Interest receivable
     67        111  
    
 
 
    
 
 
 
Total assets
     2,633,243        2,992,042  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable to Sponsor
     2,038        2,384  
Unrealized depreciation on foreign currency forward contracts
     70,846        148  
Non-recurring
fees and expenses payable
     11        11  
    
 
 
    
 
 
 
Total liabilities
     72,895        2,543  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     2,560,348        2,989,499  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 2,633,243      $ 2,992,042  
    
 
 
    
 
 
 
Shares outstanding
     49,970        49,970  
    
 
 
    
 
 
 
Net asset value per share
   $ 51.24      $ 59.83  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 51.26      $ 59.82  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
44
Table of Contents
PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(39% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.023% due 11/18/21
†
   $ 1,000,000      $ 999,825  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $999,913)
      $ 999,825  
     
 
 
 
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
     07/09/21        336,192,517     $ 3,026,597     $ (41,036 ) 
Yen with UBS AG
     07/09/21        246,112,756       2,215,648       (29,810 ) 
         
 
 
 
         
Total Unrealized
Depreciation 		 
  		  $ (70,846 ) 
         
 
 
 
Contracts to Sell
         
Yen with UBS AG
     07/09/21        (13,400,000 )    $ (120,635 )    $ 592  
         
 
 
 
         
Total Unrealized
Appreciation
  		  $ 592  
         
 
 
 
 
†
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of June 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
45
Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 307     $ 62     $ 663     $ 8,929  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     6,262       6,601       12,911       13,842  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     6,262       6,601       12,911       13,842  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (5,955 )      (6,539 )      (12,248 )      (4,913 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Foreign currency forward contracts
     (140,007 )      (106,753 )      (279,474 )      (115,236 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (140,007 )      (106,753 )      (279,474 )      (115,236 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Foreign currency forward contracts
     118,748       68,867       (137,341 )      49,628  
Short-term U.S. government and agency obligations
     (132 )      —         (88 )      (74 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     118,616       68,867       (137,429 )      49,554  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (21,391 )      (37,886 )      (416,903 )      (65,682 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (27,346 )    $ (44,425 )    $ (429,151 )    $ (70,595 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
46
Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 2,587,694     $ 2,808,780     $ 2,989,499     $ 5,580,964  
    
 
 
   
 
 
   
 
 
   
 
 
 
Redemption of –, –, – and 50,000 shares, respectively
     —         —         —         (2,746,014 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of –, –, – and (50,000) shares, respectively
     —         —         —         (2,746,014 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (5,955 )      (6,539 )      (12,248 )      (4,913 ) 
Net realized gain (loss)
     (140,007 )      (106,753 )      (279,474 )      (115,236 ) 
Change in net unrealized appreciation (depreciation)
     118,616       68,867       (137,429 )      49,554  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (27,346 )      (44,425 )      (429,151 )      (70,595 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 2,560,348     $ 2,764,355     $ 2,560,348     $ 2,764,355  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
47
Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ (429,151 )    $ (70,595 ) 
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
     (1,499,740 )      (99,700 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     500,000       1,911,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (173 )      (3,270 ) 
Change in unrealized appreciation (depreciation) on investments
     137,429       (49,554 ) 
Decrease (Increase) in interest receivable
     44       4,445  
Increase (Decrease) in payable to Sponsor
     (346 )      (2,307 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (1,291,937 )      1,690,019  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Payment on shares redeemed
     —         (2,746,014 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     —         (2,746,014 ) 
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (1,291,937 )      (1,055,995 ) 
Cash, beginning of period
     2,924,696       3,783,138  
    
 
 
   
 
 
 
Cash, end of period
   $ 1,632,759     $ 2,727,143  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
48
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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Cash
   $ 2,174,027      $ 2,133,707  
Segregated cash balances with brokers for futures contracts
     120,780        100,320  
Receivable on open futures contracts
     11,590        —    
Interest receivable
     87        119  
    
 
 
    
 
 
 
Total assets
     2,306,484        2,234,146  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     —          9,118  
Payable to Sponsor
     1,733        2,370  
Non-recurring
fees and expenses payable
     19        19  
    
 
 
    
 
 
 
Total liabilities
     1,752        11,507  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     2,304,732        2,222,639  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 2,306,484      $ 2,234,146  
    
 
 
    
 
 
 
Shares outstanding
     50,000        50,000  
    
 
 
    
 
 
 
Net asset value per share
   $ 46.09      $ 44.45  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 45.96      $ 43.89  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
49
Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
Futures Contracts Sold
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Australian Dollar Fx Currency Futures - CME, expires September 2021
     61      $ 4,573,780      $ 125,393  
See accompanying notes to financial statements.
 
50
Table of Contents
PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 260     $ 42     $ 518     $ 20,096  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     5,192       14,888       10,331       30,018  
Brokerage commissions
     374       1,339       760       2,838  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     5,566       16,227       11,091       32,856  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (5,306 )      (16,185 )      (10,573 )      (12,760 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (7,133 )      (1,037,904 )      (171,677 )      (366,954 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (7,133 )      (1,037,904 )      (171,677 )      (366,954 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     58,291       (562,236 )      264,343       385,350  
Short-term U.S. government and agency obligations
     —         —         —         (206 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     58,291       (562,236 )      264,343       385,144  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     51,158       (1,600,140 )      92,666       18,190  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 45,852     $ (1,616,325 )    $ 82,093     $ 5,430  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
51
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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
                                 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 2,258,880     $ 7,230,367     $ 2,222,639     $ 5,608,612  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (5,306 )      (16,185 )      (10,573 )      (12,760 ) 
Net realized gain (loss)
     (7,133 )      (1,037,904 )      (171,677 )      (366,954 ) 
Change in net unrealized appreciation (depreciation)
     58,291       (562,236 )      264,343       385,144  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     45,852       (1,616,325 )      82,093       5,430  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 2,304,732     $ 5,614,042     $ 2,304,732     $ 5,614,042  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ 82,093     $ 5,430  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
                
Purchases of short-term U.S. government and agency obligations
     —         (498,498 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     —         4,436,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     —         (6,234 ) 
Change in unrealized appreciation (depreciation) on investments
     —         206  
Decrease (Increase) in receivable on futures contracts
     (11,590 )      —    
Decrease (Increase) in interest receivable
     32       1,051  
Increase (Decrease) in payable to Sponsor
     (637 )      (313 ) 
Increase (Decrease) in payable on futures contracts
     (9,118 )      27,662  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     60,780       3,965,304  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     60,780       3,965,304  
Cash, beginning of period
     2,234,027       1,717,873  
    
 
 
   
 
 
 
Cash, end of period
   $ 2,294,807     $ 5,683,177  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
53
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31, 2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $32,997,154 and $–, respectively)
   $ 32,996,370      $ —    
Cash
     30,202,202        74,317,150  
Segregated cash balances with brokers for futures contracts
     16,742,716        22,608,223  
Segregated cash balances with brokers for swap agreements
     —          188,000  
Receivable on open futures contracts
     28,329        60,902  
Interest receivable
     1,479        3,299  
    
 
 
    
 
 
 
Total assets
     79,971,096        97,177,574  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     499,834        257,410  
Brokerage commissions and
 f
utures account
fees payable
     12,516        —    
Payable to Sponsor
     58,336        80,580  
Non-recurring fees and expenses payable
     351        351  
    
 
 
    
 
 
 
Total liabilities
     571,037        338,341  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     79,400,059        96,839,233  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 79,971,096      $ 97,177,574  
    
 
 
    
 
 
 
Shares outstanding (Note 1)
     4,383,799        2,084,971  
    
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 18.11      $ 46.45  
    
 
 
    
 
 
 
Market value per share (Note 1)(Note 2)
   $ 18.11      $ 46.56  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(42% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.017% due 08/19/21
   $ 5,000,000      $ 4,999,694  
0.034% due 09/16/21
     20,000,000        19,998,076  
0.043% due 11/18/21
     8,000,000        7,998,600  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $32,997,154)
      $ 32,996,370  
     
 
 
 
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires September 2021
     720      $ 52,394,400      $ (2,870,473 ) 
WTI Crude Oil - NYMEX, expires December 2021
     764        53,579,320        (9,868,519 ) 
WTI Crude Oil - NYMEX, expires June 2022
     794        52,832,760        (6,205,625 ) 
        
 
 
 
         $ (18,944,617 ) 
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
55
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 18,343     $ 6,209     $ 29,178     $ 254,918  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     181,035       348,900       402,298       551,269  
Brokerage commissions
     28,581       346,732       71,625       423,785  
F
utures account
fees
     17,468       93,303       65,180       93,303  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     227,084       788,935       539,103       1,068,357  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (208,741 )      (782,726 )      (509,925 )      (813,439 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (26,010,421 )      (6,718,825 )      (75,188,186 )      (214,136 ) 
Swap agreements
     —         (228,522 )      —         44,940,811  
Short-term U.S. government and agency obligations
     —         —         —         (20 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (26,010,421 )      (6,947,347 )      (75,188,186 )      44,726,655  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     (9,944,438 )      (55,392,539 )      (4,307,804 )      (555,459 ) 
Swap agreements
     —         (19,802,897 )      —         1,938,253  
Short-term U.S. government and agency obligations
     (2,994 )      (6,289 )      (784 )      (3,162 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (9,947,432 )      (75,201,725 )      (4,308,588 )      1,379,632  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (35,957,853 )      (82,149,072 )      (79,496,774 )      46,106,287  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (36,166,594 )    $ (82,931,798 )    $ (80,006,699 )    $ 45,292,848  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
56
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended 
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 91,718,390     $ 100,094,023     $ 96,839,233     $ 125,451,681  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 1,937,500, 4,750,000, 3,887,500 and 5,587,500 shares, respectively (Note 1)
     43,181,460       597,199,474       107,484,439       668,428,949  
Redemption of 738,672, 3,650,000, 1,588,672 and 6,550,000 shares, respectively (Note 1)
     (19,333,197 )      (496,539,801 )      (44,916,914 )      (721,351,580 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 1,198,828, 1,100,000, 2,298,828 and (962,500) shares, respectively (Note 1)
     23,848,263       100,659,673       62,567,525       (52,922,631 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (208,741 )      (782,726 )      (509,925 )      (813,439 ) 
Net realized gain (loss)
     (26,010,421 )      (6,947,347 )      (75,188,186 )      44,726,655  
Change in net unrealized appreciation (depreciation)
     (9,947,432 )      (75,201,725 )      (4,308,588 )      1,379,632  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (36,166,594 )      (82,931,798 )      (80,006,699 )      45,292,848  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 79,400,059     $ 117,821,898     $ 79,400,059     $ 117,821,898  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ (80,006,699 )    $ 45,292,848  
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
     (92,987,219 )      (32,897,274 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     60,000,000       95,246,647  
Net amortization and accretion on short-term U.S. government and agency obligations
     (9,935 )      (153,272 ) 
Net realized gain (loss) on investments
     —         20  
Change in unrealized appreciation (depreciation) on investments
     784       (1,935,091 ) 
Decrease (Increase) in receivable on futures contracts
     32,573       (7,541,741 ) 
Decrease (Increase) in interest receivable
     1,820       49,379  
Increase (Decrease) in payable to Sponsor
     (22,244 )      (6,937 ) 
Increase (Decrease) in brokerage commissions and
f
utures account
 
fees payable
     12,516       —    
Increase (Decrease) in payable on futures contracts
     242,424       7,318,957  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (112,735,980 )      105,373,536  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     107,484,439       664,462,079  
Payment on shares redeemed
     (44,916,914 )      (721,351,580 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     62,567,525       (56,889,501 ) 
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (50,168,455 )      48,484,035  
Cash, beginning of period
     97,113,373       61,909,177  
    
 
 
   
 
 
 
Cash, end of period
   $ 46,944,918     $ 110,393,212  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
58
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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
  
 
    
 
 
Short-term U.S. government and agency obligations (Note 3) (cost $40,996,636 and $9,999,612, respectively)
   $ 40,995,644      $ 9,999,861  
Cash
     46,191,540        12,600,775  
Segregated cash balances with brokers for futures contracts
     12,424,774        6,546,607  
Interest receivable
     1,845        548  
Total assets
     99,613,803        29,147,791  
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     –        2,604,177  
Payable on open futures contracts
     2,013,196        1,543,700  
Brokerage commissions and
 f
utures account
fees payable
     9,927        –  
Payable to Sponsor
     65,240        22,029  
Non-recurring fees and expenses payable
     140        140  
Total liabilities
     2,088,503        4,170,046  
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     97,525,300        24,977,745  
Total liabilities and shareholders’ equity
   $ 99,613,803      $ 29,147,791  
Shares outstanding
     4,524,832        524,832  
Net asset value per share
   $ 21.55      $ 47.59  
Market value per share (Note 2)
   $ 20.44      $ 47.38  
See accompanying notes to financial statements.
 
59
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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
 
  
Principal
Amount
 
  
Value
 
Short-term U.S. government and agency obligations
  
 
 
  
 
 
(42% of shareholders’ equity)
                 
U.S. Treasury Bills
^^
:
                 
0.017% due 08/19/21
   $ 4,000,000      $ 3,999,755  
0.034% due 09/16/21
     30,000,000        29,997,114  
0.043% due 11/18/21
     7,000,000        6,998,775  
Total short-term U.S. government and agency obligations
                 
(cost $40,996,636)
            $ 40,995,644  
 
Futures Contracts Sold
  
 
 
  
 
 
  
 
 
 
  
Number
of
Contracts
 
  
Notional
Amount
at Value
 
  
Unrealized
Appreciation
(Depreciation)/
Value
 
Natural Gas - NYMEX, expires September 2021
     5,382      $ 195,043,680      $ (17,418,146 ) 
^^ Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
60
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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 7,750     $ 1,371     $ 15,633     $ 43,803  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     191,311       36,607       350,648       69,037  
Brokerage commissions
     96,343       46,462       182,023       78,743  
Futures account fees
     33,853       5,349       57,126       5,349  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     321,507       88,418       589,797       153,129  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (313,757 )      (87,047 )      (574,164 )      (109,326 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (10,305,304 )      5,236,641       (16,664,698 )      10,862,818  
Short-term U.S. government and agency obligations
     —         (550 )      —         (550 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (10,305,304 )      5,236,091       (16,664,698 )      10,862,268  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     (33,691,003 )      (2,773,687 )      (17,797,456 )      561,299  
Short-term U.S. government and agency obligations
     (2,758 )      (952 )      (1,241 )      (327 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (33,693,761 )      (2,774,639 )      (17,798,697 )      560,972  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (43,999,065 )      2,461,452       (34,463,395 )      11,423,240  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (44,312,822 )    $ 2,374,405     $ (35,037,559 )    $ 11,313,914  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
61
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 69,459,275     $ 17,419,933     $ 24,977,745     $ 12,515,603  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 3,450,000, 650,000, 7,550,000 and 1,200,000 shares, respectively
     93,913,245       39,170,642       235,963,431       68,275,223  
Redemption of 700,000, 500,000, 3,550,000 and 1,100,000 shares, respectively
     (21,534,398 )      (30,412,770 )      (128,378,317 )      (63,552,530 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 2,750,000, 150,000, 4,000,000 and 100,000 shares, respectively
     72,378,847       8,757,872       107,585,114       4,722,693  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (313,757 )      (87,047 )      (574,164 )      (109,326 ) 
Net realized gain (loss)
     (10,305,304 )      5,236,091       (16,664,698 )      10,862,268  
Change in net unrealized appreciation (depreciation)
     (33,693,761 )      (2,774,639 )      (17,798,697 )      560,972  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (44,312,822 )      2,374,405       (35,037,559 )      11,313,914  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 97,525,300     $ 28,552,210     $ 97,525,300     $ 28,552,210  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
62
Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ (35,037,559 )    $ 11,313,914  
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
     (94,989,543 )      (12,989,707 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     64,000,000       16,159,778  
Net amortization and accretion on short-term U.S. government and agency obligations
     (7,481 )      (15,964 ) 
Net realized gain (loss) on investments
     —         550  
Change in unrealized appreciation (depreciation) on investments
     1,241       327  
Decrease (Increase) in interest receivable
     (1,297 )      5,305  
Increase (Decrease) in payable to Sponsor
     43,211       3,188  
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
     9,927       —    
Increase (Decrease) in payable on futures contracts
     469,496       1,508,752  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (65,512,005 )      15,986,143  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     235,963,431       64,914,691  
Payment on shares redeemed
     (130,982,494 )      (63,552,530 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     104,980,937       1,362,161  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     39,468,932       17,348,304  
Cash, beginning of period
     19,147,382       7,370,891  
    
 
 
   
 
 
 
Cash, end of period
   $ 58,616,314     $ 24,719,195  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
63
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $27,997,218 and $9,999,612, respectively)
   $ 27,996,580      $ 9,999,861  
Cash
     18,114,608        42,133,228  
Segregated cash balances with brokers for foreign currency forward contracts
     —          1,999,000  
Unrealized appreciation on foreign currency forward contracts
     2,806,798        5,705  
Interest receivable
     1,178        2,148  
    
 
 
    
 
 
 
Total assets
     48,919,164        54,139,942  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable to Sponsor
     36,956        43,974  
Unrealized depreciation on foreign currency forward contracts
     61,548        1,142,409  
Non-recurring fees and expenses payable
     220        220  
    
 
 
    
 
 
 
Total liabilities
     98,724        1,186,603  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     48,820,440        52,953,339  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 48,919,164      $ 54,139,942  
    
 
 
    
 
 
 
Shares outstanding
     2,050,000        2,350,000  
    
 
 
    
 
 
 
Net asset value per share
   $ 23.81      $ 22.53  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 23.82      $ 22.52  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
64
Table of Contents
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(57% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.017% due 08/19/21
†
   $ 3,000,000      $ 2,999,816  
0.340% due 09/16/21
†
     10,000,000        9,999,039  
0.039% due 10/21/21
†
     10,000,000        9,998,600  
0.043% due 11/18/21
     5,000,000        4,999,125  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $27,997,218)
      $ 27,996,580  
     
 
 
 
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
     07/09/21        950,000     $ 1,126,676     $ (22,907 ) 
Euro with UBS AG
     07/09/21        2,380,000       2,822,621       (38,641 ) 
         
 
 
 
         
Total Unrealized
Depreciation 		 
  		  $ (61,548 ) 
         
 
 
 
Contracts to Sell
         
Euro with Goldman Sachs International
     07/09/21        (37,911,263 )    $ (44,961,810 )    $ 1,331,194  
Euro with UBS AG
     07/09/21        (47,835,199 )      (56,731,351 )      1,475,604  
         
 
 
 
         
Total Unrealized
Appreciation 		 
  		  $ 2,806,798  
         
 
 
 
 
†
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of June 30, 2021. 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.
 
65
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
 
                                 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 5,640     $ 68,027     $ 12,806     $ 467,684  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     114,680       213,631       238,718       477,073  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     114,680       213,631       238,718       477,073  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (109,040 )      (145,604 )      (225,912 )      (9,389 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Foreign currency forward contracts
     (795,757 )      (2,285,868 )      (725,230 )      (1,238,585 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (795,757 )      (2,285,868 )      (725,230 )      (1,238,585 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Foreign currency forward contracts
     (509,443 )      (1,212,465 )      3,881,954       1,925,466  
Short-term U.S. government and agency obligations
     (1,727 )      (57,218 )      (887 )      (4,898 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (511,170 )      (1,269,683 )      3,881,067       1,920,568  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (1,306,927 )      (3,555,551 )      3,155,837       681,983  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (1,415,967 )    $ (3,701,155 )    $ 2,929,925     $ 672,594  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
66
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 54,932,137     $ 93,194,599     $ 52,953,339     $ 120,581,173  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of –, 150,000, 200,000 and 350,000 shares, respectively
     —         4,304,184       4,613,244       10,058,250  
Redemption of 200,000, 550,000, 500,000 and 1,900,000 shares, respectively
     (4,695,730 )      (14,948,663 )      (11,676,068 )      (52,463,052 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (200,000), (400,000), (300,000) and (1,550,000) shares, respectively
     (4,695,730 )      (10,644,479 )      (7,062,824 )      (42,404,802 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (109,040 )      (145,604 )      (225,912 )      (9,389 ) 
Net realized gain (loss)
     (795,757 )      (2,285,868 )      (725,230 )      (1,238,585 ) 
Change in net unrealized appreciation (depreciation)
     (511,170 )      (1,269,683 )      3,881,067       1,920,568  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (1,415,967 )      (3,701,155 )      2,929,925       672,594  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 48,820,440     $ 78,848,965     $ 48,820,440     $ 78,848,965  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
67
Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
 
                 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ 2,929,925     $ 672,594  
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
     (69,991,234 )      (141,766,749 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     52,000,000       145,685,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (6,372 )      (320,957 ) 
Change in unrealized appreciation (depreciation) on investments
     (3,881,067 )      (1,920,568 ) 
Decrease (Increase) in interest receivable
     970       59,730  
Increase (Decrease) in payable to Sponsor
     (7,018 )      (35,967 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (18,954,796 )      2,373,083  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     4,613,244       10,058,250  
Payment on shares redeemed
     (11,676,068 )      (52,463,052 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (7,062,824 )      (42,404,802 ) 
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (26,017,620 )      (40,031,719 ) 
Cash, beginning of period
     44,132,228       44,280,278  
    
 
 
   
 
 
 
Cash, end of period
   $ 18,114,608     $ 4,248,559  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
68
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $11,998,536 and $–, respectively)
   $ 11,998,320      $ —    
Cash
     16,816,057        16,935,121  
Segregated cash balances with brokers for futures contracts
     1,561,500        1,503,750  
Segregated cash balances with brokers for swap agreements
     —          2,194,500  
Unrealized appreciation on swap agreements
     2,574,819        —    
Receivable on open futures contracts
     —          1,317  
Interest receivable
     653        742  
    
 
 
    
 
 
 
Total assets
     32,951,349        20,635,430  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     94,215        12,410  
Brokerage commissions and
 
f
utures account
fees payable
     406        —    
Payable to Sponsor
     21,633        16,835  
Unrealized depreciation on swap agreements
     —          268,728  
Non-recurring fees and expenses payable
     81        81  
    
 
 
    
 
 
 
Total liabilities
     116,335        298,054  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     32,835,014        20,337,376  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 32,951,349      $ 20,635,430  
    
 
 
    
 
 
 
Shares outstanding
     946,977        646,977  
    
 
 
    
 
 
 
Net asset value per share
   $ 34.67      $ 31.43  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 34.69      $ 31.14  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
69
Table of Contents
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(37% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.034% due 09/16/21
†
   $ 4,000,000      $ 3,999,615  
0.039% due 10/21/21
†
     3,000,000        2,999,580  
0.043% due 11/18/21
     5,000,000        4,999,125  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $11,998,536)
      $ 11,998,320  
     
 
 
 
Futures Contracts Sold
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires August 2021
     169      $ 29,940,040      $ 585,939  
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 %      07/06/21      $ (14,671,543 )    $ 1,050,931  
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
     0.20     07/06/21        (9,598,230 )      687,817  
Swap agreement with UBS AG based on Bloomberg Gold Subindex
     0.25     07/06/21        (11,477,443 )      836,071  
         
 
 
 
         
Total Unrealized
Appreciation 		 
  		  $ 2,574,819  
         
 
 
 
 
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 2021. 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, 2021, 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.
 
70
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 3,176     $ 2,259     $ 6,138     $ 63,280  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     69,968       40,621       133,695       83,860  
Brokerage commissions
     2,283       1,659       5,873       3,763  
F
utures account
fees
     1,802       1,365       6,488       1,365  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     74,053       43,645       146,056       88,988  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (70,877 )      (41,386 )      (139,918 )      (25,708 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (2,050,237 )      (1,667,192 )      (715,255 )      (3,695,858 ) 
Swap agreements
     (4,934,310 )      (422,079 )      (2,266,102 )      (4,324,295 ) 
Short-term U.S. government and agency obligations
     —         —         169       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (6,984,547 )      (2,089,271 )      (2,981,188 )      (8,020,153 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     546,794       (530,083 )      782,869       111,030  
Swap agreements
     3,260,286       (2,106,843 )      2,843,547       (72,160 ) 
Short-term U.S. government and agency obligations
     (1,027 )      (2,005 )      (216 )      (827 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     3,806,053       (2,638,931 )      3,626,200       38,043  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (3,178,494 )      (4,728,202 )      645,012       (7,982,110 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (3,249,371 )    $ (4,769,588 )    $ 505,094     $ (8,007,818 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
71
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended 
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 41,243,515     $ 20,569,044     $ 20,337,376     $ 21,047,560  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 300,000, 150,000, 1,050,000 and 350,000 shares, respectively
     10,071,690       5,742,206       37,362,906       15,431,847  
Redemption of 450,000, 150,000, 750,000 and 300,000 shares, respectively
     (15,230,820 )      (5,690,619 )      (25,370,362 )      (12,620,546 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (150,000), –, 300,000 and 50,000 shares, respectively
     (5,159,130 )      51,587       11,992,544       2,811,301  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (70,877 )      (41,386 )      (139,918 )      (25,708 ) 
Net realized gain (loss)
     (6,984,547 )      (2,089,271 )      (2,981,188 )      (8,020,153 ) 
Change in net unrealized appreciation (depreciation)
     3,806,053       (2,638,931 )      3,626,200       38,043  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (3,249,371 )      (4,769,588 )      505,094       (8,007,818 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 32,835,014     $ 15,851,043     $ 32,835,014     $ 15,851,043  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
72
Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
    
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ 505,094     $ (8,007,818 ) 
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
     (30,995,460 )      (14,982,323 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     18,999,936       19,371,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (2,843 )      (33,878 ) 
Net realized gain (loss) on investments
     (169 )      —    
Change in unrealized appreciation (depreciation) on investments
     (2,843,331 )      72,987  
Decrease (Increase) in receivable on futures contracts
     1,317       (13,574 ) 
Decrease (Increase) in interest receivable
     89       11,031  
Increase (Decrease) in payable to Sponsor
     4,798       (4,065 ) 
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
     406       —    
Increase (Decrease) in payable on futures contracts
     81,805       21,109  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (14,248,358 )      (3,565,531 ) 
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     37,362,906       15,431,847  
Payment on shares redeemed
     (25,370,362 )      (12,620,546 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     11,992,544       2,811,301  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (2,255,814 )      (754,230 ) 
Cash, beginning of period
     20,633,371       9,895,915  
    
 
 
   
 
 
 
Cash, end of period
   $ 18,377,557     $ 9,141,685  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
73
Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $16,998,891 and $–, respectively)
   $ 16,997,804      $ —    
Cash
     12,329,310        18,919,314  
Segregated cash balances with brokers for futures contracts
     2,707,500        1,503,250  
Segregated cash balances with brokers for swap agreements
     —          11,732,485  
Unrealized appreciation on swap agreements
     2,852,750        —    
Receivable on open futures contracts
     632        39,445  
Interest receivable
     510        814  
    
 
 
    
 
 
 
Total assets
     34,888,506        32,195,308  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     5,860        86,282  
Brokerage commissions and
 
f
utures account
fees payable
     620        —    
Payable to Sponsor
     22,130        25,557  
Unrealized depreciation on swap agreements
     —          3,197,561  
Non-recurring fees and expenses payable
     133        133  
    
 
 
    
 
 
 
Total liabilities
     28,743        3,309,533  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     34,859,763        28,885,775  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 34,888,506      $ 32,195,308  
    
 
 
    
 
 
 
Shares outstanding (Note 1)
     1,491,329        1,041,744  
    
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 23.37      $ 27.73  
    
 
 
    
 
 
 
Market value per share (Note 1)(Note 2)
   $ 23.28      $ 27.40  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
74
Table of Contents
PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(49% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.017% due 08/19/21
†
   $ 2,000,000      $ 1,999,878  
0.034% due 09/16/21
†
     3,000,000        2,999,711  
0.013% due 10/21/21
†
     9,000,000        8,998,740  
0.043% due 11/18/21
     3,000,000        2,999,475  
     
 
 
 
Total short-term U.S. government and agency obligations
     
(cost $16,998,891)
      $ 16,997,804  
     
 
 
 
Futures Contracts Sold
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires September 2021
     179      $ 23,443,630      $ 271,891  
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 %      07/06/21      $ (8,849,343 )    $ 625,413  
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
     0.25     07/06/21        (11,715,662 )      827,985  
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
     0.30     07/06/21        (9,263,439 )      654,366  
Swap agreement with UBS AG based on Bloomberg Silver Subindex
     0.25     07/06/21        (16,415,733 )      744,986  
         
 
 
 
         
Total Unrealized
Appreciation 		 
  		  $ 2,852,750  
         
 
 
 
 
†
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 2021. 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, 2021, 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.
 
75
Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 2,678     $ 651     $ 5,795     $ 45,187  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     72,831       25,749       157,576       62,885  
Brokerage commissions
     3,824       3,940       11,268       7,921  
F
utures account
fees
     4,207       1,675       14,198       1,675  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     80,862       31,364       183,042       72,481  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (78,184 )      (30,713 )      (177,247 )      (27,294 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (216,957 )      (912,847 )      (1,453,150 )      1,007,162  
Swap agreements
     (5,659,499 )      (2,964,892 )      (7,355,657 )      (4,042,661 ) 
Short-term U.S. government and agency obligations
     —         —         85       —    
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (5,876,456 )      (3,877,739 )      (8,808,722 )      (3,035,499 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     (3,005,003 )      (1,735,991 )      491,967       (132,984 ) 
Swap agreements
     2,081,517       (1,017,191 )      6,050,311       1,570,073  
Short-term U.S. government and agency obligations
     (1,834 )      (889 )      (1,087 )      (704 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (925,320 )      (2,754,071 )      6,541,191       1,436,385  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (6,801,776 )      (6,631,810 )      (2,267,531 )      (1,599,114 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (6,879,960 )    $ (6,662,523 )    $ (2,444,778 )    $ (1,626,408 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
76
Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended 
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 45,144,664     $ 18,887,831     $ 28,885,775     $ 13,834,163  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 300,000, 150,000, 2,750,000 and 200,000 shares, respectively (Note 1)
     7,086,666       14,344,359       65,182,313       20,307,202  
Redemption of 425,415, 150,000, 2,300,415 and 200,000 shares, respectively (Note 1)
     (10,491,607 )      (16,424,042 )      (56,763,547 )      (22,369,332 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (125,415), –, 449,585 and – shares, respectively (Note 1)
     (3,404,941 )      (2,079,683 )      8,418,766       (2,062,130 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (78,184 )      (30,713 )      (177,247 )      (27,294 ) 
Net realized gain (loss)
     (5,876,456 )      (3,877,739 )      (8,808,722 )      (3,035,499 ) 
Change in net unrealized appreciation (depreciation)
     (925,320 )      (2,754,071 )      6,541,191       1,436,385  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (6,879,960 )      (6,662,523 )      (2,444,778 )      (1,626,408 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 34,859,763     $ 10,145,625     $ 34,859,763     $ 10,145,625  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
77
Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ (2,444,778 )    $ (1,626,408 ) 
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
     (39,995,436 )      (4,386,261 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     22,999,988       13,574,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (3,358 )      (25,576 ) 
Net realized gain (loss) on investments
     (85 )      —    
Change in unrealized appreciation (depreciation) on investments
     (6,049,224 )      (1,569,369 ) 
Decrease (Increase) in receivable on futures contracts
     38,813       (99,620 ) 
Decrease (Increase) in interest receivable
     304       3,305  
Increase (Decrease) in payable to Sponsor
     (3,427 )      (1,854 ) 
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
     620       —    
Increase (Decrease) in payable on futures contracts
     (80,422 )      119,004  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (25,537,005 )      5,987,221  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     65,182,313       20,307,202  
Payment on shares redeemed
     (56,763,547 )      (22,369,332 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     8,418,766       (2,062,130 ) 
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (17,118,239 )      3,925,091  
Cash, beginning of period
     32,155,049       6,646,212  
    
 
 
   
 
 
 
Cash, end of period
   $ 15,036,810     $ 10,571,303  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
78
Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $11,998,935 and $–, respectively)
   $ 11,998,399      $ —    
Cash
     14,562,158        21,470,564  
Segregated cash balances with brokers for foreign currency forward contracts
     —          2,804,000  
Unrealized appreciation on foreign currency forward contracts
     835,758        7,008  
Interest receivable
     730        914  
    
 
 
    
 
 
 
Total assets
     27,397,045        24,282,486  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable to Sponsor
     21,280        19,348  
Unrealized depreciation on foreign currency forward contracts
     143,923        571,974  
Non-recurring fees and expenses payable
     94        94  
    
 
 
    
 
 
 
Total liabilities
     165,297        591,416  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     27,231,748        23,691,070  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 27,397,045      $ 24,282,486  
    
 
 
    
 
 
 
Shares outstanding
     349,290        349,290  
    
 
 
    
 
 
 
Net asset value per share
   $ 77.96      $ 67.83  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 77.98      $ 67.81  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
79
Table of Contents
PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(44% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.034% due 09/16/21
   $ 5,000,000      $ 4,999,519  
0.006% due 10/21/21
†
     3,000,000        2,999,580  
0.043% due 11/18/21
     4,000,000        3,999,300  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $11,998,935)
      $ 11,998,399  
     
 
 
 
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
     07/09/21        995,120,000     $ 8,958,639     $ (129,620 ) 
Yen with UBS AG
     07/09/21        152,800,000       1,375,593       (14,303 ) 
         
 
 
 
         
Total Unrealized
Depreciation 		 
  		  $ (143,923 ) 
         
 
 
 
Contracts to Sell
         
Yen with Goldman Sachs International
     07/09/21        (2,069,325,165 )    $ (18,629,249 )    $ 245,525  
Yen with UBS AG
     07/09/21        (5,125,948,875 )      (46,146,723 )      590,233  
         
 
 
 
         
Total Unrealized
Appreciation 		 
  		  $ 835,758  
         
 
 
 
 
†
All or partial amount pledged as collateral for foreign currency forward contracts.
^
The positions and counterparties herein are as of June 30, 2021. 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.
 
80
Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF OPERATIONS
(unaudited)
 
                                 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 3,570     $ 5,143     $ 7,166     $ 131,326  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     72,446       64,430       138,999       148,867  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     72,446       64,430       138,999       148,867  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (68,876 )      (59,287 )      (131,833 )      (17,541 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Foreign currency forward contracts
     1,598,086       110,748       2,857,659       (395,772 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     1,598,086       110,748       2,857,659       (395,772 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Foreign currency forward contracts
     (1,644,087 )      70,456       1,256,801       (628,889 ) 
Short-term U.S. government and agency obligations
     (1,390 )      (3,995 )      (536 )      (1,719 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (1,645,477 )      66,461       1,256,265       (630,608 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (47,391 )      177,209       4,113,924       (1,026,380 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (116,267 )    $ 117,922     $ 3,982,091     $ (1,043,921 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
81
Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended 
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 34,921,840     $ 29,586,170     $ 23,691,070     $ 38,132,320  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of –, 50,000, 100,000 and 100,000 shares, respectively
     —         3,849,992       7,132,412       7,806,745  
Redemption of 100,000, 50,000, 100,000 and 200,000 shares, respectively
     (7,573,825 )      (3,767,050 )      (7,573,825 )      (15,108,110 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (100,000), –, – and (100,000) shares, respectively
     (7,573,825 )      82,942       (441,413 )      (7,301,365 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (68,876 )      (59,287 )      (131,833 )      (17,541 ) 
Net realized gain (loss)
     1,598,086       110,748       2,857,659       (395,772 ) 
Change in net unrealized appreciation (depreciation)
     (1,645,477 )      66,461       1,256,265       (630,608 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (116,267 )      117,922       3,982,091       (1,043,921 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 27,231,748     $ 29,787,034     $ 27,231,748     $ 29,787,034  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ 3,982,091     $ (1,043,921 ) 
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
                
Purchases of short-term U.S. government and agency obligations
     (33,495,479 )      (33,756,620 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     21,500,000       38,374,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (3,456 )      (74,323 ) 
Change in unrealized appreciation (depreciation) on investments
     (1,256,265 )      630,608  
Decrease (Increase) in interest receivable
     184       18,673  
Increase (Decrease) in payable to Sponsor
     1,932       (10,267 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (9,270,993 )      4,138,150  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     7,132,412       7,806,745  
Payment on shares redeemed
     (7,573,825 )      (15,108,110 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (441,413 )      (7,301,365 ) 
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (9,712,406 )      (3,163,215 ) 
Cash, beginning of period
     24,274,564       12,507,112  
    
 
 
   
 
 
 
Cash, end of period
   $ 14,562,158     $ 9,343,897  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
83
Table of Contents
PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $24,997,778 and $44,999,073, respectively)
   $ 24,996,316      $ 44,999,732  
Cash
     47,778,503        14,723,084  
Segregated cash balances with brokers for futures contracts
     18,421,200        13,079,750  
Receivable from capital shares sold
     1,525,868        —    
Receivable on open futures contracts
     110,590        247,077  
Interest receivable
     2,007        643  
    
 
 
    
 
 
 
Total assets
     92,834,484        73,050,286  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     —          915,787  
Payable on open futures contracts
     102,601        —    
Brokerage commissions and
 
f
utures account
fees payable
     12,495        10,395  
Payable to Sponsor
     56,654        49,009  
    
 
 
    
 
 
 
Total liabilities
     171,750        975,191  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     92,662,734        72,075,095  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 92,834,484      $ 73,050,286  
    
 
 
    
 
 
 
Shares outstanding
     3,037,403        1,962,403  
    
 
 
    
 
 
 
Net asset value per share
   $ 30.51      $ 36.73  
    
 
 
    
 
 
 
Market value per share (Note 2)
   $ 30.54      $ 36.70  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
84
Table of Contents
PROSHARES VIX MID-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(27% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.017% due 08/19/21
   $ 3,000,000      $ 2,999,816  
0.006% due 10/21/21
     10,000,000        9,998,600  
0.042% due 11/18/21
     12,000,000        11,997,900  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $24,997,778)
      $ 24,996,316  
     
 
 
 
Futures Contracts Purchased
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2021
     747      $ 16,325,237      $ (1,672,567 ) 
VIX Futures - Cboe, expires November 2021
     1,379        30,695,161        (2,786,476 ) 
VIX Futures - Cboe, expires December 2021
     1,379        30,859,951        (1,301,729 ) 
VIX Futures - Cboe, expires January 2022
     632        14,775,781        (74,215 ) 
        
 
 
 
         $ (5,834,987 ) 
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
85
Table of Contents
PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 8,349     $ 27,603     $ 18,573     $ 185,901  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     187,266       124,276       365,346       218,560  
Brokerage commissions
     16,096       16,684       27,408       32,623  
F
utures account
fees
     32,131       20,356       57,763       20,511  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     235,493       161,316       450,517       271,694  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (227,144 )      (133,713 )      (431,944 )      (85,793 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (14,405,542 )      13,196,415       (10,866,226 )      20,952,940  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (14,405,542 )      13,196,415       (10,866,226 )      20,952,940  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     3,575,301       (12,292,490 )      (4,701,371 )      3,670,640  
Short-term U.S. government and agency obligations
     (3,271 )      (21,043 )      (2,121 )      (1,303 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     3,572,030       (12,313,533 )      (4,703,492 )      3,669,337  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (10,833,512 )      882,882       (15,569,718 )      24,622,277  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (11,060,656 )    $ 749,169     $ (16,001,662 )    $ 24,536,484  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
 
  
Three Months Ended
June 30,
 
 
Six Months Ended 
June 30,
 
  
2021
 
 
2020
 
 
2021
 
 
2020
 
Shareholders’ equity, beginning of period
  
$
75,122,747
 
 
$
45,034,386
 
 
$
72,075,095
 
 
$
45,986,584
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Addition of 1,025,000, 725,000, 1,425,000 and 1,100,000 shares, respectively
 
 
 
 
 
33,730,245
 
 
29,558,030
 
 
49,610,239
 
 
40,266,091
 
Redemption of 150,000, 425,000, 350,000 and 1,800,000 shares, respectively
  
(5,129,602
) 
 
(16,256,115
) 
 
(13,020,938
) 
 
(51,703,689
) 
  
 
 
 
 
 
 
 
 
 
 
 
Net addition (redemption) of 875,000, 300,000, 1,075,000 and
(700,000) shares, respectively
  
28,600,643
 
 
13,301,915
 
 
36,589,301
 
 
(11,437,598
) 
  
 
 
 
 
 
 
 
 
 
 
 
Net investment income (loss)
  
(227,144
) 
 
(133,713
) 
 
(431,944
) 
 
(85,793
) 
Net realized gain (loss)
  
(14,405,542
) 
 
13,196,415
 
 
(10,866,226
) 
 
20,952,940
 
Change in net unrealized appreciation (depreciation)
  
3,572,030
 
 
(12,313,533
) 
 
(4,703,492
) 
 
3,669,337
 
  
 
 
 
 
 
 
 
 
 
 
 
Net income (loss)
  
(11,060,656
) 
 
749,169
 
 
(16,001,662
) 
 
24,536,484
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Shareholders’ equity, end of period
  
$
92,662,734
 
 
$
59,085,470
 
 
$
92,662,734
 
 
$
59,085,470
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
See accompanying notes to financial statements.
 
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PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ (16,001,662 )    $ 24,536,484  
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
     (72,990,517 )      (56,521,597 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     93,000,000       37,600,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (8,188 )      (93,897 ) 
Change in unrealized appreciation (depreciation) on investments
     2,121       1,303  
Decrease (Increase) in receivable on futures contracts
     136,487       —    
Decrease (Increase) in interest receivable
     (1,364 )      32,263  
Increase (Decrease) in payable to Sponsor
     7,645       16,037  
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
     2,100       7,125  
Increase (Decrease) in payable on futures contracts
     102,601       666,116  
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     4,249,223       6,243,834  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     48,084,371       40,266,091  
Payment on shares redeemed
     (13,936,725 )      (51,703,689 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     34,147,646       (11,437,598 ) 
    
 
 
   
 
 
 
Net increase (decrease) in cash
     38,396,869       (5,193,764 ) 
Cash, beginning of period
     27,802,834       33,130,653  
    
 
 
   
 
 
 
Cash, end of period
   $ 66,199,703     $ 27,936,889  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
88
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PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $107,996,106 and $84,998,436, respectively)
   $ 107,991,823      $ 84,999,583  
Cash
     36,614,451        71,736,247  
Segregated cash balances with brokers for futures contracts
     128,565,000        134,825,900  
Receivable on open futures contracts
     1,977,818        2,295,585  
Interest receivable
     1,693        2,815  
    
 
 
    
 
 
 
Total assets
     275,150,785        293,860,130  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable on open futures contracts
     2,587,734        231,900  
Brokerage commissions and
 
f
utures account
fees payable
     65,892        81,049  
Payable to Sponsor
     144,484        156,632  
    
 
 
    
 
 
 
Total liabilities
     2,798,110        469,581  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
                 
Shareholders’ equity
                 
Shareholders’ equity
     272,352,675        293,390,549  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 275,150,785      $ 293,860,130  
    
 
 
    
 
 
 
Shares outstanding (Note 1)
     11,307,826        5,331,579  
    
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 24.09      $ 55.03  
    
 
 
    
 
 
 
Market value per share (Note 1)(Note 2)
   $ 24.08      $ 54.96  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
89
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PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2021
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(40% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
0.075% due 07/15/21
   $ 25,000,000      $ 24,999,563  
0.017% due 08/19/21
     50,000,000        49,996,940  
0.010% due 10/14/21
     25,000,000        24,996,720  
0.043% due 11/18/21
     8,000,000        7,998,600  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $107,996,106)
      $ 107,991,823  
     
 
 
 
Futures Contracts Purchased
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2021
     7,861      $ 140,737,841      $ (16,150,492 ) 
VIX Futures - Cboe, expires August 2021
     6,655        131,427,599        (4,646,675 ) 
        
 
 
 
         $ (20,797,167 ) 
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
90
Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Investment Income
                                
Interest
   $ 40,988     $ 122,772     $ 79,448     $ 1,082,847  
    
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
                                
Management fee
     669,363       398,044       1,494,823       1,024,560  
Brokerage commissions
     94,839       60,097       267,497       244,857  
F
utures account
fees
     174,368       108,253       439,514       113,027  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     938,570       566,394       2,201,834       1,382,444  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (897,582 )      (443,622 )      (2,122,386 )      (299,597 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (175,846,641 )      (845,717 )      (252,481,234 )      324,892,071  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (175,846,641 )      (845,717 )      (252,481,234 )      324,892,071  
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     39,005,837       (51,742,832 )      (14,433,077 )      16,040,198  
Short-term U.S. government and agency obligations
     (13,490 )      (126,138 )      (5,430 )      (6,924 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     38,992,347       (51,868,970 )      (14,438,507 )      16,033,274  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (136,854,294 )      (52,714,687 )      (266,919,741 )      340,925,345  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (137,751,876 )    $ (53,158,309 )    $ (269,042,127 )    $ 340,625,748  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
91
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PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended 
June 30,
 
  
2021
   
2020
   
2021
   
2020
 
Shareholders’ equity, beginning of period
   $ 349,578,758     $ 223,055,354     $ 293,390,549     $ 279,792,503  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 3,925,000, 968,750, 10,256,250 and 2,668,750 shares, respectively (Note 1)
     124,484,014       108,202,585       451,376,724       186,459,674  
Redemption of 1,992,503, 456,250, 4,280,003 and 6,375,000 shares, respectively (Note 1)
     (63,958,221 )      (56,756,455 )      (203,372,471 )      (585,534,750 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 1,932,497, 512,500, 5,976,247 and (3,706,250) shares, respectively (Note 1)
     60,525,793       51,446,130       248,004,253       (399,075,076 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (897,582 )      (443,622 )      (2,122,386 )      (299,597 ) 
Net realized gain (loss)
     (175,846,641 )      (845,717 )      (252,481,234 )      324,892,071  
Change in net unrealized appreciation (depreciation)
     38,992,347       (51,868,970 )      (14,438,507 )      16,033,274  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (137,751,876 )      (53,158,309 )      (269,042,127 )      340,625,748  
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 272,352,675     $ 221,343,175     $ 272,352,675     $ 221,343,175  
    
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
92
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PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020
 
Cash flow from operating activities
                
Net income (loss)
   $ (269,042,127 )    $ 340,625,748  
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
     (330,954,205 )      (200,571,287 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     308,000,000       235,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (43,465 )      (556,687 ) 
Change in unrealized appreciation (depreciation) on investments
     5,430       6,924  
Decrease (Increase) in receivable on futures contracts
     317,767       909,042  
Decrease (Increase) in interest receivable
     1,122       115,060  
Increase (Decrease) in payable to Sponsor
     (12,148 )      32,318  
Increase (Decrease) in brokerage commissions and
 
f
utures account
fees payable
     (15,157 )      38,382  
Increase (Decrease) in payable on futures contracts
     2,355,834       (4,946,520 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (289,386,949 )      370,652,980  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     451,376,724       186,459,674  
Payment on shares redeemed
     (203,372,471 )      (585,534,750 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     248,004,253       (399,075,076 ) 
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (41,382,696 )      (28,422,096 ) 
Cash, beginning of period
     206,562,147       194,935,341  
    
 
 
   
 
 
 
Cash, end of period
   $ 165,179,451     $ 166,513,245  
    
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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PROSHARES TRUST II
COMBINED STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2021
(unaudited)
    
December 31,
2020
 
Assets
                 
Short-term U.S. government and agency obligations (Note 3) (cost $2,461,838,252 and $1,034,967,523, respectively)
   $ 2,461,730,254      $ 1,034,986,384  
Cash
     837,010,929        1,651,161,384  
Segregated cash balances with brokers for futures contracts
     1,212,636,537        1,491,618,088  
Segregated cash balances with brokers for foreign currency forward contracts
     —          5,716,000  
Segregated cash balances with brokers for swap agreements
     —          107,967,985  
Unrealized appreciation on swap agreements
     45,175,073        80,135,841  
Unrealized appreciation on foreign currency forward contracts
     3,646,551        169,051  
Receivable from capital shares sold
     26,983,201        49,086,388  
Receivable on open futures contracts
     107,886,797        108,851,000  
Interest receivable
     86,353        66,871  
    
 
 
    
 
 
 
Total assets
     4,695,155,695        4,529,758,992  
    
 
 
    
 
 
 
Liabilities and shareholders’ equity
                 
Liabilities
                 
Payable for capital shares redeemed
     733,826        18,280,444  
Payable on open futures contracts
     18,349,282        27,874,393  
Brokerage commissions and
 
f
utures account
fees payable
     536,694        691,005  
Payable to Sponsor
     3,303,154        3,407,672  
Unrealized depreciation on swap agreements
     99,781,772        3,491,096  
Unrealized depreciation on foreign currency forward contracts
     515,216        1,714,898  
Securities purchased payable
     167,040,817        —    
Non-recurring fees and expenses payable
     48,070        48,070  
    
 
 
    
 
 
 
Total liabilities
     290,308,831        55,507,578  
    
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
             
Shareholders’ equity
                 
Shareholders’ equity
     4,404,846,864        4,474,251,414  
    
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 4,695,155,695      $ 4,529,758,992  
    
 
 
    
 
 
 
Shares outstanding (Note 1)
     106,498,980        228,676,695  
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
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PROSHARES TRUST II
COMBINED STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020*
   
2021
   
2020*
 
Investment Income
                                
Interest
   $ 536,552     $ 1,023,264     $ 1,086,294     $ 8,522,978  
Expenses
                                
Management fee
     10,325,523       7,818,372       22,494,533       13,657,176  
Brokerage commissions
     1,992,098       2,257,884       4,895,898       4,004,340  
F
utures account
fees
     1,696,496       1,697,175       4,549,900       1,748,553  
    
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     14,014,117       11,773,431       31,940,331       19,410,069  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (13,477,565 )      (10,750,167 )      (30,854,037 )      (10,887,091 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
                                
Net realized gain (loss) on
                                
Futures contracts
     (653,015,480 )      (33,459,658 )      (1,187,149,284 )      281,718,169  
Swap agreements
     155,633,013       (688,092,389 )      211,397,494       (967,431,474 ) 
Options
     —         —         —         (9,707,000 ) 
Foreign currency forward contracts
     757,734       (2,300,508 )      1,921,025       (1,821,496 ) 
Short-term U.S. government and agency obligations
     2,137       120,464       21,898       296,898  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (496,622,596 )      (723,732,091 )      (973,808,867 )      (696,944,903 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
                                
Futures contracts
     328,994,435       148,611,325       71,883,297       428,141,480  
Swap agreements
     8,316,702       317,649,402       (131,251,444 )      (23,462,512 ) 
Foreign currency forward contracts
     (2,047,874 )      (975,734 )      4,677,182       1,222,279  
Short-term U.S. government and agency obligations
     (233,144 )      (1,031,867 )      (126,859 )      (70,750 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     335,030,119       464,253,126       (54,817,824 )      405,830,497  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (161,592,477 )      (259,478,965 )      (1,028,626,691 )      (291,114,406 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (175,070,042 )    $ (270,229,132 )    $ (1,059,480,728 )    $ (302,001,497 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF
through April 3, 2020,
and ProShares UltraPro 3x Short Crude Oil ETF through
April 13
, 2020, the date of liquidation
, respectively
.
See accompanying notes to financial statements.
 
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PROSHARES TRUST II
COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2021
   
2020*
   
2021
   
2020*
 
Shareholders’ equity, beginning of period
   $ 4,534,203,653     $ 2,746,301,966     $ 4,474,251,414     $ 2,356,325,101  
    
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 27,542,500, 91,670,750, 74,603,750 and 321,778,250 shares, respectively (Note 1)
     913,598,315       3,679,537,876       3,948,096,111       6,764,199,037  
Redemption of 19,336,261, 231,421,123, 56,988,761 and 275,369,873 shares, respectively (Note 1)
     (867,885,062 )      (2,102,852,020 )      (2,958,019,933 )      (4,765,763,951 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 8,206,239, (139,750,373), 17,614,989 and 46,408,377 shares, respectively (Note 1)
     45,713,253       1,576,685,856       990,076,178       1,998,435,086  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     (13,477,565 )      (10,750,167 )      (30,854,037 )      (10,887,091 ) 
Net realized gain (loss)
     (496,622,596 )      (723,732,091 )      (973,808,867 )      (696,944,903 ) 
Change in net unrealized appreciation (depreciation)
     335,030,119       464,253,126       (54,817,824 )      405,830,497  
    
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (175,070,042 )      (270,229,132 )      (1,059,480,728 )      (302,001,497 ) 
    
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 4,404,846,864     $ 4,052,758,690     $ 4,404,846,864     $ 4,052,758,690  
    
 
 
   
 
 
   
 
 
   
 
 
 
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF
through April 3, 2020,
and ProShares UltraPro 3x Short Crude Oil ETF through
April 13
, 2020, the date of liquidation
, respectively
.
See accompanying notes to financial statements.
 
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PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2021
   
2020*
 
Cash flow from operating activities
                
Net income (loss)
   $ (1,059,480,728 )    $ (302,001,497 ) 
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
     (5,451,274,846 )      (2,127,562,658 ) 
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     4,024,989,152       2,565,919,168  
Net amortization and accretion on short-term U.S. government and agency obligations
     (563,137 )      (5,099,914 ) 
Net realized gain (loss) on investments
     (21,898 )      (296,898 ) 
Change in unrealized appreciation (depreciation) on investments
     126,701,121       22,310,983  
Decrease (Increase) in securities sold receivable
     —         (3,715,089 ) 
Decrease (Increase) in receivable on futures contracts
     964,203       (240,436,893 ) 
Decrease (Increase) in interest receivable
     (19,482 )      827,864  
Increase (Decrease) in payable to Sponsor
     (104,518 )      1,240,353  
Increase (Decrease) in brokerage commissions and
 futures account
fees payable
     (154,311 )      447,958  
Increase (Decrease) in payable on futures contracts
     (9,525,111 )      99,068,861  
Increase (Decrease) in securities purchased payable
     167,040,817       —    
    
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (2,201,448,738 )      10,702,238  
    
 
 
   
 
 
 
Cash flow from financing activities
                
Proceeds from addition of shares
     3,970,199,298       6,687,250,857  
Payment on shares redeemed
     (2,975,566,551 )      (4,693,302,954 ) 
    
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     994,632,747       1,993,947,903  
    
 
 
   
 
 
 
Net increase (decrease) in cash
     (1,206,815,991 )      2,004,650,141  
Cash, beginning of period
     3,256,463,457       1,190,195,205  
    
 
 
   
 
 
 
Cash, end of period
   $ 2,049,647,466     $ 3,194,845,346  
    
 
 
   
 
 
 
 
*
The operations include the activity of ProShares UltraPro 3x Crude Oil ETF
through April 3, 2020,
and ProShares UltraPro 3x Short Crude Oil ETF through
April 13
, 2020, the date of liquidation
, respectively
.
See accompanying notes to financial statements.
 
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PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
June 30, 2021
(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, 2021, the following eighteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, 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, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.
On March 15, 2020, ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.
Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” 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.
 
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Share Splits and Reverse Share Splits
The table below includes reverse Share splits for the Funds during the six months ended June 30, 2021, and during the year ended December 31, 2020. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.
 
Fund
  
Execution Date
(Prior to Opening
of Trading)
  
Type of Split
  
Date Trading
Resumed at Post-
Split Price
       
ProShares Ultra Bloomberg Crude Oil
   April 20, 2020    1-for-25 reverse Share split    April 21, 2020
       
ProShares Ultra Bloomberg Natural Gas
   April 20, 2020    1-for-10 reverse Share split    April 21, 2020
       
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
The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2020, as filed with the SEC on February 19, 2021.
Use of Estimates & Indemnifications
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.
Basis of Presentation
Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund.
 
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Statements of Cash Flows
The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated June 30, 2021 and 2020, 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
o
f the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the six months ended June 30, 2021 were typically as follows. All times are Eastern Standard Time:
 
Fund
  
Create/Redeem
Cut-off*
    
NAV Calculation
Time
    
NAV
Calculation Date
 
       
Ultra Silver and UltraShort Silver
     1:00 p.m.        1:25 p.m.        June 30, 2021  
    
 
 
    
 
 
    
 
 
 
       
Ultra Gold and UltraShort Gold
     1:00 p.m.        1:30 p.m.        June 30, 2021  
    
 
 
    
 
 
    
 
 
 
       
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, 2021  
    
 
 
    
 
 
    
 
 
 
       
Short Euro,
Ultra Euro,
Ultra Yen,
UltraShort Australian Dollar,
UltraShort Euro and
UltraShort Yen
     3:00 p.m.        4:00 p.m.        June 30, 2021  
    
 
 
    
 
 
    
 
 
 
       
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, 2021  
    
 
 
    
 
 
    
 
 
 
 
*
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, 2021.
 
**
On Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time).
 
    
Please see Note 8 in these Notes to Financial Statements for more information.
Market value per Share is determined at the close of the applicable primary listing exchange and may be later than when the Funds’ NAV per Share is calculated.
For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the six months ended June 30, 2021.
 
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Investment Valuation
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.
Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
Fair Value of Financial Instruments
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:
Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.
Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).
Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.
In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.
Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.
 
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The following table summarizes the valuation of investments at June 30, 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
   $ —        $ 51,551     $ —       $ —       $ 51,551  
ProShares Short VIX Short-Term Futures ETF
     204,974,762        37,180,266       —         —         242,155,028  
ProShares Ultra Bloomberg Crude Oil
     932,884,626        316,052,610       —         39,747,504       1,288,684,740  
ProShares Ultra Bloomberg Natural Gas
     29,996,554        17,050,742       —         —         47,047,296  
ProShares Ultra Euro
     999,939        —         (235,496 )      —         764,443  
ProShares Ultra Gold
     215,975,683        (4,255,713 )      —         (22,651,877 )      189,068,093  
ProShares Ultra Silver
     589,938,544        (15,029,699 )      —         (77,129,895 )      497,778,950  
ProShares Ultra VIX Short-Term Futures ETF
     209,989,065        (88,784,594 )      —         —         121,204,471  
ProShares Ultra Yen
     999,825        —         (70,254 )      —         929,571  
ProShares UltraShort Australian Dollar
     —          125,393       —         —         125,393  
ProShares UltraShort Bloomberg Crude Oil
     32,996,370        (18,944,617 )      —         —         14,051,753  
ProShares UltraShort Bloomberg Natural Gas
     40,995,644        (17,418,146 )      —         —         23,577,498  
ProShares UltraShort Euro
     27,996,580        —         2,745,250       —         30,741,830  
ProShares UltraShort Gold
     11,998,320        585,939       —         2,574,819       15,159,078  
ProShares UltraShort Silver
     16,997,804        271,891       —         2,852,750       20,122,445  
ProShares UltraShort Yen
     11,998,399        —         691,835       —         12,690,234  
ProShares VIX Mid-Term Futures ETF
     24,996,316        (5,834,987 )      —         —         19,161,329  
ProShares VIX Short-Term Futures ETF
     107,991,823        (20,797,167 )      —         —         87,194,656  
    
 
 
    
 
 
   
 
 
   
 
 
   
 
 
 
Total Trust
  
$
2,461,730,254
 
  
$
200,253,469
 
 
$
3,131,335
 
 
$
(54,606,699
) 
 
$
2,610,508,359
 
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the valuation of investments at December 31, 2020 using the fair value hierarchy:
 
 
  
Level I - Quoted Prices
 
 
Level II - Other Significant
Observable Inputs
 
 
 
 
Fund
  
Short-Term U.S.

Government and
Agencies
 
  
Futures
Contracts
*
 
 
Foreign
Currency
Forward
Contracts
 
  
Swap
Agreements
 
 
Total
 
ProShares Short Euro
   $ —        $ (44,626 )    $ —        $ —       $ (44,626 ) 
ProShares Short VIX Short-Term Futures ETF
     69,999,639        8,348,783       —          —         78,348,422  
ProShares Ultra Bloomberg Crude Oil
     219,998,394        144,564,039       —          18,242,195       382,804,628  
ProShares Ultra Bloomberg Natural Gas
     29,999,889        6,500,721       —          —         36,500,610  
ProShares Ultra Euro
     —          —         88,736        —         88,736  
ProShares Ultra Gold
     74,999,467        2,646,874       —          5,140,980       82,787,321  
ProShares Ultra Silver
     244,993,989        37,190,212       —          56,752,666       338,936,867  
ProShares Ultra VIX Short-Term Futures ETF
     244,995,969        (48,524,666 )      —          (24,807 )      196,446,496  
ProShares Ultra Yen
     —          —         67,087        —         67,087  
ProShares UltraShort Australian Dollar
     —          (138,950 )      —          —         (138,950 ) 
ProShares UltraShort Bloomberg Crude Oil
     —          (14,636,813 )      —          —         (14,636,813 ) 
 
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ProShares UltraShort Bloomberg Natural Gas
  
$
9,999,861     
$
379,310    
$
–    
$
–    
$
10,379,171  
ProShares UltraShort Euro
     9,999,861        –       (1,136,704 )      –       8,863,157  
ProShares UltraShort Gold
     –        (196,930 )      –       (268,728 )      (465,658 ) 
ProShares UltraShort Silver
     –        (220,076 )      –       (3,197,561 )      (3,417,637 ) 
ProShares UltraShort Yen
     –        –       (564,966 )      –       (564,966 ) 
ProShares VIX Mid-Term Futures ETF
     44,999,732        (1,133,616 )      –       –       43,866,116  
ProShares VIX Short-Term Futures ETF
     84,999,583        (6,364,090 )      –       –       78,635,493  
    
 
 
    
 
 
   
 
 
   
 
 
   
 
 
 
Total Trust
  
$
1,034,986,384
 
  
$
128,370,172
 
 
$
(1,545,847
) 
 
$
76,644,745
 
 
$
1,238,455,454
 
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
Investment Transactions and Related Income
Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations.
Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.
Brokerage Commissions and
 
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 ex
c
eed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.
Federal Income Tax
Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.
Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.
New Accounting Pronouncement
In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 840): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides entities with optional guidance
 
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to ease the potential accounting burden associated with transitioning away from reference rates (e.g., LIBOR) that are expected to be discontinued. ASU 2020-04 allows, among other things, certain contract modifications to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Funds will consider this optional guidance prospectively, if applicable.
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
a
re reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.
Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.
Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.
Futures contracts involve, to varying degrees, elements of market risk (specifically 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.
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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.
Each Oil Fund may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance.
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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.
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, 2021 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.
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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, 2021, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.
Forward Contracts
Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.
The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.
Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.
The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at a third party custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the
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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, 2021, 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 g
e
nerally 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, 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         $ 37,180,266
*
  		       $ —    
     ProShares Ultra VIX Short-Term Futures ETF           —              88,784,594
*
 
     ProShares VIX Mid-Term Futures ETF           —              5,834,987
*
 
     ProShares VIX Short-Term Futures ETF           —              20,797,167
*
 
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           355,800,114
*
  		         —    
     ProShares Ultra Bloomberg Natural Gas           17,050,742
*
  		         —    
     ProShares Ultra Gold           —              26,907,590
*
 
     ProShares Ultra Silver           —              92,159,594
*
 
     ProShares UltraShort Bloomberg Crude Oil           —              18,944,617
*
 
     ProShares UltraShort Bloomberg Natural Gas           —              17,418,146
*
 
     ProShares UltraShort Gold           3,160,758
*
  		         —    
     ProShares UltraShort Silver           3,124,641
*
  		         —    
 
108
Table of Contents
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        
$
51,551
*
  		      
$
—    
     ProShares Ultra Euro           3,403            238,899  
     ProShares Ultra Yen           592            70,846  
     ProShares UltraShort Australian Dollar           125,393
*
  		         —    
     ProShares UltraShort Euro           2,806,798            61,548  
     ProShares UltraShort Yen           835,758            143,923  
              
 
 
        
 
 
 
         
Total Trust
  
$
420,140,016
*
 
      
$
271,361,911
*
 
 
*
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.
 
Fair Value of Derivative Instruments as of December 31, 2020
 
       
        
Asset Derivatives
   
Liability Derivatives
 
Derivatives Not Accounted
for as Hedging Instruments
 
                 Fund                 
  
Statements of
        Financial Condition        
Location
  
Unrealized

    Appreciation    
   
Statements of
      Financial Condition      
Location
  
Unrealized

    Depreciation    
 
VIX Futures Contracts        Receivables on open futures contracts, unrealized appreciation on swap agreements            Payable on open futures contracts, unrealized depreciation on swap agreements         
    ProShares Short VIX Short-Term Futures ETF         $ 8,348,783
*
  		       $ —    
    ProShares Ultra VIX Short-Term Futures ETF           —              48,549,473
*
 
    ProShares VIX Mid-Term Futures ETF           147,915
*
  		         1,281,531
*
 
    ProShares VIX Short-Term Futures ETF           —              6,364,090
*
 
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           162,806,234
*
  		         —    
    ProShares Ultra Bloomberg Natural Gas           6,500,721
*
  		         —    
    ProShares Ultra Gold           7,787,854
*
  		         —    
    ProShares Ultra Silver           93,942,878
*
  		         —    
    ProShares UltraShort Bloomberg Crude Oil           —              14,636,813
*
 
    ProShares UltraShort Bloomberg Natural Gas           379,310
*
  		         —    
    ProShares UltraShort Gold           —              465,658
*
 
    ProShares UltraShort Silver           —              3,417,637
*
 
 
109
Table of Contents
 
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       
$
—           
$
44,626
*
 
     ProShares Ultra Euro           89,103            367  
     ProShares Ultra Yen           67,235            148  
     ProShares UltraShort Australian Dollar           —              138,950
*
 
     ProShares UltraShort Euro           5,705            1,142,409  
     ProShares UltraShort Yen           7,008            571,974  
         
Total Trust
  
$
280,082,746
*
 
      
$
76,613,676
*
 
 
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 ) 
 
110
Table of Contents
         
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
c
ontracts
                 
         
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 ) 
              
 
 
 
 
 
         
Total Trust
  
$
(496,624,733
)
$
335,263,263
 
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
 
The Effect of Derivative Instruments on the Statement of Operations
For the 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 agreement
s
                     
         
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 r
e
alized gain (loss) on futures contracts, options and swap agreements/ changes in unrealized appreciation (depreciation)
o
n futures contracts and swap agreements
                     
         
ProShares Ultra Bloomberg Crude Oil
     654,856,887       192,993,880  
 
111
Table of Contents
 
        
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  
              
 
 
   
 
 
 
         
Total Trust
  
$
(973,830,765
)  
$
(54,690,965
)
 
The Effect of Derivative Instruments on the Statement of Operations
For the three months ended June 30, 2020
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
VIX Futures Contracts   
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
                     
         
ProShares Short VIX Short-Term Futures ETF
   $ 54,615,763     $ (22,216,796 ) 
         
ProShares Ultra VIX Short-Term Futures ETF
     (107,880,791 )      (125,352,239 ) 
         
ProShares VIX Mid-Term Futures ETF
     13,196,415       (12,292,490 ) 
         
ProShares VIX Short-Term Futures ETF
     (845,717 )      (51,742,832 ) 
Commodities Contracts   
Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
                     
 
112
Table of Contents
         
ProShares Ultra Bloomberg Crude Oil
  
$
(671,542,557 )   
$
661,547,673  
         
ProShares Ultra Bloomberg Natural Gas
     (16,111,161 )      4,884,617  
         
ProShares Ultra Gold
     4,365,328       25,953,698  
         
ProShares Ultra Silver
     11,386,313       69,421,367  
         
ProShares UltraShort Bloomberg Crude Oil
     (6,947,347 )      (75,195,436 ) 
         
ProShares UltraShort Bloomberg Natural Gas
     5,236,641       (2,773,687 ) 
         
ProShares UltraShort Gold
     (2,089,271 )      (2,636,926 ) 
         
ProShares UltraShort Silver
     (3,877,739 )      (2,753,182 ) 
Foreign Exchange Contracts   
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
                     
         
ProShares Short Euro
     (20,020 )      (20,804 ) 
         
ProShares Ultra Euro
     (18,635 )      97,408  
         
ProShares Ultra Yen
     (106,753 )      68,867  
         
ProShares UltraShort Australian Dollar
     (1,037,904 )      (562,236 ) 
         
ProShares UltraShort Euro
     (2,285,868 )      (1,212,465 ) 
         
ProShares UltraShort Yen
     110,748       70,456  
              
 
 
   
 
 
 
         
Total Trust
  
$
(723,852,555
)  
$
465,284,993
 
 
The Effect of Derivative Instruments on the Statement of Operations
For the six months ended June 30, 2020
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
VIX Futures Contracts   
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreement
s
                     
         
ProShares Short VIX Short-Term Futures ETF
   $ (189,684,841 )    $ (1,242,994 ) 
         
ProShares Ultra VIX Short-Term Futures ETF
     618,204,440       51,029,622  
         
ProShares VIX Mid-Term Futures ETF
     20,952,940       3,670,640  
         
ProShares VIX Short-Term Futures ETF
     324,892,071       16,040,198  
 
113
 
 
Commodities Contracts   
Net realized gain (loss) on futures
contracts, options and swap
agreements/ changes in
unrealized appreciation
(depreciation) on futures
contracts and swap agreements
                     
         
ProShares Ultra Bloomberg Crude Oil
  
$
(1,177,133,823 )   
$
338,771,123  
         
ProShares Ultra Bloomberg Natural Gas
     (38,930,766 )      417,794  
         
ProShares Ultra Gold
     25,863,384       6,800,402  
         
ProShares Ultra Silver
     7,688,659       (15,751,245 ) 
         
ProShares UltraPro 3x Crude Oil ETF*
     (414,693,599 )      (7,266,550 ) 
         
ProShares Ultra Pro 3x Short Crude Oil ETF*
     83,293,001       8,358,056  
         
ProShares UltraShort Bloomberg Crude Oil
     44,726,675       1,382,794  
         
ProShares UltraShort Bloomberg Natural Gas
     10,862,818       561,299  
         
ProShares UltraShort Gold
     (8,020,153 )      38,870  
         
ProShares UltraShort Silver
     (3,035,499 )      1,437,089  
Foreign Exchange Contracts   
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contract
s
                     
         
ProShares Short Euro
     (38,658 )      46,520  
         
ProShares Ultra Euro
     (71,903 )      (123,926 ) 
         
ProShares Ultra Yen
     (115,236 )      49,628  
         
ProShares UltraShort Australian Dollar
     (366,954 )      385,350  
         
ProShares UltraShort Euro
     (1,238,585 )      1,925,466  
         
ProShares UltraShort Yen
     (395,772 )      (628,889 ) 
              
 
 
   
 
 
 
         
Total Trust
  
$
(697,241,801
) 
 
$
405,901,247
 
 
*
The operations
include the activity of ProShares UltraPro 3x Crude Oil ETF
through
April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13
, 2020, the date of liquidation
, respectively
.
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 s
i
milar 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, 2021.
 
114
Table of Contents
Fair Values of Derivative Instruments as of June 30, 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
   $ 39,747,504      $ —        $ 39,747,504      $ —        $ —        $ —    
ProShares Ultra Euro
                                                     
Foreign currency forward contracts
     3,403        —          3,403        238,899        —          238,899  
ProShares Ultra Gold
                                                     
Swap agreements
     —          —          —          22,651,877        —          22,651,877  
ProShares Ultra Silver
                                                     
Swap agreements
     —          —          —          77,129,895        —          77,129,895  
ProShares Ultra Yen
                                                     
Foreign currency forward contracts
     592        —          592        70,846        —          70,846  
ProShares UltraShort Euro
                                                     
Foreign currency forward contracts
     2,806,798        —          2,806,798        61,548        —          61,548  
ProShares UltraShort Gold
                                                     
Swap agreements
     2,574,819        —          2,574,819        —          —          —    
ProShares UltraShort Silver
                                                     
Swap agreements
     2,852,750        —          2,852,750        —          —          —    
ProShares UltraShort Yen
                                                     
Foreign currency forward contracts
     835,758        —          835,758        143,923        —          143,923  
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 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”.
 
Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2021
 
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.
   $ 2,643,421     $ —       $ (2,370,000 )    $ 273,421  
Goldman Sachs International
     9,378,129       (8,951,007 )      —         427,122  
Morgan Stanley & Co.
International PLC
     12,143,057       —         (11,162,000 )      981,057  
Societe Generale
     6,263,720       (5,747,447 )      —         516,273  
UBS AG
     9,319,177       —         (8,600,000 )      719,177  
ProShares Ultra Euro
                                
Goldman Sachs International
     (89,287 )      89,287       —         —    
UBS AG
     (146,209 )      146,209       —         —    
ProShares Ultra Gold
                                
Citibank, N.A.
     (7,799,090 )      7,799,090       —         —    
Goldman Sachs International
     (6,739,676 )      6,739,676       —         —    
UBS AG
     (8,113,111 )      8,113,111       —         —    
 
115
Table of Contents
 
 
ProShares Ultra Silver
 
        
 
       
 
       
 
       
Citibank, N.A.
 
$
 
(22,036,546 ) 
 
$
22,036,546  
 
$
—    
 
$   —    
Goldman Sachs International
 
    (18,581,016 ) 
 
    18,581,016  
 
    —    
 
    —    
Morgan Stanley &
Co.
International PLC
 
    (17,312,866 ) 
 
    17,312,866  
 
    —    
 
    —    
UBS AG
 
    (19,199,468 ) 
 
    19,199,468  
 
    —    
 
    —    
ProShares Ultra
 
Yen
 
       
 
       
 
       
 
       
Goldman Sachs International
 
    (41,036 ) 
 
    41,036  
 
    —    
 
    —    
UBS AG
 
    (29,219 ) 
 
    29,219  
 
    —    
 
    —    
ProShares UltraShort
Euro
 
       
 
       
 
       
 
       
Goldman Sachs International
 
    1,308,287  
 
    (1,154,800 )  
 
    —    
 
            153,487  
UBS AG
 
    1,436,963  
 
    —  
 
    (1,230,000 )
 
    206,963  
ProShares UltraShort
Gold
 
       
 
       
 
       
 
       
Citibank, N.A.
 
    1,050,931  
 
    —    
 
    (1,030,000 ) 
 
    20,931  
Goldman Sachs International
 
    687,817  
 
    (687,817 ) 
 
    —    
 
    —    
UBS AG
 
    836,071  
 
    —    
 
    (810,000 ) 
 
    26,071  
ProShares UltraShort
Silver
 
       
 
       
 
       
 
       
Citibank, N.A.
 
    625,413  
 
    —    
 
    (625,413 ) 
 
    —    
Goldman Sachs International
 
    827,985  
 
    (827,985 ) 
 
    —    
 
    —    
Morgan Stanley &
Co.
International PLC
 
    654,367  
 
    —    
 
    (654,367 ) 
 
    —    
UBS AG
 
    744,985  
 
    —    
 
    (744,985 ) 
 
    —    
ProShares UltraShort
Yen
 
       
 
       
 
       
 
       
Goldman Sachs International
 
    115,905  
 
    —    
 
    —    
 
    115,905  
UBS AG
 
    575,930  
 
    —    
 
    (380,000 ) 
 
    195,930  
 
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The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2020:
 
Fair Values of Derivative Instruments as of December 31, 2020
 
 
  
Assets
 
  
Liabilities
 
Fund
  
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
 
  
Gross Amounts
Offset in the
Statements of
Financial
Condition
 
  
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
 
  
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
 
  
Gross Amounts
Offset in the
Statements of
Financial
Condition
 
  
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
                                                     
Swap agreements
   $ 18,242,195      $ —        $ 18,242,195      $ —        $ —        $ —    
ProShares Ultra Euro
                                                     
Foreign currency forward contracts
     89,103        —          89,103        367        —          367  
ProShares Ultra Gold
                                                     
Swap agreements
     5,140,980        —          5,140,980        —          —          —    
ProShares Ultra Silver
                                                     
Swap agreements
     56,752,666        —          56,752,666        —          —          —    
ProShares Ultra VIX Short-Term Futures ETF
                                                     
Swap agreements
     —          —          —          24,807        —          24,807  
ProShares Ultra Yen
                                                     
Foreign currency forward contracts
     67,235        —          67,235        148        —          148  
ProShares UltraShort Euro
                                                     
Foreign currency forward contracts
     5,705        —          5,705        1,142,409        —          1,142,409  
ProShares UltraShort Gold
                                                     
Swap agreements
     —          —          —          268,728        —          268,728  
ProShares UltraShort Silver
                                                     
Swap agreements
     —          —          —          3,197,561        —          3,197,561  
ProShares UltraShort Yen
                                                     
Foreign currency forward contracts
     7,008        —          7,008        571,974        —          571,974  
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2020. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions
o
f these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
 
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020
 
    
Amounts of Recognized

Assets / (Liabilities)

presented in the
Statements of Financial
Condition
    
Financial Instruments
for the Benefit of (the

Funds) / the
Counterparties
   
Cash Collateral for the

Benefit of (the Funds) /

the Counterparties
   
Net Amount
 
ProShares Ultra Bloomberg Crude Oil
                                 
Goldman Sachs International
   $ 1,377,243      $ (1,281,309 )    $ —       $ 95,934  
Morgan Stanley & Co. International PLC
     10,959,227        —         (10,629,000 )      330,227  
Societe Generale
     1,679,334        (1,679,334 )      —         —    
UBS AG
     4,226,391        (4,151,442 )      (6,270 )      68,679  
ProShares Ultra Euro
                                 
Goldman Sachs International
     22,950        —         —         22,950  
UBS AG
     65,786        —         —         65,786  
ProShares Ultra Gold
                                 
Citibank, N.A.
     1,770,050        —         (1,670,000 )      100,050  
Goldman Sachs International
     1,529,612        (1,497,203 )      —         32,409  
UBS AG
     1,841,318        —         —         1,841,318  
ProShares Ultra Silver
                                 
Citibank, N.A.
     18,010,776        —         (18,010,776 )      —    
 
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Goldman Sachs International
  
$
  		12,930,574    
$
  		(12,930,574 )   
$
  		—      
$
  		—    
Morgan Stanley & Co. International PLC
     12,353,706       —         (12,353,706 )      —    
UBS AG
     13,457,610       (4,126,610 )      (9,331,000 )      —    
ProShares Ultra VIX Short-Term Futures ETF
                                
Goldman Sachs & Co.
     (24,807 )      —         24,807       —    
ProShares Ultra Yen
                                
Goldman Sachs International
     34,265       —         —         34,265  
UBS AG
     32,822       —         —         32,822  
ProShares UltraShort Euro
                                
Goldman Sachs International
     (388,233 )      —         388,233       —    
UBS AG
     (748,471 )      748,471       —         —    
ProShares UltraShort Gold
                                
Citibank, N.A.
     (80,068 )      —         80,068       —    
Goldman Sachs International
     (82,645 )      —         82,645       —    
UBS AG
     (106,015 )      —         106,015       —    
ProShares UltraShort Silver
                                
Citibank, N.A.
     (1,208,988 )      —         1,208,988       —    
Goldman Sachs International
     (927,829 )      —         927,829       —    
Morgan Stanley & Co. International PLC
     (579,421 )      —         579,421       —    
UBS AG
     (481,323 )      —         481,323       —    
ProShares UltraShort Yen
                                
Goldman Sachs International
     (207,021 )      —         207,021       —    
UBS AG
     (357,945 )      —         357,945       —    
NOTE 4 – AGREEMENTS
Management Fee
Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund.
The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to, (i) the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, accounting and auditing fees and expenses, (ii) any Index licensors for the Funds; and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations. Fees associated with a Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses.
Non-Recurring Fees and Expenses
Each Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.
The Administrator
BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds. The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting
 
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agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.
The Custodian
BNY Mellon serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.
The Transfer Agent
BNY Mellon serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor.
The Distributor
SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds.
NOTE 5 – OFFERING COSTS
Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.
NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS
Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.
Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors.
Transaction Fees on Creation and Redemption Transactions
The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.
 
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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, 2021 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, 2021
    
Six Months Ended
June 30, 2021
 
ProShares Short Euro
   $ —        $ —    
ProShares Short VIX Short-Term Futures ETF
     22,282        64,349  
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
     391,330        1,368,650  
ProShares Ultra Yen
     —          —    
ProShares UltraShort Australian Dollar
     —          —    
ProShares UltraShort Bloomberg Crude Oil
     —          —    
ProShares UltraShort Bloomberg Natural Gas
     —          —    
ProShares UltraShort Euro
     —          —    
ProShares UltraShort Gold
     —          —    
ProShares UltraShort Silver
     —          —    
ProShares UltraShort Yen
     —          —    
ProShares VIX Mid-Term Futures ETF
     11,690        18,812  
ProShares VIX Short-Term Futures ETF
     79,089        232,325  
    
 
 
    
 
 
 
Total Trust
   $ 504,391      $ 1,684,136  
 
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NOTE 7 – FINANCIAL HIGHLIGHTS
Selected data is for a Share o
u
tstanding throughout the three months ended June 30, 2021
For the Three Months Ended June 30, 2021 (unaudited) 
 
Per Share Operating
Performance
  
Short Euro
   
Short VIX
Short-Term

Futures ETF
   
Ultra
Bloomberg
Crude Oil
   
Ultra
Bloomberg
Natural Gas
   
Ultra Euro
   
Ultra Gold
 
Net asset value, at March 31, 2021
   $ 43.69     $ 47.13     $ 52.56     $ 21.31     $ 14.45     $ 54.32  
Net investment income (loss)
     (0.10 )      (0.17 )      (0.17 )      (0.08 )      (0.03 )      (0.14 ) 
Net realized and unrealized gain (loss)#
     (0.41 )      8.65       25.85       14.10       0.25       3.10  
Change in net asset value from operations
     (0.51 )      8.48       25.68       14.02       0.22       2.96  
Net asset value, at June 30, 2021
   $ 43.18     $ 55.61     $ 78.24     $ 35.33     $ 14.67     $ 57.28  
Market value per share, at March 31, 2021
†
   $ 43.52     $ 47.10     $ 52.85     $ 21.20     $ 14.47     $ 53.91  
Market value per share, at June 30, 2021
†
   $ 43.14     $ 55.55     $ 78.23     $ 37.17     $ 14.66     $ 57.22  
Total Return, at net asset value^
     (1.2 )%      18.0 %      48.9 %      65.8 %      1.6 %      5.5 % 
Total Return, at market value^
     (0.9 )%      17.9 %      48.0 %      75.3 %      1.3 %      6.1 % 
Ratios to Average Net Assets**
                                                
Expense ratio
^^
     0.96 %      1.37 %      1.13 %      1.42 %      0.95 %      0.99 % 
Net investment income gain (loss)
     (0.91 )%      (1.35 )%      (1.09 )%      (1.35 )%      (0.91 )%      (0.95 )% 
 
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the 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%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
 
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For the Three Months Ended June 30, 2021 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
   
Ultra VIX
Short-Term

Futures ETF
*
   
Ultra Yen
   
UltraShort
Australian
Dollar
   
UltraShort
Bloomberg
Crude Oil
*
   
UltraShort
Bloomberg
Natural Gas
 
Net asset value, at March 31, 2021
   $ 41.35     $ 56.32     $ 51.78     $ 45.18     $ 28.80     $ 39.14  
Net investment income (loss)
     (0.12 )      (0.17 )      (0.12 )      (0.11 )      (0.06 )      (0.12 ) 
Net realized and unrealized gain (loss)#
     4.74       (28.24 )      (0.42 )      1.02       (10.63 )      (17.47 ) 
Change in net asset value from operations
     4.62       (28.41 )      (0.54 )      0.91       (10.69 )      (17.59 ) 
Net asset value, at June 30, 2021
   $ 45.97     $ 27.91     $ 51.24     $ 46.09     $ 18.11     $ 21.55  
Market value per share, at March 31, 2021
†
   $ 41.10     $ 56.50     $ 51.78     $ 45.19     $ 28.60     $ 39.32  
Market value per share, at June 30, 2021
†
   $ 46.12     $ 27.98     $ 51.26     $ 45.96     $ 18.11     $ 20.44  
Total Return, at net asset value^
     11.2 %      (50.5 )%      (1.1 )%      2.0 %      (37.1 )%      (44.9 )% 
Total Return, at market value^
     12.2 %      (50.5 )%      (1.0 )%      1.7 %      (36.7 )%      (48.0 )%
Ratios to Average Net Assets**
                                                
Expense ratio
^^
     1.00 %      1.73 %      0.95 %      1.02 %      1.19 %      1.60 % 
Net investment income gain (loss)
     (0.96 )%      (1.65 )%      (0.90 )%      (0.97 )%      (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%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
 
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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     $ 77.73     $ 34.74     $ 37.29  
Net investment income (loss)
     (0.05 )      (0.08 )      (0.06 )      (0.17 )      (0.08 )      (0.09 ) 
Net realized and unrealized gain (loss)#
     (0.55 )      (2.85 )      (4.49 )      0.40       (4.15 )      (13.11 ) 
Change in net asset value from operations
     (0.60 )      (2.93 )      (4.55 )      0.23       (4.23 )      (13.20 ) 
Net asset value, at June 30, 2021
   $ 23.81     $ 34.67     $ 23.37     $ 77.96     $ 30.51     $ 24.09  
Market value per share, at March 31, 2021
†
   $ 24.42     $ 37.89     $ 28.04     $ 77.75     $ 35.06     $ 37.40  
Market value per share, at June 30, 2021
†
   $ 23.82     $ 34.69     $ 23.28     $ 77.98     $ 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% if brokerage commissions and futures account fees were excluded.
 
123
Table of Contents
 
Selected data for a Share o
u
tstanding throughout the three months ended June 30, 2020
For the Three Months Ended June 30, 2020 (unaudited) 
 
Per Share Operating
Performance
  
Short Euro
   
Short VIX
Short-Term

Futures ETF
   
Ultra
Bloomberg
Crude Oil
   
Ultra
Bloomberg
Natural Gas
   
Ultra Euro
   
Ultra Gold
 
Net asset value, at March 31, 2020
   $ 46.66     $ 31.02     $ 40.15     $ 41.82     $ 13.16     $ 52.44  
Net investment income (loss)
     (0.11 )      (0.10 )      (0.08 )      (0.13 )      (0.03 )      (0.12 ) 
Net realized and unrealized gain (loss)#
     (0.82 )      0.48       (11.48 )      (13.38 )      0.43       12.66  
Change in net asset value from operations
     (0.93 )      0.38       (11.56 )      (13.51 )      0.40       12.54  
Net asset value, at June 30, 2020
   $ 45.73     $ 31.40     $ 28.59     $ 28.31     $ 13.56     $ 64.98  
Market value per share, at March 31, 2020
†
   $ 45.09     $ 31.01     $ 39.75     $ 42.60     $ 13.15     $ 52.00  
Market value per share, at June 30, 2020
†
   $ 44.83     $ 31.50     $ 28.68     $ 28.36     $ 13.57     $ 64.83  
Total Return, at net asset value^
     (2.0 )%      1.2 %      (29.0 )%      (32.2 )%      3.0 %      23.9 % 
Total Return, at market value^
     (0.6 )%      1.6 %      (27.9 )%      (33.4 )%      3.2 %      24.7 % 
Ratios to Average Net Assets**
                                                
Expense ratio
^^
     0.97 %      1.34 %      1.47 %      1.82 %      0.95 %      1.00 % 
Net investment income gain (loss)
     (0.96 )%      (1.28 )%      (1.35 )%      (1.40 )%      (0.93 )%      (0.80 )% 
 
**
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, 2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
 
124
Table of Contents
For the Three Months Ended June 30, 2020 (unaudited) 
 
Per Share Operating
Performance
  
Ultra Silver
   
Ultra VIX
Short-Term

Futures ETF
*
   
Ultra Yen
   
UltraShort
Australian
Dollar
   
UltraShort
Bloomberg
Crude Oil
*
   
UltraShort
Bloomberg
Natural Gas
 
Net asset value, at March 31, 2020
   $ 18.42     $ 585.16     $ 56.21     $ 72.30     $ 196.27     $ 63.38  
Net investment income (loss)
     (0.05 )      (1.50 )      (0.13 )      (0.16 )      (0.61 )      (0.32 ) 
Net realized and unrealized gain (loss)#
     11.19       (254.38 )      (0.76 )      (16.00 )      (122.48 )      4.15  
Change in net asset value from operations
     11.14       (255.88 )      (0.89 )      (16.16 )      (123.09 )      3.83  
Net asset value, at June 30, 2020
   $ 29.56     $ 329.28     $ 55.32     $ 56.14     $ 73.18     $ 67.21  
Market value per share, at March 31, 2020
†
   $ 18.44     $ 585.60     $ 56.19     $ 72.06     $ 199.96     $ 62.02  
Market value per share, at June 30, 2020
†
   $ 29.33     $ 327.70     $ 55.31     $ 56.06     $ 73.00     $ 67.21  
Total Return, at net asset value^
     60.5 %      (43.7 )%      (1.6 )%      (22.4 )%      (62.7 )%      6.1 % 
Total Return, at market value^
     59.1 %      (44.0 )%      (1.6 )%      (22.2 )%      (63.5 )%      8.4 % 
Ratios to Average Net Assets**
                                                
Expense ratio
^^
     1.06 %      1.61 %      0.95 %      1.04 %      2.14 %      2.30 % 
Net investment income gain (loss)
     (0.75 )%      (1.54 )%      (0.94 )%      (1.03 )%      (2.12 )%      (2.27 )% 
 
*
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, 2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
 
125
Table of Contents
 
For the Three Months Ended June 30, 2020 (unaudited) 
 
Per Share Operating
Performance
  
UltraShort
Euro
   
UltraShort
Gold
   
UltraShort
Silver
*
   
UltraShort
Yen
   
VIX Mid-
Term Futures
ETF
   
VIX Short-
Term Futures
ETF
*
 
Net asset value, at March 31, 2020
   $ 27.82     $ 46.02     $ 146.14     $ 74.10     $ 38.74     $ 151.83  
Net investment income (loss)
     (0.04 )      (0.09 )      (0.28 )      (0.16 )      (0.09 )      (0.29 ) 
Net realized and unrealized gain (loss)#
     (1.05 )      (10.47 )      (67.36 )      0.66       1.75       (39.84 ) 
Change in net asset value from operations
     (1.09 )      (10.56 )      (67.64 )      0.50       1.66       (40.13 ) 
Net asset value, at June 30, 2020
   $ 26.73     $ 35.46     $ 78.50     $ 74.60     $ 40.40     $ 111.70  
Market value per share, at March 31, 2020
†
   $ 27.76     $ 46.28     $ 146.64     $ 74.11     $ 38.44     $ 151.72  
Market value per share, at June 30, 2020
†
   $ 26.73     $ 35.57     $ 79.08     $ 74.58     $ 40.24     $ 111.04  
Total Return, at net asset value^
     (3.9 )%      (22.9 )%      (46.3 )%      0.7 %      4.3 %      (26.4 )% 
Total Return, at market value^
     (3.7 )%      (23.1 )%      (46.1 )%      0.6 %      4.7 %      (26.8 )% 
Ratios to Average Net Assets**
                                                
Expense ratio
^^
     0.95 %      1.02 %      1.17 %      0.95 %      1.10 %      1.21 % 
Net investment income gain (loss)
     (0.65 )%      (0.97 )%      (1.14 )%      (0.88 )%      (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, 2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.96%, 0.95%, 0.85%, and 0.85% if brokerage commissions and futures account fees were excluded.
 
126
Table of Contents
Selected data for a Share o
u
tstanding throughout the six months ended June 30, 2021
For the Six Months Ended June 30, 2021 (unaudited) 
 
Per Share Operating
Performance
  
Short Euro
   
Short VIX
Short-Term

Futures ETF
   
Ultra
Bloomberg
Crude Oil
   
Ultra
Bloomberg
Natural Gas
   
Ultra Euro
   
Ultra Gold
 
Net asset value, at December 31, 2020
   $ 41.92     $ 41.42     $ 36.38     $ 21.00     $ 15.79     $ 67.57  
Net investment income (loss)
     (0.19 )      (0.31 )      (0.30 )      (0.17 )      (0.07 )      (0.29 ) 
Net realized and unrealized gain (loss)#
     1.45       14.50       42.16       14.50       (1.05 )      (10.00 ) 
Change in net asset value from operations
     1.26       14.19       41.86       14.33       (1.12 )      (10.29 ) 
Net asset value, at June 30, 2021
   $ 43.18     $ 55.61     $ 78.24     $ 35.33     $ 14.67     $ 57.28  
Market value per share, at December 31, 2020
†
   $ 41.35     $ 41.44     $ 36.27     $ 21.07     $ 15.81     $ 68.20  
Market value per share, at June 30, 2021
†
   $ 43.14     $ 55.55     $ 78.23     $ 37.17     $ 14.66     $ 57.22  
Total Return, at net asset value^
     3.0 %      34.3 %      115.0 %      68.3 %      (7.1 )%      (15.2 )% 
Total Return, at market value^
     4.3 %      34.1 %      115.7 %      76.4 %      (7.3 )%      (16.1 )% 
Ratios to Average Net Assets**
                                                
Expense ratio
^^
     0.97 %      1.36 %      1.11 %      1.53 %      0.95 %      1.01 % 
Net investment income gain (loss)
     (0.91 )%      (1.33 )%      (1.06 )%      (1.47 )%      (0.90 )%      (0.96 )% 
 
**
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%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
 
127
Table of Contents
 
For the Six Months Ended June 30, 2021 (unaudited) 
 
Per Share Operating
Performance
  
Ultra Silver
   
Ultra VIX
Short-Term

Futures ETF
*
   
Ultra Yen
   
UltraShort
Australian
Dollar
   
UltraShort
Bloomberg
Crude Oil
*
   
UltraShort
Bloomberg
Natural Gas
 
Net asset value, at December 31, 2020
   $ 50.71     $ 106.68     $ 59.83     $ 44.45     $ 46.45     $ 47.59  
Net investment income (loss)
     (0.24 )      (0.55 )      (0.25 )      (0.21 )      (0.16 )      (0.26 ) 
Net realized and unrealized gain (loss)#
     (4.50 )      (78.22 )      (8.34 )      1.85       (28.18 )      (25.78 ) 
Change in net asset value from operations
     (4.74 )      (78.77 )      (8.59 )      1.64       (28.34 )      (26.04 ) 
Net asset value, at June 30, 2021
   $ 45.97     $ 27.91     $ 51.24     $ 46.09     $ 18.11     $ 21.55  
Market value per share, at December 31, 2020
†
   $ 51.28     $ 106.50     $ 59.82     $ 43.89     $ 46.56     $ 47.38  
Market value per share, at June 30, 2021
†
   $ 46.12     $ 27.98     $ 51.26     $ 45.96     $ 18.11     $ 20.44  
Total Return, at net asset value^
     (9.4 )%      (73.8 )%      (14.4 )%      3.7 %      (61.0 )%      (54.7 )% 
Total Return, at market value^
     (10.1 )%      (73.7 )%      (14.3 )%      4.7 %      (61.1 )%      (56.9 )% 
Ratios to Average Net Assets**
                                                
Expense ratio
^^
     1.04 %      1.76 %      0.95 %      1.02 %      1.27 %      1.60 % 
Net investment income gain (loss)
     (0.99 )%      (1.71 )%      (0.90 )%      (0.97 )%      (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%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
 
128
Table of Contents
For the Six Months Ended Ju
n
e 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     $ 67.83     $ 36.73     $ 55.03  
Net investment income (loss)
     (0.10 )      (0.17 )      (0.13 )      (0.33 )      (0.18 )      (0.23 ) 
Net realized and unrealized gain (loss)#
     1.38       3.41       (4.23 )      10.46       (6.04 )      (30.71 ) 
Change in net asset value from operations
     1.28       3.24       (4.36 )      10.13       (6.22 )      (30.94 ) 
Net asset value, at June 30, 2021
   $ 23.81     $ 34.67     $ 23.37     $ 77.96     $ 30.51     $ 24.09  
Market value per share, at December 31, 2020
†
   $ 22.52     $ 31.14     $ 27.40     $ 67.81     $ 36.70     $ 54.96  
Market value per share, at June 30, 2021
†
   $ 23.82     $ 34.69     $ 23.28     $ 77.98     $ 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% if brokerage commissions and futures account fees were excluded. 
 
129
Table of Contents
 
Selected data for a Share outstanding throughout the six months ended June 30, 2020
For the Six Months Ended June 30, 2020 (unaudited)
 
Per Share Operating
Performance
  
Short Euro
   
Short VIX
Short-Term

Futures ETF
   
Ultra
Bloomberg
Crude Oil
   
Ultra
Bloomberg
Natural Gas
   
Ultra Euro
   
Ultra Gold
 
Net asset value, at December 31, 2019
   $ 45.64     $ 65.62     $ 509.23     $ 83.97     $ 13.79     $ 49.21  
Net investment income (loss)
     (0.07 )      (0.17 )      (0.14 )      (0.16 )      (0.02 )      (0.07 ) 
Net realized and unrealized gain (loss)#
     0.16       (34.05 )      (480.50 )      (55.50 )      (0.21 )      15.84  
Change in net asset value from operations
     0.09       (34.22 )      (480.64 )      (55.66 )      (0.23 )      15.77  
Net asset value, at June 30, 2020
   $ 45.73     $ 31.40     $ 28.59     $ 28.31     $ 13.56     $ 64.98  
Market value per share, at December 31, 2019
†
   $ 45.69     $ 65.23     $ 511.50     $ 83.40     $ 13.77     $ 49.05  
Market value per share, at June 30, 2020
†
   $ 44.83     $ 31.50     $ 28.68     $ 28.36     $ 13.57     $ 64.83  
Total Return, at net asset value^
     0.2 %      (52.1 )%      (94.4 )%      (66.3 )%      (1.7 )%      32.0 % 
Total Return, at market value^
     (1.9 )%      (51.7 )%      (94.4 )%      (66.0 )%      (1.5 )%      32.2 % 
Ratios to Average Net Assets**
                                                
Expense ratio
^^
     0.97 %      1.29 %      1.38 %      1.59 %      0.95 %      0.99 % 
Net investment income gain (loss)
     (0.31 )%      (0.96 )%      (0.92 )%      (0.66 )%      (0.24 )%      (0.26 )% 
 
**
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, 2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
 
130
Table of Contents
For the Six Months Ended June 30, 2020 (unaudited)
 
Per Share Operating
Performance
  
Ultra Silver
   
Ultra VIX
Short-Term

Futures ETF
*
   
Ultra Yen
   
UltraShort
Australian
Dollar
   
UltraShort
Bloomberg
Crude Oil
*
   
UltraShort
Bloomberg
Natural Gas
 
Net asset value, at December 31, 2019
   $ 31.70     $ 126.74     $ 55.83     $ 56.09     $ 48.77     $ 38.53  
Net investment income (loss)
     (0.01 )      (1.24 )      (0.09 )      (0.13 )      (0.65 )      (0.40 ) 
Net realized and unrealized gain (loss)#
     (2.13 )      203.78       (0.42 )      0.18       25.06       29.08  
Change in net asset value from operations
     (2.14 )      202.54       (0.51 )      0.05       24.41       28.68  
Net asset value, at June 30, 2020
   $ 29.56     $ 329.28     $ 55.32     $ 56.14     $ 73.18     $ 67.21  
Market value per share, at December 31, 2019
†
   $ 31.65     $ 128.90     $ 55.83     $ 55.88     $ 48.60     $ 38.82  
Market value per share, at June 30, 2020
†
   $ 29.33     $ 327.70     $ 55.31     $ 56.06     $ 73.00     $ 67.21  
Total Return, at net asset value^
     (6.8 )%      159.8 %      (0.9 )%      0.1 %      50.1 %      74.5 % 
Total Return, at market value^
     (7.3 )%      154.2 %      (0.9 )%      0.3 %      50.2 %      73.1 % 
Ratios to Average Net Assets**
                                                
Expense ratio
^^
     1.02 %      1.54 %      0.95 %      1.04 %      1.83 %      2.11 % 
Net investment income gain (loss)
     (0.06 )%      (1.00 )%      (0.34 )%      (0.40 )%      (1.40 )%      (1.51 )% 
 
*
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, 2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95%, and 0.95% if brokerage commissions and futures account fees were excluded.
 
131
Table of Contents 
 
For the Six Months Ended June 30, 2020 (unaudited)
 
Per Share Operating
Performance
  
UltraShort
Euro
   
UltraShort
Gold
   
UltraShort
Silver
*
   
UltraShort
Yen
   
VIX Mid-
Term Futures
ETF
   
VIX Short-
Term Futures
ETF
*
 
Net asset value, at December 31, 2019
   $ 26.80     $ 53.02     $ 107.04     $ 76.37     $ 21.27     $ 49.19  
Net investment income (loss)
     0.00
(1)
  		    (0.06 )      (0.23 )      (0.04 )      (0.05 )      (0.10 ) 
Net realized and unrealized gain (loss)#
     (0.07 )      (17.50 )      (28.31 )      (1.73 )      19.18       62.61  
Change in net asset value from operations
     (0.07 )      (17.56 )      (28.54 )      (1.77 )      19.13       62.51  
Net asset value, at June 30, 2020
   $ 26.73     $ 35.46     $ 78.50     $ 74.60     $ 40.40     $ 111.70  
Market value per share, at December 31, 2019
†
   $ 26.80     $ 53.21     $ 107.20     $ 76.35     $ 21.29     $ 49.72  
Market value per share, at June 30, 2020
†
   $ 26.73     $ 35.57     $ 79.08     $ 74.58     $ 40.24     $ 111.04  
Total Return, at net asset value^
     (0.3 )%      (33.1 )%      (26.7 )%      (2.3 )%      90.0 %      127.1 % 
Total Return, at market value^
     (0.3 )%      (33.2 )%      (26.2 )%      (2.3 )%      89.0 %      123.3 % 
Ratios to Average Net Assets**
                                                
Expense ratio
^^
     0.95 %      1.01 %      1.10 %      0.95 %      1.06 %      1.15 % 
Net investment income gain (loss)
     (0.02 )%      (0.29 )%      (0.41 )%      (0.11 )%      (0.33 )%      (0.25 )% 
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
†
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2020.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85%, and 0.85% if brokerage commissions and futures account fees were excluded.
(1)
Amount represents greater than $(0.005).
 
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NOTE 8 – RISK
Correlation and Compounding Risk
The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from one-half the inverse (-0.5x), the inverse (-1x), two times the inverse (-2x), 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 Lever
a
ged 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 have only recently become subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).
Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.
As noted, the CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.
Counterparty Credit Risk
The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of OTC derivatives, the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.
The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.
OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the
 
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agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.
In addition, cleared derivatives benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.
The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com.
Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.
The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.
Leverage Risk
The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.
For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and one-half times multiplier) include a two times the inverse (-2x), or a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50% at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund or upward single-day or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.
Liquidity Risk
Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.
 
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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 2019 may specify a January 2020 expiration. As that contract nears expiration, it may be replaced by selling the January 2020 contract and purchasing the contract expiring in March 2020. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For
e
xample, 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.
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 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. If such event were to occur, and the price of the applicable futures contracts subsequently reversed, investors in the Short or an UltraShort Fund could suffer significant losses or lose their entire investment. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and may cause significant losses.
Change to Investment Strategies
In anticipation of the benchmark’s upcoming roll, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, each Oil Fund adjusted its portfolio exposure as described below.
 
 
•
 
By the close of business on Tuesday, June 30, 2020, ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil Funds”), had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020.
 
 
•
 
In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020.
 
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Following this portfolio transition each Oil Fund had exposure to WTI crude oil futures contracts that are not included in the current benchmark. The performance of each Fund should not be expected to correspond to two times (2x), or two times the inverse (-2x), as applicable, of the daily performance of its current benchmark. Each Fund’s performance could differ significantly from its stated investment objective.
In addition, to the extent an Oil Fund has exposure to longer-dated crude oil futures contracts or other Financial Instruments, the performance of the Fund should be expected to deviate to a greater extent from the “spot” price of crude oil than if the Fund had exposure to shorter-dated futures contracts or Financial Instruments. For these and other reasons, the Oil Funds should be expected to perform very differently from the spot price of crude oil and may underperform investments that are linked to the “spot” price of crude oil.
Change to the Oil Funds Benchmark Index
Effective September 17, 2020, the Oil Funds changed their benchmark from the Bloomberg WTI Crude Oil Subindex
SM
to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(the “New Benchmark”). The investment objective of each of these two funds is to seek daily investment results, before fees and expenses, that correspond either to two times (2x) or two times the inverse (-2x), as applicable, of the daily performance of the New Benchmark for a single day, not for any other period.
In order to have exposure to the WTI crude oil futures contracts included in the New Benchmark in a manner designed to achieve its respective investment objective by the beginning of business on September 17, 2020, each Oil Fund transitioned half of its then current exposure to the December 2020 WTI crude oil futures contract into exposure to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020. As a result of this transition, each Oil Fund had approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the June 2021 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020.
Description of the New Benchmark
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date, one-third of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below one-third between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
The methodology for determining the composition of the New Benchmark and for calculating its level may be changed at any time by Bloomberg without notice. The daily performance of the New Benchmark is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker symbol: BCBCLI Index.
Natural Disaster/Epidemic Risk
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these
 
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circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your investment.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. In March 2020, U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets. Contemporaneous with the onset of the COVID-19 pandemic in the US, oil experienced shocks to supply and demand, impacting the price and volatility of oil. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses.
Change to the VIX Funds Benchmark Indices
Change to VIX Futures Contracts Settlement Time Index Methodology.
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Mid-Term Futures Index, the benchmark for ProShares VIX Mid-Term Futures ETF, and the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
Change to the Fund’s Net Asset Value (“NAV”) Calculation Time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in each Fund’s Prospectus.
Change to the VIX Funds Exchange Listing.
On December 16, 2020, each of the Matching VIX Funds and Geared VIX Funds transferred its listing from the NYSE Arca to the Cboe BZX Exchange.
NOTE 9 – SUBSEQUENT EVENTS
Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.
 
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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, 2021, the following eighteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, 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, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”.
On March 15, 2020 ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on or about April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.
On April 3, 2020, the Trust announced a 1-for-25 reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Crude Oil (ticker symbol: UCO) and a 1-for-10 reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Natural Gas (ticker symbol: BOIL). The reverse splits were effective prior to market open on April 21, 2020, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulting in a proportionate increase in the price per share and per share information of these funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.
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.
 
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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.
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.
 
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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, 2021 and 2020, each of the Funds earned interest income as follows:
 
Fund
  
Interest Income
Three Months
Ended
June 30, 2021
    
Interest Income
Three Months
Ended
June 30, 2020
    
Interest Income
Six Months
Ended
June 30, 2021
    
Interest Income
Six Months
Ended
June 30, 2020
 
ProShares Short Euro
   $ 310      $ 54      $ 906      $ 7,649  
ProShares Short VIX Short-Term Futures ETF
     33,687        106,023        67,577        855,884  
ProShares Ultra Bloomberg Crude Oil
     111,333        365,747        279,408        1,767,207  
ProShares Ultra Bloomberg Natural Gas
     11,544        36,474        25,359        175,813  
ProShares Ultra Euro
     438        192        1,022        15,993  
ProShares Ultra Gold
     20,094        69,857        55,921        484,541  
ProShares Ultra Silver
     65,529        138,315        163,658        914,602  
ProShares Ultra VIX Short-Term Futures ETF
     202,556        101,523        316,525        1,513,263  
ProShares Ultra Yen
     307        62        663        8,929  
ProShares UltraPro 3x Crude Oil ETF*
     —          —          —          346,326  
ProShares UltraPro 3x Short Crude Oil ETF*
     —          —          —          166,789  
ProShares UltraShort Australian Dollar
     260        42        518        20,096  
ProShares UltraShort Bloomberg Crude Oil
     18,343        6,209        29,178        254,918  
ProShares UltraShort Bloomberg Natural Gas
     7,750        1,371        15,633        43,803  
ProShares UltraShort Euro
     5,640        68,027        12,806        467,684  
ProShares UltraShort Gold
     3,176        2,259        6,138        63,280  
ProShares UltraShort Silver
     2,678        651        5,795        45,187  
ProShares UltraShort Yen
     3,570        5,143        7,166        131,326  
ProShares VIX Mid-Term Futures ETF
     8,349        27,603        18,573        185,901  
ProShares VIX Short-Term Futures ETF
     40,988        122,772        79,448        1,082,847  
 
*
The operations presented here are through March 27, 2020, the date of their liquidation. See Note 1 of the Notes to Financial Statements.
 
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Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.
Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.
The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.
Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).
Market Risk
Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.
For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q.
Credit Risk
When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.
Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.
Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
 
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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 6, 2021, 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, 2021.
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations.
Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are
 
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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, 2021 Compared to the Three Months Ended June 30, 2020
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 2,184,540     $ 2,332,843  
NAV end of period
   $ 2,159,102     $ 2,286,467  
Percentage change in NAV
     (1.2 )%      (2.0 )% 
Shares outstanding beginning of period
     50,000       50,000  
Shares outstanding end of period
     50,000       50,000  
Percentage change in shares outstanding
     —   %      —   % 
Shares created
     —         —    
Shares redeemed
     —         —    
Per share NAV beginning of period
   $ 43.69     $ 46.66  
Per share NAV end of period
   $ 43.18     $ 45.73  
Percentage change in per share NAV
     (1.2 )%      (2.0 )% 
Percentage change in benchmark
     1.1 %      1.9 % 
Benchmark annualized volatility
     5.9 %      7.4 % 
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 inverse (-1x) of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2021 to June 30, 2021. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.2% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 2.0% for the three months ended June 30, 2020, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s rise of 1.1% for the three months ended June 30, 2021, as compared to the benchmark’s rise of 1.9% for the three months ended June 30, 2020, can be attributed to an lesser increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (4,801 )     $ (5,552 ) 
Management fee
     5,032        5,516  
Brokerage commission
     79        90  
Net realized gain (loss)
     (38,172 )       (20,020 ) 
Change in net unrealized appreciation (depreciation)
     17,535        (20,804 ) 
Net Income (loss)
   $ (25,438 )     $ (46,376 ) 
The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to an lesser increase in the value of the euro versus the U.S. dollar during 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, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 527,130,851     $ 809,257,658  
NAV end of period
   $ 588,615,946     $ 509,811,853  
Percentage change in NAV
     11.7 %      (37.0 )% 
Shares outstanding beginning of period
     11,184,307       26,084,307  
Shares outstanding end of period
     10,584,307       16,234,307  
Percentage change in shares outstanding
     (5.4 )%      (37.8 )% 
Shares created
     450,000       1,000,000  
Shares redeemed
     1,050,000       10,850,000  
Per share NAV beginning of period
   $ 47.13     $ 31.02  
Per share NAV end of period
   $ 55.61     $ 31.40  
Percentage change in per share NAV
     18.0 %      1.2 % 
Percentage change in benchmark
     (35.2 )%      (26.1 )% 
Benchmark annualized volatility
     70.4 %      122.3 % 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
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. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 26,084,307 outstanding Shares
 
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at March 31, 2020 to 16,234,307 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to one-half the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 18.0% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 1.2% for the three months ended June 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s decline of 35.2% for the three months ended June 30, 2021, as compared to the benchmark’s decline of 26.1% for the three months ended June 30, 2020, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (1,865,757 )     $ (2,142,980 ) 
Management fee
     1,317,153        1,589,036  
Brokerage commission
     253,949        228,176  
Net realized gain (loss)
     109,337,017        54,615,005  
Change in net unrealized appreciation (depreciation)
     (13,308,130 )       (22,301,329 ) 
Net Income (loss)
   $ 94,163,130      $ 30,170,696  
The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a greater decrease in the value of futures prices during the three months ended June 30, 2021.
ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 1,088,579,093     $ 435,593,381  
NAV end of period
   $ 1,303,530,902     $ 1,508,661,459  
Percentage change in NAV
     19.7 %      246.3 % 
Shares outstanding beginning of period
     20,710,774       10,848,453  
Shares outstanding end of period
     16,660,774       52,760,774  
Percentage change in shares outstanding
     (19.6 )%      386.3 % 
Shares created
     1,050,000       77,482,000  
Shares redeemed
     5,100,000       35,569,679  
Per share NAV beginning of period
   $ 52.56     $ 40.15  
Per share NAV end of period
   $ 78.24     $ 28.59  
Percentage change in per share NAV
     48.9 %      (29.0 )% 
Percentage change in benchmark
     23.1 %      23.6 % 
Benchmark annualized volatility
     23.9 %      116.3 % 
 
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On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date, one-third of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below one-third between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
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 20,710,774 outstanding Shares at March 31, 2021 to 16,660,774 outstanding Shares at June 30, 2021. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 10,848,453 outstanding Shares at March 31, 2020 to 52,760,774 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
.
For the three months ended June 30, 2021 and 2020, 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 48.9% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 29.0% for the three months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The new benchmark’s rise of 23.1% for the three months ended June 30, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
benchmark’s rise of 23.6% for the three months ended June 30, 2020, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended June 30, 2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (3,210,719 )     $ (3,994,835 ) 
Management fee
     2,794,292        2,806,288  
Brokerage commission
     210,012        1,017,545  
Net realized gain (loss)
     320,505,659        (671,420,708 ) 
Change in net unrealized appreciation (depreciation)
     157,919,139        661,178,846  
Net Income (loss)
   $ 475,214,079      $ (14,236,697 ) 
The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a lesser increase in the value of WTI Crude Oil during the three months ended June 30, 2021.
ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 74,307,070     $ 26,671,617  
NAV end of period
   $ 70,213,227     $ 50,599,783  
Percentage change in NAV
     (5.5 )%      89.7 % 
Shares outstanding beginning of period
     3,487,527       637,815  
Shares outstanding end of period
     1,987,527       1,787,527  
Percentage change in shares outstanding
     (43.0 )%      180.3 % 
Shares created
     650,000       1,260,000  
Shares redeemed
     2,150,000       110,288  
Per share NAV beginning of period
   $ 21.31     $ 41.82  
Per share NAV end of period
   $ 35.33     $ 28.31  
Percentage change in per share NAV
     65.8 %      (32.2 )% 
Percentage change in benchmark
     30.3 %      (14.2 )% 
Benchmark annualized volatility
     27.8 %      56.4 % 
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
. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by a decrease from 637,815 outstanding Shares at March 31, 2020 to 1,787,527 outstanding Shares at June 30, 2020.
For the three months ended June 30, 2021 and 2020, 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 65.8% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 32.2% for the three months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
 
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The benchmark’s rise of 30.3% for the three months ended June 30, 2021, as compared to the benchmark’s decline of 14.2% for the three months ended June 30, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (217,363 )     $ (121,296 ) 
Management fee
     152,958        81,904  
Brokerage commission
     63,062        63,224  
Net realized gain (loss)
     4,901,288        (16,111,238 ) 
Change in net unrealized appreciation (depreciation)
     28,347,917        4,853,272  
Net Income (loss)
   $ 33,031,842      $ (11,379,262 ) 
The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas during the three months ended June 30, 2021.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 3,611,724     $ 3,949,142  
NAV end of period
   $ 3,668,741     $ 4,067,686  
Percentage change in NAV
     1.6 %      3.0 % 
Shares outstanding beginning of period
     250,000       300,000  
Shares outstanding end of period
     250,000       300,000  
Percentage change in shares outstanding
     —   %      —   % 
Shares created
     100,000       50,000  
Shares redeemed
     100,000       50,000  
Per share NAV beginning of period
   $ 14.45     $ 13.16  
Per share NAV end of period
   $ 14.67     $ 13.56  
Percentage change in per share NAV
     1.5 %      3.0 % 
Percentage change in benchmark
     1.1 %      1.9 % 
Benchmark annualized volatility
     5.9 %      7.4 % 
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,
 
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2021. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.
For the three months ended June 30, 2021 and 2020, 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 1.5% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 3.0% for the three months ended June 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s rise of 1.1% for the three months ended June 30, 2021, as compared to the benchmark’s rise of 1.9% for the three months ended June 30, 2020, can be attributed to an lesser increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (8,978 )     $ (8,702 ) 
Management fee
     9,416        8,894  
Net realized gain (loss)
     95,412        (18,635 ) 
Change in net unrealized appreciation (depreciation)
     (13,219 )       97,408  
Net Income (loss)
   $ 73,215      $ 70,071  
The Fund’s net income decreased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to an lesser increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2021.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 214,548,056     $ 128,481,796  
NAV end of period
   $ 243,456,703     $ 165,689,050  
Percentage change in NAV
     13.5 %      29.0 % 
Shares outstanding beginning of period
     3,950,000       2,450,000  
Shares outstanding end of period
     4,250,000       2,550,000  
Percentage change in shares outstanding
     7.6 %      4.1 % 
Shares created
     400,000       300,000  
Shares redeemed
     100,000       200,000  
Per share NAV beginning of period
   $ 54.32     $ 52.44  
Per share NAV end of period
   $ 57.28     $ 64.98  
Percentage change in per share NAV
     5.4 %      23.9 % 
Percentage change in benchmark
     3.2 %      12.1 % 
Benchmark annualized volatility
     14.6 %      19.7 % 
 
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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
. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 2,450,000 outstanding Shares at March 31, 2020 to 2,550,000 outstanding Shares at June 30, 2020.
For the three months ended June 30, 2021 and 2020, 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 5.4% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 23.9% for the three months ended June 30, 2020, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s rise of 3.2% for the three months ended June 30, 2021, as compared to the benchmark’s rise of 12.1% for the three months ended June 30, 2020, can be attributed to an lesser increase in the value of gold futures contracts during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (569,965 )     $ (279,921 ) 
Management fee
     568,040        333,463  
Brokerage commission
     8,665        6,119  
Net realized gain (loss)
     45,506,367        4,365,328  
Change in net unrealized appreciation (depreciation)
     (33,478,303 )       25,893,012  
Net Income (loss)
   $ 11,458,099      $ 29,978,419  
The Fund’s net income decreased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to an lesser increase in the value of futures prices, in conjunction with the timing of shareholder activity, during the three months ended June 30, 2021.
 
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ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 572,501,249     $ 129,785,536  
NAV end of period
   $ 661,778,727     $ 249,671,968  
Percentage change in NAV
     15.6 %      92.4 % 
Shares outstanding beginning of period
     13,846,526       7,046,526  
Shares outstanding end of period
     14,396,526       8,446,526  
Percentage change in shares outstanding
     4.0 %      19.9 % 
Shares created
     1,000,000       1,500,000  
Shares redeemed
     450,000       100,000  
Per share NAV beginning of period
   $ 41.35     $ 18.42  
Per share NAV end of period
   $ 45.97     $ 29.56  
Percentage change in per share NAV
     11.2 %      60.5 % 
Percentage change in benchmark
     6.5 %      29.2 % 
Benchmark annualized volatility
     25.5 %      37.1 % 
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. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver SubindexSM. The increase in the Fund’s NAV also resulted in part from an increase from 7,046,526 outstanding Shares at March 31, 2020 to 8,446,526 outstanding Shares at June 30, 2020.
For the three months ended June 30, 2021 and 2020, 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 11.2% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 60.5% for the three months ended June 30, 2020, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s rise of 6.5% for the three months ended June 30, 2021, as compared to the benchmark’s rise of 29.2% for the three months ended June 30, 2020, can be attributed to a lesser increase in the value of silver futures contracts during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (1,639,236 )     $ (335,243 ) 
Management fee
     1,615,157        425,646  
Brokerage commission
     40,715        26,966  
Net realized gain (loss)
     116,370,479        11,386,313  
Change in net unrealized appreciation (depreciation)
     (48,394,245 )       69,302,060  
Net Income (loss)
   $ 66,336,998      $ 80,353,130  
The Fund’s net income decreased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a lesser increase in the value of futures prices during the three months ended June 30, 2021.
 
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ProShares Ultra VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 1,284,373,170     $ 592,820,492  
NAV end of period
   $ 840,870,703     $ 992,156,607  
Percentage change in NAV
     (34.5 )%      67.4 % 
Shares outstanding beginning of period
     22,803,091       1,013,091  
Shares outstanding end of period
     30,128,420       3,013,091  
Percentage change in shares outstanding
     32.1 %      197.4 % 
Shares created
     12,955,000       2,485,000  
Shares redeemed
     5,629,671       485,000  
Per share NAV beginning of period
   $ 56.32     $ 585.16  
Per share NAV end of period
   $ 27.91     $ 329.28  
Percentage change in per share NAV
     (50.4 )%      (43.7 )% 
Percentage change in benchmark
     (35.2 )%      (26.1 )% 
Benchmark annualized volatility
     70.4 %      122.3 % 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
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. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,013,091 outstanding Shares at March 31, 2020 to 3,013,091 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 50.4% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 43.7% for the three months ended June 30, 2020, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
 
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The benchmark’s decline of 35.2% for the three months ended June 30, 2021, as compared to the benchmark’s decline of 26.1% for the three months ended June 30, 2020, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (3,975,284 )     $ (2,085,756 ) 
Management fee
     2,293,121        1,293,878  
Brokerage commission
     1,173,276        438,851  
Net realized gain (loss)
     (854,526,924 )       (107,880,791 ) 
Change in net unrealized appreciation (depreciation)
     244,115,248        (125,500,879 ) 
Net Income (loss)
   $ (614,386,960 )     $ (235,467,426 ) 
The Fund’s net income decreased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a greater decrease in the value of futures prices during the three months ended June 30, 2021.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 2,587,694     $ 2,808,780  
NAV end of period
   $ 2,560,348     $ 2,764,355  
Percentage change in NAV
     (1.1 )%      (1.6 )% 
Shares outstanding beginning of period
     49,970       49,970  
Shares outstanding end of period
     49,970       49,970  
Percentage change in shares outstanding
     —   %      —   % 
Shares created
     —         —    
Shares redeemed
     —         —    
Per share NAV beginning of period
   $ 51.78     $ 56.21  
Per share NAV end of period
   $ 51.24     $ 55.32  
Percentage change in per share NAV
     (1.0 )%      (1.6 )% 
Percentage change in benchmark
     (0.3 )%      (0.4 )% 
Benchmark annualized volatility
     4.9 %      6.2 % 
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
 
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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. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.0% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 1.6% for the three months ended June 30, 2020, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s decline of 0.3% for the three months ended June 30, 2021, as compared to the benchmark’s decline of 0.4% for the three months ended June 30, 2020, can be attributed to an lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (5,955 )     $ (6,539 ) 
Management fee
     6,262        6,601  
Net realized gain (loss)
     (140,007 )       (106,753 ) 
Change in net unrealized appreciation (depreciation)
     118,616        68,867  
Net Income (loss)
   $ (27,346 )     $ (44,425 ) 
The Fund’s net income decreased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to an lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2021.
 
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ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 2,258,880     $ 7,230,367  
NAV end of period
   $ 2,304,732     $ 5,614,042  
Percentage change in NAV
     2.0 %      (22.4 )% 
Shares outstanding beginning of period
     50,000       100,000  
Shares outstanding end of period
     50,000       100,000  
Percentage change in shares outstanding
     —   %      —   % 
Shares created
     —         —    
Shares redeemed
     —         —    
Per share NAV beginning of period
   $ 45.18     $ 72.30  
Per share NAV end of period
   $ 46.09     $ 56.14  
Percentage change in per share NAV
     2.0 %      (22.4 )% 
Percentage change in benchmark
     (1.3 )%      12.3 % 
Benchmark annualized volatility
     8.8 %      14.2 % 
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 the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2021 to June 30, 2021. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.0% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 22.4% for the three months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s decline of 1.3% for the three months ended June 30, 2021, as compared to the benchmark’s rise of 12.3% for the three months ended June 30, 2020, can be attributed to a decrease in the value of the Australian dollar versus the U.S. dollar during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (5,306 )     $ (16,185 ) 
Management fee
     5,192        14,888  
Brokerage commission
     374        1,339  
Net realized gain (loss)
     (7,133 )       (1,037,904 ) 
Change in net unrealized appreciation (depreciation)
     58,291        (562,236 ) 
Net Income (loss)
   $ 45,852      $ (1,616,325 ) 
The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a decrease in the value of the Australian dollar versus the U.S. dollar during the three months ended June 30, 2021.
 
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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, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 91,718,390     $ 100,094,023  
NAV end of period
   $ 79,400,059     $ 117,821,898  
Percentage change in NAV
     (13.4 )%      17.7 % 
Shares outstanding beginning of period
     3,184,971       509,971  
Shares outstanding end of period
     4,383,799       1,609,971  
Percentage change in shares outstanding
     37.6 %      215.7 % 
Shares created
     1,937,500       4,750,000  
Shares redeemed
     738,672       3,650,000  
Per share NAV beginning of period
   $ 28.80     $ 196.27  
Per share NAV end of period
   $ 18.11     $ 73.18  
Percentage change in per share NAV
     (37.1 )%      (62.7 )% 
Percentage change in benchmark
     23.1 %      23.6 % 
Benchmark annualized volatility
     23.9 %      116.3 % 
On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark. The ProShares UltraShort Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
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 3,184,971 outstanding Shares at March 31, 2021 to 4,383,799 outstanding Shares at June 30, 2021. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 509,971
 
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outstanding Shares at March 31, 2020 to 1,609,971 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
.
For the three months ended June 30, 2021 and 2020, 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 37.1% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 62.7% for the three months ended June 30, 2020, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The new benchmark’s rise of 23.1% for the three months ended June 30, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
benchmark’s rise of 23.6% for the three months ended June 30, 2020, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (208,741 )     $ (782,726 ) 
Management fee
     181,035        348,900  
Brokerage commission
     28,581        346,732  
Net realized gain (loss)
     (26,010,421 )       (6,947,347 ) 
Change in net unrealized appreciation (depreciation)
     (9,947,432 )       (75,201,725 ) 
Net Income (loss)
   $ (36,166,594 )     $ (82,931,798 ) 
The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a lesser increase in the value of WTI Crude Oil during the three months ended June 30, 2021.
 
*
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 three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 69,459,275     $ 17,419,933  
NAV end of period
   $ 97,525,300     $ 28,552,210  
Percentage change in NAV
     40.4 %      63.9 % 
Shares outstanding beginning of period
     1,774,832       274,832  
Shares outstanding end of period
     4,524,832       424,832  
Percentage change in shares outstanding
     154.9 %      54.6 % 
Shares created
     3,450,000       650,000  
Shares redeemed
     700,000       500,000  
Per share NAV beginning of period
   $ 39.14     $ 63.38  
Per share NAV end of period
   $ 21.55     $ 67.21  
Percentage change in per share NAV
     (44.9 )%      6.0 % 
Percentage change in benchmark
     30.3 %      (14.2 )% 
Benchmark annualized volatility
     27.8 %      56.4 % 
During the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,774,832 outstanding Shares at March 31, 2021 to 4,524,832 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
. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 274,832 outstanding Shares at March 31, 2020 to 424,832 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the three months ended June 30, 2021 and 2020, 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 44.9% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 6.0% for the three months ended June 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s rise of 30.3% for the three months ended June 30, 2021, as compared to the benchmark’s decline of 14.2% for the three months ended June 30, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (313,757 )     $ (87,047 ) 
Management fee
     191,311        36,607  
Brokerage commission
     96,343        46,462  
Net realized gain (loss)
     (10,305,304 )       5,236,091  
Change in net unrealized appreciation (depreciation)
     (33,693,761 )       (2,774,639 ) 
Net Income (loss)
   $ (44,312,822 )     $ 2,374,405  
 
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The Fund’s net income decreased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas during the three months ended June 30, 2021.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 54,932,137     $ 93,194,599  
NAV end of period
   $ 48,820,440     $ 78,848,965  
Percentage change in NAV
     (11.1 )%      (15.4 )% 
Shares outstanding beginning of period
     2,250,000       3,350,000  
Shares outstanding end of period
     2,050,000       2,950,000  
Percentage change in shares outstanding
     (8.9 )%      (11.9 )% 
Shares created
     —         150,000  
Shares redeemed
     200,000       550,000  
Per share NAV beginning of period
   $ 24.41     $ 27.82  
Per share NAV end of period
   $ 23.81     $ 26.73  
Percentage change in per share NAV
     (2.5 )%      (3.9 )% 
Percentage change in benchmark
     1.1 %      1.9 % 
Benchmark annualized volatility
     5.9 %      7.4 % 
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. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,350,000 outstanding Shares at March 31, 2020 to 2,950,000 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.5% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 3.9% for the three months ended June 30, 2020, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s rise of 1.1% for the three months ended June 30, 2021, as compared to the benchmark’s rise of 1.9% for the three months ended June 30, 2020, can be attributed to a lesser increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (109,040 )     $ (145,604 ) 
Management fee
     114,680        213,631  
Net realized gain (loss)
     (795,757 )       (2,285,868 ) 
Change in net unrealized appreciation (depreciation)
     (511,170 )       (1,269,683 ) 
Net Income (loss)
   $ (1,415,967 )     $ (3,701,155 ) 
The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a lesser increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2021.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 41,243,515     $ 20,569,044  
NAV end of period
   $ 32,835,014     $ 15,851,043  
Percentage change in NAV
     (20.4 )%      (22.9 )% 
Shares outstanding beginning of period
     1,096,977       446,977  
Shares outstanding end of period
     946,977       446,977  
Percentage change in shares outstanding
     (13.7 )%      —   % 
Shares created
     300,000       150,000  
Shares redeemed
     450,000       150,000  
Per share NAV beginning of period
   $ 37.60     $ 46.02  
Per share NAV end of period
   $ 34.67     $ 35.46  
Percentage change in per share NAV
     (7.8 )%      (22.9 )% 
Percentage change in benchmark
     3.2 %      12.1 % 
Benchmark annualized volatility
     14.6 %      19.7 % 
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
. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.
For the three months ended June 30, 2021 and 2020, 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 7.8% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 22.9% for the three months ended June 30, 2020, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
 
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The benchmark’s rise of 3.2% for the three months ended June 30, 2021, as compared to the benchmark’s rise of 12.1% for the three months ended June 30, 2020, can be attributed to lesser increase in the value of gold futures contracts during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (70,877 )     $ (41,386 ) 
Management fee
     69,968        40,621  
Brokerage commission
     2,283        1,659  
Net realized gain (loss)
     (6,984,547 )       (2,089,271 ) 
Change in net unrealized appreciation (depreciation)
     3,806,053        (2,638,931 ) 
Net Income (loss)
   $ (3,249,371 )     $ (4,769,588 ) 
The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to lesser increase in the value of the futures prices, in conjunction with the timing of shareholder activity, during the three months ended June 30, 2021.
ProShares UltraShort Silver*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 45,144,664     $ 18,887,831  
NAV end of period
   $ 34,859,763     $ 10,145,625  
Percentage change in NAV
     (22.8 )%      (46.3 )% 
Shares outstanding beginning of period
     1,616,744       129,244  
Shares outstanding end of period
     1,491,329       129,244  
Percentage change in shares outstanding
     (7.8 )%      —   % 
Shares created
     300,000       150,000  
Shares redeemed
     425,415       150,000  
Per share NAV beginning of period
   $ 27.92     $ 146.14  
Per share NAV end of period
   $ 23.37     $ 78.50  
Percentage change in per share NAV
     (16.3 )%      (46.3 )% 
Percentage change in benchmark
     6.5 %      29.2 % 
Benchmark annualized volatility
     25.5 %      37.1 % 
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
 
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1,616,744 outstanding Shares at March 31, 2021 to 1,491,329 outstanding Shares at June 30, 2021. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.
For the three months ended June 30, 2021 and 2020, 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 16.3% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 46.3% for the three months ended June 30, 2020, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s rise of 6.5% for the three months ended June 30, 2021, as compared to the benchmark’s rise of 29.2% for the three months ended June 30, 2020, can be attributed to a lesser increase in the value of the silver futures contracts during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (78,184 )     $ (30,713 ) 
Management fee
     72,831        25,749  
Brokerage commission
     3,824        3,940  
Net realized gain (loss)
     (5,876,456 )       (3,877,739 ) 
Change in net unrealized appreciation (depreciation)
     (925,320 )       (2,754,071 ) 
Net Income (loss)
   $ (6,879,960 )     $ (6,662,523 ) 
The Fund’s net income decreased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a lesser increase in the value of futures prices, in conjunction with the timing of shareholder activity, during the three months ended June 30, 2021.
 
*
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 Silver.
 
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ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 34,921,840     $ 29,586,170  
NAV end of period
   $ 27,231,748     $ 29,787,034  
Percentage change in NAV
     (22.0 )%      0.7 % 
Shares outstanding beginning of period
     449,290       399,290  
Shares outstanding end of period
     349,290       399,290  
Percentage change in shares outstanding
     (22.3 )%      —   % 
Shares created
     —         50,000  
Shares redeemed
     100,000       50,000  
Per share NAV beginning of period
   $ 77.73     $ 74.10  
Per share NAV end of period
   $ 77.96     $ 74.60  
Percentage change in per share NAV
     0.3 %      0.7 % 
Percentage change in benchmark
     (0.3 )%      (0.4 )% 
Benchmark annualized volatility
     4.9 %      6.2 % 
During the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 449,290 outstanding Shares at March 31, 2021 to 349,290 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. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2020 to June 30, 2020.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.3% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 0.7% for the three months ended June 30, 2020, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s decline of 0.3% for the three months ended June 30, 2021, as compared to the benchmark’s decline of 0.4% for the three months ended June 30, 2020, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (68,876 )     $ (59,287 ) 
Management fee
     72,446        64,430  
Net realized gain (loss)
     1,598,086        110,748  
Change in net unrealized appreciation (depreciation)
     (1,645,477 )       66,461  
Net Income (loss)
   $ (116,267 )     $ 117,922  
 
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The Fund’s net income increased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2021.
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, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 75,122,747     $ 45,034,386  
NAV end of period
   $ 92,662,734     $ 59,085,470  
Percentage change in NAV
     23.3 %      31.2 % 
Shares outstanding beginning of period
     2,162,403       1,162,403  
Shares outstanding end of period
     3,037,403       1,462,403  
Percentage change in shares outstanding
     40.5 %      25.8 % 
Shares created
     1,025,000       725,000  
Shares redeemed
     150,000       425,000  
Per share NAV beginning of period
   $ 34.74     $ 38.74  
Per share NAV end of period
   $ 30.51     $ 40.40  
Percentage change in per share NAV
     (12.2 )%      4.3 % 
Percentage change in benchmark
     (11.9 )%      4.6 % 
Benchmark annualized volatility
     31.1 %      61.3 % 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
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. By comparison, during the three months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,162,403 outstanding Shares at March 31, 2020 to 1,462,403 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also resulted in part from 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, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.2% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 4.3% for the three months ended June 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
 
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The benchmark’s decline of 11.9% for the three months ended June 30, 2021, as compared to the benchmark’s rise of 4.6% for the three months ended June 30, 2020, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (227,144 )     $ (133,713 ) 
Management fee
     187,266        124,276  
Brokerage commission
     16,096        16,684  
Net realized gain (loss)
     (14,405,542 )       13,196,415  
Change in net unrealized appreciation (depreciation)
     3,572,030        (12,313,533 ) 
Net Income (loss)
   $ (11,060,656 )     $ 749,169  
The Fund’s net income decreased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a decrease in the value of the futures prices during the three months ended June 30, 2021.
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, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
   
Three Months Ended
June 30, 2020
 
NAV beginning of period
   $ 349,578,758     $ 223,055,354  
NAV end of period
   $ 272,352,675     $ 221,343,175  
Percentage change in NAV
     (22.1 )%      (0.8 )% 
Shares outstanding beginning of period
     9,375,329       1,469,079  
Shares outstanding end of period
     11,307,826       1,981,579  
Percentage change in shares outstanding
     20.6 %      34.9 % 
Shares created
     3,925,000       968,750  
Shares redeemed
     1,992,503       456,250  
Per share NAV beginning of period
   $ 37.29     $ 151.83  
Per share NAV end of period
   $ 24.09     $ 111.70  
Percentage change in per share NAV
     (35.4 )%      (26.4 )% 
Percentage change in benchmark
     (35.2 )%      (26.1 )% 
Benchmark annualized volatility
     70.5 %      122.3 % 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.
 
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As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
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. By comparison, during the three months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,469,079 outstanding Shares at March 31, 2020 to 1,981,579 outstanding Shares at June 30, 2020.
For the three months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 35.4% for the three months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 26.4% for the three months ended June 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2021.
The benchmark’s decline of 35.2% for the three months ended June 30, 2021, as compared to the benchmark’s decline of 26.1% for the three months ended June 30, 2020, can be attributed to a greater decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2021 and 2020:
 
    
Three Months Ended
June 30, 2021
    
Three Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (897,582 )     $ (443,622 ) 
Management fee
     669,363        398,044  
Brokerage commission
     94,839        60,097  
Net realized gain (loss)
     (175,846,641 )       (845,717 ) 
Change in net unrealized appreciation (depreciation)
     38,992,347        (51,868,970 ) 
Net Income (loss)
   $ (137,751,876 )     $ (53,158,309 ) 
The Fund’s net income decreased for the three months ended June 30, 2021 as compared to the three months ended June 30, 2020, primarily due to a greater decrease in the value of the futures prices during the three months ended June 30, 2021.
 
*
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 VIX Short-Term Futures ETF.
 
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Results of Operations for the Six Months Ended June 30, 2021 Compared to the Six Months Ended June 30, 2020
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 4,191,955     $ 2,282,195  
NAV end of period
   $ 2,159,102     $ 2,286,467  
Percentage change in NAV
     (48.5 )%      0.2 % 
Shares outstanding beginning of period
     100,000       50,000  
Shares outstanding end of period
     50,000       50,000  
Percentage change in shares outstanding
     (50.0 )%      —   % 
Shares created
     —         —    
Shares redeemed
     50,000       —    
Per share NAV beginning of period
   $ 41.92     $ 45.64  
Per share NAV end of period
   $ 43.18     $ 45.73  
Percentage change in per share NAV
     3.0 %      0.2 % 
Percentage change in benchmark
     (2.9 )%      0.2 % 
Benchmark annualized volatility
     5.9 %      8.7 % 
During the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 100,000 outstanding Shares at December 31, 2020 to 50,000 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 the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to June 30, 2020.
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.0% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 0.2% for the six months ended June 30, 2020, was primarily due to [greater/lesser] greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 2.9% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 0.2% for the six months ended June 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (13,439 )     $ (3,560 ) 
Management fee
     14,085        11,019  
Brokerage commission
     260        190  
Net realized gain (loss)
     31,221        (38,658 ) 
Change in net unrealized appreciation (depreciation)
     96,177        46,490  
Net Income (loss)
   $ 113,959      $ 4,272  
The Fund’s net income increased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the six months ended June 30, 2021.
 
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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, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 409,371,468     $ 284,437,179  
NAV end of period
   $ 588,615,946     $ 509,811,853  
Percentage change in NAV
     43.8 %      79.2 % 
Shares outstanding beginning of period
     9,884,307       4,334,307  
Shares outstanding end of period
     10,584,307       16,234,307  
Percentage change in shares outstanding
     7.1 %      274.6 % 
Shares created
     2,850,000       25,850,000  
Shares redeemed
     2,150,000       13,950,000  
Per share NAV beginning of period
   $ 41.42     $ 65.62  
Per share NAV end of period
   $ 55.61     $ 31.40  
Percentage change in per share NAV
     34.3 %      (52.1 )% 
Percentage change in benchmark
     (56.0 )%      128.5 % 
Benchmark annualized volatility
     76.0 %      132.5 % 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
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. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,334,307 outstanding Shares at December 31, 2019 to 16,234,307 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the six months ended June 30, 2021 and 2020, 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 increase of 34.3% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 52.1% for the six months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 56.0% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 128.5% for the six months ended June 30, 2020, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (3,308,123 )     $ (2,498,576 ) 
Management fee
     2,359,722        2,475,233  
Brokerage commission
     429,859        417,708  
Net realized gain (loss)
     133,546,434        (189,685,599 ) 
Change in net unrealized appreciation (depreciation)
     28,816,988        (1,245,671 ) 
Net Income (loss)
   $ 159,055,299      $ (193,429,846 ) 
The Fund’s net income increased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of futures prices during the six months ended June 30, 2021.
ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 902,739,250     $ 309,844,582  
NAV end of period
   $ 1,303,530,902     $ 1,508,661,459  
Percentage change in NAV
     44.4 %      386.9 % 
Shares outstanding beginning of period
     24,810,774       608,453  
Shares outstanding end of period
     16,660,774       52,760,774  
Percentage change in shares outstanding
     (32.8 )%      8,571.3 % 
Shares created
     3,400,000       88,162,000  
Shares redeemed
     11,550,000       36,009,679  
Per share NAV beginning of period
   $ 36.38     $ 509.23  
Per share NAV end of period
   $ 78.24     $ 28.59  
Percentage change in per share NAV
     115.0 %      (94.4 )% 
Percentage change in benchmark
     50.1 %      (58.6 )% 
Benchmark annualized volatility
     28.2 %      109.8 % 
On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always
 
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designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
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 24,810,774 outstanding Shares at December 31, 2020 to 16,660,774 outstanding Shares at June 30, 2021. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 608,453 outstanding Shares at December 31, 2019 to 52,760,774 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
.
For the six months ended June 30, 2021 and 2020, 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 115.0% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 94.4% for the six months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The new benchmark’s rise of 50.1% for the six months ended June 30, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
 benchmark’s decline of 58.6% for the six months ended June 30, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (5,969,866 )     $ (3,589,951 ) 
Management fee
     5,329,377        3,676,527  
Brokerage commission
     503,212        1,143,882  
Net realized gain (loss)
     654,856,887        (1,176,974,505 ) 
Change in net unrealized appreciation (depreciation)
     192,954,795        338,757,185  
Net Income (loss)
   $ 841,841,816      $ (841,807,271 ) 
The Fund’s net income increased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to an increase in the value of WTI Crude Oil during the six months ended June 30, 2021.
 
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ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 169,800,371     $ 45,160,205  
NAV end of period
   $ 70,213,227     $ 50,599,783  
Percentage change in NAV
     (58.6 )%      12.0 % 
Shares outstanding beginning of period
     8,087,527       537,815  
Shares outstanding end of period
     1,987,527       1,787,527  
Percentage change in shares outstanding
     (75.4 )%      232.4 % 
Shares created
     4,050,000       1,485,000  
Shares redeemed
     10,150,000       235,288  
Per share NAV beginning of period
   $ 21.00     $ 83.97  
Per share NAV end of period
   $ 35.33     $ 28.31  
Percentage change in per share NAV
     68.3 %      (66.3 )% 
Percentage change in benchmark
     34.2 %      (37.8 )% 
Benchmark annualized volatility
     35.5 %      50.5 % 
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
. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 537,815 outstanding Shares at December 31, 2019 to 1,787,527 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the six months ended June 30, 2021 and 2020, 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 68.3% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 66.3% for the six months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s rise of 34.2% for the six months ended June 30, 2021, as compared to the benchmark’s decline of 37.8% for the six months ended June 30, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (632,508 )     $ (123,647 ) 
Management fee
     407,773        179,012  
Brokerage commission
     155,359        107,806  
Net realized gain (loss)
     46,484,224        (38,929,789 ) 
Change in net unrealized appreciation (depreciation)
     10,549,049        416,235  
Net Income (loss)
   $ 56,400,765      $ (38,637,201 ) 
The Fund’s net income increased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas during the six months ended June 30, 2021.
 
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ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 4,737,350     $ 6,204,424  
NAV end of period
   $ 3,668,741     $ 4,067,686  
Percentage change in NAV
     (22.6 )%      (34.4 )% 
Shares outstanding beginning of period
     300,000       450,000  
Shares outstanding end of period
     250,000       300,000  
Percentage change in shares outstanding
     (16.7 )%      (33.3 )% 
Shares created
     100,000       100,000  
Shares redeemed
     150,000       250,000  
Per share NAV beginning of period
   $ 15.79     $ 13.79  
Per share NAV end of period
   $ 14.67     $ 13.56  
Percentage change in per share NAV
     (7.1 )%      (1.7 )% 
Percentage change in benchmark
     (2.9 )%      0.2 % 
Benchmark annualized volatility
     6.1 %      8.7 % 
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. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 450,000 outstanding Shares at December 31, 2019 to 300,000 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
For the six months ended June 30, 2021 and 2020, 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 7.1% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 1.7% for the six months ended June 30, 2020, was primarily due to a greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 2.9% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 0.2% for the six months ended June 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (18,472 )     $ (5,455 ) 
Management fee
     19,494        21,448  
Net realized gain (loss)
     68,070        (71,903 ) 
Change in net unrealized appreciation (depreciation)
     (324,271 )       (124,134 ) 
Net Income (loss)
   $ (274,673 )     $ (201,492 ) 
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the six months ended June 30, 2021.
 
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ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 263,540,473     $ 110,726,032  
NAV end of period
   $ 243,456,703     $ 165,689,050  
Percentage change in NAV
     (7.6 )%      49.6 % 
Shares outstanding beginning of period
     3,900,000       2,250,000  
Shares outstanding end of period
     4,250,000       2,550,000  
Percentage change in shares outstanding
     9.0 %      13.3 % 
Shares created
     1,000,000       1,450,000  
Shares redeemed
     650,000       1,150,000  
Per share NAV beginning of period
   $ 67.57     $ 49.21  
Per share NAV end of period
   $ 57.28     $ 64.98  
Percentage change in per share NAV
     (15.2 )%      32.0 % 
Percentage change in benchmark
     (7.0 )%      17.1 % 
Benchmark annualized volatility
     16.6 %      50.5 % 
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. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 2,250,000 outstanding Shares at December 31, 2019 to 2,550,000 outstanding Shares at June 30, 2020.
For the six months ended June 30, 2021 and 2020, 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 15.2% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 32.0% for the six months ended June 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 7.0% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 17.1% for the six months ended June 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (1,149,635 )     $ (171,013 ) 
Management fee
     1,136,247        628,874  
Brokerage commission
     23,553        16,484  
Net realized gain (loss)
     (5,741,520 )       25,863,384  
Change in net unrealized appreciation (depreciation)
     (34,710,806 )       6,795,652  
Net Income (loss)
   $ (41,601,961 )     $ 32,488,023  
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of futures prices during the six months ended June 30, 2021.
 
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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, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 745,304,028     $ 239,254,842  
NAV end of period
   $ 661,778,727     $ 249,671,968  
Percentage change in NAV
     (11.2 )%      4.4 % 
Shares outstanding beginning of period
     14,696,526       7,546,526  
Shares outstanding end of period
     14,396,526       8,446,526  
Percentage change in shares outstanding
     (2.0 )%      11.9 % 
Shares created
     3,400,000       2,250,000  
Shares redeemed
     3,700,000       1,350,000  
Per share NAV beginning of period
   $ 50.71     $ 31.70  
Per share NAV end of period
   $ 45.97     $ 29.56  
Percentage change in per share NAV
     (9.4 )%      (6.8 )% 
Percentage change in benchmark
     (1.2 )%      1.9 % 
Benchmark annualized volatility
     35.9 %      43.3 % 
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. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 7,546,526 outstanding Shares at December 31, 2019 to 8,446,526 outstanding Shares at June 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
.
For the six months ended June 30, 2021 and 2020, 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 9.4% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 6.8% for the six months ended June 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 1.2% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 1.9% for the six months ended June 30, 2020, can be attributed to a decrease in the value of silver futures contracts during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (3,381,011 )     $ (58,411 ) 
Management fee
     3,246,292        906,893  
Brokerage commission
     87,297        45,174  
Net realized gain (loss)
     121,281,221        7,688,659  
Change in net unrealized appreciation (depreciation)
     (186,138,026 )       (15,759,771 ) 
Net Income (loss)
   $ (68,237,816 )     $ (8,129,523 ) 
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of futures prices during the six months ended June 30, 2021.
 
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ProShares Ultra VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 1,356,204,199     $ 527,636,003  
NAV end of period
   $ 840,870,703     $ 992,156,607  
Percentage change in NAV
     (38.0 )%      88.0 % 
Shares outstanding beginning of period
     12,713,091       4,163,091  
Shares outstanding end of period
     30,128,420       3,013,091  
Percentage change in shares outstanding
     137.0 %      (27.6 )% 
Shares created
     32,585,000       3,475,000  
Shares redeemed
     15,169,671       4,625,000  
Per share NAV beginning of period
   $ 106.68     $ 126.74  
Per share NAV end of period
   $ 27.91     $ 329.28  
Percentage change in per share NAV
     (73.8 )%      159.8 % 
Percentage change in benchmark
     (56.0 )%      128.5 % 
Benchmark annualized volatility
     76.0 %      132.5 % 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
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. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 4,163,091 outstanding Shares at December 31, 2019 to 3,013,091 outstanding Shares at June 30, 2020.
For the six months ended June 30, 2021 and 2020, 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 decrease of 73.8% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 159.8% for the six months ended June 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 56.0% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 128.5% for the six months ended June 30, 2020, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (12,044,833 )     $ (2,815,021 ) 
Management fee
     6,676,198        2,677,153  
Brokerage commission
     3,129,904        1,179,860  
Net realized gain (loss)
     (1,559,026,428 )       618,204,440  
Change in net unrealized appreciation (depreciation)
     (40,244,083 )       51,016,036  
Net Income (loss)
   $ (1,611,315,344 )     $ 666,405,455  
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of futures prices during the six months ended June 30, 2021.
* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 2,989,499     $ 5,580,964  
NAV end of period
   $ 2,560,348     $ 2,764,355  
Percentage change in NAV
     (14.4 )%      (50.5 )% 
Shares outstanding beginning of period
     49,970       99,970  
Shares outstanding end of period
     49,970       49,970  
Percentage change in shares outstanding
     —   %      (50.0 )% 
Shares created
     —         —    
Shares redeemed
     —         50,000  
Per share NAV beginning of period
   $ 59.83     $ 55.83  
Per share NAV end of period
   $ 51.24     $ 55.32  
Percentage change in per share NAV
     (14.4 )%      (0.9 )% 
Percentage change in benchmark
     (7.1 )%      0.6 % 
Benchmark annualized volatility
     5.0 %      11.8 % 
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. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 99,970 outstanding Shares at December 31, 2019 to 49,970 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the six months ended June 30, 2021 and 2020, 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 14.4% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 0.9% for the six months ended June 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 7.1% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 0.6% for the six months ended June 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (12,248 )     $ (4,913 ) 
Management fee
     12,911        13,842  
Net realized gain (loss)
     (279,474 )       (115,236 ) 
Change in net unrealized appreciation (depreciation)
     (137,429 )       49,554  
Net Income (loss)
   $ (429,151 )     $ (70,595 ) 
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2021.
ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 2,222,639     $ 5,608,612  
NAV end of period
   $ 2,304,732     $ 5,614,042  
Percentage change in NAV
     3.7 %      0.1 % 
Shares outstanding beginning of period
     50,000       100,000  
Shares outstanding end of period
     50,000       100,000  
Percentage change in shares outstanding
     —   %      —   % 
Shares created
     —         —    
Shares redeemed
     —         —    
Per share NAV beginning of period
   $ 44.45     $ 56.09  
Per share NAV end of period
   $ 46.09     $ 56.14  
Percentage change in per share NAV
     3.7 %      0.1 % 
Percentage change in benchmark
     (2.7 )%      (1.6 )% 
Benchmark annualized volatility
     9.9 %      14.6 % 
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
 
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the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to June 30, 2021. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to June 30, 2020.
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.7% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 0.1% for the six months ended June 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 2.7% for the six months ended June 30, 2021, as compared to the benchmark’s decline of 1.6% for the six months ended June 30, 2020, can be attributed to a greater decrease in the value of the Australian dollar versus the U.S. dollar during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (10,573 )     $ (12,760 ) 
Management fee
     10,331        30,018  
Brokerage commission
     760        2,838  
Net realized gain (loss)
     (171,677 )       (366,954 ) 
Change in net unrealized appreciation (depreciation)
     264,343        385,144  
Net Income (loss)
   $ 82,093      $ 5,430  
The Fund’s net income increased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a greater decrease in the value of the Australian dollar versus the U.S. dollar during the six months ended June 30, 2021.
 
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ProShares UltraShort Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 96,839,233     $ 125,451,681  
NAV end of period
   $ 79,400,059     $ 117,821,898  
Percentage change in NAV
     (18.0 )%      (6.1 )% 
Shares outstanding beginning of period
     2,084,971       2,572,471  
Shares outstanding end of period
     4,383,799       1,609,971  
Percentage change in shares outstanding
     110.3 %      (37.4 )% 
Shares created
     3,887,500       5,587,500  
Shares redeemed
     1,588,672       6,550,000  
Per share NAV beginning of period
   $ 46.45     $ 48.77  
Per share NAV end of period
   $ 18.11     $ 73.18  
Percentage change in per share NAV
     (61.0 )%      50.1 % 
Percentage change in benchmark
     50.1 %      (58.6 )% 
Benchmark annualized volatility
     28.2 %      109.8 % 
On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark. The ProShares UltraShort Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund is the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below
one-third
between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.
 
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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 2,084,971 outstanding Shares at December 31, 2020 to 4,383,799 outstanding Shares at June 30, 2021. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,572,471 outstanding Shares at December 31, 2019 to 1,609,971 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
.
For the six months ended June 30, 2021 and 2020, 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 61.0% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 50.1% for the six months ended June 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The new benchmark’s rise of 50.1% for the six months ended June 30, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex
SM
 benchmark’s decline of 58.6% for the six months ended June 30, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (509,925 )     $ (813,439 ) 
Management fee
     402,298        551,269  
Brokerage commission
     71,625        423,785  
Net realized gain (loss)
     (75,188,186 )       44,726,655  
Change in net unrealized appreciation (depreciation)
     (4,308,588 )       1,379,632  
Net Income (loss)
   $ (80,006,699 )     $ 45,292,848  
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to an increase in the value of WTI Crude Oil during the six months ended June 30, 2021.
* 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, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 24,977,745     $ 12,515,603  
NAV end of period
   $ 97,525,300     $ 28,552,210  
Percentage change in NAV
     290.4 %      128.1 % 
Shares outstanding beginning of period
     524,832       324,832  
Shares outstanding end of period
     4,524,832       424,832  
Percentage change in shares outstanding
     762.1 %      30.8 % 
Shares created
     7,550,000       1,200,000  
Shares redeemed
     3,550,000       1,100,000  
Per share NAV beginning of period
   $ 47.59     $ 38.53  
Per share NAV end of period
   $ 21.55     $ 67.21  
Percentage change in per share NAV
     (54.7 )%      74.5 % 
Percentage change in benchmark
     34.2 %      (37.8 )% 
Benchmark annualized volatility
     35.5 %      50.5 % 
During the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 524,832 outstanding Shares at December 31, 2020 to 4,524,832 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
. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 324,832 outstanding Shares at December 31, 2019 to 424,832 outstanding Shares at June 30, 2020.
 
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For the six months ended June 30, 2021 and 2020, 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 54.7% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 74.5% for the six months ended June 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s rise of 34.2% for the six months ended June 30, 2021, as compared to the benchmark’s decline of 37.8% for the six months ended June 30, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (574,164 )     $ (109,326 ) 
Management fee
     350,648        69,037  
Brokerage commission
     182,023        78,743  
Net realized gain (loss)
     (16,664,698 )       10,862,268  
Change in net unrealized appreciation (depreciation)
     (17,798,697 )       560,972  
Net Income (loss)
   $ (35,037,559 )     $ 11,313,914  
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas during the six months ended June 30, 2021.
 
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ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 52,953,339     $ 120,581,173  
NAV end of period
   $ 48,820,440     $ 78,848,965  
Percentage change in NAV
     (7.8 )%      (34.6 )% 
Shares outstanding beginning of period
     2,350,000       4,500,000  
Shares outstanding end of period
     2,050,000       2,950,000  
Percentage change in shares outstanding
     (12.8 )%      (34.4 )% 
Shares created
     200,000       350,000  
Shares redeemed
     500,000       1,900,000  
Per share NAV beginning of period
   $ 22.53     $ 26.80  
Per share NAV end of period
   $ 23.81     $ 26.73  
Percentage change in per share NAV
     5.7 %      (0.3 )% 
Percentage change in benchmark
     (2.9 )%      0.2 % 
Benchmark annualized volatility
     6.1 %      8.7 % 
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. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,500,000 outstanding Shares at December 31, 2019 to 2,950,000 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the six months ended June 30, 2021 and 2020, 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 5.7% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 0.3% for the six months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 2.9% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 0.2% for the six months ended June 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (225,912 )     $ (9,389 ) 
Management fee
     238,718        477,073  
Net realized gain (loss)
     (725,230 )       (1,238,585 ) 
Change in net unrealized appreciation (depreciation)
     3,881,067        1,920,568  
Net Income (loss)
   $ 2,929,925      $ 672,594  
The Fund’s net income increased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the six months ended June 30, 2021.
 
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Table of Contents
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 20,337,376     $ 21,047,560  
NAV end of period
   $ 32,835,014     $ 15,851,043  
Percentage change in NAV
     61.5 %      (24.7 )% 
Shares outstanding beginning of period
     646,977       396,977  
Shares outstanding end of period
     946,977       446,977  
Percentage change in shares outstanding
     46.4 %      12.6 % 
Shares created
     1,050,000       350,000  
Shares redeemed
     750,000       300,000  
Per share NAV beginning of period
   $ 31.43     $ 53.02  
Per share NAV end of period
   $ 34.67     $ 35.46  
Percentage change in per share NAV
     10.3 %      (33.1 )% 
Percentage change in benchmark
     (7.0 )%      17.1 % 
Benchmark annualized volatility
     16.6 %      24.2 % 
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
. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 396,977 outstanding Shares at December 31, 2019 to 446,977 outstanding Shares at June 30, 2020.
For the six months ended June 30, 2021 and 2020, 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 10.3% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 33.1% for the six months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 7.0% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 17.1% for the six months ended June 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (139,918 )     $ (25,708 ) 
Management fee
     133,695        83,860  
Brokerage commission
     5,873        3,763  
Net realized gain (loss)
     (2,981,188 )       (8,020,153 ) 
Change in net unrealized appreciation (depreciation)
     3,626,200        38,043  
Net Income (loss)
   $ 505,094      $ (8,007,818 ) 
The Fund’s net income increased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of the futures prices during the six months ended June 30, 2021.
 
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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, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 28,885,775     $ 13,834,163  
NAV end of period
   $ 34,859,763     $ 10,145,625  
Percentage change in NAV
     20.7 %      (26.7 )% 
Shares outstanding beginning of period
     1,041,744       129,244  
Shares outstanding end of period
     1,491,329       129,244  
Percentage change in shares outstanding
     43.2 %      —   % 
Shares created
     2,750,000       200,000  
Shares redeemed
     2,300,415       200,000  
Per share NAV beginning of period
   $ 27.73     $ 107.04  
Per share NAV end of period
   $ 23.37     $ 78.50  
Percentage change in per share NAV
     (15.7 )%      (26.7 )% 
Percentage change in benchmark
     (1.2 )%      1.9 % 
Benchmark annualized volatility
     35.9 %      43.3 % 
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
. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to June 30, 2020.
For the six months ended June 30, 2021 and 2020, 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 15.7% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 26.7% for the six months ended June 30, 2020, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 1.2% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 1.9% for the six months ended June 30, 2020, can be attributed to a decrease in the value of the silver futures contracts during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (177,247 )     $ (27,294 ) 
Management fee
     157,576        62,885  
Brokerage commission
     11,268        7,921  
Net realized gain (loss)
     (8,808,722 )       (3,035,499 ) 
Change in net unrealized appreciation (depreciation)
     6,541,191        1,436,385  
Net Income (loss)
   $ (2,444,778 )     $ (1,626,408 ) 
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of futures, in conjunction with the timing of shareholder activity, prices during the six months ended June 30, 2021.
* 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 Silver.
 
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Table of Contents
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 23,691,070     $ 38,132,320  
NAV end of period
   $ 27,231,748     $ 29,787,034  
Percentage change in NAV
     14.9 %      (21.9 )% 
Shares outstanding beginning of period
     349,290       499,290  
Shares outstanding end of period
     349,290       399,290  
Percentage change in shares outstanding
     —   %      (20.0 )% 
Shares created
     100,000       100,000  
Shares redeemed
     100,000       200,000  
Per share NAV beginning of period
   $ 67.83     $ 76.37  
Per share NAV end of period
   $ 77.96     $ 74.60  
Percentage change in per share NAV
     15.0 %      (2.3 )% 
Percentage change in benchmark
     (7.1 )%      0.6 % 
Benchmark annualized volatility
     5.0 %      11.8 % 
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. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 499,290 outstanding Shares at December 31, 2019 to 399,290 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the six months ended June 30, 2021 and 2020, 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 15.0% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV decrease of 2.3% for the six months ended June 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 7.1% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 0.6% for the six months ended June 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2021.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (131,833 )     $ (17,541 ) 
Management fee
     138,999        148,867  
Net realized gain (loss)
     2,857,659        (395,772 ) 
Change in net unrealized appreciation (depreciation)
     1,256,265        (630,608 ) 
Net Income (loss)
   $ 3,982,091      $ (1,043,921 ) 
The Fund’s net income increased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2021.
 
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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, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 72,075,095     $ 45,986,584  
NAV end of period
   $ 92,662,734     $ 59,085,470  
Percentage change in NAV
     28.6 %      28.5 % 
Shares outstanding beginning of period
     1,962,403       2,162,403  
Shares outstanding end of period
     3,037,403       1,462,403  
Percentage change in shares outstanding
     54.8 %      (32.4 )% 
Shares created
     1,425,000       1,100,000  
Shares redeemed
     350,000       1,800,000  
Per share NAV beginning of period
   $ 36.73     $ 21.27  
Per share NAV end of period
   $ 30.51     $ 40.40  
Percentage change in per share NAV
     (16.9 )%      90.0 % 
Percentage change in benchmark
     (16.4 )  %      90.9 % 
Benchmark annualized volatility
     30.8   %      75.1 % 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500® VIX Short-Term Futures Index, the benchmark for ProShares VIX Mid-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
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. By comparison, during the six months ended June 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 2,162,403 outstanding Shares at December 31, 2019 to 1,462,403 outstanding Shares at June 30, 2020.
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.9% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 90.0% for the six months ended June 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 16.4% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 90.9% for the six months ended June 30, 2020, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended June 30, 2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (431,944 )     $ (85,793 ) 
Management fee
     365,346        218,560  
Brokerage commission
     27,408        32,623  
Net realized gain (loss)
     (10,866,226 )       20,952,940  
Change in net unrealized appreciation (depreciation)
     (4,703,492 )       3,669,337  
Net Income (loss)
   $ (16,001,662 )     $ 24,536,484  
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of the futures prices during the six months ended June 30, 2021.
 
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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, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
   
Six Months Ended
June 30, 2020
 
NAV beginning of period
   $ 293,390,549     $ 279,792,503  
NAV end of period
   $ 272,352,675     $ 221,343,175  
Percentage change in NAV
     (7.2 )%      (20.9 )% 
Shares outstanding beginning of period
     5,331,579       5,687,829  
Shares outstanding end of period
     11,307,826       1,981,579  
Percentage change in shares outstanding
     112.1 %      (65.2 )% 
Shares created
     10,256,250       2,668,750  
Shares redeemed
     4,280,003       6,375,000  
Per share NAV beginning of period
   $ 55.03     $ 49.19  
Per share NAV end of period
   $ 24.09     $ 111.70  
Percentage change in per share NAV
     (56.2 )%      127.1 % 
Percentage change in benchmark
     (56.0 )%      128.5 % 
Benchmark annualized volatility
     76.0 %      132.5 % 
On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500® VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.
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. By comparison, during the six months ended June 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,687,829 outstanding Shares at December 31, 2019 to 1,981,579 outstanding Shares at June 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the six months ended June 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 56.2% for the six months ended June 30, 2021, as compared to the Fund’s per Share NAV increase of 127.1% for the six months ended June 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the six months ended June 30, 2021.
The benchmark’s decline of 56.0% for the six months ended June 30, 2021, as compared to the benchmark’s rise of 128.5% for the six months ended June 30, 2020, can be attributed to a decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended June 30, 2021.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2021 and 2020:
 
    
Six Months Ended
June 30, 2021
    
Six Months Ended
June 30, 2020
 
Net investment income (loss)
   $ (2,122,386 )     $ (299,597 ) 
Management fee
     1,494,823        1,024,560  
Brokerage commission
     267,497        244,857  
Net realized gain (loss)
     (252,481,234 )       324,892,071  
Change in net unrealized appreciation (depreciation)
     (14,438,507 )       16,033,274  
Net Income (loss)
   $ (269,042,127 )     $ 340,625,748  
The Fund’s net income decreased for the six months ended June 30, 2021 as compared to the six months ended June 30, 2020, primarily due to a decrease in the value of the futures prices during the six months ended June 30, 2021.
 
*
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 VIX Short-Term Futures ETF.
 
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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, 2021 and 2020, each of the Fund’s positions were as follows:
ProShares Short Euro
:
As of June 30, 2021 and 2020, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2021 and 2020, which were sensitive to exchange rate price risk.
Futures Positions as of June 30, 2021
 
Contract
  
Long or 
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Euro Fx Currency Futures (CME)
   Short    September 2021      15      $ 1.19        125,000      $ (2,224,688 ) 
Futures Positions as of June 30, 2020
 
Contract
  
Long or 
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Euro Fx Currency Futures (CME)
   Long    September 2020      16      $ 1.13        125,000      $ 2,250,500  
The June 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $1.00 of short exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
ProShares Short VIX Short-Term Futures ETF
As of June 30, 2021 and 2020, 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, 2021 and 2020, which were sensitive to equity market volatility risk.
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 ) 
 
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Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
   Short    July 2020      4,764      $ 30.88        1,000      $ (147,088,500 ) 
VIX Futures (Cboe)
   Short    August 2020      3,411        31.83        1,000        (108,555,075 ) 
The June 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
ProShares Ultra Bloomberg Crude Oil:
As of June 30, 2021 and 2020, 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
and Bloomberg WTI Crude Oil Subindex
SM
, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2021 and 2020, which were sensitive to commodity price risk.
 
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  
 
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  
 
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Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
   Long    September 2020      17,132      $ 39.34        1,000      $ 673,972,880  
WTI Crude Oil (NYMEX)
   Long    October 2020      22,205        39.48        1,000        876,653,400  
WTI Crude Oil (NYMEX)
   Long    December 2020      25,357        39.68        1,000        1,006,165,760  
 
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
   Goldman Sachs International    Long    $ 37.2575      $ 225,096,897  
Morgan Stanley WTI Crude Oil Subindex
   Morgan Stanley    Long      287.8039        129,511,755  
Bloomberg WTI Crude Oil Subindex
   Societe Generale    Long      37.2575        107,081,626  
The June 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2021 and 2020 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, 2021 and 2020, 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, 2021 and 2020, which were sensitive to commodity price risk.
 
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  
 
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Natural Gas (NYMEX)
   Long    September 2020      5,659      $ 1.79        10,000      $ 101,239,510  
The June 30, 2021 and 2020 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, 2021 and 2020, 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, 2021 and 2020, which were sensitive to exchange rate price risk.
 
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 ) 
 
Foreign Currency Forward Contracts as of June 30, 2020
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local
Currency
   
Forward
Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International    Long      07/10/20        3,440,921       1.1227      $ 3,862,950  
Euro
   UBS AG    Long      07/10/20        4,020,302       1.1283        4,536,305  
Euro
   UBS AG    Short      07/10/20        (203,000 )      1.1264        (228,659 ) 
The June 30, 2021 and 2020 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, 2021 and 2020 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, 2021 and 2020, which were sensitive to commodity price risk.
 
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  
 
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  
 
Futures Positions as of June 30, 2020
 
Contract
  
Long or 
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Gold Futures (COMEX)
   Long    August 2020      721      $ 1,800.50        100      $ 129,816,050  
 
 
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Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.    Long    $ 203.8550      $ 70,552,163  
Bloomberg Gold Subindex
   Goldman Sachs International    Long      203.8550        69,644,070  
Bloomberg Gold Subindex
   UBS AG    Long      203.8550        61,364,755  
The June 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2021 and 2020 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, 2021 and 2020 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, 2021 and 2020, which were sensitive to commodity price risk.
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  
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  
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Silver Futures (COMEX)
   Long    September 2020      1,928      $ 18.64        5,000      $ 179,660,680  
 
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Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.    Long    $ 172.6990      $ 135,066,136  
Bloomberg Silver Subindex
   Goldman Sachs International    Long      172.6990        93,005,691  
Bloomberg Silver Subindex
   UBS AG    Long      172.6990        91,761,402  
The June 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2021 and 2020 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, 2021 and 2020, 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, 2021 and 2020, which were sensitive to equity market volatility risk.
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  
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
   Long    July 2020      26,764      $ 30.88        1,000      $ 826,338,500  
VIX Futures (Cboe)
   Long    August 2020      19,103        31.83        1,000        607,952,975  
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or Short
  
Index Close
    
Notional Amount
at Value
 
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
   Goldman Sachs & Co.    Long    $ 34.0592      $ 52,525,586  
 
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The June 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2021 and 2020 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares Ultra Yen:
As of June 30, 2021 and 2020, 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, 2021 and 2020, which were sensitive to exchange rate price risk.
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 ) 
Foreign Currency Forward Contracts as of June 30, 2020
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local
Currency
   
Forward Rate
    
Market Value
USD
 
Yen
   Goldman Sachs International    Long      07/10/20        336,014,517       0.009196      $ 3,089,931  
Yen
   UBS AG    Long      07/10/20        274,932,756       0.009201        2,529,705  
Yen
   UBS AG    Short      07/10/20        (12,240,000 )      0.009236        (113,045 ) 
The June 30, 2021 and 2020 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Australian Dollar:
As of June 30, 2021 and 2020, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2021 and 2020, which were sensitive to exchange rate price risk.
 
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Table of Contents
Futures Positions as of June 30, 2021
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional
Amount at
Value
 
Australian Dollar Fx Currency Futures (CME)
     Short        September 2021        61      $ 75.01        1,000      $ (4,573,780 ) 
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional
Amount at
Value
 
Australian Dollar Fx Currency Futures (CME)
     Short        September 2020        163      $ 69.01        1,000      $ (11,255,150 ) 
The June 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Bloomberg Crude Oil:
As of June 30, 2021 and 2020, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
and Bloomberg WTI Crude Oil Subindex
SM
, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2021 and 2020, which were sensitive to commodity price risk.
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 ) 
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
    
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
     Short      September 2020      919      $ 39.34        1,000      $ (36,153,460 ) 
WTI Crude Oil (NYMEX)
     Short      October 2020      1,990        39.48        1,000        (78,565,200 ) 
WTI Crude Oil (NYMEX)
     Short      December 2020      1,980        39.68        1,000        (78,566,400 ) 
 
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Table of Contents
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
    
Long or
Short
    
Index Close
    
Notional Amount
at Value
 
Bloomberg WTI Crude Oil Subindex
     Goldman Sachs International        Short      $ 37.2575      $ (42,317,531 ) 
The June 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. June 30, 2021 and 2020 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Bloomberg Natural Gas:
As of June 30, 2021 and 2020, 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, 2021 and 2020, which were sensitive to commodity price risk.
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 ) 
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
    
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Natural Gas (NYMEX)
     Short      September
2020 		     3,192      $ 1.79        10,000      $ (57,104,880 ) 
The June 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Euro:
As of June 30, 2021 and 2020, 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, 2021 and 2020, which were sensitive to exchange rate price risk.
 
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Table of Contents
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 ) 
Foreign Currency Forward Contracts as of June 30, 2020
 
Reference Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local
Currency
   
Forward
Rate
    
Market Value
USD
 
Euro
   UBS AG      Long        07/10/20        24,450,000       1.1306      $ 27,643,554  
Euro
   Goldman Sachs International      Short        07/10/20        (42,027,263 )      1.1227        (47,181,907 ) 
Euro
   UBS AG      Short        07/10/20        (123,240,199 )      1.1229        (138,384,964 ) 
The June 30, 2021 and 2020 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Gold:
As of June 30, 2021 and 2020 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, 2021 and 2020, which were sensitive to commodity price risk.
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 ) 
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional
Amount at
Value
 
Gold Futures (COMEX)
     Short        August 2020        46      $ 1,800.50        100      $ (8,282,300 ) 
 
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Table of Contents
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount
at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.    Short    $ 203.8550      $ (10,722,833 ) 
Bloomberg Gold Subindex
   Goldman Sachs International    Short      203.8550        (8,036,739 ) 
Bloomberg Gold Subindex
   UBS AG    Short      203.8550        (4,678,097 ) 
The June 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2021 and 2020 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Silver:
As of June 30, 2021 and 2020 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, 2021 and 2020, which were sensitive to commodity price risk.
 
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 ) 
   Morgan Stanley & Co.         
Bloomberg Silver Subindex
   International PLC    Short      238.4964        (9,263,439 ) 
Bloomberg Silver Subindex
   UBS AG    Short      238.4964        (16,415,733 ) 
 
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Silver Futures (COMEX)
   Short    September 2020      74      $ 18.64        5,000      $ (6,895,690 ) 
 
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Table of Contents
Swap Agreements as of June 30, 2020
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional
Amount at
Value
 
Bloomberg Silver Subindex
   Citibank, N.A.    Short    $ 172.6990      $ (5,885,533 ) 
Bloomberg Silver Subindex
   Goldman Sachs International    Short      172.6990        (3,503,375 ) 
Bloomberg Silver Subindex
   UBS AG    Short      172.6990        (4,010,780 ) 
The June 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2021 and 2020 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Yen:
As of June 30, 2021 and 2020, 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, 2021 and 2020, which were sensitive to exchange rate price risk.
 
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 ) 
Foreign Currency Forward Contracts as of June 30, 2020
 
Reference Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local Currency
   
Forward Rate
    
Market Value
USD
 
Yen
   UBS AG    Long      07/10/20        667,860,000       0.009305      $ 6,214,279  
Yen
   Goldman Sachs International    Short      07/10/20        (1,888,338,165 )      0.009196        (17,364,827 ) 
Yen
   UBS AG    Short      07/10/20        (5,209,742,875 )      0.009190        (47,878,145 ) 
The June 30, 2021 and 2020 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
 
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ProShares VIX Mid-Term Futures ETF
As of June 30, 2021 and 2020, 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, 2021 and 2020, which were sensitive to equity market volatility risk.
 
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  
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
   Long    October 2020      378      $ 33.18        1,000      $ 12,540,150  
VIX Futures (Cboe)
   Long    November 2020      647        30.58        1,000        19,782,025  
VIX Futures (Cboe)
   Long    December 2020      647        29.08        1,000        18,811,525  
VIX Futures (Cboe)
   Long    January 2021      270        29.43        1,000        7,944,750  
The June 30, 2021 and 2020 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, 2021 and 2020, 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, 2021 and 2020, which were sensitive to equity market volatility risk.
 
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  
Futures Positions as of June 30, 2020
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
   Long    July 2020      4,125      $ 30.88        1,000      $ 127,359,375  
VIX Futures (Cboe)
   Long    August 2020      2,943        31.83        1,000        93,660,975  
 
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The June 30, 2021 and 2020 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
 
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the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.
Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).
Equity Market Volatility Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.
Managing Market Risks
Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-0.5x, -1x, -2x, 1.5x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described in Item 7 of the Annual Report on Form 10-K, these adjustments are done through the use of various Financial Instruments. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.
For Geared Funds, the impact of the index’s movements each day also affects whether the Fund’s portfolio needs to be rebalanced. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds and UltraShort Funds will generally decrease when the Index rises on a given day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day. As a result, the Fund’s short exposure may need to be increased.
The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.
Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in both non-interest bearing and interest bearing demand deposit accounts. The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).
Item 4. Controls and Procedures.
Disclosure Controls and Procedures
Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of December 31, 2020, 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
 
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Table of Contents
Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to management, including the principal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.
Changes in Internal Control over Financial Reporting
There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended June 30, 2021 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.
Certifications
The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.
 
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Table of Contents
Part II. OTHER INFORMATION
Item 1. Legal Proceedings.
The Sponsor and the Trust are named as defendants in the following purported class action lawsuits filed in the United States District Court for the Southern District of New York on the following dates: (i) on January 29, 2019 and captioned Ford v. ProShares Trust II et al.; (ii) on February 27, 2019 and captioned Bittner v. ProShares Trust II, et al.; and (iii) on March 1, 2019 and captioned Mareno v. ProShares Trust II, et al. The allegations in the complaints are substantially the same, namely that the defendants violated Sections 11 and 15 of the 1933 Act, Sections 10(b) and 20(a) and Rule 10b-5 of the 1934 Act, and Items 303 and 105 of Regulation S-K, 17 C.F.R. Section 229.303(a)(3)(ii), 229.105 by issuing untrue statements of material fact and omitting material facts in the prospectus for ProShares Short VIX Short-Term Futures ETF, and allegedly failing to state other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and Officers of the Trust are also defendants in the actions, along with a number of others. The District Court consolidated the three actions and appointed lead plaintiffs and lead counsel. On January 3, 2020, the District Court granted defendants’ motion to dismiss the consolidated class action in its entirety and ordered the case closed. On January 31, 2020, the plaintiffs filed a notice of appeal to the Second Circuit Court of Appeals. On March 4, 2021, the Second Circuit Court of Appeals heard oral argument. On March 15, 2021, the Second Circuit Court of Appeals found the plaintiffs’ arguments to be without merit and affirmed the District Court’s judgement.
Item 1A. Risk Factors.
Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.
During April 2020, the collapse of demand for fuel as a result of economic conditions relating to COVID-19 and other factors created an oversupply of crude oil production that rapidly filled most available oil storage facilities. As a result, market participants who contractually promised to buy and take delivery of crude oil were unable to store the crude oil and were at risk of default under the terms of the May 2020 WTI crude oil futures contract. The scarcity in storage was widespread, and some market participants took the extreme measure of selling their futures contracts at a negative price (effectively paying another market participant to accept their crude oil). As a result, for the first time in history, a period of “extraordinary contango” resulted in certain crude oil futures contracts trading below zero. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and could cause significant losses. The oversupply of oil may continue, impacting futures contracts for other delivery months. Such circumstances may arise as a result of a number of factors, including the following: (1) disruptions in oil pipelines and other means to get oil out of storage and delivered to refineries (as might occur due to infrastructure deterioration, work stoppages, or weather/disaster); (2) any agreement by oil producing nations regarding production limits; or (3) potential government intervention (in the form of grants or other aid) to keep oil producers, and the workers they employ, in service. It is not possible to predict if or when these economic conditions will reverse. Any reversal of these conditions could have a significant negative impact on the performance of the Short Crude Oil Fund.
The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.
Extreme market volatility and economic turbulence in the first part of 2020 has led to futures commission merchants increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some futures commission merchants may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts. If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.
 
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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. In April 2020, the unemployment rate in the U.S. was extremely high by historical standards. Further, the global slowdown in the economy contributed to a significant oversupply in the crude oil market, resulting in historic shocks to, and extreme volatility in, the price of oil and related derivatives contracts. It is not possible to predict when unemployment and market conditions will return to more normal levels.
Market downturns, disruptions or illiquidity as a result of, or related to, the COVID-19 pandemic can have a significant negative impact on the value of Fund portfolio investments, the operations of each Fund, the markets in which the Funds invest and the trading of Fund Shares in the secondary market. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margin and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transact on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure consistent with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. These and other global economic shocks as a result of the COVID-19 pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.
 
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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
  
Amount Registered as of
June 30, 2021
    
Shares Sold For the
Three Months Ended
June 30, 2021
    
Sale Price of Shares
Sold For the Three
Months Ended
June 30, 2021
    
Shares Sold For the
Six Months Ended
June 30, 2021
    
Sale Price of Shares Sold
For the Six Months
Ended June 30, 2021
 
ProShares Short Euro Common Units of Beneficial Interest
   $ 203,055,627        —        $ —          —        $ —    
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest
   $ 1,418,967,805        450,000      $ 21,503,474        2,850,000      $ 119,612,942  
ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest
   $ 2,698,414,797        1,050,000      $ 60,208,663        3,400,000      $ 177,252,853  
ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest
   $ 386,032,584        650,000      $ 13,706,591        4,050,000      $ 90,187,414  
ProShares Ultra Euro Common Units of Beneficial Interest
   $ 186,681,873        100,000      $ 1,488,793        100,000      $ 1,488,793  
ProShares Ultra Gold Common Units of Beneficial Interest
   $ 594,079,932        400,000      $ 23,214,269        1,000,000      $ 60,276,530  
ProShares Ultra Silver Common Units of Beneficial Interest
   $ 817,900,286        1,000,000      $ 46,374,159        3,400,000      $ 166,773,794  
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest
   $ 6,066,240,184        12,955,000      $ 434,635,046        32,585,000      $ 2,373,778,077  
ProShares Ultra Yen Common Units of Beneficial Interest
   $ 201,792,144        —        $ —          —        $ —    
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest
   $ 159,935,804        —        $ —          —        $ —    
ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest
   $ 1,124,471,841        1,937,500      $ 43,181,460        3,887,500      $ 107,484,439  
ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest
   $ 478,890,865        3,450,000      $ 93,913,245        7,550,000      $ 235,963,431  
ProShares UltraShort Euro Common Units of Beneficial Interest
   $ 486,592,151        —        $ —          200,000      $ 4,613,244  
ProShares UltraShort Gold Common Units of Beneficial Interest
   $ 178,478,592        300,000      $ 10,071,690        1,050,000      $ 37,362,906  
 
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Title of Securities Registered
  
Amount Registered as of
June 30, 2021
    
Shares Sold For the
Three Months Ended
June 30, 2021
    
Sale Price of Shares
Sold For the Three
Months Ended
June 30, 2021
    
Shares Sold For the
Six Months Ended
June 30, 2021
    
Sale Price of Shares Sold
For the Six Months
Ended June 30, 2021
 
ProShares UltraShort Silver Common Units of Beneficial Interest
   $ 454,916,081        300,000      $ 7,086,666        2,750,000      $ 65,182,313  
ProShares UltraShort Yen Common Units of Beneficial Interest
   $ 484,084,957        —        $ —          100,000      $ 7,132,412  
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest
   $ 332,636,785        1,025,000      $ 33,730,245        1,425,000      $ 49,610,239  
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest
   $ 1,128,860,082        3,925,000      $ 124,484,014        10,256,250      $ 451,376,724  
  
 
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Total Trust:
  
$
17,402,032,390
      
27,542,500
    
$
913,598,315
      
74,603,750
    
$
3,948,096,111
 
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)
   Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL
104.1    tags are embedded within the inline XBRL document.
(1)    Filed herewith.
*    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 6, 2021
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: August 6, 2021
 
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