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目录
 
 
美国
美国证券交易委员会
华盛顿特区,20549
 
 
形式 10-Q
 
 
 
根据1934年《证券交易法》第13或15(D)节提交的截至该季度的季度报告9月30日, 2024.
 
根据1934年证券交易法第13或15(d)条的过渡期报告
      
      
.
委托文件编号:001-34200
 
 
ProShares信托II
(注册人的确切姓名载于其章程)
 
 
 
特拉华
 
87-6284802
(述明或其他司法管辖权
公司或组织)
 
(税务局雇主
识别号码)
C/o ProShare Capital Management LLC
威斯康星大道7272号, 21
St
地板
贝塞斯达, 马里兰州 20814
(主要行政办公室地址)(邮政编码)
(240) 497-6400
(注册人的电话号码,包括区号)
根据该法第12(B)节登记的证券:
 
每个班级的标题
 
交易代码
 
各交易所名称
在其上注册的
ProShares Short VIX短期期货ETF   SVXY   CBOE BZX交易所
ProShares超彭博原油   UCO   纽约证券交易所Arca
ProShares Ultra Bloomberg天然气   煮沸   纽约证券交易所Arca
ProShares超级欧元   ULE   纽约证券交易所Arca
ProShares Ultra Gold   UGL   纽约证券交易所Arca
ProShares超银牌   AGQ   纽约证券交易所Arca
ProShares Ultra VIX短期期货ETF   UVXY   CBOE BZX交易所
ProShares超级日元   YCL   纽约证券交易所Arca
ProShares UltraShort彭博原油   上海合作组织   纽约证券交易所Arca
ProShares UltraShort彭博天然气   KOLD   纽约证券交易所Arca
ProShares UltraShort欧元   Euo   纽约证券交易所Arca
ProShares UltraShort金牌   GLL   纽约证券交易所Arca
ProShares UltraShort银牌   ZSL   纽约证券交易所Arca
ProShares UltraShort日元   YCS   纽约证券交易所Arca
ProShares VIX中期期货ETF   VIXM   CBOE BZX交易所
ProShares VIX短期期货ETF   维克西   CBOE BZX交易所
根据该法第12(G)节登记的证券:无
 
 
用复选标记表示注册人(1)是否已在过去12个月内(或在要求注册人提交此类报告的较短时间内)提交了1934年《证券交易法》第13或15(D)节要求提交的所有报告,以及(2)在过去90天内一直符合此类提交要求。 ☒ 是的 ☐ 编号
通过勾选来验证注册人是否已在过去12个月内(或在注册人被要求提交此类文件的较短期限内)以电子方式提交了根据S-t法规第405条(本章第232.405条)要求提交的所有交互数据文件。  是的 ☐ 编号
通过复选标记来确定注册人是大型加速申报人、加速申报人、非加速申报人、小型报告公司还是新兴成长型公司。请参阅《交易法》第120亿.2条规则中“大型加速备案人”、“加速备案人”、“小型报告公司”和“新兴成长型公司”的定义。
 
大型加速文件服务器      加速文件管理器  
非加速文件管理器      规模较小的新闻报道公司  
新兴市场成长型公司       
如果是一家新兴的成长型公司,用复选标记表示注册人是否选择不使用延长的过渡期来遵守根据《交易法》第13(A)节提供的任何新的或修订的财务会计准则。 ☐
通过勾选标记检查注册人是否是空壳公司(定义见《交易法》第120亿.2条)。  是的  没有
在根据法院确认的计划发行证券后,通过勾选标记检查登记人是否已提交1934年证券交易法第12、13或15(d)条要求提交的所有文件和报告。是否    
截至2024年11月4日,注册人已
 173,759,561 普通股,每股面值0美元,已发行。
 
 
 

目录
ProShares信托II
目录表
 
    
页面
 
  
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目录
第一部分财务信息
项目 1.财务报表
索引
 
文件
  
页面
 
财务状况表、投资表、经营表、股东权益变动表和现金流量表:
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1

目录
ProShares短波动率指数短期期货ETF
财务状况表
 
 
  
9月30日,
2024

(未经审计)
 
  
12月31日,
2023
 
 
  
 
 
  
(As重述)
 
资产
  
  
美国政府和机构的短期债务(附注3)(成本为$224,220,194 和$109,391,681,分别)
   $ 224,255,645      $ 109,410,342  
现金
     44,257,427        54,492,235  
期货合约与经纪商的单独现金余额
     95,000,175        107,839,052  
未平仓期货合约的应收账款
     3,939,430        11,214,160  
应收利息
     881,876        456,930  
  
 
 
    
 
 
 
总资产
     368,334,553        283,412,719  
  
 
 
    
 
 
 
负债和股东权益
     
负债
     
为赎回股本支付的款项
            15,522,316  
未平仓期货合约的应付款项
     3,421,324        447,611  
应付经纪佣金和期货账户手续费
     3,966        9,571  
应向保荐人付款
     334,907        248,862  
  
 
 
    
 
 
 
总负债
     3,760,197        16,228,360  
  
 
 
    
 
 
 
承付款和或有事项(附注2)
     
股东权益
     
股东权益
     364,574,356        267,184,359  
  
 
 
    
 
 
 
总负债和股东权益
   $ 368,334,553      $ 283,412,719  
  
 
 
    
 
 
 
流通股
     7,268,614        5,168,614  
  
 
 
    
 
 
 
每股资产净值
   $ 50.16      $ 51.69  
  
 
 
    
 
 
 
每股市值(附注2)
   $ 50.11      $ 51.70  
  
 
 
    
 
 
 
见财务报表附注。
 
2

目录
ProShares短波动率指数短期期货ETF
投资明细表
2024年9月30日
(未经审计)
 
     本金金额      价值  
美国政府和机构的短期债务
     
(62股东权益的百分比)
     
美国国库券:
     
5.256到期% 10/10/24
   $ 50,000,000      $ 49,941,805  
5.226到期% 10/24/24
     100,000,000        99,697,880  
5.120到期% 11/05/24
     50,000,000        49,774,350  
4.801到期% 11/19/24
     25,000,000        24,841,610  
     
 
 
 
美国政府和机构的短期债务总额
(cost $224,220,194)
      $ 224,255,645  
     
 
 
 
售出的期货合约
 
    
数量

合同
    
名义金额

按价值计算
    
未实现
欣赏
(折旧)/价值
 
VIX期货- Cboe,2024年10月到期
     5,429      $ 102,295,932      $ 352,766  
VIX期货- Cboe,2024年11月到期
     4,431        80,190,023        (737,248
        
 
 
 
         $ (384,482
        
 
 
 
 
^^
显示的汇率代表购买时的折扣率。
见财务报表附注。
 
3

目录
ProShares短波动率指数短期期货ETF
营运说明书
(未经审计)
 
    
止三个月

9月30日,
   
止九个月

9月30日,
 
  
2024
   
2023
   
2024
   
2023
 
投资收益
        
兴趣
   $ 5,814,236     $ 2,624,180     $ 12,580,744     $ 7,170,512  
  
 
 
   
 
 
   
 
 
   
 
 
 
费用
        
管理费
     1,173,293       634,871       2,616,334       1,817,684  
经纪佣金
     346,441       137,943       688,357       387,868  
期货账户手续费
     24,896             24,896        
  
 
 
   
 
 
   
 
 
   
 
 
 
总费用
     1,544,630       772,814       3,329,587       2,205,552  
  
 
 
   
 
 
   
 
 
   
 
 
 
净投资收益(亏损)
     4,269,606       1,851,366       9,251,157       4,964,960  
  
 
 
   
 
 
   
 
 
   
 
 
 
已实现和未实现的投资活动收益(损失)
        
已实现净收益(亏损)
        
期货合约
     (7,503,293     30,285,319       47,755,573       125,117,609  
美国政府和机构的短期债务
           4       17,669       (25,807
  
 
 
   
 
 
   
 
 
   
 
 
 
已实现净收益(损失)
     (7,503,293     30,285,323       47,773,242       125,091,802  
  
 
 
   
 
 
   
 
 
   
 
 
 
未实现净增值(折旧)的变化
        
期货合约
     (4,219,681     (26,316,590     (13,025,106     (13,479,766
美国政府和机构的短期债务
     33,407       (557     16,790       (9,103
  
 
 
   
 
 
   
 
 
   
 
 
 
未实现净增值(折旧)变动
     (4,186,274     (26,317,147     (13,008,316     (13,488,869
  
 
 
   
 
 
   
 
 
   
 
 
 
已实现和未实现净收益(亏损)
     (11,689,567     3,968,176       34,764,926       111,602,933  
  
 
 
   
 
 
   
 
 
   
 
 
 
净利润(亏损)
   $ (7,419,961   $ 5,819,542     $ 44,016,083     $ 116,567,893  
  
 
 
   
 
 
   
 
 
   
 
 
 
见财务报表附注。
 
4

目录
ProShares短波动率指数短期期货ETF
股东权益变动表
(未经审计)
 
    
止三个月

9月30日,
   
止九个月

9月30日,
 
  
2024
   
2023
   
2024
   
2023
 
期初股东权益
   $ 298,712,515     $ 282,353,267     $ 267,184,359     $ 339,591,638  
  
 
 
   
 
 
   
 
 
   
 
 
 
添加12,300,000, 1,300,000, 15,050,0007,300,000 分别股份(注1)
     562,757,352       56,262,968       710,001,613       241,582,456  
赎回9,900,000, 1,900,000, 12,950,00012,800,000 分别股份(注1)
     (489,475,550     (82,737,030     (656,627,699     (436,043,240
  
 
 
   
 
 
   
 
 
   
 
 
 
净增加(赎回) 2,400,000, (600,000), 2,100,000 和(5,500,000)分别股份(注1)
     73,281,802       (26,474,062     53,373,914       (194,460,784
  
 
 
   
 
 
   
 
 
   
 
 
 
净投资收益(亏损)
     4,269,606       1,851,366       9,251,157       4,964,960  
已实现净收益(损失)
     (7,503,293     30,285,323       47,773,242       125,091,802  
未实现净增值(折旧)变动
     (4,186,274     (26,317,147     (13,008,316     (13,488,869
  
 
 
   
 
 
   
 
 
   
 
 
 
净利润(亏损)
     (7,419,961     5,819,542       44,016,083       116,567,893  
  
 
 
   
 
 
   
 
 
   
 
 
 
期末股东权益
   $ 364,574,356     $ 261,698,747     $ 364,574,356     $ 261,698,747  
  
 
 
   
 
 
   
 
 
   
 
 
 
见财务报表附注。
 
5

目录
ProShares短波动率指数短期期货ETF
现金流量表
(未经审计)
 
 
  
止九个月

9月30日,
 
  
2024
 
 
2023
 
 
  
 
 
 
(As重述)
 
经营活动现金流
  
 
净利润(亏损)
   $ 44,016,083     $ 116,567,893  
将净收益(亏损)与经营活动提供(用于)的现金净额进行调整:
    
购买短期美国政府和机构债券
     (564,453,788     (584,136,375
出售或到期的短期美国政府和机构债务的收益
     455,017,669       626,824,736  
美国政府和机构短期债务的净摊销和增值
     (5,374,725     (3,086,541
投资已实现(收益)损失净额
     (17,669     25,807  
投资未实现(增值)折旧变动
     (16,790     9,103  
未平仓期货合约应收账款减少(增加)
     7,274,730       33,228,692  
应收利息减少(增加)
     (424,946 )     200,839  
向保荐人支付的款项增加(减少)
     86,045       (144,914 )
增加(减少)经纪佣金和应付期货账户手续费
     (5,605 )     (12,616 )
增加(减少)未平仓期货合约的应付金额
     2,973,713       2,802,168  
  
 
 
   
 
 
 
经营活动提供(用于)的现金净额
     (60,925,283 )     192,278,792  
  
 
 
   
 
 
 
融资活动产生的现金流
    
增发股份所得收益
     710,001,613       241,582,456  
赎回股份的付款
     (672,150,015 )     (441,905,054 )
  
 
 
   
 
 
 
融资活动提供(用于)的现金净额
     37,851,598       (200,322,598 )
  
 
 
   
 
 
 
现金净增(减)
     (23,073,685 )     (8,043,806 )
期初现金
     162,331,287       160,907,259  
  
 
 
   
 
 
 
期末现金
   $ 139,257,602     $ 152,863,453  
  
 
 
   
 
 
 
见财务报表附注。
 
6

目录
ProShares超彭博原油
财务状况表
 
    
2024年9月30日

(未经审计)
    
12月31日,
2023
 
资产
     
美国政府和机构的短期债务(附注3)(成本为$328,525,485 和$233,435,026,分别)
   $ 328,568,816      $ 233,476,941  
现金
     188,040,251        123,662,313  
期货合约与经纪商的单独现金余额
     66,227,471        70,781,753  
与经纪人达成掉期协议的单独现金余额
            203,734,760  
互换协议的未实现增值
     12,083,549        17,954,935  
出售股本应收账款
            5,255,022  
未平仓期货合约的应收账款
     1,704,350         
应收利息
     848,266        568,017  
  
 
 
    
 
 
 
总资产
     597,472,703        655,433,741  
  
 
 
    
 
 
 
负债和股东权益
     
负债
     
为赎回股本支付的款项
     3,803,543         
未平仓期货合约的应付款项
            2,099,944  
应付经纪佣金和期货账户手续费
            5,682  
应向保荐人付款
     446,905        534,678  
  
 
 
    
 
 
 
总负债
     4,250,448        2,640,304  
  
 
 
    
 
 
 
承付款和或有事项(附注2)
     
股东权益
     
股东权益
     593,222,255        652,793,437  
  
 
 
    
 
 
 
总负债和股东权益
   $ 597,472,703      $ 655,433,741  
  
 
 
    
 
 
 
流通股
     23,393,096        24,843,096  
  
 
 
    
 
 
 
每股资产净值
   $ 25.36      $ 26.28  
  
 
 
    
 
 
 
每股市值(附注2)
   $ 25.42      $ 26.10  
  
 
 
    
 
 
 
见财务报表附注。
 
7

目录
ProShares超彭博原油
投资明细表
2024年9月30日
(未经审计)
 
    
本金金额
    
价值
 
美国政府和机构的短期债务
     
(55股东权益的百分比)
     
美国国库券
^^
:
     
5.256到期% 10/10/24
   $ 25,000,000      $ 24,970,902  
5.226到期% 10/24/24
     105,000,000        104,682,774  
5.120到期% 11/05/24
     100,000,000        99,548,700  
4.801到期% 11/19/24
     100,000,000        99,366,440  
     
 
 
 
美国政府和机构的短期债务总额
(cost $328,525,485)
      $ 328,568,816  
     
 
 
 
购买的期货合约
 
    
数量

合同
    
名义金额

按价值计算
    
未实现
欣赏
(折旧)/价值
 
WTI原油-NYMEX,2024年12月到期
     2,269      $ 153,770,130      $ (2,196,057
WTI原油- NYMEX,2025年6月到期
     2,326        155,679,180        (1,378,340
WTI原油- NYMEX,2025年12月到期
     2,361        156,746,790        1,232,341  
        
 
 
 
         $ (2,342,056
        
 
 
 
总回报互换协议
^
 
    
已支付的费率

(已收到)
*
   
终端

日期
    
名义金额

按价值计算
**
    
未实现

赞赏

(折旧)/价值
 
与花旗银行基于彭博大宗商品平衡WTI原油指数的互换协议
     0.35     10/07/24      $ 143,374,704      $ 2,403,631  
与高盛国际基于彭博大宗商品均衡WTI原油指数的互换协议
     0.35       10/07/24        226,614,289        3,799,116  
与摩根士丹利国际PLC基于彭博大宗商品均衡WTI原油指数的掉期协议
     0.35       10/07/24        68,842,383        1,154,121  
基于彭博大宗商品均衡WTI原油指数与法国兴业银行的互换协议
     0.25       10/07/24        172,015,554        2,894,904  
基于彭博大宗商品均衡WTI原油指数与瑞银集团的互换协议
     0.30       10/07/24        109,053,861        1,831,777  
          
 
 
 
         
未变现总额
赞赏
 
 
   $ 12,083,549  
          
 
 
 
 
全部或部分质押作为互换协议抵押品的金额。
^
此处的头寸和交易对手截至2024年9月30日。该基金持续评估不同交易对手的交易,交易对手可能会发生变化。可以随时添加新的交易对手。
^^
显示的汇率代表购买时的折扣率。
*
反映截至2024年9月30日支付给交易对手或从交易对手收到的掉期协议名义金额的浮动融资利率,不包括任何佣金。总回报互换协议付款应在终止/到期时到期。
**
对于掉期协议,正数代表对基准指数的“多头”敞口。负值代表对基准指数的“做空”敞口。
见财务报表附注。
 
8

目录
ProShares超彭博原油
营运说明书
(未经审计)
 
    
止三个月

9月30日,
   
止九个月

9月30日,
 
  
2024
   
2023
   
2024
   
2023
 
投资收益
        
兴趣
   $ 6,074,652     $ 5,340,428     $ 17,591,301     $ 17,226,428  
  
 
 
   
 
 
   
 
 
   
 
 
 
费用
        
管理费
     1,266,843       1,629,737       4,088,647       5,249,353  
经纪佣金
     65,064       51,162       169,844       239,809  
  
 
 
   
 
 
   
 
 
   
 
 
 
总费用
     1,331,907       1,680,899       4,258,491       5,489,162  
  
 
 
   
 
 
   
 
 
   
 
 
 
净投资收益(亏损)
     4,742,745       3,659,529       13,332,810       11,737,266  
  
 
 
   
 
 
   
 
 
   
 
 
 
已实现和未实现的投资活动收益(损失)
        
已实现净收益(亏损)
        
期货合约
     (5,588,143     45,265,209       22,864,139       85,471,042  
互换协议
     (61,237,840     199,284,914       10,385,399       168,504,091  
美国政府和机构的短期债务
     (31     120       13,170       (59,258
  
 
 
   
 
 
   
 
 
   
 
 
 
已实现净收益(损失)
     (66,826,014     244,550,243       33,262,708       253,915,875  
  
 
 
   
 
 
   
 
 
   
 
 
 
未实现净增值(折旧)的变化
        
期货合约
     (15,224,501     15,311,614       1,173,176       (1,561,796
互换协议
     (43,864,043     12,933,232       (5,871,386     (62,918,586
美国政府和机构的短期债务
     46,734       (67,874     1,416       (13,931
  
 
 
   
 
 
   
 
 
   
 
 
 
未实现净增值(折旧)变动
     (59,041,810     28,176,972       (4,696,794     (64,494,313
  
 
 
   
 
 
   
 
 
   
 
 
 
已实现和未实现净收益(亏损)
     (125,867,824     272,727,215       28,565,914       189,421,562  
  
 
 
   
 
 
   
 
 
   
 
 
 
净利润(亏损)
   $ (121,125,079   $ 276,386,744     $ 41,898,724     $ 201,158,828  
  
 
 
   
 
 
   
 
 
   
 
 
 
见财务报表附注。
 
9

目录
ProShares超彭博原油
股东权益变动表
(未经审计)
 
    
止三个月

9月30日,
   
止九个月

9月30日,
 
  
2024
   
2023
   
2024
   
2023
 
期初股东权益
   $ 527,486,095     $ 738,194,368     $ 652,793,437     $ 859,094,274  
  
 
 
   
 
 
   
 
 
   
 
 
 
添加16,200,000, , 25,300,00034,650,000 股股份
     431,007,011             696,995,533       812,713,784  
赎回8,550,000, 13,950,000, 26,750,00045,900,000 股股份
     (244,145,772     (410,456,780     (798,465,439     (1,268,842,554
  
 
 
   
 
 
   
 
 
   
 
 
 
净增加(赎回) 7,650,000, (13,950,000), (1,450,000)和(11,250,000)股票分别
     186,861,239       (410,456,780     (101,469,906     (456,128,770
  
 
 
   
 
 
   
 
 
   
 
 
 
净投资收益(亏损)
     4,742,745       3,659,529       13,332,810       11,737,266  
已实现净收益(损失)
     (66,826,014     244,550,243       33,262,708       253,915,875  
未实现净增值(折旧)变动
     (59,041,810     28,176,972       (4,696,794     (64,494,313
  
 
 
   
 
 
   
 
 
   
 
 
 
净利润(亏损)
     (121,125,079     276,386,744       41,898,724       201,158,828  
  
 
 
   
 
 
   
 
 
   
 
 
 
期末股东权益
   $ 593,222,255     $ 604,124,332     $ 593,222,255     $ 604,124,332  
  
 
 
   
 
 
   
 
 
   
 
 
 
见财务报表附注。
 
10

目录
ProShares超彭博原油
现金流量表
(未经审计)
 
    
止九个月

9月30日,
 
  
2024
   
2023
 
经营活动现金流
    
净利润(亏损)
   $ 41,898,724     $ 201,158,828  
将净收益(亏损)与经营活动提供(用于)的现金净额进行调整:
    
购买短期美国政府和机构债券
     (1,176,903,761     (9,133,783,770
出售或到期的短期美国政府和机构债务的收益
     1,094,650,743       9,194,559,106  
美国政府和机构短期债务的净摊销和增值
     (12,824,271     (11,464,606
投资已实现(收益)损失净额
     (13,170     59,258  
投资未实现(增值)折旧变动
     5,869,970       62,932,517  
未平仓期货合约应收账款减少(增加)
     (1,704,350     8,466,027  
应收利息减少(增加)
     (280,249     281,128  
向保荐人支付的款项增加(减少)
     (87,773     (143,154
增加(减少)经纪佣金和应付期货账户手续费
     (5,682     (4,480
增加(减少)未平仓期货合约的应付金额
     (2,099,944     2,980,155  
  
 
 
   
 
 
 
经营活动提供(用于)的现金净额
     (51,499,763     325,041,009  
  
 
 
   
 
 
 
融资活动产生的现金流
    
增发股份所得收益
     702,250,555       812,713,784  
赎回股份的付款
     (794,661,896     (1,273,474,976
  
 
 
   
 
 
 
融资活动提供(用于)的现金净额
     (92,411,341     (460,761,192
  
 
 
   
 
 
 
现金净增(减)
     (143,911,104     (135,720,183
期初现金
     398,178,826       476,600,261  
  
 
 
   
 
 
 
期末现金
   $ 254,267,722     $ 340,880,078  
  
 
 
   
 
 
 
见财务报表附注。
 
11

目录
ProShares超彭博天然气
财务状况表
 
 
  
2024年9月30日

(未经审计)
 
  
12月31日,
2023
 
 
  
 
 
  
(As重述)
 
资产
  
  
美国政府和机构的短期债务(附注3)(成本为$323,763,134 和$64,445,510,分别)
   $ 323,797,810      $ 64,459,117  
现金
     139,227,354        326,252,692  
期货合约与经纪商的单独现金余额
     216,166,129        374,861,689  
出售股本应收账款
            4,281,925  
未平仓期货合约的应收账款
     22,694,887         
应收利息
     921,495        1,925,643  
  
 
 
    
 
 
 
总资产
     702,807,675        771,781,066  
  
 
 
    
 
 
 
负债和股东权益
     
负债
     
为赎回股本支付的款项
     50,484,250        19,366,361  
未平仓期货合约的应付款项
            21,843,883  
应付经纪佣金和期货账户手续费
     14,136        52,349  
应向保荐人付款
     488,184        625,665  
  
 
 
    
 
 
 
总负债
     50,986,570        41,888,258  
  
 
 
    
 
 
 
承付款和或有事项(附注2)
     
股东权益
     
股东权益
     651,821,105        729,892,808  
  
 
 
    
 
 
 
总负债和股东权益
   $ 702,807,675      $ 771,781,066  
  
 
 
    
 
 
 
已发行股份(注8)
     11,103,709        5,113,709  
  
 
 
    
 
 
 
每股净资产值(注8)
   $ 58.70      $ 142.73  
  
 
 
    
 
 
 
每股市值(注8)(注2)
   $ 58.00      $ 142.20  
  
 
 
    
 
 
 
见财务报表附注。
 
12

目录
ProShares超彭博天然气
投资明细表
2024年9月30日
(未经审计)
 
    
本金金额
    
价值
 
美国政府和机构的短期债务
     
(50股东权益的百分比)
     
美国国库券
^^
:
     
5.256到期% 10/10/24
   $ 100,000,000      $ 99,883,610  
5.226到期% 10/24/24
     75,000,000        74,773,410  
5.120到期% 11/05/24
     50,000,000        49,774,350  
4.801到期% 11/19/24
     100,000,000        99,366,440  
     
 
 
 
美国政府和机构的短期债务总额
(cost $323,763,134)
      $ 323,797,810  
     
 
 
 
购买的期货合约
 
    
数量

合同
    
名义金额

按价值计算
    
未实现
欣赏
(折旧)/价值
 
天然气- NYMEX,2024年11月到期
     44,626      $  1,304,417,980      $  107,189,385  
 
^^
显示的汇率代表购买时的折扣率。
见财务报表附注。
 
13

目录
ProShares超彭博天然气
营运说明书
(未经审计)
 
    
止三个月

9月30日,
   
止九个月

9月30日,
 
  
2024
   
2023
   
2024
   
2023
 
投资收益
        
兴趣
   $ 7,125,254     $ 9,098,504     $ 19,996,081     $ 26,923,732  
  
 
 
   
 
 
   
 
 
   
 
 
 
费用
        
管理费
     1,479,083       2,303,082       4,252,390       7,220,063  
经纪佣金
     681,738       629,541       2,170,207       2,727,691  
期货账户手续费
     46,576       131,828       188,737       531,306  
  
 
 
   
 
 
   
 
 
   
 
 
 
总费用
     2,207,397       3,064,451       6,611,334       10,479,060  
  
 
 
   
 
 
   
 
 
   
 
 
 
净投资收益(亏损)
     4,917,857       6,034,053       13,384,747       16,444,672  
  
 
 
   
 
 
   
 
 
   
 
 
 
已实现和未实现的投资活动收益(损失)
        
已实现净收益(亏损)
        
期货合约
     (372,130,469     221,454,698       (402,539,202     (1,418,539,604
互换协议
           15,625,140             (22,895,121
美国政府和机构的短期债务
           198             (7,018
  
 
 
   
 
 
   
 
 
   
 
 
 
已实现净收益(损失)
     (372,130,469     237,080,036       (402,539,202     (1,441,441,743
  
 
 
   
 
 
   
 
 
   
 
 
 
未实现净增值(折旧)的变化
        
期货合约
     260,225,054       (362,927,910     63,582,315       196,021,496  
互换协议
           (47,526,551           (1,438,294
美国政府和机构的短期债务
     34,676       (17,784     21,069       (8,113
  
 
 
   
 
 
   
 
 
   
 
 
 
未实现净增值(折旧)变动
     260,259,730       (410,472,245     63,603,384       194,575,089  
  
 
 
   
 
 
   
 
 
   
 
 
 
已实现和未实现净收益(亏损)
     (111,870,739     (173,392,209     (338,935,818     (1,246,866,654
  
 
 
   
 
 
   
 
 
   
 
 
 
净利润(亏损)
   $ (106,952,882   $ (167,358,156   $ (325,551,071   $ (1,230,421,982
  
 
 
   
 
 
   
 
 
   
 
 
 
见财务报表附注。
 
14

目录
ProShares超彭博天然气
股东权益变动表
(未经审计)
 
    
止三个月

9月30日,
   
止九个月

9月30日,
 
  
2024
   
2023
   
2024
   
2023
 
期初股东权益
   $ 540,643,821     $  1,141,021,278     $ 729,892,808     $ 586,151,113  
  
 
 
   
 
 
   
 
 
   
 
 
 
添加10,350,000, 2,590,000, 23,240,0009,143,000 分别股份(注1)(注8)
     549,317,432       739,093,446       1,667,588,651       3,899,918,459  
赎回6,180,000, 2,650,666, 17,250,0006,242,166 分别股份(注1)(注8)
     (331,187,266     (842,417,287     (1,420,109,283     (2,385,308,309
  
 
 
   
 
 
   
 
 
   
 
 
 
净增加(赎回) 4,170,000, (60,666), 5,990,0002,900,834 分别股份(注1)(注8)
     218,130,166       (103,323,841     247,479,368       1,514,610,150  
  
 
 
   
 
 
   
 
 
   
 
 
 
净投资收益(亏损)
     4,917,857       6,034,053       13,384,747       16,444,672  
已实现净收益(损失)
     (372,130,469     237,080,036       (402,539,202     (1,441,441,743
未实现净增值(折旧)变动
     260,259,730       (410,472,245     63,603,384       194,575,089  
  
 
 
   
 
 
   
 
 
   
 
 
 
净利润(亏损)
     (106,952,882     (167,358,156     (325,551,071     (1,230,421,982
  
 
 
   
 
 
   
 
 
   
 
 
 
期末股东权益
   $ 651,821,105     $ 870,339,281     $ 651,821,105     $ 870,339,281  
  
 
 
   
 
 
   
 
 
   
 
 
 
见财务报表附注。
 
15

目录
ProShares超彭博天然气
现金流量表
(未经审计)
 
 
  
止九个月

9月30日,
 
  
2024
 
 
2023
 
 
  
 
 
 
(As重述)
 
经营活动现金流
  
 
净利润(亏损)
   $ (325,551,071   $ (1,230,421,982
将净收益(亏损)与经营活动提供(用于)的现金净额进行调整:
    
购买短期美国政府和机构债券
     (470,623,691     (10,927,044,661
出售或到期的短期美国政府和机构债务的收益
     215,000,000       10,897,274,725  
美国政府和机构短期债务的净摊销和增值
     (3,693,933     (10,843,424
投资已实现(收益)损失净额
           7,018  
投资未实现(增值)折旧变动
     (21,069     1,446,407  
未平仓期货合约应收账款减少(增加)
     (22,694,887 )     (22,267,174 )
应收利息减少(增加)
     1,004,148       (830,414
向保荐人支付的款项增加(减少)
     (137,481 )     258,733  
增加(减少)经纪佣金和应付期货账户手续费
     (38,213 )     1,619  
增加(减少)未平仓期货合约的应付金额
     (21,843,883 )     2,763,059  
  
 
 
   
 
 
 
经营活动提供(用于)的现金净额
     (628,600,080 )     (1,289,656,094 )
  
 
 
   
 
 
 
融资活动产生的现金流
    
增发股份所得收益
     1,671,870,576       3,899,918,459  
赎回股份的付款
     (1,388,991,394 )     (2,354,647,812
  
 
 
   
 
 
 
融资活动提供(用于)的现金净额
     282,879,182       1,545,270,647  
  
 
 
   
 
 
 
现金净增(减)
     (345,720,898 )     255,614,553  
期初现金
     701,114,381       327,716,484  
  
 
 
   
 
 
 
期末现金
   $ 355,393,483     $ 583,331,037  
  
 
 
   
 
 
 
见财务报表附注。
 
16

目录
ProShares超欧元
财务状况表
 
    
2024年9月30日

(未经审计)
    
2023年12月31日
 
资产
     
现金
   $ 4,809,875      $ 6,162,459  
与经纪商就外币远期合约的单独现金余额
     568,421        623,000  
外币远期合约未实现升值
     47,355        308,424  
应收利息
     19,479        27,219  
  
 
 
    
 
 
 
总资产
     5,445,130        7,121,102  
  
 
 
    
 
 
 
负债和股东权益
     
负债
     
应向保荐人付款
     4,216        5,612  
外币远期合约未实现折旧
     705        1,475  
  
 
 
    
 
 
 
总负债
     4,921        7,087  
  
 
 
    
 
 
 
承付款和或有事项(附注2)
     
股东权益
     
股东权益
     5,440,209        7,114,015  
  
 
 
    
 
 
 
总负债和股东权益
   $ 5,445,130      $ 7,121,102  
  
 
 
    
 
 
 
流通股
     450,000        600,000  
  
 
 
    
 
 
 
每股资产净值
   $ 12.09      $ 11.86  
  
 
 
    
 
 
 
每股市值(附注2)
   $ 12.06      $ 11.84  
  
 
 
    
 
 
 
见财务报表附注。
 
17

目录
ProShares超欧元
投资明细表
2024年9月30日
(未经审计)
外币远期合约
^
 
    
结算日期
    
合同金额

以当地货币表示
   
合同金额

以美元计价
   
未实现

赞赏

(折旧)/

价值
 
采购合同
         
与高盛国际合作的欧元
     10/04/24        4,874,921     $ 5,427,517     $ 23,678  
欧元与瑞银集团
     10/04/24        5,080,502       5,656,401       23,677  
         
 
 
 
          完全未实现
欣赏
 
 
  $ 47,355  
         
 
 
 
销售合同
         
与高盛国际合作的欧元
     10/04/24        (56,000   $ (62,348   $ (477
欧元与瑞银集团
     10/04/24        (127,000     (141,396     (228
         
 
 
 
         
未变现总额
折旧
 
 
  $ (705
         
 
 
 
 
^
此处的头寸和交易对手截至2024年9月30日。该基金持续评估不同交易对手的交易,交易对手可能会发生变化。可以随时添加新的交易对手。
见财务报表附注。
 
18

目录
ProShares超欧元
营运说明书
(未经审计)
 
    
止三个月

9月30日,
   
止九个月

9月30日,
 
  
2024
    
2023
   
2024
   
2023
 
投资收益
         
兴趣
   $ 61,969      $ 80,746     $ 211,272     $ 266,165  
  
 
 
    
 
 
   
 
 
   
 
 
 
费用
         
管理费
     13,033        16,999       42,912       61,096  
  
 
 
    
 
 
   
 
 
   
 
 
 
总费用
     13,033        16,999       42,912       61,096  
  
 
 
    
 
 
   
 
 
   
 
 
 
净投资收益(亏损)
     48,936        63,747       168,360       205,069  
  
 
 
    
 
 
   
 
 
   
 
 
 
已实现和未实现的投资活动收益(损失)
         
已实现净收益(亏损)
         
外币远期合约
     182,638        (22,385     107,862       336,185  
  
 
 
    
 
 
   
 
 
   
 
 
 
已实现净收益(损失)
     182,638        (22,385     107,862       336,185  
  
 
 
    
 
 
   
 
 
   
 
 
 
未实现净增值(折旧)的变化
         
外币远期合约
     187,048        (462,400     (260,299     (638,368
  
 
 
    
 
 
   
 
 
   
 
 
 
未实现净增值(折旧)变动
     187,048        (462,400     (260,299     (638,368
  
 
 
    
 
 
   
 
 
   
 
 
 
已实现和未实现净收益(亏损)
     369,686        (484,785     (152,437     (302,183
  
 
 
    
 
 
   
 
 
   
 
 
 
净利润(亏损)
   $  418,622      $ (421,038   $ 15,923     $ (97,114
  
 
 
    
 
 
   
 
 
   
 
 
 
见财务报表附注。
 
19

目录
ProShares超欧元
股东权益变动表
(未经审计)
 
    
止三个月

9月30日,
   
止九个月

9月30日,
 
  
2024
   
2023
   
2024
   
2023
 
期初股东权益
   $  5,595,533     $ 7,535,435     $ 7,114,015     $  10,704,662  
  
 
 
   
 
 
   
 
 
   
 
 
 
添加, , 100,000200,000 股股份
                 1,140,357       2,296,437  
赎回50,000, 50,000, 250,000550,000 股股份
     (573,946     (590,916     (2,830,086     (6,380,504
  
 
 
   
 
 
   
 
 
   
 
 
 
净增加(赎回)(50,000), (50,000), (150,000)和(350,000)股票分别
     (573,946     (590,916     (1,689,729     (4,084,067
  
 
 
   
 
 
   
 
 
   
 
 
 
净投资收益(亏损)
     48,936       63,747       168,360       205,069  
已实现净收益(损失)
     182,638       (22,385     107,862       336,185  
未实现净增值(折旧)变动
     187,048       (462,400     (260,299     (638,368
  
 
 
   
 
 
   
 
 
   
 
 
 
净利润(亏损)
     418,622       (421,038     15,923       (97,114
  
 
 
   
 
 
   
 
 
   
 
 
 
期末股东权益
   $ 5,440,209     $ 6,523,481     $ 5,440,209     $ 6,523,481  
  
 
 
   
 
 
   
 
 
   
 
 
 
见财务报表附注。
 
20

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

September 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 15,923     $ (97,114
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Change in unrealized (appreciation) depreciation on investments
     260,299       638,368  
Decrease (Increase) in interest receivable
     7,740       15,036  
Increase (Decrease) in payable to Sponsor
     (1,396     (5,633
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     282,566       550,657  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     1,140,357       2,296,437  
Payment on shares redeemed
     (2,830,086     (6,380,504
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (1,689,729     (4,084,067
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (1,407,163     (3,533,410
Cash, beginning of period
     6,785,459       10,259,418  
  
 
 
   
 
 
 
Cash, end of period
   $ 5,378,296     $ 6,726,008  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
21

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $224,142,488 and $59,496,177, respectively)
   $ 224,172,785      $ 59,507,594  
Cash
     51,667,828        92,898,206  
Segregated cash balances with brokers for futures contracts
     11,452,100        4,523,500  
Segregated cash balances with brokers for swap agreements
            31,930,271  
Unrealized appreciation on swap agreements
     16,711,846        3,078,593  
Interest receivable
     361,871        276,736  
  
 
 
    
 
 
 
Total assets
     304,366,430        192,214,900  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
     4,820,196         
Payable on open futures contracts
     438,065        564,042  
Payable to Sponsor
     225,947        148,835  
  
 
 
    
 
 
 
Total liabilities
     5,484,208        712,877  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     298,882,222        191,502,023  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $  304,366,430      $  192,214,900  
  
 
 
    
 
 
 
Shares outstanding
     3,100,000        3,000,000  
  
 
 
    
 
 
 
Net asset value per share
   $ 96.41      $ 63.83  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 95.89      $ 63.87  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
22

Table of Contents
PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(75% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.256% due 10/10/24
   $ 50,000,000      $ 49,941,805  
5.226% due 10/24/24
     75,000,000        74,773,410  
5.120% due 11/05/24
     50,000,000        49,774,350  
4.801% due 11/19/24
     50,000,000        49,683,220  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $224,142,488)
      $ 224,172,785  
     
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2024
     1,004      $ 267,003,760      $ 17,896,142  
Total Return Swap Agreements
^
 
    
Rate Paid

(Received)
*
   
Termination

Date
    
Notional Amount

at Value
**
    
Unrealized

Appreciation

(Depreciation)/
Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
     0.25     10/07/24      $ 142,005,537      $ 7,175,825  
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
     0.25       10/07/24        67,448,138        3,408,289  
Swap agreement with UBS AG based on Bloomberg Gold Subindex
     0.25       10/07/24        121,264,368        6,127,732  
          
 
 
 
         
Total Unrealized
Appreciation
 
 
   $  16,711,846  
          
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of September 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of September 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
23

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
    
2023
   
2024
    
2023
 
Investment Income
          
Interest
   $ 3,315,167      $ 1,837,846     $ 8,148,441      $ 5,470,056  
  
 
 
    
 
 
   
 
 
    
 
 
 
Expenses
          
Management fee
     628,619        417,418       1,611,610        1,318,793  
Brokerage commissions
     9,213        5,346       27,209        20,886  
  
 
 
    
 
 
   
 
 
    
 
 
 
Total expenses
     637,832        422,764       1,638,819        1,339,679  
  
 
 
    
 
 
   
 
 
    
 
 
 
Net investment income (loss)
     2,677,335        1,415,082       6,509,622        4,130,377  
  
 
 
    
 
 
   
 
 
    
 
 
 
Realized and unrealized gain (loss) on investment activity
          
Net realized gain (loss) on
          
Futures contracts
     1,541,465        (6,609,223     16,072,123        1,311,944  
Swap agreements
     10,501,253        (10,266,780     46,009,687        9,808,518  
Short-term U.S. government and agency obligations
            138       3,011        (28,324
  
 
 
    
 
 
   
 
 
    
 
 
 
Net realized gain (loss)
     12,042,718        (16,875,865     62,084,821        11,092,138  
  
 
 
    
 
 
   
 
 
    
 
 
 
Change in net unrealized appreciation (depreciation) on
          
Futures contracts
     18,663,834        2,767,991       13,799,867        (5,859,828
Swap agreements
     23,264,503        (3,290,106     13,633,253        (16,839,655
Short-term U.S. government and agency obligations
     29,160        (18,571     18,880        (7,666
  
 
 
    
 
 
   
 
 
    
 
 
 
Change in net unrealized appreciation (depreciation)
     41,957,497        (540,686     27,452,000        (22,707,149
  
 
 
    
 
 
   
 
 
    
 
 
 
Net realized and unrealized gain (loss)
     54,000,215        (17,416,551     89,536,821        (11,615,011
  
 
 
    
 
 
   
 
 
    
 
 
 
Net income (loss)
   $  56,677,550      $ (16,001,469   $  96,046,443      $ (7,484,634
  
 
 
    
 
 
   
 
 
    
 
 
 
See accompanying notes to financial statements.
 
24

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 216,456,025     $ 180,916,531     $ 191,502,023     $ 173,524,136  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 850,000, 50,000, 1,650,000 and 500,000 shares, respectively
     74,000,508       3,076,173       130,539,933       31,285,647  
Redemption of 550,000, 350,000, 1,550,000 and 850,000 shares, respectively
     (48,251,861     (20,294,678     (119,206,177     (49,628,592
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 300,000, (300,000), 100,000 and (350,000) shares, respectively
     25,748,647       (17,218,505     11,333,756       (18,342,945
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     2,677,335       1,415,082       6,509,622       4,130,377  
Net realized gain (loss)
     12,042,718       (16,875,865     62,084,821       11,092,138  
Change in net unrealized appreciation (depreciation)
     41,957,497       (540,686     27,452,000       (22,707,149
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     56,677,550       (16,001,469     96,046,443       (7,484,634
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 298,882,222     $ 147,696,557     $ 298,882,222     $ 147,696,557  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
25

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

September 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 96,046,443     $ (7,484,634
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
     (578,835,390     (886,531,310
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     420,003,011       909,750,482  
Net amortization and accretion on short-term U.S. government and agency obligations
     (5,810,921     (3,796,552
Net realized (gain) loss on investments
     (3,011     28,324  
Change in unrealized (appreciation) depreciation on investments
     (13,652,133     16,847,321  
Decrease (Increase) in receivable on open futures contracts
           8,169  
Decrease (Increase) in interest receivable
     (85,135     52,940  
Increase (Decrease) in payable to Sponsor
     77,112       (11,784
Increase (Decrease) in payable on open futures contracts
     (125,977     264,526  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (82,386,001     29,127,482  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     130,539,933       31,285,647  
Payment on shares redeemed
     (114,385,981     (49,628,592
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     16,153,952       (18,342,945
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (66,232,049     10,784,537  
Cash, beginning of period
     129,351,977       37,909,767  
  
 
 
   
 
 
 
Cash, end of period
   $ 63,119,928     $ 48,694,304  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
26

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2024

(unaudited)
    
December 31,
2023
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $348,546,299 and $114,255,151, respectively)
   $ 348,600,390      $ 114,276,025  
Cash
     213,649,722        160,468,637  
Segregated cash balances with brokers for futures contracts
     47,000,500        23,499,000  
Segregated cash balances with brokers for swap agreements
            95,226,292  
Unrealized appreciation on swap agreements
     74,039,327         
Receivable from capital shares sold
            2,728,828  
Interest receivable
     798,123        598,623  
  
 
 
    
 
 
 
Total assets
     684,088,062        396,797,405  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
     12,161,723         
Payable on open futures contracts
     4,662,822        3,503,958  
Payable to Sponsor
     481,047        319,853  
Unrealized depreciation on swap agreements
            2,827,221  
  
 
 
    
 
 
 
Total liabilities
     17,305,592        6,651,032  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     666,782,470        390,146,373  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 684,088,062      $ 396,797,405  
  
 
 
    
 
 
 
Shares outstanding
     16,446,526        14,296,526  
  
 
 
    
 
 
 
Net asset value per share
   $ 40.54      $ 27.29  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 40.44      $ 27.17  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
27

Table of Contents
PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(52% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.256% due 10/10/24
   $ 50,000,000      $ 49,941,805  
5.226% due 10/24/24
     100,000,000        99,697,880  
5.120% due 11/05/24
     125,000,000        124,435,875  
4.801% due 11/19/24
     75,000,000        74,524,830  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $348,546,299)
      $ 348,600,390  
     
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2024
     3,954      $ 621,924,660      $ 52,276,346  
Total Return Swap Agreements
^
 
    
Rate Paid

(Received)
*
   
Termination

Date
    
Notional Amount

at Value
**
    
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
     0.25     10/07/24      $ 316,950,428      $ 32,950,011  
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
     0.30       10/07/24        27,896,806        2,899,316  
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
     0.30       10/07/24        189,269,052        19,670,742  
Swap agreement with UBS AG based on Bloomberg Silver Subindex
     0.25       10/07/24        178,139,138        18,519,258  
          
 
 
 
          Total Unrealized
Appreciation
 
 
   $ 74,039,327  
          
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of September 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of September 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
28

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
    
2023
 
Investment Income
         
Interest
   $ 7,482,201     $ 3,343,905     $ 17,362,781      $ 10,419,483  
  
 
 
   
 
 
   
 
 
    
 
 
 
Expenses
         
Management fee
     1,417,159       892,009       3,535,877        2,740,073  
Brokerage commissions
     45,868       27,874       130,090        101,511  
  
 
 
   
 
 
   
 
 
    
 
 
 
Total expenses
     1,463,027       919,883       3,665,967        2,841,584  
  
 
 
   
 
 
   
 
 
    
 
 
 
Net investment income (loss)
     6,019,174       2,424,022       13,696,814        7,577,899  
  
 
 
   
 
 
   
 
 
    
 
 
 
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
     (38,481,009     (14,704,230     37,521,267        6,035,306  
Swap agreements
     (90,530,217     (15,547,180     49,677,236        (368,280
Short-term U.S. government and agency obligations
     (25           4,772        (46,857
  
 
 
   
 
 
   
 
 
    
 
 
 
Net realized gain (loss)
     (129,011,251     (30,251,410     87,203,275        5,620,169  
  
 
 
   
 
 
   
 
 
    
 
 
 
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
     58,950,640       3,810,588       39,875,598        (35,593,902
Swap agreements
     123,441,660       (3,571,377     76,866,548        (60,840,951
Short-term U.S. government and agency obligations
     53,721       (20,937     33,217        (12,095
  
 
 
   
 
 
   
 
 
    
 
 
 
Change in net unrealized appreciation (depreciation)
     182,446,021       218,274       116,775,363        (96,446,948
  
 
 
   
 
 
   
 
 
    
 
 
 
Net realized and unrealized gain (loss)
     53,434,770       (30,033,136     203,978,638        (90,826,779
  
 
 
   
 
 
   
 
 
    
 
 
 
Net income (loss)
   $ 59,453,944     $ (27,609,114   $ 217,675,452      $ (83,248,880
  
 
 
   
 
 
   
 
 
    
 
 
 
See accompanying notes to financial statements.
 
29

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 570,829,521     $ 356,791,659     $ 390,146,373     $ 414,285,878  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 4,700,000, 1,500,000, 12,150,000 and 4,100,000 shares, respectively
     173,955,817       42,340,032       418,736,717       114,264,874  
Redemption of 3,500,000, 1,450,000, 10,000,000 and 3,900,000 shares, respectively
     (137,456,812     (43,526,502     (359,776,072     (117,305,797
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 1,200,000, 50,000, 2,150,000 and 200,000 shares, respectively
     36,499,005       (1,186,470     58,960,645       (3,040,923
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     6,019,174       2,424,022       13,696,814       7,577,899  
Net realized gain (loss)
     (129,011,251     (30,251,410     87,203,275       5,620,169  
Change in net unrealized appreciation (depreciation)
     182,446,021       218,274       116,775,363       (96,446,948
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     59,453,944       (27,609,114     217,675,452       (83,248,880
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 666,782,470     $ 327,996,075     $ 666,782,470     $ 327,996,075  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
30

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

September 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 217,675,452     $ (83,248,880
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
     (1,164,790,304     (2,785,919,203
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     941,998,259       2,822,588,221  
Net amortization and accretion on short-term U.S. government and agency obligations
     (11,494,331     (7,345,692
Net realized (gain) loss on investments
     (4,772     46,857  
Change in unrealized (appreciation) depreciation on investments
     (76,899,765     60,853,046  
Decrease (Increase) in interest receivable
     (199,500     89,500  
Increase (Decrease) in payable to Sponsor
     161,194       (62,866
Increase (Decrease) in payable on open futures contracts
     1,158,864       122,267  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (92,394,903     7,123,250  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     421,465,545       114,264,874  
Payment on shares redeemed
     (347,614,349     (118,921,179
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     73,851,196       (4,656,305
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (18,543,707     2,466,945  
Cash, beginning of period
     279,193,929       150,012,071  
  
 
 
   
 
 
 
Cash, end of period
   $ 260,650,222     $ 152,479,016  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
31

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
 
  
September 30, 2024

(unaudited)
 
  
December 31, 2023
 
 
  
 
 
  
(As Restated)
 
Assets
  
  
Short-term U.S. government and agency obligations (Note 3) (cost $64,808,069 and $, respectively)
   $ 64,820,219      $  
Cash
     60,429,911        86,615,956  
Segregated cash balances with brokers for futures contracts
     164,480,832        250,795,661  
Receivable on open futures contracts
     2,950,172        10,559,699  
Interest receivable
     521,282        924,148  
  
 
 
    
 
 
 
Total assets
     293,202,416        348,895,464  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     7,629,152         
Brokerage commissions and futures account fees payable
     19,592        36,088  
Payable to Sponsor
     201,709        303,633  
  
 
 
    
 
 
 
Total liabilities
     7,850,453        339,721  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     285,351,963        348,555,743  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 293,202,416      $ 348,895,464  
  
 
 
    
 
 
 
Shares outstanding
     11,443,643        8,264,892  
  
 
 
    
 
 
 
Net asset value per share
   $ 24.94      $ 42.17  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 24.93      $ 42.20  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
32

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(23% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.256% due 10/10/24
   $ 25,000,000      $ 24,970,903  
5.226% due 10/24/24
     20,000,000        19,939,576  
5.120% due 11/05/24
     20,000,000        19,909,740  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $64,808,069)
      $ 64,820,219  
     
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2024
     12,712      $ 239,525,860      $ 7,027,963  
VIX Futures - Cboe, expires November 2024
     10,409        188,376,878        1,325,778  
        
 
 
 
         $ 8,353,741  
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
33

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 2,501,794     $ 3,255,531     $ 7,595,859     $ 12,422,781  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     583,266       803,793       1,804,611       3,507,644  
Brokerage commissions
     534,432       517,699       1,475,584       2,007,911  
Futures account fees
     62,854       103,793       212,988       354,153  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     1,180,552       1,425,285       3,493,183       5,869,708  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     1,321,242       1,830,246       4,102,676       6,553,073  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (36,612,575     (142,584,115     (185,028,990     (751,122,089
Short-term U.S. government and agency obligations
     317       (141     11,454       (3,731
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (36,612,258     (142,584,256     (185,017,536     (751,125,820
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     14,558,661       108,839,211       39,537,652       65,564,944  
Short-term U.S. government and agency obligations
     12,132       12,008       12,150       8,625  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     14,570,793       108,851,219       39,549,802       65,573,569  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (22,041,465     (33,733,037     (145,467,734     (685,552,251
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (20,720,223   $ (31,902,791   $ (141,365,058   $ (678,999,178
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
34

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 232,135,198     $ 387,764,059     $ 348,555,743     $ 639,318,362  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 19,350,000, 2,680,000, 29,200,000 and 6,942,000 shares, respectively (Note 1)
     563,820,661       217,623,291       854,933,354       1,109,114,165  
Redemption of 17,750,000, 3,380,676, 26,021,248 and 5,308,676 shares, respectively (Note 1)
     (489,883,673     (290,433,868     (776,772,076     (786,382,658
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 1,600,000, (700,676), 3,178,752 and 1,633,324 shares, respectively (Note 1)
     73,936,988       (72,810,577     78,161,278       322,731,507  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     1,321,242       1,830,246       4,102,676       6,553,073  
Net realized gain (loss)
     (36,612,258     (142,584,256     (185,017,536     (751,125,820
Change in net unrealized appreciation (depreciation)
     14,570,793       108,851,219       39,549,802       65,573,569  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (20,720,223     (31,902,791     (141,365,058     (678,999,178
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 285,351,963     $ 283,050,691     $ 285,351,963     $ 283,050,691  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
35

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

September 30,
 
  
2024
 
 
2023
 
 
  
 
 
 
(As Restated)
 
Cash flow from operating activities
  
 
Net income (loss)
   $ (141,365,058   $ (678,999,178
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
     (259,379,827     (1,439,995,575
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     196,346,250       1,392,250,029  
Net amortization and accretion on short-term U.S. government and agency obligations
     (1,763,038     (2,098,269
Net realized (gain) loss on investments
     (11,454     3,731  
Change in unrealized (appreciation) depreciation on investments
     (12,150     (8,625
Decrease (Increase) in receivable on open futures contracts
     7,609,527       14,010,352  
Decrease (Increase) in interest receivable
     402,866       557,273  
Increase (Decrease) in payable to Sponsor
     (101,924     (304,407
Increase (Decrease) in brokerage commissions and futures account fees payable
     (16,496     (24,372
Increase (Decrease) in payable on open futures contracts
     7,629,152       (904,685 )
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (190,662,152 )     (715,513,726 )
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     854,933,354       1,099,388,535  
Payment on shares redeemed
     (776,772,076     (779,905,509
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     78,161,278       319,483,026  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (112,500,874 )     (396,030,700 )
Cash, beginning of period
     337,411,617       583,213,839  
  
 
 
   
 
 
 
Cash, end of period
   $ 224,910,743     $ 187,183,139  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
36

Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 48,019,854      $ 27,001,312  
Segregated cash balances with brokers for foreign currency forward contracts
     5,345,303        2,976,399  
Unrealized appreciation on foreign currency forward contracts
     17,300        1,534,924  
Interest receivable
     195,728        104,541  
  
 
 
    
 
 
 
Total assets
     53,578,185        31,617,176  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
            1,373,167  
Payable to Sponsor
     42,876        22,600  
Unrealized depreciation on foreign currency forward contracts
     301,244        15,639  
  
 
 
    
 
 
 
Total liabilities
     344,120        1,411,406  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     53,234,065        30,205,770  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 53,578,185      $ 31,617,176  
  
 
 
    
 
 
 
Shares outstanding
     2,149,970        1,099,970  
  
 
 
    
 
 
 
Net asset value per share
   $ 24.76      $ 27.46  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 24.70      $ 27.49  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
37

Table of Contents
PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2024
(unaudited)
Foreign Currency Forward Contracts
^
 
    
Settlement Date
    
Contract Amount

in Local Currency
   
Contract Amount

in U.S. Dollars
   
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
         
Yen with Goldman Sachs International
     10/04/24        8,074,137,056     $ 56,212,409     $ (39,623
Yen with UBS AG
     10/04/24        9,098,731,856       63,345,673       (261,621
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (301,244
         
 
 
 
Contracts to Sell
                           
Yen with Goldman Sachs International
     10/04/24        (604,074,000   $ (4,205,584   $ 2,938  
Yen with UBS AG
     10/04/24        (1,280,959,000     (8,918,079     14,362  
         
 
 
 
         
Total Unrealized
Appreciation
 
 
  $ 17,300  
         
 
 
 
 
^
The positions and counterparties herein are as of September 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
See accompanying notes to financial statements.
 
38

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
    
2023
   
2024
   
2023
 
Investment Income
         
Interest
   $ 541,372      $ 174,354     $ 1,395,183     $ 409,452  
  
 
 
    
 
 
   
 
 
   
 
 
 
Expenses
         
Management fee
     118,878        35,968       295,486       91,858  
  
 
 
    
 
 
   
 
 
   
 
 
 
Total expenses
     118,878        35,968       295,486       91,858  
  
 
 
    
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     422,494        138,386       1,099,697       317,594  
  
 
 
    
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Foreign currency forward contracts
     6,834,509        (1,854,770     (562,689     (2,923,720
  
 
 
    
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     6,834,509        (1,854,770     (562,689     (2,923,720
  
 
 
    
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
         
Foreign currency forward contracts
     2,618,114        277,206       (1,803,229     (1,564,970
  
 
 
    
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     2,618,114        277,206       (1,803,229     (1,564,970
  
 
 
    
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     9,452,623        (1,577,564     (2,365,918     (4,488,690
  
 
 
    
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 9,875,117      $ (1,439,178   $ (1,266,221   $ (4,171,096
  
 
 
    
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
39

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 44,510,138     $ 12,330,974     $ 30,205,770     $ 13,814,796  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 550,000, 300,000, 1,850,000 and 500,000 shares, respectively
     13,600,287       8,063,291       43,805,863       14,320,409  
Redemption of 600,000, 50,000, 800,000 and 200,000 shares, respectively
     (14,751,477     (1,446,839     (19,511,347     (6,455,861
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (50,000), 250,000, 1,050,000 and 300,000 shares, respectively
     (1,151,190     6,616,452       24,294,516       7,864,548  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     422,494       138,386       1,099,697       317,594  
Net realized gain (loss)
     6,834,509       (1,854,770     (562,689     (2,923,720
Change in net unrealized appreciation (depreciation)
     2,618,114       277,206       (1,803,229     (1,564,970
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     9,875,117       (1,439,178     (1,266,221     (4,171,096
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 53,234,065     $ 17,508,248     $ 53,234,065     $ 17,508,248  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
40

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

September 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (1,266,221   $ (4,171,096
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Change in unrealized (appreciation) depreciation on investments
     1,803,229       1,564,970  
Decrease (Increase) in interest receivable
     (91,187     (21,326
Increase (Decrease) in payable to Sponsor
     20,276       1,484  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     466,097       (2,625,968
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     43,805,863       14,320,409  
Payment on shares redeemed
     (20,884,514     (6,455,861
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     22,921,349       7,864,548  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     23,387,446       5,238,580  
Cash, beginning of period
     29,977,711       12,801,958  
  
 
 
   
 
 
 
Cash, end of period
   $ 53,365,157     $ 18,040,538  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
41

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $34,919,601 and $49,673,923, respectively)
   $ 34,925,773      $ 49,683,885  
Cash
     38,407,930        91,925,442  
Segregated cash balances with brokers for futures contracts
     30,091,480        49,648,726  
Receivable on open futures contracts
     564,264        654,887  
Interest receivable
     157,060        285,610  
  
 
 
    
 
 
 
Total assets
     104,146,507        192,198,550  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
     2,927,949        3,096,091  
Payable on open futures contracts
     4,402,659         
Brokerage commissions and futures account fees payable
            3,509  
Payable to Sponsor
     85,946        135,358  
  
 
 
    
 
 
 
Total liabilities
     7,416,554        3,234,958  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     96,729,953        188,963,592  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 104,146,507      $ 192,198,550  
  
 
 
    
 
 
 
Shares outstanding
     4,955,220        9,105,220  
  
 
 
    
 
 
 
Net asset value per share
   $ 19.52      $ 20.75  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 19.48      $ 20.89  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
42

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(36% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.256% due 10/10/24
   $ 25,000,000      $ 24,970,903  
5.120% due 11/05/24
     10,000,000        9,954,870  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $34,919,601)
      $ 34,925,773  
     
 
 
 
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires December 2024
     942      $ 63,839,340      $ 9,768,953  
WTI Crude Oil - NYMEX, expires June 2025
     965        64,587,450        5,173,278  
WTI Crude Oil - NYMEX, expires December 2025
     980        65,062,200        (36,482
        
 
 
 
         $ 14,905,749  
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
43

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
    
2023
   
2024
   
2023
 
Investment Income
         
Interest
   $ 1,865,946      $ 2,609,417     $ 6,398,993     $ 6,172,654  
  
 
 
    
 
 
   
 
 
   
 
 
 
Expenses
         
Management fee
     363,340        548,671       1,255,680       1,392,728  
Brokerage commissions
     51,598        54,549       149,398       180,385  
  
 
 
    
 
 
   
 
 
   
 
 
 
Total expenses
     414,938        603,220       1,405,078       1,573,113  
  
 
 
    
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     1,451,008        2,006,197       4,993,915       4,599,541  
  
 
 
    
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Futures contracts
     12,329,007        (47,764,820     (330,018     7,896,254  
Short-term U.S. government and agency obligations
     179        60       6,958       (11,723
  
 
 
    
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     12,329,186        (47,764,760     (323,060     7,884,531  
  
 
 
    
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
         
Futures contracts
     28,461,478        (38,026,419     (7,530,570     (35,285,156
Short-term U.S. government and agency obligations
     5,390        8,060       (3,790     6,419  
  
 
 
    
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     28,466,868        (38,018,359     (7,534,360     (35,278,737
  
 
 
    
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     40,796,054        (85,783,119     (7,857,420     (27,394,206
  
 
 
    
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 42,247,062      $ (83,776,922   $ (2,863,505   $ (22,794,665
  
 
 
    
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
44

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 177,620,038     $ 112,854,952     $ 188,963,592     $ 222,697,337  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 2,250,000, 17,250,000, 14,900,000 and 28,800,000 shares, respectively
     37,421,194       345,709,147       253,860,259       622,896,585  
Redemption of 8,700,000, 4,050,000, 19,050,000 and 20,500,000 shares, respectively
     (160,558,341     (78,010,711     (343,230,393     (526,022,791
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (6,450,000), 13,200,000, (4,150,000) and 8,300,000 shares, respectively
     (123,137,147     267,698,436       (89,370,134     96,873,794  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     1,451,008       2,006,197       4,993,915       4,599,541  
Net realized gain (loss)
     12,329,186       (47,764,760     (323,060     7,884,531  
Change in net unrealized appreciation (depreciation)
     28,466,868       (38,018,359     (7,534,360     (35,278,737
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     42,247,062       (83,776,922     (2,863,505     (22,794,665
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 96,729,953     $ 296,776,466     $ 96,729,953     $ 296,776,466  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
45

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

September 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (2,863,505   $ (22,794,665
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
     (301,469,671     (881,618,883
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     319,998,987       789,898,469  
Net amortization and accretion on short-term U.S. government and agency obligations
     (3,768,036     (3,156,304
Net realized (gain) loss on investments
     (6,958     11,723  
Change in unrealized (appreciation) depreciation on investments
     3,790       (6,419
Decrease (Increase) in receivable on open futures contracts
     90,623       (1,952,940
Decrease (Increase) in interest receivable
     128,550       104,982  
Increase (Decrease) in payable to Sponsor
     (49,412     (2,885
Increase (Decrease) in brokerage commissions and futures account fees payable
     (3,509     299  
Increase (Decrease) in payable on open futures contracts
     4,402,659       (6,109,476
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     16,463,518       (125,626,099
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     253,860,259       615,353,267  
Payment on shares redeemed
     (343,398,535     (527,279,881
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (89,538,276     88,073,386  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (73,074,758     (37,552,713
Cash, beginning of period
     141,574,168       139,811,511  
  
 
 
   
 
 
 
Cash, end of period
   $ 68,499,410     $ 102,258,798  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
46

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
 
 
  
September 30, 2024

(unaudited)
 
  
December 31, 2023
 
 
  
 
 
  
(As Restated)
 
Assets
  
  
Short-term U.S. government and agency obligations (Note 3) (cost $44,887,800 and $, respectively)
   $ 44,895,561      $  
Cash
     42,574,367        73,282,564  
Segregated cash balances with brokers for futures contracts
     44,405,633        62,890,001  
Receivable from capital shares sold
     2,725,965        9,611,378  
Receivable on open futures contracts
            4,446,202  
Interest receivable
     155,000        447,861  
  
 
 
    
 
 
 
Total assets
     134,756,526        150,678,006  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     1,994,480        9,596,045  
Brokerage commissions and futures account fees payable
     1,100        10,461  
Payable to Sponsor
     67,921        108,408  
  
 
 
    
 
 
 
Total liabilities
     2,063,501        9,714,914  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     132,693,025        140,963,092  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 134,756,526      $ 150,678,006  
  
 
 
    
 
 
 
Shares outstanding
     2,433,712        2,933,712  
  
 
 
    
 
 
 
Net asset value per share
   $ 54.52      $ 48.05  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 55.22      $ 48.21  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
47

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(34% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.256% due 10/10/24
   $ 25,000,000      $ 24,970,903  
5.226% due 10/24/24
     10,000,000        9,969,788  
5.120% due 11/05/24
     10,000,000        9,954,870  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $44,887,800)
      $ 44,895,561  
     
 
 
 
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires November 2024
     9,079      $ 265,379,170      $ (14,948,530
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
48

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 1,150,564     $ 1,476,050     $ 4,075,138     $ 4,007,691  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     224,779       304,567       797,283       903,703  
Brokerage commissions
     156,391       133,782       722,643       577,070  
Futures account fees
     6,899       23,941       33,910       80,308  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     388,069       462,290       1,553,836       1,561,081  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     762,495       1,013,760       2,521,302       2,446,610  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     90,006,232       (10,798,451     90,097,297       221,346,621  
Short-term U.S. government and agency obligations
     (2,218     (174     (3,961     (1,437
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     90,004,014       (10,798,625     90,093,336       221,345,184  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (55,772,673     44,086,649       (11,395,023     (62,113,081
Short-term U.S. government and agency obligations
     8,364       173       7,761       (9,995
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (55,764,309     44,086,822       (11,387,262     (62,123,076
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     34,239,705       33,288,197       78,706,074       159,222,108  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 35,002,200     $ 34,301,957     $ 81,227,376     $ 161,668,718  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
49

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 147,292,427     $ 141,324,963     $ 140,963,092     $ 134,109,520  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 2,700,000, 11,000,000, 16,700,000 and 38,700,000 shares, respectively (Note 1)
     167,655,268       295,245,731       864,763,170       1,128,672,428  
Redemption of 3,250,000, 12,500,000, 17,200,000 and 45,000,000 shares, respectively (Note 1)
     (217,256,870     (359,209,589     (954,260,613     (1,312,787,604
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (550,000), (1,500,000), (500,000) and (6,300,000) shares, respectively (Note 1)
     (49,601,602     (63,963,858     (89,497,443     (184,115,176
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     762,495       1,013,760       2,521,302       2,446,610  
Net realized gain (loss)
     90,004,014       (10,798,625     90,093,336       221,345,184  
Change in net unrealized appreciation (depreciation)
     (55,764,309     44,086,822       (11,387,262     (62,123,076
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     35,002,200       34,301,957       81,227,376       161,668,718  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 132,693,025     $ 111,663,062     $ 132,693,025     $ 111,663,062  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
50

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

September 30,
 
 
  
2024
 
 
2023
 
 
  
 
 
 
(As Restated)
 
Cash flow from operating activities
  
 
Net income (loss)
   $ 81,227,376     $ 161,668,718  
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
     (232,607,254     (228,632,508
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     189,472,679       271,472,626  
Net amortization and accretion on short-term U.S. government and agency obligations
     (1,757,186     (1,304,490
Net realized (gain) loss on investments
     3,961       1,437  
Change in unrealized (appreciation) depreciation on investments
     (7,761     9,995  
Decrease (Increase) in receivable on open futures contracts
     4,446,202       (256,495 )
Decrease (Increase) in interest receivable
     292,861       65,570  
Increase (Decrease) in payable to Sponsor
     (40,487 )     (54,464 )
Increase (Decrease) in brokerage commissions and futures account fees payable
     (9,361 )     (3,080 )
Increase (Decrease) in payable on open futures contracts
     (7,601,565 )     11,055,812  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     33,419,465       214,023,121  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     871,648,583       1,116,379,999  
Payment on shares redeemed
     (954,260,613 )     (1,318,152,800 )
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (82,612,030 )     (201,772,801 )
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (49,192,565 )     12,250,320  
Cash, beginning of period
     136,172,565       77,441,180  
  
 
 
   
 
 
 
Cash, end of period
   $ 86,980,000     $ 89,691,500  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
51

Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 28,552,506      $ 34,758,230  
Segregated cash balances with brokers for foreign currency forward contracts
     4,592,112        6,332,112  
Unrealized appreciation on foreign currency forward contracts
     3,425        38,029  
Interest receivable
     122,190        159,359  
  
 
 
    
 
 
 
Total assets
     33,270,233        41,287,730  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable to Sponsor
     26,664        33,372  
Unrealized depreciation on foreign currency forward contracts
     331,061        1,886,808  
  
 
 
    
 
 
 
Total liabilities
     357,725        1,920,180  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     32,912,508        39,367,550  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 33,270,233      $ 41,287,730  
  
 
 
    
 
 
 
Shares outstanding
     1,100,000        1,350,000  
  
 
 
    
 
 
 
Net asset value per share
   $ 29.92      $ 29.16  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 29.92      $ 29.15  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
52

Table of Contents
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2024
(unaudited)
Foreign Currency Forward Contracts
^
 
    
Settlement Date
    
Contract Amount

in Local Currency
   
Contract Amount

in U.S. Dollars
   
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
         
Euro with Goldman Sachs International
     10/04/24        2,449,000     $ 2,726,606     $ (7,194
Euro with UBS AG
     10/04/24        4,937,000       5,496,633       3,425  
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (3,769
         
 
 
 
Contracts to Sell
         
Euro with Goldman Sachs International
     10/04/24        (33,971,263   $ (37,822,066   $ (174,548
Euro with UBS AG
     10/04/24        (32,544,199     (36,233,239     (149,319
         
 
 
 
         
Total Unrealized
Depreciation
 
 
  $ (323,867
         
 
 
 
 
^
The positions and counterparties herein are as of September 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
See accompanying notes to financial statements.
 
53

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 400,294     $ 523,684     $ 1,288,483     $ 1,764,550  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     84,768       111,472       270,996       404,141  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     84,768       111,472       270,996       404,141  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     315,526       412,212       1,017,487       1,360,409  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Foreign currency forward contracts
     (1,317,854     (122,866     (1,360,955     (2,576,119
Short-term U.S. government and agency obligations
                 4,641        
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (1,317,854     (122,866     (1,356,314     (2,576,119
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Foreign currency forward contracts
     (1,247,585     3,207,102       1,521,143       3,909,584  
Short-term U.S. government and agency obligations
                       (4,802
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (1,247,585     3,207,102       1,521,143       3,904,782  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (2,565,439     3,084,236       164,829       1,328,663  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (2,249,913   $ 3,496,448     $ 1,182,316     $ 2,689,072  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
54

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 38,226,983     $ 50,931,301     $ 39,367,550     $ 75,113,179  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of , , 50,000 and 100,000 shares, respectively
                 1,591,183       3,051,886  
Redemption of 100,000, 350,000, 300,000 and 1,250,000 shares, respectively
     (3,064,562     (10,423,341     (9,228,541     (36,849,729
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (100,000), (350,000), (250,000) and (1,150,000) shares, respectively
     (3,064,562     (10,423,341     (7,637,358     (33,797,843
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     315,526       412,212       1,017,487       1,360,409  
Net realized gain (loss)
     (1,317,854     (122,866     (1,356,314     (2,576,119
Change in net unrealized appreciation (depreciation)
     (1,247,585     3,207,102       1,521,143       3,904,782  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (2,249,913     3,496,448       1,182,316       2,689,072  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 32,912,508     $ 44,004,408     $ 32,912,508     $ 44,004,408  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
55

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

September 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 1,182,316     $ 2,689,072  
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
           (54,925,175
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     4,641       95,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
           (83,003
Net realized (gain) loss on investments
     (4,641      
Change in unrealized (appreciation) depreciation on investments
     (1,521,143     (3,904,782
Decrease (Increase) in interest receivable
     37,169       (55,032
Increase (Decrease) in payable to Sponsor
     (6,708     (28,970
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (308,366     38,692,110  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     1,591,183       3,051,886  
Payment on shares redeemed
     (9,228,541     (36,849,729
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (7,637,358     (33,797,843
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (7,945,724     4,894,267  
Cash, beginning of period
     41,090,342       37,531,356  
  
 
 
   
 
 
 
Cash, end of period
   $ 33,144,618     $ 42,425,623  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
56

Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 14,615,256      $ 9,309,908  
Segregated cash balances with brokers for futures contracts
     631,400        261,450  
Segregated cash balances with brokers for swap agreements
     3,802,670        2,375,125  
Receivable on open futures contracts
     37,716        17,324  
Interest receivable
     45,415        41,501  
  
 
 
    
 
 
 
Total assets
     19,132,457        12,005,308  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable to Sponsor
     10,987        9,708  
Unrealized depreciation on swap agreements
     1,062,980        199,821  
  
 
 
    
 
 
 
Total liabilities
     1,073,967        209,529  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     18,058,490        11,795,779  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 19,132,457      $ 12,005,308  
  
 
 
    
 
 
 
Shares outstanding
     1,046,977        446,977  
  
 
 
    
 
 
 
Net asset value per share
   $ 17.25      $ 26.39  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 17.33      $ 26.37  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
57

Table of Contents
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2024
(unaudited)
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires December 2024
     57      $ 15,158,580      $ (124,208
Total Return Swap Agreements
^
 
    
Rate Paid

(Received)
*
   
Termination

Date
    
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
     0.25     10/07/24      $ (4,820,548   $ (245,098
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
     0.20       10/07/24        (6,317,878     (321,030
Swap agreement with UBS AG based on Bloomberg Gold Subindex
     0.25       10/07/24        (9,772,030     (496,852
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (1,062,980
         
 
 
 
 
^
The positions and counterparties herein are as of September 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
*
Reflects the floating financing rate, as of September 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
58

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 148,896     $ 142,707     $ 468,826     $ 459,321  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     34,177       32,970       105,887       112,212  
Brokerage commissions
     920       1,099       3,138       4,065  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     35,097       34,069       109,025       116,277  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     113,799       108,638       359,801       343,044  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (722,224     807,474       (2,348,472     131,315  
Swap agreements
     (687,295     628,950       (2,975,334     (1,278,923
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (1,409,519     1,436,424       (5,323,806     (1,147,608
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (291,313     (460,051     20,023       609,640  
Swap agreements
     (1,471,680     208,445       (863,159     1,241,973  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (1,762,993     (251,606     (843,136     1,851,613  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (3,172,512     1,184,818       (6,166,942     704,005  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (3,058,713   $ 1,293,456     $ (5,807,141   $ 1,047,049  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
59

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 16,131,791     $ 15,809,378     $ 11,795,779     $ 15,456,037  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 600,000, 100,000, 1,250,000 and 700,000 shares, respectively
     10,718,138       3,039,866       25,250,693       19,338,209  
Redemption of 300,000, 200,000, 650,000 and 750,000 shares, respectively
     (5,732,726     (5,776,831     (13,180,841     (21,475,426
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 300,000, (100,000), 600,000 and (50,000) shares, respectively
     4,985,412       (2,736,965     12,069,852       (2,137,217
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     113,799       108,638       359,801       343,044  
Net realized gain (loss)
     (1,409,519     1,436,424       (5,323,806     (1,147,608
Change in net unrealized appreciation (depreciation)
     (1,762,993     (251,606     (843,136     1,851,613  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (3,058,713     1,293,456       (5,807,141     1,047,049  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 18,058,490     $ 14,365,869     $ 18,058,490     $ 14,365,869  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
60

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

September 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (5,807,141   $ 1,047,049  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Change in unrealized (appreciation) depreciation on investments
     863,159       (1,241,973
Decrease (Increase) in receivable on open futures contracts
     (20,392     (6,250
Decrease (Increase) in interest receivable
     (3,914     3,281  
Increase (Decrease) in payable to Sponsor
     1,279       (3,555
Increase (Decrease) in payable on open futures contracts
           97,849  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (4,967,009     (103,599
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     25,250,693       17,731,192  
Payment on shares redeemed
     (13,180,841     (21,475,426
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     12,069,852       (3,744,234
  
 
 
   
 
 
 
Net increase (decrease) in cash
     7,102,843       (3,847,833
Cash, beginning of period
     11,946,483       16,020,413  
  
 
 
   
 
 
 
Cash, end of period
   $ 19,049,326     $ 12,172,580  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
61

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 21,639,445      $ 46,444,776  
Segregated cash balances with brokers for futures contracts
     1,794,000        5,494,500  
Segregated cash balances with brokers for swap agreements
     13,757,152        12,657,595  
Receivable from capital shares sold
            907,025  
Receivable on open futures contracts
     89,431        329,629  
Interest receivable
     116,843        173,799  
  
 
 
    
 
 
 
Total assets
     37,396,871        66,007,324  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable to Sponsor
     28,974        43,464  
Unrealized depreciation on swap agreements
     5,145,175        814,174  
  
 
 
    
 
 
 
Total liabilities
     5,174,149        857,638  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     32,222,722        65,149,686  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 37,396,871      $ 66,007,324  
  
 
 
    
 
 
 
Shares outstanding (Note 8)
     847,832        897,832  
  
 
 
    
 
 
 
Net asset value per share (Note 8)
   $ 38.01      $ 72.56  
  
 
 
    
 
 
 
Market value per share (Note 8) (Note 2)
   $ 38.12      $ 72.96  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
62

Table of Contents
PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2024
(unaudited)
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires December 2024
     154      $ 24,222,660      $ (16,482
Total Return Swap Agreements
^
 
    
Rate Paid

(Received)
*
   
Termination

Date
    
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
     0.25     10/07/24      $ (22,532,595   $ (2,349,115
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
     0.25       10/07/24        (12,371,018     (1,289,728
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
     0.30       10/07/24        (1,706,452     (177,955
Swap agreement with UBS AG based on Bloomberg Silver Subindex
     0.25       10/07/24        (3,643,614     (1,328,377
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (5,145,175
         
 
 
 
 
^
The positions and counterparties herein are as of September 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
*
Reflects the floating financing rate, as of September 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
63

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 672,005     $ 337,096     $ 1,650,859     $ 860,908  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     149,940       78,166       380,119       220,751  
Brokerage commissions
     14,921       13,775       34,808       28,436  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     164,861       91,941       414,927       249,187  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     507,144       245,155       1,235,932       611,721  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (343,339     6,217,172       (2,680,569     11,009,808  
Swap agreements
     6,337,066       704,259       (1,615,822     (261,158
Short-term U.S. government and agency obligations
                       (906
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     5,993,727       6,921,431       (4,296,391     10,747,744  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (898,913     (107,686     (1,705,528     1,791,737  
Swap agreements
     (8,621,838     169,456       (4,331,001     2,737,091  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (9,520,751     61,770       (6,036,529     4,528,828  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (3,527,024     6,983,201       (10,332,920     15,276,572  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (3,019,880   $ 7,228,356     $ (9,096,988   $ 15,888,293  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
64

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 76,198,743     $ 19,290,473     $ 65,149,686     $ 31,932,799  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 687,500, 737,500, 2,937,500 and 1,512,500 shares, respectively (Note 8)
     27,486,842       51,792,185       143,592,568       107,105,060  
Redemption of 1,537,500, 775,000, 2,987,500 and 1,725,000 shares, respectively (Note 8)
     (68,442,983     (61,343,497     (167,422,544     (137,958,635
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (850,000), (37,500), (50,000) and (212,500) shares, respectively (Note 8)
     (40,956,141     (9,551,312     (23,829,976     (30,853,575
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     507,144       245,155       1,235,932       611,721  
Net realized gain (loss)
     5,993,727       6,921,431       (4,296,391     10,747,744  
Change in net unrealized appreciation (depreciation)
     (9,520,751     61,770       (6,036,529     4,528,828  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (3,019,880     7,228,356       (9,096,988     15,888,293  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 32,222,722     $ 16,967,517     $ 32,222,722     $ 16,967,517  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
65

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

September 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (9,096,988   $ 15,888,293  
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
     —        (39,876,608
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     —        39,937,156  
Net amortization and accretion on short-term U.S. government and agency obligations
     —        (61,454
Net realized (gain) loss on investments
     —        906  
Change in unrealized (appreciation) depreciation on investments
     4,331,001       (2,737,091
Decrease (Increase) in receivable on open futures contracts
     240,198       5,065  
Decrease (Increase) in interest receivable
     56,956       14,121  
Increase (Decrease) in payable to Sponsor
     (14,490     (6,841
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (4,483,323     13,163,547  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     144,499,593       108,077,849  
Payment on shares redeemed
     (167,422,544     (137,958,635
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (22,922,951     (29,880,786
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (27,406,274     (16,717,239
Cash, beginning of period
     64,596,871       32,583,283  
  
 
 
   
 
 
 
Cash, end of period
   $ 37,190,597     $ 15,866,044  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
66

Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 31,176,803      $ 21,807,595  
Segregated cash balances with brokers for foreign currency forward contracts
     3,831,966        3,434,732  
Unrealized appreciation on foreign currency forward contracts
            129,697  
Interest receivable
     134,888        100,284  
  
 
 
    
 
 
 
Total assets
     35,143,657        25,472,308  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable to Sponsor
     28,529        20,676  
Unrealized depreciation on foreign currency forward contracts
     210,204        1,441,622  
  
 
 
    
 
 
 
Total liabilities
     238,733        1,462,298  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     34,904,924        24,010,010  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 35,143,657      $ 25,472,308  
  
 
 
    
 
 
 
Shares outstanding (Note 8)
     897,160        697,160  
  
 
 
    
 
 
 
Net asset value per share (Note 8)
   $ 38.91      $ 34.44  
  
 
 
    
 
 
 
Market value per share (Note 8) (Note 2)
   $ 38.90      $ 34.47  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
67

Table of Contents
PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2024
(unaudited)
Foreign Currency Forward Contracts
^
 
    
Settlement Date
    
Contract Amount

in Local Currency
   
Contract Amount

in U.S. Dollars
   
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
         
Yen with Goldman Sachs International
     10/04/24        766,460,000     $ 5,336,120     $ (63,902
Yen with UBS AG
     10/04/24        1,844,169,000       12,839,165       (126,695
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (190,597
         
 
 
 
Contracts to Sell
         
Yen with Goldman Sachs International
     10/04/24        (5,401,596,165   $ (37,606,091   $ (7,404
Yen with UBS AG
     10/04/24        (7,246,500,574     (50,450,377     (12,203
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (19,607
         
 
 
 
 
^
The positions and counterparties herein are as of September 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
See accompanying notes to financial statements.
 
68

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
    
2023
 
Investment Income
         
Interest
   $ 449,333     $ 274,125     $ 1,220,993      $ 733,679  
  
 
 
   
 
 
   
 
 
    
 
 
 
Expenses
         
Management fee
     93,279       58,762       256,361        167,753  
  
 
 
   
 
 
   
 
 
    
 
 
 
Total expenses
     93,279       58,762       256,361        167,753  
  
 
 
   
 
 
   
 
 
    
 
 
 
Net investment income (loss)
     356,054       215,363       964,632        565,926  
  
 
 
   
 
 
   
 
 
    
 
 
 
Realized and unrealized gain (loss) on investment activity
         
Net realized gain (loss) on
         
Foreign currency forward contracts
     (5,013,671     3,079,208       1,109,169        3,422,003  
Short-term U.S. government and agency obligations
                 3,541         
  
 
 
   
 
 
   
 
 
    
 
 
 
Net realized gain (loss)
     (5,013,671     3,079,208       1,112,710        3,422,003  
  
 
 
   
 
 
   
 
 
    
 
 
 
Change in net unrealized appreciation (depreciation) on
         
Foreign currency forward contracts
     (3,366,298     (1,059,246     1,101,721        3,948,039  
Short-term U.S. government and agency obligations
                        (2,761
  
 
 
   
 
 
   
 
 
    
 
 
 
Change in net unrealized appreciation (depreciation)
     (3,366,298     (1,059,246     1,101,721        3,945,278  
  
 
 
   
 
 
   
 
 
    
 
 
 
Net realized and unrealized gain (loss)
     (8,379,969     2,019,962       2,214,431        7,367,281  
  
 
 
   
 
 
   
 
 
    
 
 
 
Net income (loss)
   $ (8,023,915   $ 2,235,325     $ 3,179,063      $ 7,933,207  
  
 
 
   
 
 
   
 
 
    
 
 
 
See accompanying notes to financial statements.
 
69

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 47,495,032     $ 27,077,656     $ 24,010,010     $ 21,397,736  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 300,000, , 900,000 and 900,000 shares, respectively (Note 8)
     12,483,356             37,504,826       26,056,375  
Redemption of 400,000, 100,000, 700,000 and 1,000,000 shares, respectively (Note 8)
     (17,049,549     (3,140,790     (29,788,975     (29,215,127
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (100,000), (100,000), 200,000 and (100,000) shares, respectively (Note 8)
     (4,566,193     (3,140,790     7,715,851       (3,158,752
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     356,054       215,363       964,632       565,926  
Net realized gain (loss)
     (5,013,671     3,079,208       1,112,710       3,422,003  
Change in net unrealized appreciation (depreciation)
     (3,366,298     (1,059,246     1,101,721       3,945,278  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (8,023,915     2,235,325       3,179,063       7,933,207  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 34,904,924     $ 26,172,191     $ 34,904,924     $ 26,172,191  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
70

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

September 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 3,179,063     $ 7,933,207  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     3,541       23,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
           (4,702
Net realized (gain) loss on investments
     (3,541      
Change in unrealized (appreciation) depreciation on investments
     (1,101,721     (3,945,278
Decrease (Increase) in interest receivable
     (34,604     (58,335
Increase (Decrease) in payable to Sponsor
     7,853       (9,790
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     2,050,591       26,915,102  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     37,504,826       26,056,375  
Payment on shares redeemed
     (29,788,975     (31,898,582
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     7,715,851       (5,842,207
  
 
 
   
 
 
 
Net increase (decrease) in cash
     9,766,442       21,072,895  
Cash, beginning of period
     25,242,327       4,104,127  
  
 
 
   
 
 
 
Cash, end of period
   $ 35,008,769     $ 25,177,022  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
71

Table of Contents
PROSHARES VIX MID-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
    
September 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 34,247,064      $ 31,674,194  
Segregated cash balances with brokers for futures contracts
     5,137,872        5,936,995  
Receivable on open futures contracts
            137,945  
Interest receivable
     93,847        141,818  
  
 
 
    
 
 
 
Total assets
     39,478,783        37,890,952  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     474,255         
Brokerage commissions and futures account fees payable
     899        1,876  
Payable to Sponsor
     19,795        22,933  
  
 
 
    
 
 
 
Total liabilities
     494,949        24,809  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     38,983,834        37,866,143  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 39,478,783      $ 37,890,952  
  
 
 
    
 
 
 
Shares outstanding
     2,587,403        2,262,403  
  
 
 
    
 
 
 
Net asset value per share
   $ 15.07      $ 16.74  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 15.11      $ 16.75  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
72

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PROSHARES VIX MID-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2024
(unaudited)
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires January 2025
     379      $ 7,030,715      $ 334,338  
VIX Futures - Cboe, expires February 2025
     689        12,987,994        139,076  
VIX Futures - Cboe, expires March 2025
     689        13,073,775        58,625  
VIX Futures - Cboe, expires April 2025
     309        5,898,347        62,493  
        
 
 
 
         $ 594,532  
        
 
 
 
See accompanying notes to financial statements.
 
73

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 370,229     $ 597,040     $ 1,992,242     $ 1,895,545  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     66,736       117,018       354,943       401,207  
Brokerage commissions
     8,201       8,822       94,413       30,191  
Futures account fees
     4,605       9,991       21,146       33,287  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     79,542       135,831       470,502       464,685  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     290,687       461,209       1,521,740       1,430,860  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     2,713,658       (12,244,511     (12,344,229     (35,008,564
Short-term U.S. government and agency obligations
     271             3,549        
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     2,713,929       (12,244,511     (12,340,680     (35,008,564
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     457,557       8,934,542       4,340,208       3,847,551  
Short-term U.S. government and agency obligations
     (2,519                 (5,651
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     455,038       8,934,542       4,340,208       3,841,900  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     3,168,967       (3,309,969     (8,000,472     (31,166,664
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 3,459,654     $ (2,848,760   $ (6,478,732   $ (29,735,804
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
74

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 33,401,452     $ 49,421,413     $ 37,866,143     $ 84,014,959  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 825,000, 850,000, 9,450,000 and 1,700,000 shares, respectively
     12,229,924       16,840,213       147,418,801       38,658,971  
Redemption of 575,000, 175,000, 9,125,000 and 1,375,000 shares, respectively
     (10,107,196     (3,444,842     (139,822,378     (32,970,102
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 250,000, 675,000, 325,000 and 325,000 shares, respectively
     2,122,728       13,395,371       7,596,423       5,688,869  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     290,687       461,209       1,521,740       1,430,860  
Net realized gain (loss)
     2,713,929       (12,244,511     (12,340,680     (35,008,564
Change in net unrealized appreciation (depreciation)
     455,038       8,934,542       4,340,208       3,841,900  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     3,459,654       (2,848,760     (6,478,732     (29,735,804
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 38,983,834     $ 59,968,024     $ 38,983,834     $ 59,968,024  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
75

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

September 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (6,478,732   $ (29,735,804
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
     (49,330,764     (294,811,992
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     49,719,851       345,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (385,538     (311,311
Net realized (gain) loss on investments
     (3,549      
Change in unrealized (appreciation) depreciation on investments
           5,651  
Decrease (Increase) in receivable on open futures contracts
     137,945       (417,787
Decrease (Increase) in interest receivable
     47,971       (120,290
Increase (Decrease) in payable to Sponsor
     (3,138     (19,767
Increase (Decrease) in brokerage commissions and futures account fees payable
     (977     (1,301
Increase (Decrease) in payable on open futures contracts
     474,255        
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (5,822,676     19,587,399  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     147,418,801       38,658,971  
Payment on shares redeemed
     (139,822,378     (32,970,102
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     7,596,423       5,688,869  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     1,773,747       25,276,268  
Cash, beginning of period
     37,611,189       33,959,989  
  
 
 
   
 
 
 
Cash, end of period
   $ 39,384,936     $ 59,236,257  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
76

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PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
 
  
September 30, 2024

(unaudited)
 
  
December 31, 2023
 
 
  
 
 
  
(As Restated)
 
Assets
  
  
Short-term U.S. government and agency obligations (Note 3) (cost $64,777,575 and $59,648,776, respectively)
   $ 64,785,421      $ 59,660,373  
Cash
     38,595,298        22,277,582  
Segregated cash balances with brokers for futures contracts
     62,649,154        72,849,393  
Receivable on open futures contracts
            2,362,837  
Interest receivable
     284,729        254,671  
  
 
 
    
 
 
 
Total assets
     166,314,602        157,404,856  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     2,828,161        580  
Brokerage commissions and futures account fees payable
     6,045        11,961  
Payable to Sponsor
     82,963        70,569  
  
 
 
    
 
 
 
Total liabilities
     2,917,169        83,110  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     163,397,433        157,321,746  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 166,314,602      $ 157,404,856  
  
 
 
    
 
 
 
Shares outstanding (Note 8)
     3,337,737        2,537,737  
  
 
 
    
 
 
 
Net asset value per share (Note 8)
   $ 48.95      $ 61.99  
  
 
 
    
 
 
 
Market value per share (Note 8) (Note 2)
   $ 49.00      $ 62.04  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
77

Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(40% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.256% due 10/10/24
   $ 25,000,000      $ 24,970,903  
5.226% due 10/24/24
     15,000,000        14,954,682  
5.120% due 11/05/24
     10,000,000        9,954,870  
4.801% due 11/19/24
     15,000,000        14,904,966  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $64,777,575)
      $ 64,785,421  
     
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2024
     4,851      $ 91,404,968      $ 1,947,348  
VIX Futures - Cboe, expires November 2024
     3,974        71,919,465        562,813  
        
 
 
 
         $ 2,510,161  
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
78

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 1,554,282     $ 2,271,345     $ 4,932,465     $ 6,832,197  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     298,739       447,560       945,176       1,495,874  
Brokerage commissions
     109,695       58,426       189,358       250,314  
Futures account fees
     25,438       44,110       89,976       143,501  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     433,872       550,096       1,224,510       1,889,689  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     1,120,410       1,721,249       3,707,955       4,942,508  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     47,467,197       (54,950,042     (11,804,121     (228,276,043
Short-term U.S. government and agency obligations
     (1,223           3,607       (10,605
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     47,465,974       (54,950,042     (11,800,514     (228,286,648
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     5,170,981       41,847,057       12,174,255       21,670,993  
Short-term U.S. government and agency obligations
     8,134       (5,866     (3,751     (3,029
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     5,179,115       41,841,191       12,170,504       21,667,964  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     52,645,089       (13,108,851     369,990       (206,618,684
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 53,765,499     $ (11,387,602   $ 4,077,945     $ (201,676,176
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
79

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 148,420,028     $ 230,227,830     $ 157,321,746     $ 266,580,320  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 2,637,500, 618,750, 4,512,500 and 2,308,750 shares, respectively (Note 1) (Note 8)
     119,479,226       56,655,376       215,111,517       324,424,030  
Redemption of 2,725,000, 656,405, 3,712,500 and 1,208,905 shares, respectively (Note 1) (Note 8)
     (158,267,320     (63,891,176     (213,113,775     (177,723,746
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (87,500), (37,655), 800,000 and 1,099,845 shares, respectively (Note 1) (Note 8)
     (38,788,094     (7,235,800     1,997,742       146,700,284  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     1,120,410       1,721,249       3,707,955       4,942,508  
Net realized gain (loss)
     47,465,974       (54,950,042     (11,800,514     (228,286,648
Change in net unrealized appreciation (depreciation)
     5,179,115       41,841,191       12,170,504       21,667,964  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     53,765,499       (11,387,602     4,077,945       (201,676,176
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 163,397,433     $ 211,604,428     $ 163,397,433     $ 211,604,428  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
80

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

September 30,
 
  
2024
 
 
2023
 
 
  
 
 
 
(As Restated)
 
Cash flow from operating activities
  
 
Net income (loss)
   $ 4,077,945     $ (201,676,176 )
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
     (242,444,601     (614,146,126 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     239,782,389       601,754,108  
Net amortization and accretion on short-term U.S. government and agency obligations
     (2,462,980     (2,913,568 )
Net realized (gain) loss on investments
     (3,607     10,605  
Change in unrealized (appreciation) depreciation on investments
     3,751       3,029  
Decrease (Increase) in receivable on open futures contracts
     2,362,837       (2,672,268 )
Decrease (Increase) in interest receivable
     (30,058     136,672  
Increase (Decrease) in payable to Sponsor
     12,394       (60,834 )
Increase (Decrease) in brokerage commissions and futures account fees payable
     (5,916     (15,432 )
Increase (Decrease) in payable on open futures contracts
     2,827,581       (369,983 )
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     4,119,735       (219,949,973 )
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     215,111,517       324,424,030  
Payment on shares redeemed
     (213,113,775     (178,294,219 )
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     1,997,742       146,129,811  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     6,117,477       (73,820,162 )
Cash, beginning of period
     95,126,975       175,279,856  
  
 
 
   
 
 
 
Cash, end of period
   $ 101,244,452     $ 101,459,694  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF FINANCIAL CONDITION
 
 
  
September 30,
2024

(unaudited)
 
  
December 31,
2023
 
 
  
 
 
  
(As Restated)
 
Assets
  
  
Short-term U.S. government and agency obligations (Note 3) (cost $1,658,590,645 and $690,346,244, respectively)
   $ 1,658,822,420      $ 690,474,277  
Cash
     999,910,891        1,209,034,101  
Segregated cash balances with brokers for futures contracts
     745,036,746        1,029,381,720  
Segregated cash balances with brokers for foreign currency forward contracts
     14,337,802        13,366,243  
Segregated cash balances with brokers for swap agreements
     17,559,822        345,924,043  
Unrealized appreciation on swap agreements
     102,834,722        21,033,528  
Unrealized appreciation on foreign currency forward contracts
     68,080        2,011,074  
Receivable from capital shares sold
     2,725,965        22,784,178  
Receivable on open futures contracts
     31,980,250        29,722,683  
Interest receivable
     5,658,092        6,486,760  
  
 
 
    
 
 
 
Total assets
     3,578,934,790        3,370,218,607  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
     74,197,661        39,357,935  
Payable on open futures contracts
     25,850,918        38,056,063  
Brokerage commissions and futures account fees payable
     45,738        131,497  
Payable to Sponsor
     2,577,570        2,654,226  
Unrealized depreciation on swap agreements
     6,208,155        3,841,216  
Unrealized depreciation on foreign currency forward contracts
     843,214        3,345,544  
  
 
 
    
 
 
 
Total liabilities
     109,723,256        87,386,481  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     3,469,211,534        3,282,832,126  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 3,578,934,790      $ 3,370,218,607  
  
 
 
    
 
 
 
Shares outstanding (Note 8)
     92,561,599        82,617,848  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
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Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 39,528,194     $ 33,986,958     $ 106,909,661     $ 103,035,154  
Expenses
        
Management fee
     7,995,932       8,433,063       22,614,312       27,104,933  
Brokerage commissions
     2,024,482       1,640,018       5,855,049       6,556,137  
Futures account fees
     171,268       313,663       571,653       1,142,555  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     10,191,682       10,386,744       29,041,014       34,803,625  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     29,336,512       23,600,214       77,868,647       68,231,529  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (307,323,493     14,374,480       (402,765,202     (1,974,626,401
Swap agreements
     (135,617,033     190,429,303       101,481,166       153,509,127  
Foreign currency forward contracts
     685,622       1,079,187       (706,613     (1,741,651
Short-term U.S. government and agency obligations
     (2,730     205       68,411       (195,666
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (442,257,634     205,883,175       (301,922,238     (1,823,054,591
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     310,081,124       (202,241,004     140,846,867       135,612,832  
Swap agreements
     92,748,602       (41,076,901     79,434,255       (138,058,422
Foreign currency forward contracts
     (1,808,721     1,962,662       559,336       5,654,285  
Short-term U.S. government and agency obligations
     229,199       (111,348     103,742       (62,102
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     401,250,204       (241,466,591     220,944,200       3,146,593  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (41,007,430     (35,583,416     (80,978,038     (1,819,907,998
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (11,670,918   $ (11,983,202   $ (3,109,391   $ (1,751,676,469
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
83

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

September 30,
   
Nine Months Ended

September 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 3,121,155,340     $ 3,753,845,537     $ 3,282,832,126     $ 3,887,786,746  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 74,300,000, 38,976,250, 159,240,000 and 138,056,250 shares, respectively (Note 1) (Note 8)
     2,755,933,016       1,835,741,719       6,212,835,038       8,495,699,775  
Redemption 64,667,500, 42,587,747, 149,296,248 and 148,559,747 shares, respectively (Note 1) (Note 8)
     (2,396,205,904     (2,277,144,677     (6,023,346,239     (7,331,350,675
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 9,632,500, (3,611,497), 9,943,752 and (10,503,497) shares, respectively (Note 1) (Note 8)
     359,727,112       (441,402,958     189,488,799       1,164,349,100  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     29,336,512       23,600,214       77,868,647       68,231,529  
Net realized gain (loss)
     (442,257,634     205,883,175       (301,922,238     (1,823,054,591
Change in net unrealized appreciation (depreciation)
     401,250,204       (241,466,591     220,944,200       3,146,593  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (11,670,918     (11,983,202     (3,109,391     (1,751,676,469
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 3,469,211,534     $ 3,300,459,377     $ 3,469,211,534     $ 3,300,459,377  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
 
 
  
Nine Months Ended

September 30,
 
  
2024
 
 
2023
 
 
  
 
 
 
(As Restated)
 
Cash flow from operating activities
  
 
Net income (loss)
   $ (3,109,391 )   $ (1,751,676,469 )
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
     (5,040,839,051 )     (27,871,422,186 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     4,121,998,020       28,009,309,658  
Net amortization and accretion on short-term U.S. government and agency obligations
     (49,334,959 )     (46,469,916 )
Net realized (gain) loss on investments
     (68,411 )     195,666  
Change in unrealized (appreciation) depreciation on investments
     (80,097,333 )     132,466,239  
Decrease (Increase) in receivable on futures contracts
     (2,257,567 )     28,145,391  
Decrease (Increase) in interest receivable
     828,668       435,945  
Increase (Decrease) in payable to Sponsor
     (76,656 )     (599,647 )
Increase (Decrease) in brokerage commissions and futures account fees payable
     (85,759 )     (59,363 )
Increase (Decrease) in payable on futures contracts
     (12,205,145 )     12,701,692  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (1,065,247,584 )     (1,486,972,990 )
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     6,232,893,251       8,465,504,170  
Payment on shares redeemed
     (5,988,506,513 )     (7,316,198,861 )
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     244,386,738       1,149,305,309  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (820,860,846 )     (337,667,681 )
Cash, beginning of period
     2,597,706,107       2,276,152,772  
  
 
 
   
 
 
 
Cash, end of period
   $ 1,776,845,261     $ 1,938,485,091  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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Table of Contents
PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
September 30, 2024
(unaudited)
NOTE 1 - ORGANIZATION
ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2024, the following sixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.
Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
The “Short” Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) 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, -2x, 1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly.
 
86

Share Splits and Reverse Share Splits
The table below includes forward and reverse Share splits for the Funds during the nine months September 30, 2024, and during the year ended December 31, 2023. 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 VIX Short-Term Futures    June 22, 2023    1-for-5 reverse Share split    June 23, 2023
ProShares Ultra VIX Short-Term Futures    June 22, 2023    1-for-10 reverse Share split    June 23, 2023
ProShares Ultra Bloomberg Natural Gas    June 22, 2023    1-for-20 reverse Share split    June 23, 2023
ProShares Short VIX Short-Term Futures    April 10, 2024    2-for-1 forward Share split    April 11, 2024
ProShares UltraShort Bloomberg Natural Gas    April 10, 2024    2-for-1 forward Share split    April 11, 2024
ProShares Ultra VIX Short-Term Futures    April 10, 2024    1-for-5 reverse Share split    April 11, 2024
The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.
The forward splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund. Therefore, the forward splits did not change the aggregate net asset value of a shareholder’s investment at the time of the forward split.
Restatement of Previously Issued Form 10-Q and Form 10-K Filings
ProShares Trust II (the “Trust”) identified an error related to the classification of amounts on the Statements of Financial Condition between “Segregated cash balances with brokers for futures contracts” and “Receivable (Payable) on open futures contracts” for Trust filings for each quarterly Form 10-Q and annual Form 10-K filing for the period December 31, 2021, through June 30, 2024, for five Funds. The Statement of Cash Flows was the only other statement affected by these misclassifications. No other financial statement or financial statement disclosure in the Forms 10-Q or Form 10-K filings were affected by these errors. The misclassifications did not change the Shareholder Equity, net asset value per share, or total return of any Fund. The Funds impacted were: ProShares Short VIX Short-Term Futures ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra VIX Short-Term Futures ETF, ProShares UltraShort Bloomberg Natural Gas, and ProShares VIX Short-Term Futures ETF (the “Affected Funds”).
 
 
87

These misclassifications were caused by a misinterpretation of amounts on a futures commission merchant statement and resulted in reclassifications between accounts. There is no impact on the Affected Funds’ performance, investment results, net asset values or income. The impact of these adjustments is shown in the table below.
Statements of Financial Condition
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
 
 
  
December 31, 2023
 
 
  
As Previously
Reported
 
  
Adjustment
 
 
As Restated
 
Assets
  
  
 
Segregated cash balances withbrokers for futures contracts
  
 
88,647,616
 
  
 
19,191,436
 
 
 
107,839,052
 
Receivable on open futures contracts
  
 
30,330,665
 
  
 
(19,116,505
 
 
11,214,160
 
Total Assets
  
 
283,337,788
 
  
 
74,931
 
 
 
283,412,719
 
Liabilities and shareholders’ equity
  
  
 
Payble on open futures contracts
  
 
372,680
 
  
 
74,931
 
 
 
447,611
 
Total Liabilities
  
 
16,153,429
 
  
 
74,931
 
 
 
16,228,360
 
Total liabilities and shareholders’ equity
  
 
283,337,788
 
  
 
74,931
 
 
 
283,412,719
 
    
September 30, 2023 (unaudited)
 
 
  
As Previously
Reported
    
Adjustment
   
As Restated
 
Statements of Cash Flows
       
Decrease (Increase) in receivable on open futures contracts
  
 
54,294,387
 
  
 
(21,065,695
 
 
33,228,692
 
Increase (Decrease) in payable on futures contracts
  
 
2,625,055
 
  
 
177,113
 
 
 
2,802,168
 
Net Cash provided by (used in) operating activities
  
 
213,167,374
 
  
 
(20,888,582
 
 
192,278,792
 
Net Increase (decrease) in cash
  
 
12,844,776
 
  
 
(20,888,582
 
 
(8,043,806
Cash, beginning of period
  
 
133,946,941
 
  
 
26,960,318
 
 
 
160,907,259
 
Cash, End of period
  
 
146,791,717
 
  
 
6,071,736
 
 
 
152,863,453
 
Statements of Financial Condition
PROSHARES ULTRA BLOOMBERG NATURAL GAS
 
 
  
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
Assets
  
 
 
Segregated cash balances withbrokers for futures contracts
  
 
256,589,331
 
 
 
118,272,358
 
 
 
374,861,689
 
Receivable on open futures contracts
  
 
117,168,017
 
 
 
(117,168,017
 
 
— 
 
Total Assets
  
 
770,676,725
 
 
 
1,104,341
 
 
 
771,781,066
 
Liabilities and shareholders’ equity
  
 
 
Payble on open futures contracts
  
 
20,739,542
 
 
 
1,104,341
 
 
 
21,843,883
 
Total Liabilities
  
 
40,783,917
 
 
 
1,104,341
 
 
 
41,888,258
 
Total liabilities and shareholders’ equity
  
 
770,676,725
 
 
 
1,104,341
 
 
 
771,781,066
 
    
September 30, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
 
Statements of Cash Flows
                        
Decrease (Increase) in receivable on open futures contracts
  
 
22,826,950
 
 
 
(45,094,124
 
 
(22,267,174
Increase (Decrease) in payable on futures contracts
  
 
4,094,655
 
 
 
(1,331,596
 
 
2,763,059
 
Net Cash provided by (used in) operating activities
  
 
(1,243,230,374
 
 
(46,425,720
 
 
(1,289,656,094
Net Increase (decrease) in cash
  
 
302,040,273
 
 
 
(46,425,720
 
 
255,614,553
 
Cash, beginning of period
  
 
176,734,664
 
 
 
150,981,820
 
 
 
327,716,484
 
Cash, End of period
  
 
478,774,937
 
 
 
104,556,100
 
 
 
583,331,037
 
 
 
88

Statements of Financial Condition
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
 
 
  
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
Assets
  
 
 
Segregated cash balances withbrokers for futures contracts
  
 
210,845,154
 
 
 
39,950,507
 
 
 
250,795,661
 
Receivable on open futures contracts
  
 
50,510,206
 
 
 
(39,950,507
 
 
10,559,699
 
Total Assets
  
 
NR
 
 
 
NR
 
 
 
NR
 
Liabilities and shareholders’ equity
  
 
 
Payble on open futures contracts
  
 
NR
 
 
 
NR
 
 
 
NR
 
Total Liabilities
  
 
NR
 
 
 
NR
 
 
 
NR
 
Total liabilities and shareholders’ equity
  
 
NR
 
 
 
NR
 
 
 
NR
 
Statements of Cash Flows
  
September 30, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
 
Decrease (Increase) in receivable on open futures contracts
  
 
167,791,568
 
 
 
(153,781,216
 
 
14,010,352
 
Increase (Decrease) in payable on futures contracts
  
 
(348,988
 
 
(555,697
 
 
(904,685
Net Cash provided by (used in) operating activities
  
 
(561,176,813
 
 
(154,336,913
 
 
(715,513,726
Net Increase (decrease) in cash
  
 
(241,693,787
 
 
(154,336,913
 
 
(396,030,700
Cash, beginning of period
  
 
394,847,507
 
 
 
188,366,332
 
 
 
583,213,839
 
Cash, End of period
  
 
153,153,720
 
 
 
34,029,419
 
 
 
187,183,139
 
Statements of Financial Condition
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
 
 
  
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
Assets
  
 
 
Segregated cash balances withbrokers for futures contracts
  
 
35,326,076
 
 
 
27,563,925
 
 
 
62,890,001
 
Receivable on open futures contracts
  
 
22,414,082
 
 
 
(17,967,880
 
 
4,446,202
 
Total Assets
  
 
141,081,961
 
 
 
9,596,045
 
 
 
150,678,006
 
Liabilities and shareholders’ equity
  
 
 
Payble on open futures contracts
  
 
— 
 
 
 
9,596,045
 
 
 
9,596,045
 
Total Liabilities
  
 
118,869
 
 
 
9,596,045
 
 
 
9,714,914
 
Total liabilities and shareholders’ equity
  
 
141,081,961
 
 
 
9,596,045
 
 
 
150,678,006
 
Statements of Cash Flows
  
September 30, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
 
Decrease (Increase) in receivable on open futures contracts
  
 
22,018,320
 
 
 
(22,274,815
 
 
(256,495
Increase (Decrease) in payable on futures contracts
  
 
(282,362
 
 
11,338,174
 
 
 
11,055,812
 
Net Cash provided by (used in) operating activities
  
 
224,959,762
 
 
 
(10,936,641
 
 
214,023,121
 
Net Increase (decrease) in cash
  
 
23,186,961
 
 
 
(10,936,641
 
 
12,250,320
 
Cash, beginning of period
  
 
44,482,540
 
 
 
32,958,640
 
 
 
77,441,180
 
Cash, End of period
  
 
67,669,501
 
 
 
22,021,999
 
 
 
89,691,500
 
 
 
89

Statements of Financial Condition
PROSHARES VIX SHORT-TERM FUTURES ETF
 
 
  
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
Assets
  
 
 
Segregated cash balances withbrokers for futures contracts
  
 
59,164,337
 
 
 
13,685,056
 
 
 
72,849,393
 
Receivable on open futures contracts
  
 
16,047,893
 
 
 
(13,685,056
 
 
2,362,837
 
Total Assets
  
 
NR
 
 
 
NR
 
 
 
NR
 
Liabilities and shareholders’ equity
  
 
 
Payble on open futures contracts
  
 
NR
 
 
 
NR
 
 
 
NR
 
Total Liabilities
  
 
NR
 
 
 
NR
 
 
 
NR
 
Total liabilities and shareholders’ equity
  
 
NR
 
 
 
NR
 
 
 
NR
 
Statements of Cash Flows
  
September 30, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
 
Decrease (Increase) in receivable on open futures contracts
  
 
35,100,289
 
 
 
(37,772,557
 
 
(2,672,268
Increase (Decrease) in payable on futures contracts
  
 
(223,719
 
 
(146,264
 
 
(369,983
Net Cash provided by (used in) operating activities
  
 
(182,031,152
 
 
(37,918,821
 
 
(219,949,973
Net Increase (decrease) in cash
  
 
(35,901,341
 
 
(37,918,821
 
 
(73,820,162
Cash, beginning of period
  
 
125,161,810
 
 
 
50,118,046
 
 
 
175,279,856
 
Cash, End of period
  
 
89,260,469
 
 
 
12,199,225
 
 
 
101,459,694
 
Statements of Financial Condition
PROSHARES TRUST II
 
 
  
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
Assets
  
 
 
Segregated cash balances withbrokers for futures contracts
  
 
810,718,438
 
 
 
218,663,282
 
 
 
1,029,381,720
 
Receivable on open futures contracts
  
 
237,610,648
 
 
 
(207,887,965
 
 
29,722,683
 
  
 
 
 
 
 
 
 
 
 
 
 
Total Assets
  
 
3,359,443,290
 
 
 
10,775,317
 
 
 
3,370,218,607
 
  
 
 
 
 
 
 
 
 
 
 
 
Liabilities and shareholders’ equity
  
 
 
Payble on open futures contracts
  
 
27,280,746
 
 
 
10,775,317
 
 
 
38,056,063
 
  
 
 
 
 
 
 
 
 
 
 
 
Total Liabilities
  
 
76,611,164
 
 
 
10,775,317
 
 
 
87,386,481
 
  
 
 
 
 
 
 
 
 
 
 
 
Total liabilities and shareholders’ equity
  
 
3,359,443,290
 
 
 
10,775,317
 
 
 
3,370,218,607
 
  
 
 
 
 
 
 
 
 
 
 
 
Statements of Cash Flows
  
September 30, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
 
Decrease (Increase) in receivable on open futures contracts
  
 
308,133,798
 
 
 
(279,988,407
 
 
28,145,391
 
Increase (Decrease) in payable on futures contracts
  
 
3,219,962
 
 
 
9,481,730
 
 
 
12,701,692
 
  
 
 
 
 
 
 
 
 
 
 
 
Net Cash provided by (used in) operating activities
  
 
(1,216,466,313
 
 
(270,506,677
 
 
(1,486,972,990
  
 
 
 
 
 
 
 
 
 
 
 
Net Increase (decrease) in cash
  
 
(67,161,004
 
 
(270,506,677
 
 
(337,667,681
Cash, beginninng of period
  
 
1,826,767,616
 
 
 
449,385,156
 
 
 
2,276,152,772
 
  
 
 
 
 
 
 
 
 
 
 
 
Cash, End of period
  
 
1,759,606,612
 
 
 
178,878,479
 
 
 
1,938,485,091
 
  
 
 
 
 
 
 
 
 
 
 
 
NR - Not Restated.
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, 2023, as filed with the SEC on February 28, 2024.
 
90

Use of Estimates & Indemnifications
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant loss to be remote.
Basis of Presentation
Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund.
 
 
91

Statements of Cash Flows
The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated September 30, 2024 and 2023, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.
Final Net Asset Value for Fiscal Period
The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months ended September 30, 2024 were typically as follows. All times are Eastern Standard Time:
 
    
Create/Redeem
    
NAV Calculation
    
NAV
 
Fund
  
Cut-off*
    
Time
    
Calculation Date
 
Ultra Silver and UltraShort Silver
     1:00 p.m.        1:25 p.m.        September 30, 2024  
  
 
 
    
 
 
    
 
 
 
Ultra Gold and UltraShort Gold
     1:00 p.m.        1:30 p.m.        September 30, 2024  
  
 
 
    
 
 
    
 
 
 
Ultra Bloomberg Crude Oil,
        
Ultra Bloomberg Natural Gas,
        
UltraShort Bloomberg Crude Oil and
        
UltraShort Bloomberg Natural Gas
     2:00 p.m.        2:30 p.m.        September 30, 2024  
  
 
 
    
 
 
    
 
 
 
Ultra Euro,
        
Ultra Yen,
        
UltraShort Euro and
        
UltraShort Yen
     3:00 p.m.        4:00 p.m.        September 30, 2024  
  
 
 
    
 
 
    
 
 
 
Short VIX Short-Term Futures ETF,
        
Ultra VIX Short-Term Futures ETF,
        
VIX Mid-Term Futures ETF and
        
VIX Short-Term Futures ETF
     2:00 p.m.        4:00 p.m.        September 30, 2024  
  
 
 
    
 
 
    
 
 
 
 
*
Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, 2024.
Market value per Share is determined at the close of the applicable primary listing exchange and may be from when the Funds’ NAV per Share is calculated.
For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the nine months ended September 30, 2024.
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.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate fair value. These instruments are classified as Level II in the fair value hierarchy.
Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver and UltraShort Euro Fund, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver and UltraShort Euro Fund are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures 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
 
92

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.
 
9
3

The following table summarizes the valuation of investments at September 30, 2024 using the fair value hierarchy:
 
    
Level I - Quoted Prices
   
Level II - Other Significant
Observable Inputs
       
Fund
  
Short-Term U.S.

Government and

Agencies
    
Futures

Contracts
*
   
Foreign

Currency

Forward

Contracts
   
Swap

Agreements
   
Total
 
ProShares Short VIX Short-Term Futures ETF
   $ 224,255,645      $ (384,482   $ —      $ —      $ 223,871,163  
ProShares Ultra Bloomberg Crude Oil
     328,568,816        (2,342,056     —        12,083,549       338,310,309  
ProShares Ultra Bloomberg Natural Gas
     323,797,810        107,189,385       —        —        430,987,195  
ProShares Ultra Euro
     —         —        46,650       —        46,650  
ProShares Ultra Gold
     224,172,785        17,896,142       —        16,711,846       258,780,773  
ProShares Ultra Silver
     348,600,390        52,276,346       —        74,039,327       474,916,063  
ProShares Ultra VIX Short-Term Futures ETF
     64,820,219        8,353,741       —        —        73,173,960  
ProShares Ultra Yen
     —         —        (283,944     —        (283,944
ProShares UltraShort Bloomberg Crude Oil
     34,925,773        14,905,749       —        —        49,831,522  
ProShares UltraShort Bloomberg Natural Gas
     44,895,561        (14,948,530     —        —        29,947,031  
ProShares UltraShort Euro
     —         —        (327,636     —        (327,636
ProShares UltraShort Gold
     —         (124,208     —        (1,062,980     (1,187,188
ProShares UltraShort Silver
     —         (16,482     —        (5,145,175     (5,161,657
ProShares UltraShort Yen
     —         —        (210,204     —        (210,204
ProShares VIX Mid-Term Futures ETF
            594,532       —        —        594,532  
ProShares VIX Short-Term Futures ETF
     64,785,421        2,510,161       —        —        67,295,582  
  
 
 
    
 
 
   
 
 
   
 
 
   
 
 
 
Combined Trust:
  
$
1,658,822,420
 
  
$
185,910,298
 
 
$
(775,134
 
$
96,626,567
 
 
$
1,940,584,151
 
 
*
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 following table summarizes the valuation of investments at December 31, 2023 using the fair value hierarchy:
 
    
Level I - Quoted Prices
   
Level II - Other Significant
Observable Inputs
       
Fund
  
Short-Term U.S.

Government and

Agencies
    
Futures

Contracts
*
   
Foreign

Currency

Forward

Contracts
   
Swap

Agreements
   
Total
 
ProShares Short VIX Short-Term Futures ETF
   $ 109,410,342      $ 12,640,624     $ —      $ —      $ 122,050,966  
ProShares Ultra Bloomberg Crude Oil
     233,476,941        (3,515,232     —        17,954,935       247,916,644  
ProShares Ultra Bloomberg Natural Gas
     64,459,117        43,607,070       —        —        108,066,187  
ProShares Ultra Euro
     —         —        306,949       —        306,949  
ProShares Ultra Gold
     59,507,594        4,096,275       —        3,078,593       66,682,462  
ProShares Ultra Silver
     114,276,025        12,400,748       —        (2,827,221     123,849,552  
ProShares Ultra VIX Short-Term Futures ETF
     —         (31,183,911     —        —        (31,183,911
ProShares Ultra Yen
     —         —        1,519,285       —        1,519,285  
ProShares UltraShort Bloomberg Crude Oil
     49,683,885        22,436,319       —        —        72,120,204  
ProShares UltraShort Bloomberg Natural Gas
     —         (3,553,507     —        —        (3,553,507
ProShares UltraShort Euro
     —         —        (1,848,779     —        (1,848,779
ProShares UltraShort Gold
     —         (144,231     —        (199,821     (344,052
ProShares UltraShort Silver
     —         1,689,046       —        (814,174     874,872  
ProShares UltraShort Yen
     —         —        (1,311,925     —        (1,311,925
ProShares VIX Mid-Term Futures ETF
     —         (3,745,676     —        —        (3,745,676
ProShares VIX Short-Term Futures ETF
     59,660,373        (9,664,094     —        —        49,996,279  
  
 
 
    
 
 
   
 
 
   
 
 
   
 
 
 
Combined Trust:
  
$
690,474,277
 
  
$
45,063,431
 
 
$
(1,334,470
 
$
17,192,312
 
 
$
751,395,550
 
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
 
9
4

There were no transfers into or out of Level 3 for the period ended September 30, 2024 or the year ended December 31, 2023.
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 generally recognized on an accrual basis and includes the amortization of discount on short-term U.S. government and agency obligations and is reflected in the Statement of Operations. Additionally, interest income may be earned on Repurchase Agreements and/or cash held on deposit with brokers for futures contracts.
Brokerage Commissions and Futures Account Fees
Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.
Federal Income Tax
Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.
Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., last three years and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.
NOTE 3 – INVESTMENTS
Short-Term Investments
The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.
 
9
5

Repurchase Agreements
The Funds may enter into repurchase agreements. Repurchase agreements are primarily used by the Funds as short-term investments for cash positions. Under a repurchase agreement, a Fund purchases one or more debt securities and simultaneously agrees to sell those securities back to the seller at a mutually agreed-upon future price and date, normally one day or a few days later. The resale price is greater than the purchase price, reflecting an agreed-upon market interest rate during the purchaser’s holding period. While the maturities of the underlying securities in repurchase transactions may be more than one year, the term of each repurchase agreement will always be less than one year. The Funds follow certain procedures designed to minimize the risks inherent in such agreements. These procedures include affecting repurchase transactions generally with major global financial institutions whose creditworthiness is monitored by the Sponsor. In addition, the value of the collateral underlying the repurchase agreement is required to be at least equal to the repurchase price, including any accrued interest income earned on the repurchase agreement. A repurchase agreement is subject to the risk that the counterparty to the repurchase agreement that sells the securities may default on its obligation to repurchase them. In this circumstance, a Fund may lose money because it may not be able to sell the securities at the agreed upon time and price, the securities may lose value before they can be sold, the selling institution may declare bankruptcy, or the Fund may have difficulty exercising rights to the collateral. During periods of high demand for repurchase agreements, the Funds may be unable to invest available cash in these instruments to the extent desired by the Sponsor.
At September 30, 2024, the Trust did not have any open repurchase agreements.
Accounting for Derivative Instruments
In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.
All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.
Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.
Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.
Futures contracts involve, to varying degrees, elements of market risk (specifically 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
 
96

for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.
Option Contracts
An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.
When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).
When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless. Over-the-counter options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The over-the-counter market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.
Each Oil Fund (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance.
 
97

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 September 30, 2024 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.
 
98

The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2024, 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.
 
99

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2024, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.
A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.
The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period.
Fair Value of Derivative Instruments as of September 30, 2024
 
         
Asset Derivatives
   
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized

Appreciation
   
Statements of
Financial Condition
Location
  
Unrealized

Depreciation
 
VIX Futures Contracts
      Receivable on open futures contracts     
Payable on open
futures contracts
  
   ProShares Short VIX Short-Term Futures ETF       $ 352,766
*
 
     $ 737,248
*
 
   ProShares Ultra VIX Short-Term Futures ETF         8,353,741
*
 
       —   
   ProShares VIX Mid-Term Futures ETF         594,532
*
 
       —   
   ProShares VIX Short-Term Futures ETF         2,510,161
*
 
       —   
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         13,315,890
*
 
       3,574,397
*
 
   ProShares Ultra Bloomberg Natural Gas         107,189,385
*
 
       —   
   ProShares Ultra Gold         34,607,988
*
 
       —   
   ProShares Ultra Silver         126,315,673
*
 
       —   
   ProShares UltraShort Bloomberg Crude Oil         14,942,231
*
 
       36,482
*
 
   ProShares UltraShort Bloomberg Natural Gas         —           14,948,530
*
 
   ProShares UltraShort Gold         —           1,187,188
*
 
   ProShares UltraShort Silver         —           5,161,657
*
 
Foreign Exchange Contracts
      Unrealized appreciation on foreign currency forward contracts      Unrealized depreciation on foreign currency forward contracts   
   ProShares Ultra Euro         47,355          705  
   ProShares Ultra Yen         17,300          301,244  
   ProShares UltraShort Euro         3,425          331,061  
   ProShares UltraShort Yen                  210,204  
        
 
 
      
 
 
 
     
Combined Trust:
  
$
308,250,447
    
$
26,488,716
 
*
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.
 
100

Fair Value of Derivative Instruments as of December 31, 2023
 
         
Asset Derivatives
   
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized

Appreciation
   
Statements of
Financial Condition
Location
  
Unrealized

Depreciation
 
VIX Futures Contracts
      Receivable on open futures contracts     
Payable on open
futures contracts
  
   ProShares Short VIX Short-Term Futures ETF       $ 12,640,624
*
 
     $ —   
   ProShares Ultra VIX Short-Term Futures ETF         —           31,183,911
*
 
   ProShares VIX Mid-Term Futures ETF         —           3,745,676
*
 
   ProShares VIX Short-Term Futures ETF         —           9,664,094
*
 
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         20,191,987
*
 
       5,752,284
*
 
   ProShares Ultra Bloomberg Natural Gas         43,607,070
*
 
       —   
   ProShares Ultra Gold         7,174,868
*
 
       —   
   ProShares Ultra Silver         12,400,748
*
 
       2,827,221
*
 
   ProShares UltraShort Bloomberg Crude Oil         22,436,319
*
 
       —   
   ProShares UltraShort Bloomberg Natural Gas         —           3,553,507
*
 
   ProShares UltraShort Gold         —           344,052
*
 
   ProShares UltraShort Silver         1,879,957
*
 
       1,005,085
*
 
Foreign Exchange Contracts
      Unrealized appreciation on foreign currency forward contracts      Unrealized depreciation on foreign currency forward contracts   
   ProShares Ultra Euro         308,424          1,475  
   ProShares Ultra Yen         1,534,924          15,639  
   ProShares UltraShort Euro         38,029          1,886,808  
   ProShares UltraShort Yen         129,697          1,441,622  
        
 
 
      
 
 
 
     
Combined Trust:
  
$
122,342,647
*
 
    
$
61,421,374
*
 
 
*
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.
 
10
1

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended September 30, 2024
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
   
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts
  
Net realized gain (loss) on futures contracts changes in unrealized appreciation (depreciation) on futures contracts
       
     
ProShares Short VIX Short-Term Futures ETF
   $ (7,503,293   $ (4,219,681
     
ProShares Ultra VIX Short-Term Futures ETF
     (36,612,575     14,558,661  
     
ProShares VIX Mid-Term Futures ETF
     2,713,658       457,557  
     
ProShares VIX Short-Term Futures ETF
     47,467,197       5,170,981  
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
     (66,825,983     (59,088,544
     
ProShares Ultra Bloomberg Natural Gas
     (372,130,469     260,225,054  
     
ProShares Ultra Gold
     12,042,718       41,928,337  
     
ProShares Ultra Silver
     (129,011,226     182,392,300  
     
ProShares UltraShort Bloomberg Crude Oil
     12,329,007       28,461,478  
     
ProShares UltraShort Bloomberg Natural Gas
     90,006,232       (55,772,673
     
ProShares UltraShort Gold
     (1,409,519     (1,762,993
     
ProShares UltraShort Silver
     5,993,727       (9,520,751
Foreign Exchange Contracts
  
Net realized gain (loss) on foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on foreign currency forward contracts
       
     
ProShares Ultra Euro
     182,638       187,048  
     
ProShares Ultra Yen
     6,834,509       2,618,114  
     
ProShares UltraShort Euro
     (1,317,854     (1,247,585
     
ProShares UltraShort Yen
     (5,013,671     (3,366,298
        
 
 
   
 
 
 
     
Combined Trust
  
$
(442,254,904
 
$
401,021,005
 
 
10
2

The Effect of Derivative Instruments on the Statement of Operations
For the nine months ended September 30, 2024
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain

(Loss) on

Derivatives

Recognized in

Income
   
Change in

Unrealized

Appreciation

(Depreciation) on

Derivatives

Recognized in

Income
 
VIX Futures Contracts
  
Net realized gain (loss) on futures contracts changes in unrealized appreciation (depreciation) on futures contracts
       
     
ProShares Short VIX Short-Term Futures ETF
   $ 47,755,573     $ (13,025,106
     
ProShares Ultra VIX Short-Term Futures ETF
     (185,028,990     39,537,652  
     
ProShares VIX Mid-Term Futures ETF
     (12,344,229     4,340,208  
     
ProShares VIX Short-Term Futures ETF
     (11,804,121     12,174,255  
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
     33,249,538       (4,698,210
     
ProShares Ultra Bloomberg Natural Gas
     (402,539,202     63,582,315  
     
ProShares Ultra Gold
     62,081,810       27,433,120  
     
ProShares Ultra Silver
     87,198,503       116,742,146  
     
ProShares UltraShort Bloomberg Crude Oil
     (330,018     (7,530,570
     
ProShares UltraShort Bloomberg Natural Gas
     90,097,297       (11,395,023
     
ProShares UltraShort Gold
     (5,323,806     (843,136
     
ProShares UltraShort Silver
     (4,296,391     (6,036,529
Foreign Exchange Contracts
  
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
       
     
ProShares Ultra Euro
     107,862       (260,299
     
ProShares Ultra Yen
     (562,689     (1,803,229
     
ProShares UltraShort Euro
     (1,360,955     1,521,143  
     
ProShares UltraShort Yen
     1,109,169       1,101,721  
        
 
 
   
 
 
 
     
Combined Trust:
  
$
(301,990,649
 
$
220,840,458
 
 
10
3

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended September 30, 2023
 
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
   $ 30,285,319     $ (26,316,590
     
ProShares Ultra VIX Short-Term Futures ETF
     (142,584,115     108,839,211  
     
ProShares VIX Mid-Term Futures ETF
     (12,244,511     8,934,542  
     
ProShares VIX Short-Term Futures ETF
     (54,950,042     41,847,057  
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
     244,550,123       28,244,846  
     
ProShares Ultra Bloomberg Natural Gas
     237,079,838       (410,454,461
     
ProShares Ultra Gold
     (16,876,003     (522,115
     
ProShares Ultra Silver
     (30,251,410     239,211  
     
ProShares UltraShort Bloomberg Crude Oil
     (47,764,820     (38,026,419
     
ProShares UltraShort Bloomberg Natural Gas
     (10,798,451     44,086,649  
     
ProShares UltraShort Gold
     1,436,424       (251,606
     
ProShares UltraShort Silver
     6,921,431       61,770  
Foreign Exchange Contracts
  
Net realized gain (loss) on foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on foreign currency forward contracts
       
     
ProShares Ultra Euro
     (22,385     (462,400
     
ProShares Ultra Yen
     (1,854,770     277,206  
     
ProShares UltraShort Euro
     (122,866     3,207,102  
     
ProShares UltraShort Yen
     3,079,208       (1,059,246
        
 
 
   
 
 
 
     
Combined Trust
  
$
205,882,970
 
 
$
(241,355,243
 
10
4

The Effect of Derivative Instruments on the Statement of Operations
For the nine months ended September 30, 2023
 
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
   $ 125,117,609     $ (13,479,766
     
ProShares Ultra VIX Short-Term Futures ETF
     (751,122,089     65,564,944  
     
ProShares VIX Mid-Term Futures ETF
     (35,008,564     3,847,551  
     
ProShares VIX Short-Term Futures ETF
     (228,276,043     21,670,993  
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
     253,975,133       (64,480,382
     
ProShares Ultra Bloomberg Natural Gas
     (1,441,434,725     194,583,202  
     
ProShares Ultra Gold
     11,120,462       (22,699,483
     
ProShares Ultra Silver
     5,667,026       (96,434,853
     
ProShares UltraShort Bloomberg Crude Oil
     7,896,254       (35,285,156
     
ProShares UltraShort Bloomberg Natural Gas
     221,346,621       (62,113,081
     
ProShares UltraShort Gold
     (1,147,608     1,851,613  
     
ProShares UltraShort Silver
     10,748,650       4,528,828  
Foreign Exchange Contracts
  
Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
       
     
ProShares Ultra Euro
     336,185       (638,368
     
ProShares Ultra Yen
     (2,923,720     (1,564,970
     
ProShares UltraShort Euro
     (2,576,119     3,909,584  
     
ProShares UltraShort Yen
     3,422,003       3,948,039  
        
 
 
   
 
 
 
     
Combined Trust:
  
$
(1,822,858,925
 
$
3,208,695
 
 
10
5

Offsetting Assets and Liabilities
Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2024.
 
Fair Values of Derivative Instruments as of September 30, 2024
 
    
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
   $ 12,083,549      $      $ 12,083,549      $      $      $  
ProShares Ultra Euro
                 
Foreign currency forward contracts
     47,355               47,355        705               705  
ProShares Ultra Gold
                 
Swap agreements
     16,711,846               16,711,846                       
ProShares Ultra Silver
                 
Swap agreements
     74,039,327               74,039,327                       
ProShares Ultra Yen
                 
Foreign currency forward contracts
     17,300               17,300        301,244               301,244  
ProShares UltraShort Euro
                 
Foreign currency forward contracts
     3,425               3,425        331,061               331,061  
ProShares UltraShort Gold
                 
Swap agreements
                          1,062,980               1,062,980  
ProShares UltraShort Silver
                 
Swap agreements
                          5,145,175               5,145,175  
ProShares UltraShort Yen
                 
Foreign currency forward contracts
                          210,204               210,204  
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2024. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
 
10
6

Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2024
 
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.
  $ 2,403,631     $ (2,027,597   $     $ 376,034  
Goldman Sachs International
    3,799,116       (3,295,031           504,085  
Morgan Stanley & Co. International PLC
    1,154,121       (982,600           171,521  
Societe Generale
    2,894,904       (2,507,949           386,955  
UBS AG
    1,831,777       (1,552,267           279,510  
ProShares Ultra Euro
       
Goldman Sachs International
    23,201                   23,201  
UBS AG
    23,449                   23,449  
ProShares Ultra Gold
       
Citibank, N.A.
    7,175,825       (7,175,825            
Goldman Sachs International
    3,408,289       (3,408,289            
UBS AG
    6,127,732       (6,127,732            
ProShares Ultra Silver
       
Citibank, N.A.
    32,950,011       (32,950,011            
Goldman Sachs International
    2,899,316       (2,899,316            
Morgan Stanley & Co. International PLC
    19,670,742       (19,670,742            
UBS AG
    18,519,258       (18,519,258            
ProShares Ultra Yen
       
Goldman Sachs International
    (36,685           36,685        
UBS AG
    (247,259           247,259        
ProShares UltraShort Euro
       
Goldman Sachs International
    (181,742           181,742        
UBS AG
    (145,894           145,894        
ProShares UltraShort Gold
       
Citibank, N.A.
    (245,098           245,098        
Goldman Sachs International
    (321,030           321,030        
UBS AG
    (496,852           496,852        
ProShares UltraShort Silver
       
Citibank, N.A.
    (2,349,115           2,349,115        
Goldman Sachs International
    (1,289,728           1,289,728        
Morgan Stanley & Co. International PLC
    (177,955           177,955        
UBS AG
    (1,328,377           1,328,377        
ProShares UltraShort Yen
       
Goldman Sachs International
    (71,306           71,306        
UBS AG
    (138,898           138,898        
 
10
7

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, 2023:
 
Fair Values of Derivative Instruments as of December 31, 2023
 
    
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
   $ 17,954,935      $      $ 17,954,935      $      $      $  
ProShares Ultra Euro
                 
Foreign currency forward contracts
     308,424               308,424        1,475               1,475  
ProShares Ultra Gold
                 
Swap agreements
     3,078,593               3,078,593                       
ProShares Ultra Silver
                 
Swap agreements
                          2,827,221               2,827,221  
ProShares Ultra Yen
                 
Foreign currency forward contracts
     1,534,924               1,534,924        15,639               15,639  
ProShares UltraShort Euro
                 
Foreign currency forward contracts
     38,029               38,029        1,886,808               1,886,808  
ProShares UltraShort Gold
                 
Swap agreements
                          199,821               199,821  
ProShares UltraShort Silver
                 
Swap agreements
                          814,174               814,174  
ProShares UltraShort Yen
                 
Foreign currency forward contracts
     129,697               129,697        1,441,622               1,441,622  
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2023. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
 
10
8

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2023
 
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.
  $ 3,938,035     $ (3,938,035   $     $  
Goldman Sachs International
    4,896,240       (4,896,240            
Morgan Stanley & Co. International PLC
    2,449,576       (2,449,576            
Societe Generale
    3,727,284       (3,727,284            
UBS AG
    2,943,800       (2,943,800            
ProShares Ultra Euro
       
Goldman Sachs International
    162,672                   162,672  
UBS AG
    144,277                   144,277  
ProShares Ultra Gold
       
Citibank, N.A.
    1,321,903       (1,321,903            
Goldman Sachs International
    627,862       (627,862            
UBS AG
    1,128,828       (1,128,828            
ProShares Ultra Silver
       
Citibank, N.A.
    (906,324           906,324        
Goldman Sachs International
    (135,877           135,877        
Morgan Stanley & Co. International PLC
    (921,875           921,875        
UBS AG
    (863,145           863,145        
ProShares Ultra Yen
       
Goldman Sachs International
    646,861       (465,767           181,094  
UBS AG
    872,424       (618,104           254,320  
ProShares UltraShort Euro
       
Goldman Sachs International
    (964,142           964,142        
UBS AG
    (884,637           884,637        
ProShares UltraShort Gold
       
Citibank, N.A.
    (46,103           46,103        
Goldman Sachs International
    (60,261           60,261        
UBS AG
    (93,457           93,457        
ProShares UltraShort Silver
       
Citibank, N.A.
    126,314                   126,314  
Goldman Sachs International
    56,804                   56,804  
Morgan Stanley & Co. International PLC
    7,793                   7,793  
UBS AG
    (1,005,085           1,005,085        
ProShares UltraShort Yen
       
Goldman Sachs International
    (701,077           701,077        
UBS AG
    (610,848           610,848        
NOTE 4 — AGREEMENTS
Management Fee
Each Leveraged 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. Each Fund accrues the Management Fee daily at an annualized rate based on its average daily net assets.
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 fees and expenses of the Administrator, Custodian, Transfer Agent, Distributor (as each is defined below), and ProFunds Distributors, Inc., an affiliated broker-dealer of the Sponsor, as well as 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 of 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.
 
10
9

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 “Administrator”). The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.
The Custodian
BNY Mellon serves as the Custodian of the Funds (the “Custodian”). 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 (the “Transfer Agent”) for entities that have entered into an Authorized Participant Agreement with one or more of the Funds (“Authorized Participants”) and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor.
The Distributor
SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds.
NOTE 5 – CREATION AND REDEMPTION OF CREATION UNITS
Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the reverse share splits as described in Note 1 and Note 8, 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.
 
1
10

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 three and nine months ended September 30, 2024 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

September 30, 2024
    
Nine Months Ended

September 30, 2024
 
ProShares Short VIX Short-Term Futures ETF
   $ 342,387      $ 436,990  
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
     604,936        911,886  
ProShares Ultra Yen
             
ProShares UltraShort Bloomberg Crude Oil
             
ProShares UltraShort Bloomberg Natural Gas
             
ProShares UltraShort Euro
             
ProShares UltraShort Gold
             
ProShares UltraShort Silver
             
ProShares UltraShort Yen
             
ProShares VIX Mid-Term Futures ETF
     6,631        86,062  
ProShares VIX Short-Term Futures ETF
     102,672        167,124  
  
 
 
    
 
 
 
Combined Trust:
   $ 1,056,626      $ 1,602,062  
 
1
1
1

Table of Contents
NOTE 6 – FINANCIAL HIGHLIGHTS
Selected data for a Share outstanding throughout the three months ended September 30, 2024
For the Three Months Ended September 30, 2024 (unaudited)
 
Per Share Operating
Performance
  
Short VIX

Short-Term

Futures ETF
*
   
Ultra

Bloomberg

Crude Oil
   
Ultra

Bloomberg

Natural Gas
**
   
Ultra Euro
   
Ultra Gold
   
Ultra Silver
 
Net asset value, at June 30, 2024
   $ 61.35     $ 33.51     $ 77.97     $ 11.19     $ 77.31     $ 37.44  
Net investment income (loss)
     0.46       0.26       0.40       0.11       0.88       0.38  
Net realized and unrealized gain (loss)#
     (11.65     (8.41     (19.67     0.79       18.22       2.72  
Change in net asset value from operations
     (11.19     (8.15     (19.27     0.90       19.10       3.10  
Net asset value, at September 30, 2024
   $ 50.16     $ 25.36     $ 58.70     $ 12.09     $ 96.41     $ 40.54  
Market value per share, at June 30, 2024
   $ 61.39     $ 33.50     $ 78.35     $ 11.17     $ 77.04     $ 37.09  
Market value per share, at September 30, 2024
   $ 50.11     $ 25.42     $ 58.00     $ 12.06     $ 95.89     $ 40.44  
Total Return, at net asset value^
     (18.2 )%      (24.3 )%      (24.7 )%      8.0     24.7     8.3
Total Return, at market value^
     (18.4 )%      (24.1 )%      (26.0 )%      8.0     24.5     9.0
Ratios to Average Net Assets***
            
Expense ratio^^
     1.25     1.00     1.42     0.95     0.96     0.98
Net investment income gain (loss)
     3.46     3.56     3.16     3.57     4.05     4.03
 
*
See Note 1 of these Notes to Financial Statements.
**
See Note 8 of these Notes to Financial Statements.
***
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2024.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
1
1
2

For the Three Months Ended September 30, 2024 (unaudited)
 
Per Share Operating
Performance
  
Ultra VIX

Short-Term

Futures ETF
*
   
Ultra Yen
   
UltraShort

Bloomberg

Crude Oil
   
UltraShort

Bloomberg

Natural Gas
*
   
UltraShort

Euro
   
UltraShort

Gold
 
Net asset value, at June 30, 2024
   $ 23.58     $ 20.23     $ 15.57     $ 49.37     $ 31.86     $ 21.60  
Net investment income (loss)
     0.13       0.20       0.16       0.54       0.27       0.15  
Net realized and unrealized gain (loss)#
     1.23       4.33       3.79       4.61       (2.21     (4.50
Change in net asset value from operations
     1.36       4.53       3.95       5.15       (1.94     (4.35
Net asset value, at September 30, 2024
   $ 24.94     $ 24.76     $ 19.52     $ 54.52     $ 29.92     $ 17.25  
Market value per share, at June 30, 2024
   $ 23.54     $ 20.30     $ 15.57     $ 49.19     $ 31.83     $ 21.67  
Market value per share, at September 30, 2024
   $ 24.93     $ 24.70     $ 19.48     $ 55.22     $ 29.92     $ 17.33  
Total Return, at net asset value^
     5.7     22.4     25.3     10.4     (6.1 )%      (20.1 )% 
Total Return, at market value^
     5.9     21.7     25.1     12.3     (6.0 )%      (20.0 )% 
Ratios to Average Net Assets**
            
Expense ratio^^
     1.92     0.95     1.08     1.64     0.95     0.98
Net investment income gain (loss)
     2.15     3.38     3.79     3.22     3.54     3.16
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2024.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
1
1
3

For the Three Months Ended September 30, 2024 (unaudited)
 
Per Share Operating
Performance
  
UltraShort

Silver
*
   
UltraShort

Yen
*
   
VIX
Mid-Term

Futures ETF
   
VIX

Short-Term

Futures ETF
*
 
Net asset value, at June 30, 2024
   $ 44.88     $ 47.63     $ 14.29     $ 43.33  
Net investment income (loss)
     0.36       0.38       0.14       0.38  
Net realized and unrealized gain (loss)#
     (7.23     (9.10     0.64       5.24  
Change in net asset value from operations
     (6.87     (8.72     0.78       5.62  
Net asset value, at September 30, 2024
   $ 38.01     $ 38.91     $ 15.07     $ 48.95  
Market value per share, at June 30, 2024
   $ 45.32     $ 47.56     $ 14.33     $ 43.40  
Market value per share, at September 30, 2024
   $ 38.12     $ 38.90     $ 15.11     $ 49.00  
Total Return, at net asset value^
     (15.3 )%      (18.3 )%      5.5     13.0
Total Return, at market value^
     (15.9 )%      (18.2 )%      5.4     12.9
Ratios to Average Net Assets**
        
Expense ratio^^
     1.04     0.95     1.01     1.23
Net investment income gain (loss)
     3.21     3.63     3.70     3.19
 
*
See Note 8 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2024.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
 
11
4

Selected data for a Share outstanding throughout the three months ended September 30, 2023
For the Three Months Ended September 30, 2023 (unaudited)
 
Per Share Operating
Performance
  
Short VIX

Short-Term

Futures ETF
*
   
Ultra

Bloomberg

Crude Oil
   
Ultra

Bloomberg

Natural Gas
**
   
Ultra Euro
   
Ultra Gold
   
Ultra Silver
 
Net asset value, at June 30, 2023
   $ 42.34     $ 23.74     $ 347.41     $ 11.59     $ 58.36     $ 27.04  
Net investment income (loss)
     0.30       0.16       1.90       0.10       0.47       0.18  
Net realized and unrealized gain (loss)#
     0.48       11.34       (79.33     (0.82     (6.08     (2.46
Change in net asset value from operations
     0.78       11.50       (77.43     (0.72     (5.61     (2.28
Net asset value, at September 30, 2023
   $ 43.12     $ 35.24     $ 269.98     $ 10.87     $ 52.75     $ 24.76  
Market value per share, at June 30, 2023
   $ 42.34     $ 23.65     $ 344.95     $ 11.61     $ 58.24     $ 26.95  
Market value per share, at September 30, 2023
   $ 43.17     $ 35.28     $ 271.90     $ 10.85     $ 52.60     $ 24.61  
Total Return, at net asset value^
     1.9     48.4     (22.3 )%      (6.2 )%      (9.6 )%      (8.4 )% 
Total Return, at market value^
     2.0     49.2     (21.2 )%      (6.6 )%      (9.7 )%      (8.7 )% 
Ratios to Average Net Assets***
            
Expense ratio^^
     1.16     0.98     1.26     0.95     0.96     0.98
Net investment income gain (loss)
     2.77     2.13     2.49     3.56     3.22     2.58
 
*
See Note 1 of these Notes to Financial Statements.
**
See Note 1 and Note 8 of these Notes to Financial Statements.
***
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
11
5

For the Three Months Ended September 30, 2023 (unaudited)
 
Per Share Operating
Performance
  
Ultra VIX

Short-Term

Futures ETF
*
   
Ultra Yen
   
UltraShort

Bloomberg

Crude Oil
   
UltraShort

Bloomberg

Natural Gas
*
   
UltraShort

Euro
   
UltraShort

Gold
 
Net asset value, at June 30, 2023
   $ 92.42     $ 27.40     $ 25.62     $ 27.53     $ 29.10     $ 28.90  
Net investment income (loss)
     0.45       0.25       0.17       0.23       0.26       0.23  
Net realized and unrealized gain (loss)#
     (11.88     (2.64     (8.93     2.97       2.07       3.01  
Change in net asset value from operations
     (11.43     (2.39     (8.76     3.20       2.33       3.24  
Net asset value, at September 30, 2023
   $ 80.99     $ 25.01     $ 16.86     $ 30.73     $ 31.43     $ 32.14  
Market value per share, at June 30, 2023
   $ 92.45     $ 27.42     $ 25.70     $ 27.73     $ 29.11     $ 28.96  
Market value per share, at September 30, 2023
   $ 81.05     $ 25.00     $ 16.82     $ 30.52     $ 31.43     $ 32.20  
Total Return, at net asset value^
     (12.4 )%      (8.7 )%      (34.2 )%      11.6     8.0     11.2
Total Return, at market value^
     (12.3 )%      (8.8 )%      (34.6 )%      10.1     8.0     11.2
Ratios to Average Net Assets**
            
Expense ratio^^
     1.68     0.95     1.04     1.44     0.95     0.98
Net investment income gain (loss)
     2.16     3.66     3.47     3.16     3.51     3.13
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
11
6

For the Three Months Ended September 30, 2023 (unaudited)
 
Per Share Operating
Performance
  
UltraShort

Silver
*
   
UltraShort

Yen
*
   
VIX

Mid-Term

Futures ETF
   
VIX

Short-Term

Futures ETF
**
 
Net asset value, at June 30, 2023
   $ 81.97     $ 33.97     $ 20.49     $ 99.81  
Net investment income (loss)
     0.57       0.30       0.17       0.77  
Net realized and unrealized gain (loss)#
     3.23       3.27       (1.24     (7.32
Change in net asset value from operations
     3.80       3.57       (1.07     (6.55
Net asset value, at September 30, 2023
   $ 85.77     $ 37.54     $ 19.42     $ 93.26  
Market value per share, at June 30, 2023
   $ 82.32     $ 33.98     $ 20.48     $ 99.84  
Market value per share, at September 30, 2023
   $ 86.20     $ 37.54     $ 19.41     $ 93.20  
Total Return, at net asset value^
     4.6     10.5     (5.2 )%      (6.6 )% 
Total Return, at market value^
     4.7     10.5     (5.2 )%      (6.6 )% 
Ratios to Average Net Assets***
        
Expense ratio^^
     1.12     0.95     0.99     1.04
Net investment income gain (loss)
     2.98     3.48     3.35     3.27
 
*
See Note 8 of these Notes to Financial Statements.
**
See Note 1 and Note 8 of these Notes to Financial Statements.
***
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended September 30, 2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
 
11
7

S
elected Data for a Share Outstanding Throughout the nine months Ended September 30, 2024
For the Nine Months Ended September 30, 2024 (unaudited)
 
Per Share Operating
Performance
  
Short VIX

Short-Term

Futures ETF
*
   
Ultra

Bloomberg

Crude Oil
   
Ultra

Bloomberg

Natural Gas
**
   
Ultra Euro
   
Ultra Gold
   
Ultra Silver
 
Net asset value, at December 31, 2023
   $ 51.69     $ 26.28     $ 142.73     $ 11.86     $ 63.83     $ 27.29  
Net investment income (loss)
     1.37       0.70       1.58       0.32       2.20       0.93  
Net realized and unrealized gain (loss)#
     (2.90     (1.62     (85.61     (0.09     30.38       12.32  
Change in net asset value from operations
     (1.53     (0.92     (84.03     0.23       32.58       13.25  
Net asset value, at September 30, 2024
   $ 50.16     $ 25.36     $ 58.70     $ 12.09     $ 96.41     $ 40.54  
Market value per share, at December 31, 2023
   $ 51.70     $ 26.10     $ 142.20     $ 11.84     $ 63.87     $ 27.17  
Market value per share, at September 30, 2024
   $ 50.11     $ 25.42     $ 58.00     $ 12.06     $ 95.89     $ 40.44  
Total Return, at net asset value^
     (3.0 )%      (3.5 )%      (58.9 )%      2.0     51.0     48.6
Total Return, at market value^
     (3.1 )%      (2.6 )%      (59.2 )%      1.9     50.1     48.8
Ratios to Average Net Assets***
            
Expense ratio^^
     1.21     0.99     1.47     0.95     0.97     0.98
Net investment income gain (loss)
     3.36     3.10     2.99     3.73     3.84     3.68
 
*
See Note 1 of these Notes to Financial Statements.
 
**
See Note 8 of these Notes to Financial Statements.
 
***
Percentages are annualized.
 
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
 
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
 
^
Percentages are not annualized for the period ended September 30, 2024.
 
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
11
8

For the Nine Months Ended September 30, 2024 (unaudited)
 
Per Share Operating
Performance
  
Ultra VIX

Short-Term

Futures ETF
*
   
Ultra Yen
   
UltraShort

Bloomberg

Crude Oil
   
UltraShort

Bloomberg

Natural Gas
*
   
UltraShort

Euro
   
UltraShort

Gold
 
Net asset value, at December 31, 2023
   $ 42.17     $ 27.46     $ 20.75     $ 48.05     $ 29.16     $ 26.39  
Net investment income (loss)
     0.48       0.61       0.49       1.27       0.82       0.53  
Net realized and unrealized gain (loss)#
     (17.71     (3.31     (1.72     5.20       (0.06     (9.67
Change in net asset value from operations
     (17.23     (2.70     (1.23     6.47       0.76       (9.14
Net asset value, at September 30, 2024
   $ 24.94     $ 24.76     $ 19.52     $ 54.52     $ 29.92     $ 17.25  
Market value per share, at December 31, 2023
   $ 42.20     $ 27.49     $ 20.89     $ 48.21     $ 29.15     $ 26.37  
Market value per share, at September 30, 2024
   $ 24.93     $ 24.70     $ 19.48     $ 55.22     $ 29.92     $ 17.33  
Total Return, at net asset value^
     (40.8 )%      (9.8 )%      (5.9 )%      13.5     2.6     (34.6 )% 
Total Return, at market value^
     (40.9 )%      (10.2 )%      (6.8 )%      14.6     2.6     (34.3 )% 
Ratios to Average Net Assets**
            
Expense ratio^^
     1.84     0.95     1.06     1.85     0.95     0.98
Net investment income gain (loss)
     2.16     3.54     3.78     3.00     3.57     3.23
 
*
See Note 1 of these Notes to Financial Statements.
 
**
Percentages are annualized.
 
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
 
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
 
^
Percentages are not annualized for the period ended September 30, 2024.
 
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
11
9

For the Nine Months Ended September 30, 2024 (unaudited)
 
Per Share Operating
Performance
  
UltraShort

Silver
*
   
UltraShort

Yen
*
   
VIX

Mid-Term

Futures ETF
   
VIX

Short-Term

Futures ETF
*
 
Net asset value, at December 31, 2023
   $ 72.56     $ 34.44     $ 16.74     $ 61.99  
Net investment income (loss)
     1.17       1.11       0.41       1.27  
Net realized and unrealized gain (loss)#
     (35.72     3.36       (2.08     (14.31
Change in net asset value from operations
     (34.55     4.47       (1.67     (13.04
Net asset value, at September 30, 2024
   $ 38.01     $ 38.91     $ 15.07     $ 48.95  
Market value per share, at December 31, 2023
   $ 72.96     $ 34.47     $ 16.75     $ 62.04  
Market value per share, at September 30, 2024
   $ 38.12     $ 38.90     $ 15.11     $ 49.00  
Total Return, at net asset value^
     (47.6 )%      13.0     (10.0 )%      (21.0 )% 
Total Return, at market value^
     (47.8 )%      12.8     (9.8 )%      (21.0 )% 
Ratios to Average Net Assets**
        
Expense ratio^^
     1.04     0.95     1.13     1.10
Net investment income gain (loss)
     3.09     3.57     3.64     3.33
 
*
See Note 8 of these Notes to Financial Statements.
 
**
Percentages are annualized.
 
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
 
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
 
^
Percentages are not annualized for the period ended September 30, 2024.
 
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
 
1
20

Selected Data for a Share Outstanding Throughout the nine months Ended September 30, 2023
For the Nine Months Ended September 30, 2023 (unaudited)
 
Per Share Operating
Performance
  
Short VIX

Short-Term

Futures ETF
*
   
Ultra

Bloomberg

Crude Oil
   
Ultra

Bloomberg

Natural Gas
**
   
Ultra Euro
   
Ultra Gold
   
Ultra Silver
 
Net asset value, at December 31, 2022
   $ 29.35     $ 30.26     $ 1,815.41     $ 11.27     $ 55.09     $ 31.75  
Net investment income (loss)
     0.70       0.43       5.92       0.27       1.33       0.57  
Net realized and unrealized gain (loss)#
     13.07       4.55       (1,551.35     (0.67     (3.67     (7.56
Change in net asset value from operations
     13.77       4.98       (1,545.43     (0.40     (2.34     (6.99
Net asset value, at September 30, 2023
   $ 43.12     $ 35.24     $ 269.98     $ 10.87     $ 52.75     $ 24.76  
Market value per share, at December 31, 2022
   $ 29.34     $ 30.31     $ 1,778.00     $ 11.26     $ 55.27     $ 32.00  
Market value per share, at September 30, 2023
   $ 43.17     $ 35.28     $ 271.90     $ 10.85     $ 52.60     $ 24.61  
Total Return, at net asset value^
     46.9     16.5     (85.1 )%      (3.5 )%      (4.3 )%      (22.0 )% 
Total Return, at market value^
     47.1     16.4     (84.7 )%      (3.6 )%      (4.8 )%      (23.1 )% 
Ratios to Average Net Assets***
            
Expense ratio^^
     1.15     0.99     1.38     0.95     0.97     0.99
Net investment income gain (loss)
     2.59     2.12     2.16     3.19     2.98     2.63
 
*
See Note 1 of these Notes to Financial Statements.
 
**
See Note 1 and Note 8 of these Notes to Financial Statements.
 
***
Percentages are annualized.
 
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
 
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
 
^
Percentages are not annualized for the period ended September 30, 2023.
 
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
1
2
1

For the Nine Months Ended September 30, 2023 (unaudited)
 
Per Share Operating
Performance
  
Ultra VIX

Short-Term

Futures ETF
*
   
Ultra Yen
   
UltraShort

Bloomberg

Crude Oil
   
UltraShort

Bloomberg

Natural Gas
*
   
UltraShort

Euro
   
UltraShort

Gold
 
Net asset value, at December 31, 2022
   $ 343.43     $ 34.54     $ 23.93     $ 13.50     $ 29.46     $ 31.10  
Net investment income (loss)
     2.00       0.74       0.53       0.56       0.70       0.61  
Net realized and unrealized gain (loss)#
     (264.44     (10.27     (7.60     16.67       1.27       0.43  
Change in net asset value from operations
     (262.44     (9.53     (7.07     17.23       1.97       1.04  
Net asset value, at September 30, 2023
   $ 80.99     $ 25.01     $ 16.86     $ 30.73     $ 31.43     $ 32.14  
Market value per share, at December 31, 2022
   $ 343.00     $ 34.56     $ 23.85     $ 13.78     $ 29.45     $ 30.99  
Market value per share, at September 30, 2023
   $ 81.05     $ 25.00     $ 16.82     $ 30.52     $ 31.43     $ 32.20  
Total Return, at net asset value^
     (76.4 )%      (27.6 )%      (29.6 )%      127.7     6.7     3.4
Total Return, at market value^
     (76.4 )%      (27.7 )%      (29.5 )%      121.5     6.7     3.9
Ratios to Average Net Assets**
            
Expense ratio^^
     1.58     0.95     1.07     1.64     0.95     0.98
Net investment income gain (loss)
     1.77     3.28     3.14     2.57     3.20     2.90
 
*
See Note 1 of these Notes to Financial Statements.
 
**
Percentages are annualized.
 
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
 
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
 
^
Percentages are not annualized for the period ended September 30, 2023.
 
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
1
2
2

For the Nine Months Ended September 30, 2023 (unaudited)
 
Per Share Operating
Performance
  
UltraShort

Silver
*
   
UltraShort

Yen
*
   
VIX

Mid-Term

Futures ETF
   
VIX

Short-Term

Futures ETF
**
 
Net asset value, at December 31, 2022
   $ 77.82     $ 26.84     $ 30.41     $ 228.01  
Net investment income (loss)
     1.52       0.74       0.54       2.80  
Net realized and unrealized gain (loss)#
     6.43       9.96       (11.53     (137.55
Change in net asset value from operations
     7.95       10.70       (10.99     (134.75
Net asset value, at September 30, 2023
   $ 85.77     $ 37.54     $ 19.42     $ 93.26  
Market value per share, at December 31, 2022
   $ 77.20     $ 26.79     $ 30.36     $ 227.60  
Market value per share, at September 30, 2023
   $ 86.20     $ 37.54     $ 19.41     $ 93.20  
Total Return, at net asset value^
     10.2     39.9     (36.1 )%      (59.1 )% 
Total Return, at market value^
     11.7     40.2     (36.1 )%      (59.1 )% 
Ratios to Average Net Assets***
        
Expense ratio^^
     1.07     0.95     0.98     1.07
Net investment income gain (loss)
     2.63     3.20     3.03     2.81
 
*
See Note 8 of these Notes to Financial Statements.
 
**
See Note 1 and Note 8 of these Notes to Financial Statements.
 
***
Percentages are annualized.
 
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
 
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
 
^
Percentages are not annualized for the period ended September 30, 2023.
 
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
 
1
2
3

Table of Contents
NOTE 7 – RISK
Correlation and Holding Period Risk
Each of the Geared Funds is “geared” which means that each has an investment objective to seek daily investment results, before fees and expenses, that correspond either to one-half the inverse (-0.5x), 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 (referred to as the “Daily Target”). The Geared Funds do not seek to achieve their Daily Target for any period of time other 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 from one-half the inverse (-0.5x), 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 same period. This difference may be significant. 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.
The return of a Geared Fund for periods longer than a day is the product of a series of daily leveraged returns for each trading day during that period. If you hold Geared Fund shares for any period other than a day, it is important for you to understand the risks and long-term performance of a daily objective fund. You should know that over your holding period:
 
   
Your return may be higher or lower than the Daily Target, and this difference may be significant.
 
   
Factors that contribute to returns that are worse than the Daily Target include smaller Benchmark gains or losses and higher Benchmark volatility, as well as longer holding periods when these factors apply.
 
   
Factors that contribute to returns that are better than the Daily Target include larger Benchmark gains or losses and lower Benchmark volatility, as well as longer holding periods when these factors apply.
 
   
The more extreme these factors are, and the more they occur together, the more your return will tend to deviate from the Daily Target.
For periods longer than a day, you will lose money if the Benchmark’s performance is flat. It is possible that you will lose money invested in a Short or UltraShort Fund even if the value of the Benchmark falls during that period or money invested in an Ultra Fund even if the value of the Benchmark rises during that period. Returns may move in the opposite direction of the Benchmark during periods of higher Benchmark volatility, low Benchmark returns, or both. In addition, during periods of higher Benchmark volatility, the Benchmark volatility may affect your return as much or more than the return of the Benchmark.
Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and one-half or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of an UltraShort Fund is designed to return two times the inverse (-2x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Investors should understand the consequences of holding daily rebalanced funds for periods longer than a given day, including the impact of compounding on fund performance. Shareholders who invest in the Geared Funds should consider actively monitoring and/or periodically rebalancing their investments (which will possibly trigger transaction costs and tax consequences) in light of their investment goals and risk tolerances.
The Matching VIX Funds seek to achieve their stated investment objective over time.
 
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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; (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; (12) large movements of assets into and/or out of a Fund, particularly late in the day; (13) significant and/or rapid increases in the size of the Fund as a result of an increase in creation activity that cause the Fund to approach or reach position or accountability limits or other portfolio limits; and (14) events such as natural disasters (including disease, epidemics and pandemics) that can be highly disruptive to economies, markets and companies including, but not limited to, the Sponsor and third party service providers.
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. The target amount of portfolio exposure is impacted dynamically by a benchmark’s movements, including intraday movements. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -0.5x, -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.
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. If for any reason a Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund’s investment exposure may not be consistent with the Fund’s investment objective. In these instances, the Fund may have investment exposure to its benchmark that is significantly greater or less than its stated multiple. As a result, the Fund may be more or less exposed to leverage risk than if it had been properly rebalanced and may not achieve its investment objective. 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 in this Counterparty Risk section as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks.
Regulatory Treatment
Derivatives are generally traded in OTC markets and are subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).
Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” Although some of the SEC requirements have not yet been made effective, the CFTC requirements are largely in place. The CFTC requirements include rules for some of the types of derivatives
 
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transactions in which the Funds engages, 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, all of the relevant 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 uncleared 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 uncleared 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 or otherwise, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.
The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.
OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.
In addition, cleared derivatives benefit from daily mark-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 futures commission merchant in cleared swaps customer accounts, which are required by CFTC regulations to be separate from the futures commission merchant’s 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 futures customer segregated funds, under which the clearing house may access all of the commingled futures 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. Bilateral OTC derivatives expose 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.
 
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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 (1.5x) 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.
“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 2022 may specify a January 2023 expiration. As that contract nears expiration, it may be replaced by selling the January 2023 contract and purchasing the contract expiring in March 2023. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2023 contract would take place at a price that is higher than the price at which the March 2023 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 Fund 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.
 
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Gold and silver have historically exhibited persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly.
There have been times where WTI crude oil futures contracts experience “extraordinary contango or extraordinary backwardation”. For example, in April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. In the summer of 2022, the market for crude oil futures contracts experienced a period of extreme backwardation, but normalized towards the end of the year. The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. Conversely, investors in an UltraShort Fund could suffer significant losses or lose their entire investment if prices reversed or were subject to extraordinary backwardation. The effects of rolling futures contracts under extraordinary contango or backwardation market conditions generally are more exaggerated than rolling futures contracts under more typical contango or backwardation market conditions. Either scenario may result in significant losses.
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.
Natural Disasters and Public Health Disruptions, such as the COVID-19 Pandemic, 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, COVID-19 including its variants), have been and may continue to be highly disruptive to economies and markets. These conditions have 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, civil unrest, 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. 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. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margins 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 transaction 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 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.
Additionally, geopolitical conflict, including, war and armed conflicts (such as Russia’s continued military actions against Ukraine that started in February 2022, the Israel-Hamas conflict, the Houthi movement’s attacks on marine vessels in the Red Sea, and the expansion of such conflicts in surrounding areas), sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. 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, and the value of an investment in the Fund may decline significantly.
 
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Table of Contents
NOTE 8 – SUBSEQUENT EVENTS
On October 28, 2024, the Trust announced a 2-for-1 forward split of the shares of beneficial interest of ProShares UltraShort Yen (ticker symbol: YCS) and a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and ProShares VIX Short-Term Futures (ticker symbol: VIXY) and a 1-for-5 reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Natural Gas (ticker symbol: BOIL). The splits were effective prior to market open on November 7, 2024, when the funds began trading at its post-split price. The splits were applied retroactively for all periods presented, reducing (increasing) the number of shares outstanding and resulted in a proportionate increase (decrease) in the price per share and the per share information of the fund. Therefore, the splits did not change the aggregate net asset value of a shareholder’s investment at the time of the splits.
For ZSL, VIXY, BOIL shareholders who hold a quantity of shares that is not an exact multiple of the Reverse Split ratio (i.e., not a multiple of 4 or 5), the Reverse Split will result in the creation of a fractional share. Post-Reverse Split fractional shares will be redeemed for cash and sent to the shareholder’s broker of record. This redemption may cause some shareholders to realize gains or losses, which could be a taxable event for those shareholders.
 
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Table of Contents
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form
10-Q.
The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. 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. These forward-looking statements are based on information currently available to the Sponsor and are subject to a number of risks, uncertainties and other factors, both known, such as those described in “Risk Factors” in our Annual Report on Form
10-K
for the fiscal year ended December 31, 2023 and in this Quarterly Report on Form
10-Q
for the period ended September 30, 2024, and unknown, that could cause the actual results, performance, prospects or opportunities of the Funds to differ materially from those expressed in, or implied by, these forward-looking statements. Factors that could cause results to differ from those expressed in the forward-looking statements include those described in the aforementioned filings and in other SEC filings by the Funds, as well as the following: risks and uncertainty related to geopolitical conflict, world health crises and the global economic markets; risks associated with a rising rate environment; risks associated with regulatory and exchange daily price limits, position limits and accountability levels; and risks related to market competition. 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.
Introduction
Each of the Funds generally invests in instruments whose value is derived from the value of an underlying asset, rate or index (Collectively, “Financial Instruments”), 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 its applicable underlying commodity futures index, commodity, currency exchange rate or equity volatility index. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds.
The “Short” Fund seeks daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
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,
-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”).
 
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ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.
Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a
per-Share
market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.
The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form
10-K,
Quarterly Reports on Form
10-Q,
Current Reports on Form
8-K
and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.
Share Splits
On June 7, 2023, the Trust issued a press release announcing a reverse share split on ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Ultra Bloomberg Natural Gas. The Splits did not change the value of a shareholder’s investment. ProShares VIX Short-Term Futures ETF executed a 1:5 Reverse Split of its shares. ProShares Ultra VIX Short-Term Futures ETF executed a 1:10 Reverse Split of its shares. ProShares Ultra Bloomberg Natural Gas ETF executed a 1:20 Reverse Split of its shares. The Reverse Splits were effective at the market open on June 23, 2023, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y789 for VIXY, 74347Y771 for UVXY, and 74347Y763 for BOIL). The Reverse Splits increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding.
On March 20, 2024, the Trust issued a press release announcing a forward share split on ProShares Short VIX Short-Term Futures, ProShares UltraShort Bloomberg Natural Gas and a reverse share split on ProShares Ultra VIX Short-Term Futures. The Splits did not change the value of a shareholder’s investment. ProShares Short VIX Short-Term Futures executed a 2:1 Forward Split of its shares. ProShares UltraShort Bloomberg Natural Gas also executed a 2:1 Forward Split of its shares. The Forward Splits were effective at the market open on April 11, 2024, when the Funds begin trading at their post-Forward Split prices. The Forward Split decreased the price per share of each Funds with a proportionate increase in the number of its shares outstanding. ProShares Ultra VIX Short-Term Futures executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on April 11, 2024, when the Fund began trading at its post-Reverse Split price. The ticker symbol for the Fund did not change, but the Fund was issued a new CUSIP number (74347Y755 for UVXY). The Reverse Split increased the price per share of the Fund with a proportionate decrease in the number of shares outstanding.
On October 28, 2024, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and a reverse share split on ProShares UltraShort Silver, ProShares VIX Short-Term Futures, ProShares Ultra Bloomberg Natural Gas. The Splits did not change the value of a shareholder’s investment. ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. The Forward Splits were effective at the market open on November 7, 2024, when the Funds began trading at their post-Forward Split prices. The Forward Split decreased the price per share of each Funds with a proportionate increase in the number of its shares outstanding. ProShares UltraShort Silver and ProShares ProShares VIX Short-Term Futures executed a 1:4 Reverse Split of its shares and ProShares Ultra Bloomberg Natural Gas executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on November 7, 2024, when the Fund begins trading at its post-Reverse Split price. The ticker symbol for the Fund did not change, but the Fund was issued a new CUSIP number (74347Y722 for ZSL), (74347Y730 for VIXY), (74347Y748 for BOIL). The Reverse Split increased the price per share of the Fund with a proportionate decrease in the number of shares outstanding.
Liquidity and Capital Resources
In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2024 and 2023, each of the Funds earned interest income as follows:
 
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Fund
  
Interest Income

Three Months

Ended

September 30, 2024
    
Interest Income

Three Months

Ended

September 30, 2023
    
Interest Income

Nine Months

Ended

September 30, 2024
    
Interest Income

Nine Months

Ended

September 30, 2023
 
ProShares Short VIX Short-Term Futures ETF
   $ 5,814,236      $ 2,624,180      $ 12,580,744      $ 7,170,512  
ProShares Ultra Bloomberg Crude Oil
     6,074,652        5,340,428        17,591,301        17,226,428  
ProShares Ultra Bloomberg Natural Gas
     7,125,254        9,098,504        19,996,081        26,923,732  
ProShares Ultra Euro
     61,969        80,746        211,272        266,165  
ProShares Ultra Gold
     3,315,167        1,837,846        8,148,441        5,470,056  
ProShares Ultra Silver
     7,482,201        3,343,905        17,362,781        10,419,483  
ProShares Ultra VIX Short-Term Futures ETF
     2,501,794        3,255,531        7,595,859        12,422,781  
ProShares Ultra Yen
     541,372        174,354        1,395,183        409,452  
ProShares UltraShort Bloomberg Crude Oil
     1,865,946        2,609,417        6,398,993        6,172,654  
ProShares UltraShort Bloomberg Natural Gas
     1,150,564        1,476,050        4,075,138        4,007,691  
ProShares UltraShort Euro
     400,294        523,684        1,288,483        1,764,550  
ProShares UltraShort Gold
     148,896        142,707        468,826        459,321  
ProShares UltraShort Silver
     672,005        337,096        1,650,859        860,908  
ProShares UltraShort Yen
     449,333        274,125        1,220,993        733,679  
ProShares VIX
Mid-Term
Futures ETF
     370,229        597,040        1,992,242        1,895,545  
ProShares VIX Short-Term Futures ETF
     1,554,282        2,271,345        4,932,465        6,832,197  
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.
 
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Credit Risk
When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.
Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.
Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated
tri-party
accounts at the Fund’s custodian bank.
Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.
The Sponsor attempts to minimize certain of these market and credit risks by normally:
 
   
executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;
 
   
limiting the outstanding amounts due from counterparties to the Funds;
 
   
not posting margin directly with a counterparty;
 
   
requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;
 
   
limiting the amount of margin or premium posted at a FCM; and
 
   
ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.
Off-Balance
Sheet Arrangements and Contractual Obligations
As of November 5, 2024, 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.
 
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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 September 30, 2024.
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.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate fair value.
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 and Silver 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 and Silver 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. 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.
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.
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. Additionally, interest income may be earned on Repurchase Agreements and/or cash held on deposit with brokers for futures contracts.
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 September 30, 2024 Compared to the Three Months Ended September 30, 2023
ProShares Short VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 298,712,515     $ 282,353,267  
NAV end of period
   $ 364,574,356     $ 261,698,747  
Percentage change in NAV
     22.0     (7.3 )% 
Shares outstanding beginning of period
     4,868,614       6,668,614  
Shares outstanding end of period
     7,268,614       6,068,614  
Percentage change in shares outstanding
     49.3     (9.0 )% 
Shares created
     12,300,000       1,300,000  
Shares redeemed
     9,900,000       1,900,000  
Per share NAV beginning of period
   $ 61.35     $ 42.34  
Per share NAV end of period
   $ 50.16     $ 43.12  
Percentage change in per share NAV
     (18.2 )%      1.9
Percentage change in benchmark
     13.7     (6.1 )% 
Benchmark annualized volatility
     130.9     52.0
During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 4,868,614 outstanding Shares at June 30, 2024 to 7,268,614 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 6,668,614 outstanding Shares at June 30, 2023 to 6,068,614 outstanding Shares at September 30, 2023. 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 September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to
one-half
the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 18.2% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 1.9% for the three months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
The benchmark’s rise of 13.7% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 6.1% for the three months ended September 30, 2023, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 4,269,606     $ 1,851,366  
Management fee
     1,173,293       634,871  
Brokerage commission
     346,441       137,943  
Futures account fees
     24,896       –   
Net realized gain (loss)
     (7,503,293 )        30,285,323  
Change in net unrealized appreciation (depreciation)
     (4,186,274     (26,317,147 )   
Net Income (loss)
   $ (7,419,961   $ 5,819,542  
The Fund’s net income decreased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of futures prices during the three months ended September 30, 2024.
 
*
 
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the forward Share split for ProShares Short VIX Short-Term Futures.
ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 527,486,095     $ 738,194,368  
NAV end of period
   $ 593,222,255     $ 604,124,332  
Percentage change in NAV
     12.5     (18.2 )% 
Shares outstanding beginning of period
     15,743,096       31,093,096  
Shares outstanding end of period
     23,393,096       17,143,096  
Percentage change in shares outstanding
     48.6     (44.9 )% 
Shares created
     16,200,000       –   
Shares redeemed
     8,550,000       13,950,000  
Per share NAV beginning of period
   $ 33.51     $ 23.74  
Per share NAV end of period
   $ 25.36     $ 35.24  
Percentage change in per share NAV
     (24.3 )%      48.4
Percentage change in benchmark
     (12.6 )%      22.1
Benchmark annualized volatility
     26.2     18.4
During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 15,743,096 outstanding Shares at June 30, 2024 to 23,393,096 outstanding Shares at September 30, 2024. 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 Commodity Balanced WTI Crude Oil Index
SM
. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 31,093,096 outstanding Shares at June 30, 2023 to 17,143,096 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
.
For the three months ended September 30, 2024 and 2023, 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 24.3% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 48.4% for the three months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
 
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The benchmark’s decline of 12.6% for the three months ended September 30, 2024, as compared to the benchmark’s rise of 22.1% for the three months ended September 30, 2023, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 4,742,745     $ 3,659,529  
Management fee
     1,266,843       1,629,737  
Brokerage commission
     65,064       51,162  
Net realized gain (loss)
     (66,826,014     244,550,243  
Change in net unrealized appreciation (depreciation)
     (59,041,810 )        28,176,972     
Net Income (loss)
   $ (121,125,079   $ 276,386,744  
The Fund’s net income decreased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to a decrease in the value of WTI Crude Oil during the three months ended September 30, 2024.
ProShares Ultra Bloomberg Natural Gas*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 540,643,821     $ 1,141,021,278  
NAV end of period
   $ 651,821,105     $ 870,339,281  
Percentage change in NAV
     20.6     (23.7 )% 
Shares outstanding beginning of period
     6,933,709       3,284,375  
Shares outstanding end of period
     11,103,709       3,223,709  
Percentage change in shares outstanding
     60.1     (1.8 )% 
Shares created
     10,350,000       2,590,000  
Shares redeemed
     6,180,000       2,650,666  
Per share NAV beginning of period
   $ 77.97     $ 347.41  
Per share NAV end of period
   $ 58.70     $ 269.98  
Percentage change in per share NAV
     (24.7 )%      (22.3 )% 
Percentage change in benchmark
     (10.2 )%      (9.2 )% 
Benchmark annualized volatility
     44.5     39.6
During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 6,933,709 outstanding Shares at June 30, 2024 to 11,103,709 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 3,284,375 outstanding Shares at June 30, 2023 to 3,223,709 outstanding Shares at September 30, 2023.
 
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For the three months ended September 30, 2024 and 2023, 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 24.7% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 22.3% for the three months ended September 30, 2023, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
The benchmark’s decline of 10.2% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 9.2% for the three months ended September 30, 2023, can be attributed to a greater decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
                                                           
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
Net investment income (loss)
  
$
4,917,857
 
 
$
6,034,053
 
Management fee
  
 
1,479,083
 
 
 
2,303,082
 
Brokerage commission
  
 
681,738
 
 
 
629,541
 
Futures account fees
  
 
46,576
 
 
 
131,828
 
Net realized gain (loss)
  
 
(372,130,469
)   
 
 
237,080,036
 
Change in net unrealized appreciation (depreciation)
  
 
260,259,730
 
 
 
(410,472,245
)   
Net Income (loss)
  
$
(106,952,882
 
$
(167,358,156
The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to a decrease in average net assets, in conjunction with a greater decrease in the value of Henry Hub Natural Gas during the three months ended September 30, 2024.
 
*
See Note 1 and Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 5,595,533     $ 7,535,435  
NAV end of period
   $ 5,440,209     $ 6,523,481  
Percentage change in NAV
     (2.8 )%      (13.4 )% 
Shares outstanding beginning of period
     500,000       650,000  
Shares outstanding end of period
     450,000       600,000  
Percentage change in shares outstanding
     (10.0 )%      (7.7 )% 
Shares created
     —        —   
Shares redeemed
     50,000       50,000  
Per share NAV beginning of period
   $ 11.19     $ 11.59  
Per share NAV end of period
   $ 12.09     $ 10.87  
Percentage change in per share NAV
     8.0     (6.2 )% 
Percentage change in benchmark
     3.9     (3.1 )% 
Benchmark annualized volatility
     5.4     6.7
During the three months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 500,000 outstanding Shares at June 30, 2024 to 450,000 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 650,000 outstanding Shares at June 30, 2023 to 600,000 outstanding Shares at September 30, 2023. 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.
 
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For the three months ended September 30, 2024 and 2023, 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 8.0% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 6.2% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
The benchmark’s rise of 3.9% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 3.1% for the three months ended September 30, 2023, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
    
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 48,936      $ 63,747  
Management fee
     13,033        16,999  
Net realized gain (loss)
     182,638        (22,385
Change in net unrealized appreciation (depreciation)
     187,048        (462,400
Net Income (loss)
   $ 418,622      $ (421,038
The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2024.
 
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ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 216,456,025     $ 180,916,531  
NAV end of period
   $ 298,882,222     $ 147,696,557  
Percentage change in NAV
     38.1     (18.4 )% 
Shares outstanding beginning of period
     2,800,000       3,100,000  
Shares outstanding end of period
     3,100,000       2,800,000  
Percentage change in shares outstanding
     10.7     (9.7 )% 
Shares created
     850,000       50,000  
Shares redeemed
     550,000       350,000  
Per share NAV beginning of period
   $ 77.31     $ 58.36  
Per share NAV end of period
   $ 96.41     $ 52.75  
Percentage change in per share NAV
     24.7     (9.6 )% 
Percentage change in benchmark
     12.9     (3.9 )% 
Benchmark annualized volatility
     14.3     9.5
During the three months ended September 30, 2024, 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 2,800,000 outstanding Shares at June 30, 2024 to 3,100,000 outstanding Shares at September 30, 2024. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,100,000 outstanding Shares at June 30, 2023 to 2,800,000 outstanding Shares at September 30, 2023. 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 Bloomberg Gold Subindex
SM
.
For the three months ended September 30, 2024 and 2023, 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 24.7% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 9.6% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
The benchmark’s rise of 12.9% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 3.9% for the three months ended September 30, 2023, can be attributed to an increase in the value of gold futures contracts during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 2,677,335     $ 1,415,082  
Management fee
     628,619       417,418  
Brokerage commission
     9,213       5,346  
Net realized gain (loss)
     12,042,718       (16,875,865
Change in net unrealized appreciation (depreciation)
     41,957,497         (540,686 )   
Net Income (loss)
   $ 56,677,550     $ (16,001,469
The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of futures prices during the three months ended September 30, 2024.
 
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ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 570,829,521     $ 356,791,659  
NAV end of period
   $ 666,782,470     $ 327,996,075  
Percentage change in NAV
     16.8     (8.1 )% 
Shares outstanding beginning of period
     15,246,526       13,196,526  
Shares outstanding end of period
     16,446,526       13,246,526  
Percentage change in shares outstanding
     7.9     0.4
Shares created
     4,700,000       1,500,000  
Shares redeemed
     3,500,000       1,450,000  
Per share NAV beginning of period
   $ 37.44     $ 27.04  
Per share NAV end of period
   $ 40.54     $ 24.76  
Percentage change in per share NAV
     8.3     (8.4 )% 
Percentage change in benchmark
     6.3     (2.6 )% 
Benchmark annualized volatility
     32.0     23.4
During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 15,246,526 outstanding Shares at June 30, 2024 to 16,446,526 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 13,196,526 outstanding Shares at June 30, 2023 to 13,246,526 outstanding Shares at September 30, 2023.
For the three months ended September 30, 2024 and 2023, 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 8.3% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 8.4% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
The benchmark’s rise of 6.3% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 2.6% for the three months ended September 30, 2023, can be attributed to an increase in the value of silver futures contracts during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 6,019,174     $ 2,424,022  
Management fee
     1,417,159       892,009  
Brokerage commission
     45,868       27,874  
Net realized gain (loss)
     (129,011,251     (30,251,410 )   
Change in net unrealized appreciation (depreciation)
     182,446,021         218,274  
Net Income (loss)
   $ 59,453,944     $ (27,609,114
The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of futures prices during the three months ended September 30, 2024.
 
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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 September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 232,135,198     $ 387,764,059  
NAV end of period
   $ 285,351,963     $ 283,050,691  
Percentage change in NAV
     22.9     (27.0 )% 
Shares outstanding beginning of period
     9,843,643       4,195,568  
Shares outstanding end of period
     11,443,643       3,494,892  
Percentage change in shares outstanding
     16.3     (16.7 )% 
Shares created
     19,350,000       2,680,000  
Shares redeemed
     17,750,000       3,380,676  
Per share NAV beginning of period
   $ 23.58     $ 92.42  
Per share NAV end of period
   $ 24.94     $ 80.99  
Percentage change in per share NAV
     5.7     (12.4 )% 
Percentage change in benchmark
     13.7     (6.1 )% 
Benchmark annualized volatility
     130.9     52.0
During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 9,843,643 outstanding Shares at June 30, 2024 to 11,443,643 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,195,568 outstanding Shares at June 30, 2023 to 3,494,892 outstanding Shares at September 30, 2023. 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 one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.7% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 12.4% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
The benchmark’s rise of 13.7% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 6.1% for the three months ended September 30, 2023, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 1,321,242     $ 1,830,246  
Management fee
     583,266       803,793  
Brokerage commission
     534,432       517,699  
Futures account fees
     62,854       103,793  
Net realized gain (loss)
     (36,612,258     (142,584,256 )   
Change in net unrealized appreciation (depreciation)
     14,570,793         108,851,219  
Net Income (loss)
   $ (20,720,223   $ (31,902,791
The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of futures prices, during the three months ended September 30, 2024.
 
*
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.
 
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ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 44,510,138     $ 12,330,974  
NAV end of period
   $ 53,234,065     $ 17,508,248  
Percentage change in NAV
     19.6     42.0
Shares outstanding beginning of period
     2,199,970       449,970  
Shares outstanding end of period
     2,149,970       699,970  
Percentage change in shares outstanding
     (2.3 )%      55.6
Shares created
     550,000       300,000  
Shares redeemed
     600,000       50,000  
Per share NAV beginning of period
   $ 20.23     $ 27.40  
Per share NAV end of period
   $ 24.76     $ 25.01  
Percentage change in per share NAV
     22.4     (8.7 )% 
Percentage change in benchmark
     11.9     (3.4 )% 
Benchmark annualized volatility
     12.9     8.9
During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 2,199,970 outstanding Shares at June 30, 2024 to 2,149,970 outstanding Shares at September 30, 2024. By comparison, during the three months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 449,970 outstanding Shares at June 30, 2023 to 699,970 outstanding Shares at September 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the three months ended September 30, 2024 and 2023, 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 22.4% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 8.7% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
The benchmark’s rise of 11.9% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 3.4% for the three months ended September 30, 2023, can be attributed to an increase in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 422,494     $ 138,386  
Management fee
     118,878       35,968  
Net realized gain (loss)
     6,834,509       (1,854,770 )   
Change in net unrealized appreciation (depreciation)
     2,618,114          277,206  
Net Income (loss)
   $ 9,875,117     $ (1,439,178
The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2024.
ProShares UltraShort Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 177,620,038     $ 112,854,952  
NAV end of period
   $ 96,729,953     $ 296,776,466  
Percentage change in NAV
     (45.5 )%      163.0
Shares outstanding beginning of period
     11,405,220       4,405,220  
Shares outstanding end of period
     4,955,220       17,605,220  
Percentage change in shares outstanding
     (56.6 )%      299.6
Shares created
     2,250,000       17,250,000  
Shares redeemed
     8,700,000       4,050,000  
Per share NAV beginning of period
   $ 15.57     $ 25.62  
Per share NAV end of period
   $ 19.52     $ 16.86  
Percentage change in per share NAV
     25.3     (34.2 )% 
Percentage change in benchmark
     (12.6 )%      22.1
Benchmark annualized volatility
     26.2     18.4
During the three months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 11,405,220 outstanding Shares at June 30, 2024 to 4,955,220 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. By comparison, during the three months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 4,405,220 outstanding Shares at June 30, 2023 to 17,605,220 outstanding Shares at September 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
.
For the three months ended September 30, 2024 and 2023, 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 25.3% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 34.2% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
The benchmark’s decline of 12.6% for the three months ended September 30, 2024, as compared to the benchmark’s rise of 22.1% for the three months ended September 30, 2023, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 1,451,008     $ 2,006,197  
Management fee
     363,340       548,671  
Brokerage commission
     51,598       54,549  
Net realized gain (loss)
     12,329,186       (47,764,760
Change in net unrealized appreciation (depreciation)
     28,466,868          (38,018,359 )   
Net Income (loss)
   $ 42,247,062     $ (83,776,922
The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to a decrease in the value of WTI Crude Oil during the three months ended September 30, 2024.
ProShares UltraShort Bloomberg Natural Gas*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 147,292,427     $ 141,324,963  
NAV end of period
   $ 132,693,025     $ 111,663,062  
Percentage change in NAV
     (9.9 )%      (21.0 )% 
Shares outstanding beginning of period
     2,983,712       5,133,712  
Shares outstanding end of period
     2,433,712       3,633,712  
Percentage change in shares outstanding
     (18.4 )%      (29.2 )% 
Shares created
     2,700,000       11,000,000  
Shares redeemed
     3,250,000       12,500,000  
Per share NAV beginning of period
   $ 49.37     $ 27.53  
Per share NAV end of period
   $ 54.52     $ 30.73  
Percentage change in per share NAV
     10.4     11.6
Percentage change in benchmark
     (10.2 )%      (9.2 )% 
Benchmark annualized volatility
     44.5     39.6
During the three months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,983,712 outstanding Shares at June 30, 2024 to 2,433,712 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,133,712 outstanding Shares at June 30, 2023 to 3,633,712 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the three months ended September 30, 2024 and 2023, 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 10.4% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 11.6% for the three months ended September 30, 2023, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
 
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The benchmark’s decline of 10.2% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 9.2% for the three months ended September 30, 2023, can be attributed to a greater decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
    
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 762,495      $ 1,013,760  
Management fee
     224,779        304,567  
Brokerage commission
     156,391        133,782  
Futures account fees
     6,899        23,941  
Net realized gain (loss)
     90,004,014        (10,798,625
Change in net unrealized appreciation (depreciation)
     (55,764,309      44,086,822  
Net Income (loss)
   $ 35,002,200      $ 34,301,957  
The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to a greater decrease in the value of Henry Hub Natural Gas during the three months ended September 30, 2024.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the forward Share split for ProShares UltraShort Bloomberg Natural Gas.
 
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ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 38,226,983     $ 50,931,301  
NAV end of period
   $ 32,912,508     $ 44,004,408  
Percentage change in NAV
     (13.9 )%      (13.6 )% 
Shares outstanding beginning of period
     1,200,000       1,750,000  
Shares outstanding end of period
     1,100,000       1,400,000  
Percentage change in shares outstanding
     (8.3 )%      (20.0 )% 
Shares created
     —        —   
Shares redeemed
     100,000       350,000  
Per share NAV beginning of period
   $ 31.86     $ 29.10  
Per share NAV end of period
   $ 29.92     $ 31.43  
Percentage change in per share NAV
     (6.1 )%      8.0
Percentage change in benchmark
     3.9     (3.1 )% 
Benchmark annualized volatility
     5.4     6.7
During the three months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,200,000 outstanding Shares at June 30, 2024 to 1,100,000 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,750,000 outstanding Shares at June 30, 2023 to 1,400,000 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended September 30, 2024 and 2023, 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 6.1% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 8.0% for the three months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
The benchmark’s rise of 3.9% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 3.1% for the three months ended September 30, 2023, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 315,526     $ 412,212  
Management fee
     84,768       111,472  
Net realized gain (loss)
     (1,317,854     (122,866 )   
Change in net unrealized appreciation (depreciation)
     (1,247,585 )        3,207,102  
Net Income (loss)
   $ (2,249,913   $ 3,496,448  
The Fund’s net income decreased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2024.
 
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ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 16,131,791     $ 15,809,378  
NAV end of period
   $ 18,058,490     $ 14,365,869  
Percentage change in NAV
     11.9     (9.1 )% 
Shares outstanding beginning of period
     746,977       546,977  
Shares outstanding end of period
     1,046,977       446,977  
Percentage change in shares outstanding
     40.2     (18.3 )% 
Shares created
     600,000       100,000  
Shares redeemed
     300,000       200,000  
Per share NAV beginning of period
   $ 21.60     $ 28.90  
Per share NAV end of period
   $ 17.25     $ 32.14  
Percentage change in per share NAV
     (20.1 )%      11.2
Percentage change in benchmark
     12.9     (3.9 )% 
Benchmark annualized volatility
     14.3     9.5
During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 746,977 outstanding Shares at June 30, 2024 to 1,046,977 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 546,977 outstanding Shares at June 30, 2023 to 446,977 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
.
For the three months ended September 30, 2024 and 2023, 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 20.1% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 11.2% for the three months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
The benchmark’s rise of 12.9% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 3.9% for the three months ended September 30, 2023, can be attributed to an increase in the value of gold futures contracts during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 113,799     $ 108,638  
Management fee
     34,177       32,970  
Brokerage commission
     920       1,099  
Net realized gain (loss)
     (1,409,519 )        1,436,424  
Change in net unrealized appreciation (depreciation)
     (1,762,993     (251,606 )   
Net Income (loss)
   $ (3,058,713   $ 1,293,456  
The Fund’s net income decreased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of the futures prices during the three months ended September 30, 2024.
 
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ProShares UltraShort Silver*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 76,198,743     $ 19,290,473  
NAV end of period
   $ 32,222,722     $ 16,967,517  
Percentage change in NAV
     (57.7 )%      (12.0 )% 
Shares outstanding beginning of period
     1,697,832       235,332  
Shares outstanding end of period
     847,832       197,832  
Percentage change in shares outstanding
     (50.1 )%      (15.9 )% 
Shares created
     687,500       737,500  
Shares redeemed
     1,537,500       775,000  
Per share NAV beginning of period
   $ 44.88     $ 81.97  
Per share NAV end of period
   $ 38.01     $ 85.77  
Percentage change in per share NAV
     (15.3 )%      4.6
Percentage change in benchmark
     6.3     (2.6 )% 
Benchmark annualized volatility
     32.0     23.4
During the three months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,697,832 outstanding Shares at June 30, 2024 to 847,832 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 235,332 outstanding Shares at June 30, 2023 to 197,832 outstanding Shares at September 30, 2023. 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 Silver Subindex
SM
.
For the three months ended September 30, 2024 and 2023, 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 15.3% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 4.6% for the three months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
The benchmark’s rise of 6.3% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 2.6% for the three months ended September 30, 2023, can be attributed to an increase in the value of the silver futures contracts during the period ended September 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 507,144     $ 245,155  
Management fee
     149,940       78,166  
Brokerage commission
     14,921       13,775  
Net realized gain (loss)
     5,993,727       6,921,431  
Change in net unrealized appreciation (depreciation)
     (9,520,751     61,770  
Net Income (loss)
   $ (3,019,880 )      $ 7,228,356     
The Fund’s net income decreased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of futures prices during the three months ended September 30, 2024.
* See Note 8 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.
ProShares UltraShort Yen*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 47,495,032     $ 27,077,656  
NAV end of period
   $ 34,904,924     $ 26,172,191  
Percentage change in NAV
     (26.5 )%      (3.3 )% 
Shares outstanding beginning of period
     997,160       797,160  
Shares outstanding end of period
     897,160       697,160  
Percentage change in shares outstanding
     (10.0 )%      (12.5 )% 
Shares created
     300,000        
Shares redeemed
     400,000       100,000  
Per share NAV beginning of period
   $ 47.63     $ 33.97  
Per share NAV end of period
   $ 38.91     $ 37.54  
Percentage change in per share NAV
     (18.3 )%      10.5
Percentage change in benchmark
     11.9     (3.4 )% 
Benchmark annualized volatility
     12.9     8.9
During the three months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The decrease in the Fund’s NAV also resulted in part from a decrease from 997,160 outstanding Shares at June 30, 2024 to 897,160 outstanding Shares at September 30, 2024. By comparison, during the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 797,160 outstanding Shares at June 30, 2023 to 697,160 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the three months ended September 30, 2024 and 2023, 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 18.3% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 10.5% for the three months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
The benchmark’s rise of 11.9% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 3.4% for the three months ended September 30, 2023, can be attributed to an increase in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 356,054     $ 215,363  
Management fee
     93,279         58,762  
Net realized gain (loss)
     (5,013,671     3,079,208  
Change in net unrealized appreciation (depreciation)
     (3,366,298     (1,059,246 )   
Net Income (loss)
   $ (8,023,915   $ 2,235,325  
The Fund’s net income decreased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2024.
 
*
See Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the forward Share split for ProShares UltraShort Yen.
ProShares VIX
Mid-Term
Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 33,401,452     $ 49,421,413  
NAV end of period
   $ 38,983,834     $ 59,968,024  
Percentage change in NAV
     16.7     21.3
Shares outstanding beginning of period
     2,337,403       2,412,403  
Shares outstanding end of period
     2,587,403       3,087,403  
Percentage change in shares outstanding
     10.7     28.0
Shares created
     825,000       850,000  
Shares redeemed
     575,000       175,000  
Per share NAV beginning of period
   $ 14.29     $ 20.49  
Per share NAV end of period
   $ 15.07     $ 19.42  
Percentage change in per share NAV
     5.5     (5.2 )% 
Percentage change in benchmark
     5.8     (4.6 )% 
Benchmark annualized volatility
     48.3     23.8
During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 2,337,403 outstanding Shares at June 30, 2024 to 2,587,403 outstanding Shares at September 30, 2024. 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. By comparison, during the three months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 2,412,403 outstanding Shares at June 30, 2023 to 3,087,403 outstanding Shares at September 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index.
For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.5% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 5.2% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
 
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The benchmark’s rise of 5.8% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 4.6% for the three months ended September 30, 2023, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 290,687     $ 461,209  
Management fee
     66,736       117,018  
Brokerage commission
     8,201       8,822  
Futures account fees
     4,605       9,991  
Net realized gain (loss)
     2,713,929          (12,244,511 )   
Change in net unrealized appreciation (depreciation)
     455,038       8,934,542  
Net Income (loss)
   $ 3,459,654     $ (2,848,760
The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of the futures prices during the three months ended September 30, 2024.
ProShares VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
   
Three Months Ended

September 30, 2023
 
NAV beginning of period
   $ 148,420,028     $ 230,227,830  
NAV end of period
   $ 163,397,433     $ 211,604,428  
Percentage change in NAV
     10.1     (8.2 )% 
Shares outstanding beginning of period
     3,425,237       2,306,641  
Shares outstanding end of period
     3,337,737       2,268,987  
Percentage change in shares outstanding
     (2.6 )%      (1.6 )% 
Shares created
     2,637,500       618,750  
Shares redeemed
     2,725,000       656,405  
Per share NAV beginning of period
   $ 43.33     $ 99.81  
Per share NAV end of period
   $ 48.95     $ 93.26  
Percentage change in per share NAV
     13.0     (6.6 )% 
Percentage change in benchmark
     13.7     (6.1 )% 
Benchmark annualized volatility
     130.9     52.0
During the three months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 3,425,237 outstanding Shares at June 30, 2024 to 3,337,737 outstanding Shares at September 30, 2024. By comparison, during the three months ended September 30, 2023, 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 also resulted in part from a decrease from 2,306,641 outstanding Shares at June 30, 2023 to 2,268,987 outstanding Shares at September 30, 2023.
 
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For the three months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 13.0% for the three months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 6.6% for the three months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2024.
The benchmark’s rise of 13.7% for the three months ended September 30, 2024, as compared to the benchmark’s decline of 6.1% for the three months ended September 30, 2023, can be attributed to an increase in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2024 and 2023:
 
    
Three Months Ended

September 30, 2024
    
Three Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 1,120,410      $ 1,721,249  
Management fee
     298,739        447,560  
Brokerage commission
     109,695        58,426  
Futures account fees
     25,438        44,110  
Net realized gain (loss)
     47,465,974        (54,950,042
Change in net unrealized appreciation (depreciation)
     5,179,115        41,841,191  
Net Income (loss)
   $ 53,765,499      $ (11,387,602
The Fund’s net income increased for the three months ended September 30, 2024 as compared to the three months ended September 30, 2023, primarily due to an increase in the value of the futures prices, during the three months ended September 30, 2024.
 
*
See Note 1 and Note 8 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 Nine Months Ended September 30, 2024 Compared to the Nine Months Ended September 30, 2023
ProShares Short VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $ 267,184,359     $ 339,591,638  
NAV end of period
   $ 364,574,356     $ 261,698,747  
Percentage change in NAV
     36.5     (22.9 )% 
Shares outstanding beginning of period
     5,168,614       11,568,614  
Shares outstanding end of period
     7,268,614       6,068,614  
Percentage change in shares outstanding
     40.6     (47.5 )% 
Shares created
     15,050,000       7,300,000  
Shares redeemed
     12,950,000       12,800,000  
Per share NAV beginning of period
   $ 51.69     $ 29.35  
Per share NAV end of period
   $ 50.16     $ 43.12  
Percentage change in per share NAV
     (3.0 )%      46.9
Percentage change in benchmark
     (19.7 )%      (58.4 )% 
Benchmark annualized volatility
     82.9     56.0
During the nine months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 5,168,614 outstanding Shares at December 31, 2023 to 7,268,614 outstanding Shares at September 30, 2024. 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
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 11,568,614 outstanding Shares at December 31, 2022 to 6,068,614 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index
For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.0% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 46.9% for the nine months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
The benchmark’s decline of 19.7% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 9,251,157     $ 4,964,960  
Management fee
     2,616,334       1,817,684  
Brokerage commission
     688,357       387,868  
Futures account fees
     24,896       —   
Net realized gain (loss)
     47,773,242       125,091,802  
Change in net unrealized appreciation (depreciation)
     (13,008,316 )        (13,488,869 )   
Net Income (loss)
   $ 44,016,083     $ 116,567,893  
The Fund’s net income decreased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of futures prices during the nine months ended September 30, 2024.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the forward Share split for ProShares Short VIX Short-Term Futures.
ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $ 652,793,437     $ 859,094,274  
NAV end of period
   $ 593,222,255     $ 604,124,332  
Percentage change in NAV
     (9.1 )%      (29.7 )% 
Shares outstanding beginning of period
     24,843,096       28,393,096  
Shares outstanding end of period
     23,393,096       17,143,096  
Percentage change in shares outstanding
     (5.8 )%      (39.6 )% 
Shares created
     25,300,000       34,650,000  
Shares redeemed
     26,750,000       45,900,000  
Per share NAV beginning of period
   $ 26.28     $ 30.26  
Per share NAV end of period
   $ 25.36     $ 35.24  
Percentage change in per share NAV
     (3.5 )%      16.5
Percentage change in benchmark
     (1.0 )%      10.5
Benchmark annualized volatility
     22.0     28.0
During the nine months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 24,843,096 outstanding Shares at December 31, 2023 to 23,393,096 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 28,393,096 outstanding Shares at December 31, 2022 to 17,143,096 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
.
For the nine months ended September 30, 2024 and 2023, 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 3.5% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 16.5% for the nine months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
 
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The benchmark’s decline of 1.0% for the nine months ended September 30, 2024, as compared to the benchmark’s rise of 10.5% for the nine months ended September 30, 2023, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 13,332,810     $ 11,737,266  
Management fee
     4,088,647       5,249,353  
Brokerage commission
     169,844       239,809  
Net realized gain (loss)
     33,262,708       253,915,875  
Change in net unrealized appreciation (depreciation)
     (4,696,794 )        (64,494,313 )   
Net Income (loss)
   $ 41,898,724     $ 201,158,828  
The Fund’s net income decreased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a decrease in the value of WTI Crude Oil during the nine months ended September 30, 2024.
ProShares Ultra Bloomberg Natural Gas*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $ 729,892,808     $ 586,151,113  
NAV end of period
   $ 651,821,105     $ 870,339,281  
Percentage change in NAV
     (10.7 )%      48.5
Shares outstanding beginning of period
     5,113,709       322,875  
Shares outstanding end of period
     11,103,709       3,223,709  
Percentage change in shares outstanding
     117.1     898.4
Shares created
     23,240,000       9,143,000  
Shares redeemed
     17,250,000       6,242,166  
Per share NAV beginning of period
   $ 142.73     $ 1,815.41  
Per share NAV end of period
   $ 58.70     $ 269.98  
Percentage change in per share NAV
     (58.9 )%      (85.1 )% 
Percentage change in benchmark
     (27.1 )%      (54.0 )% 
Benchmark annualized volatility
     51.7     60.8
During the nine months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 5,113,709 outstanding Shares at December 31, 2023 to 11,103,709 outstanding Shares at September 30, 2024. By comparison, during the nine months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 322,875 outstanding Shares at December 31, 2022 to 3,223,709 outstanding Shares at September 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
.
 
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For the nine months ended September 30, 2024 and 2023, 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 58.9% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 85.1% for the nine months ended September 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
The benchmark’s decline of 27.1% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 54.0% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
                                                           
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
  
$
13,384,747
 
 
$
16,444,672
 
Management fee
  
 
4,252,390
 
 
 
7,220,063
 
Brokerage commission
  
 
2,170,207
 
 
 
2,727,691
 
Futures account fees
  
 
188,737
 
 
 
531,306
 
Net realized gain (loss)
  
 
(402,539,202
)   
 
 
(1,441,441,743
)   
Change in net unrealized appreciation (depreciation)
  
 
63,603,384
 
 
 
194,575,089
 
Net Income (loss)
  
$
(325,551,071
 
$
(1,230,421,982
The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of Henry Hub Natural Gas during the nine months ended September 30, 2024.
 
*
See Note 1 and Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $ 7,114,015     $ 10,704,662  
NAV end of period
   $ 5,440,209     $ 6,523,481  
Percentage change in NAV
     (23.5 )%      (39.1 )% 
Shares outstanding beginning of period
     600,000       950,000  
Shares outstanding end of period
     450,000       600,000  
Percentage change in shares outstanding
     (25.0 )%      (36.8 )% 
Shares created
     100,000       200,000  
Shares redeemed
     250,000       550,000  
Per share NAV beginning of period
   $ 11.86     $ 11.27  
Per share NAV end of period
   $ 12.09     $ 10.87  
Percentage change in per share NAV
     2.0     (3.5 )% 
Percentage change in benchmark
     0.8     (1.2 )% 
Benchmark annualized volatility
     5.3     7.6
 
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During the nine months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 600,000 outstanding Shares at December 31, 2023 to 450,000 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 600,000 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar
For the nine months ended September 30, 2024 and 2023, 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 2.0% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 3.5% for the nine months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
The benchmark’s rise of 0.8% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 1.2% for the nine months ended September 30, 2023, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
    
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 168,360      $ 205,069  
Management fee
     42,912        61,096  
Net realized gain (loss)
     107,862        336,185  
Change in net unrealized appreciation (depreciation)
     (260,299      (638,368
Net Income (loss)
   $ 15,923      $ (97,114
The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to an increase in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2024.
 
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ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $ 191,502,023     $ 173,524,136  
NAV end of period
   $ 298,882,222     $ 147,696,557  
Percentage change in NAV
     56.1     (14.9 )% 
Shares outstanding beginning of period
     3,000,000       3,150,000  
Shares outstanding end of period
     3,100,000       2,800,000  
Percentage change in shares outstanding
     3.3     (11.1 )% 
Shares created
     1,650,000       500,000  
Shares redeemed
     1,550,000       850,000  
Per share NAV beginning of period
   $ 63.83     $ 55.09  
Per share NAV end of period
   $ 96.41     $ 52.75  
Percentage change in per share NAV
     51.0     (4.3 )% 
Percentage change in benchmark
     27.2     1.3
Benchmark annualized volatility
     14.3     12.9
During the nine months ended September 30, 2024, 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 3,000,000 outstanding Shares at December 31, 2023 to 3,100,000 outstanding Shares at September 30, 2024. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,150,000 outstanding Shares at December 31, 2022 to 2,800,000 outstanding Shares at September 30, 2023. 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 Bloomberg Gold Subindex
SM
.
For the nine months ended September 30, 2024 and 2023, 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 51.0% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 4.3% for the nine months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
The benchmark’s rise of 27.2% for the nine months ended September 30, 2024, as compared to the benchmark’s rise of 1.3% for the nine months ended September 30, 2023, can be attributed to a greater increase in the value of gold futures contracts during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 6,509,622     $ 4,130,377  
Management fee
     1,611,610       1,318,793  
Brokerage commission
     27,209         20,886  
Net realized gain (loss)
     62,084,821       11,092,138  
Change in net unrealized appreciation (depreciation)
     27,452,000       (22,707,149 )   
Net Income (loss)
   $ 96,046,443     $ (7,484,634
 
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The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a greater increase in futures prices, during the nine months ended September 30, 2024.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $  390,146,373     $  414,285,878  
NAV end of period
   $ 666,782,470     $ 327,996,075  
Percentage change in NAV
     70.9     (20.8 )% 
Shares outstanding beginning of period
     14,296,526       13,046,526  
Shares outstanding end of period
     16,446,526       13,246,526  
Percentage change in shares outstanding
     15.0     1.5
Shares created
     12,150,000       4,100,000  
Shares redeemed
     10,000,000       3,900,000  
Per share NAV beginning of period
   $ 27.29     $ 31.75  
Per share NAV end of period
   $ 40.54     $ 24.76  
Percentage change in per share NAV
     48.6     (22.0 )% 
Percentage change in benchmark
     30.0     (6.9 )% 
Benchmark annualized volatility
     31.4     25.0
During the nine months ended September 30, 2024, 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 14,296,526 outstanding Shares at December 31, 2023 to 16,446,526 outstanding Shares at September 30, 2024. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,246,526 outstanding Shares at September 30, 2023
For the nine months ended September 30, 2024 and 2023, 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 48.6% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 22.0% for the nine months ended September 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
The benchmark’s rise of 30.0% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 6.9% for the nine months ended September 30, 2023, can be attributed to an increase in the value of silver futures contracts during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
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Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
  
$
13,696,814
 
 
$
7,577,899
 
Management fee
  
 
3,535,877
 
 
 
2,740,073
 
Brokerage commission
  
 
130,090
 
 
 
101,511
 
Net realized gain (loss)
  
 
87,203,275
 
 
 
5,620,169
 
Change in net unrealized appreciation (depreciation)
  
 
116,775,363
    
 
 
(96,446,948)
   
Net Income (loss)
  
$
 217,675,452
 
 
$
 (83,248,880)
 
The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to an increase in the value of futures prices during the nine months ended September 30, 2024.
ProShares Ultra VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $  348,555,743     $  639,318,362  
NAV end of period
   $ 285,351,963     $ 283,050,691  
Percentage change in NAV
     (18.1 )%      (55.7 )% 
Shares outstanding beginning of period
     8,264,892       1,861,568  
Shares outstanding end of period
     11,443,643       3,494,892  
Percentage change in shares outstanding
     38.5     87.7
Shares created
     29,200,000       6,942,000  
Shares redeemed
     26,021,248       5,308,676  
Per share NAV beginning of period
   $ 42.17     $ 343.43  
Per share NAV end of period
   $ 24.94     $ 80.99  
Percentage change in per share NAV
     (40.8 )%      (76.4 )% 
Percentage change in benchmark
     (19.7 )%      (58.4 )% 
Benchmark annualized volatility
     82.9     56.0
During the nine months ended September 30, 2024, 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 8,264,892 outstanding Shares at December 31, 2023 to 11,443,643 outstanding Shares at September 30, 2024. By comparison, during the nine months ended September 30, 2023, 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 1,861,568 outstanding Shares at December 31, 2022 to 3,494,892 outstanding Shares at September 30, 2023
For the nine months ended September 30, 2024 and 2023, 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 40.8% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 76.4% for the nine months ended September 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
The benchmark’s decline of 19.7% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
                                                           
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
  
$
4,102,676
 
 
$
6,553,073
 
Management fee
  
 
1,804,611
 
 
 
3,507,644
 
Brokerage commission
  
 
1,475,584
 
 
 
2,007,911
 
Futures account fees
  
 
212,988
 
 
 
354,153
 
Net realized gain (loss)
  
 
(185,017,536
)   
 
 
(751,125,820
)   
Change in net unrealized appreciation (depreciation)
  
 
39,549,802
 
 
 
65,573,569
 
Net Income (loss)
  
$
 (141,365,058)
 
 
$
 (678,999,178)
 
The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of futures prices during the nine months ended September 30, 2024.
* 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 nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $  30,205,770     $  13,814,796  
NAV end of period
   $ 53,234,065     $ 17,508,248  
Percentage change in NAV
     76.2     26.7
Shares outstanding beginning of period
     1,099,970       399,970  
Shares outstanding end of period
     2,149,970       699,970  
Percentage change in shares outstanding
     95.5     75.0
Shares created
     1,850,000       500,000  
Shares redeemed
     800,000       200,000  
Per share NAV beginning of period
   $ 27.46     $ 34.54  
Per share NAV end of period
   $ 24.76     $ 25.01  
Percentage change in per share NAV
     (9.8 )%      (27.6 )% 
Percentage change in benchmark
     (1.9 )%      (12.2 )% 
Benchmark annualized volatility
     10.4     10.2
During the nine months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 1,099,970 outstanding Shares at December 31, 2023 to 2,149,970 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 399,970 outstanding Shares at December 31, 2022 to 699,970 outstanding Shares at September 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar
 
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For the nine months ended September 30, 2024 and 2023, 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 9.8% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 27.6% for the nine months ended September 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
The benchmark’s decline of 1.9% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 12.2% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 1,099,697     $ 317,594  
Management fee
     295,486       91,858  
Net realized gain (loss)
     (562,689 )        (2,923,720 )   
Change in net unrealized appreciation (depreciation)
     (1,803,229     (1,564,970
Net Income (loss)
   $ (1,266,221   $ (4,171,096
The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2024.
ProShares UltraShort Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $  188,963,592     $  222,697,337  
NAV end of period
   $ 96,729,953     $ 296,776,466  
Percentage change in NAV
     (48.8 )%      33.3
Shares outstanding beginning of period
     9,105,220       9,305,220  
Shares outstanding end of period
     4,955,220       17,605,220  
Percentage change in shares outstanding
     (45.6 )%      89.2
Shares created
     14,900,000       28,800,000  
Shares redeemed
     19,050,000       20,500,000  
Per share NAV beginning of period
   $ 20.75     $ 23.93  
Per share NAV end of period
   $ 19.52     $ 16.86  
Percentage change in per share NAV
     (5.9 )%      (29.6 )% 
Percentage change in benchmark
     (1.0 )%      10.5
Benchmark annualized volatility
     22.0     28.0
During the nine months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,105,220 outstanding Shares at December 31, 2023 to 4,955,220 outstanding Shares at September 30, 2024. 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 Commodity Balanced WTI Crude Oil Index
SM
. By comparison, during the nine months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 9,305,220 outstanding Shares at December 31, 2022 to 17,605,220 outstanding Shares at September 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
.
 
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For the nine months ended September 30, 2024 and 2023, 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 5.9% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 29.6% for the nine months ended September 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
The benchmark’s decline of 1.0% for the nine months ended September 30, 2024, as compared to the benchmark’s rise of 10.5% for the nine months ended September 30, 2023, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
    
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 4,993,915      $ 4,599,541  
Management fee
     1,255,680        1,392,728  
Brokerage commission
     149,398        180,385  
Net realized gain (loss)
     (323,060      7,884,531  
Change in net unrealized appreciation (depreciation)
     (7,534,360      (35,278,737
Net Income (loss)
   $  (2,863,505)      $  (22,794,665)  
The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a decrease in the value of WTI Crude Oil, during the nine months ended September 30, 2024.
 
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ProShares UltraShort Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $  140,963,092     $  134,109,520  
NAV end of period
   $ 132,693,025     $ 111,663,062  
Percentage change in NAV
     (5.9 )%      (16.7 )% 
Shares outstanding beginning of period
     2,933,712       9,933,712  
Shares outstanding end of period
     2,433,712       3,633,712  
Percentage change in shares outstanding
     (17.0 )%      (63.4 )% 
Shares created
     16,700,000       38,700,000  
Shares redeemed
     17,200,000       45,000,000  
Per share NAV beginning of period
   $ 48.05     $ 13.50  
Per share NAV end of period
   $ 54.52     $ 30.73  
Percentage change in per share NAV
     13.5     127.7
Percentage change in benchmark
     (27.1 )%      (54.0 )% 
Benchmark annualized volatility
     51.7     60.8
During the nine months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,933,712 outstanding Shares at December 31, 2023 to 2,433,712 outstanding Shares at September 30, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,933,712 outstanding Shares at December 31, 2022 to 3,633,712 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the nine months ended September 30, 2024 and 2023, 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 13.5% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 127.7% for the nine months ended September 30, 2023, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
The benchmark’s decline of 27.1% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 54.0% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 2,521,302     $ 2,446,610  
Management fee
     797,283       903,703  
Brokerage commission
     722,643       577,070  
Futures account fees
     33,910       80,308  
Net realized gain (loss)
     90,093,336       221,345,184  
Change in net unrealized appreciation (depreciation)
     (11,387,262 )        (62,123,076 )   
Net Income (loss)
   $ 81,227,376     $  161,668,718  
The Fund’s net income decreased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of Henry Hub Natural Gas during the nine months ended September 30, 2024.
 
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*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the forward Share split for ProShares UltraShort Bloomberg Natural Gas.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $  39,367,550     $  75,113,179  
NAV end of period
   $ 32,912,508     $ 44,004,408  
Percentage change in NAV
     (16.4 )%      (41.4 )% 
Shares outstanding beginning of period
     1,350,000       2,550,000  
Shares outstanding end of period
     1,100,000       1,400,000  
Percentage change in shares outstanding
     (18.5 )%      (45.1 )% 
Shares created
     50,000       100,000  
Shares redeemed
     300,000       1,250,000  
Per share NAV beginning of period
   $ 29.16     $ 29.46  
Per share NAV end of period
   $ 29.92     $ 31.43  
Percentage change in per share NAV
     2.6     6.7
Percentage change in benchmark
     0.8     (1.2 )% 
Benchmark annualized volatility
     5.3     7.6
During the nine months ended September 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,350,000 outstanding Shares at December 31, 2023 to 1,100,000 outstanding Shares at September 30, 2024. 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 nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at December 31, 2022 to 1,400,000 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar
For the nine months ended September 30, 2024 and 2023, 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 2.6% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 6.7% for the nine months ended September 30, 2023, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
The benchmark’s rise of 0.8% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 1.2% for the nine months ended September 30, 2023, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
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Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 1,017,487     $ 1,360,409  
Management fee
     270,996       404,141  
Net realized gain (loss)
     (1,356,314 )        (2,576,119 )   
Change in net unrealized appreciation (depreciation)
     1,521,143       3,904,782  
Net Income (loss)
   $ 1,182,316     $ 2,689,072  
The Fund’s net income decreased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to an increase in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2024.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $  11,795,779     $  15,456,037  
NAV end of period
   $ 18,058,490     $ 14,365,869  
Percentage change in NAV
     53.1     (7.1 )% 
Shares outstanding beginning of period
     446,977       496,977  
Shares outstanding end of period
     1,046,977       446,977  
Percentage change in shares outstanding
     134.2     (10.1 )% 
Shares created
     1,250,000       700,000  
Shares redeemed
     650,000       750,000  
Per share NAV beginning of period
   $ 26.39     $ 31.10  
Per share NAV end of period
   $ 17.25     $ 32.14  
Percentage change in per share NAV
     (34.6 )%      3.4
Percentage change in benchmark
     27.2     1.3
Benchmark annualized volatility
     14.2     12.9
During the nine months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 446,977 outstanding Shares at December 31, 2023 to 1,046,977 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted from a decrease from 496,977 outstanding Shares at December 31, 2022 to 446,977 outstanding Shares at September 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
.
For the nine months ended September 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 34.6% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 3.4% for the nine months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
The benchmark’s rise of 27.2% for the nine months ended September 30, 2024, as compared to the benchmark’s rise of 1.3% for the nine months ended September 30, 2023, can be attributed to a greater increase in the value of gold futures contracts during the period ended September 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 359,801     $ 343,044  
Management fee
     105,887       112,212  
Brokerage commission
     3,138       4,065  
Net realized gain (loss)
     (5,323,806 )        (1,147,608 )   
Change in net unrealized appreciation (depreciation)
     (843,136     1,851,613  
Net Income (loss)
   $  (5,807,141)     $ 1,047,049  
The Fund’s net income decreased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a greater increase in the value of the futures prices during the nine months ended September 30, 2024.
ProShares UltraShort Silver*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $  65,149,686     $  31,932,799  
NAV end of period
   $ 32,222,722     $ 16,967,517  
Percentage change in NAV
     (50.5 )%      (46.9 )% 
Shares outstanding beginning of period
     897,832       410,332  
Shares outstanding end of period
     847,832       197,832  
Percentage change in shares outstanding
     (5.6 )%      (51.8 )% 
Shares created
     2,937,500       1,512,500  
Shares redeemed
     2,987,500       1,725,000  
Per share NAV beginning of period
   $ 72.56     $ 77.82  
Per share NAV end of period
   $ 38.01     $ 85.77  
Percentage change in per share NAV
     (47.6 )%      10.2
Percentage change in benchmark
     30.0     (6.9 )% 
Benchmark annualized volatility
     31.4     25.0
During the nine months ended September 30, 2024, 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 897,832 outstanding Shares at December 31, 2023 to 847,832 outstanding Shares at September 30, 2024. By comparison, during the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 410,332 outstanding Shares at December 31, 2022 to 197,832 outstanding Shares at September 30, 2023. 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 Silver Subindex
SM
.
For the nine months ended September 30, 2024 and 2023, 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 47.6% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 10.2% for the nine months ended September 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
 
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The benchmark’s rise of 30.0% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 6.9% for the nine months ended September 30, 2023, can be attributed to an increase in the value of the silver futures contracts during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
    
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 1,235,932      $ 611,721  
Management fee
     380,119        220,751  
Brokerage commission
     34,808        28,436  
Net realized gain (loss)
     (4,296,391      10,747,744  
Change in net unrealized appreciation (depreciation)
     (6,036,529      4,528,828  
Net Income (loss)
   $  (9,096,988)      $  15,888,293  
The Fund’s net income decreased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to an increase in the value of futures prices during the nine months ended September 30, 2024.
 
*
See Note 8 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 nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $ 24,010,010     $ 21,397,736  
NAV end of period
   $ 34,904,924     $ 26,172,191  
Percentage change in NAV
     45.4     22.3
Shares outstanding beginning of period
     697,160       797,160  
Shares outstanding end of period
     897,160       697,160  
Percentage change in shares outstanding
     28.7     (12.5 )% 
Shares created
     900,000       900,000  
Shares redeemed
     700,000       1,000,000  
Per share NAV beginning of period
   $ 34.44     $ 26.84  
Per share NAV end of period
   $ 38.91     $ 37.54  
Percentage change in per share NAV
     13.0     39.9
Percentage change in benchmark
     (1.9 )%      (12.2 )% 
Benchmark annualized volatility
     10.4     10.2
During the nine months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 697,160 outstanding Shares at December 31, 2023 to 897,160 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 797,160 outstanding Shares at December 31, 2022 to 697,160 outstanding Shares at September 30, 2023
For the nine months ended September 30, 2024 and 2023, 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 13.0% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV increase of 39.9% for the nine months ended September 30, 2023, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
The benchmark’s decline of 1.9% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 12.2% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
                                                 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
  
$
964,632
 
 
$
565,926
 
Management fee
  
 
256,361
 
 
 
167,753
 
Net realized gain (loss)
  
 
1,112,710
    
 
 
3,422,003
 
Change in net unrealized appreciation (depreciation)
  
 
1,101,721
 
 
 
3,945,278
 
Net Income (loss)
  
$
3,179,063
 
 
$
7,933,207
    
The Fund’s net income decreased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2024.
 
*
See Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the forward Share split for ProShares UltraShort Yen.
 
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ProShares VIX
Mid-Term
Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $ 37,866,143     $ 84,014,959  
NAV end of period
   $ 38,983,834     $ 59,968,024  
Percentage change in NAV
     3.0     (28.6 )% 
Shares outstanding beginning of period
     2,262,403       2,762,403  
Shares outstanding end of period
     2,587,403       3,087,403  
Percentage change in shares outstanding
     14.4     11.8
Shares created
     9,450,000       1,700,000  
Shares redeemed
     9,125,000       1,375,000  
Per share NAV beginning of period
   $ 16.74     $ 30.41  
Per share NAV end of period
   $ 15.07     $ 19.42  
Percentage change in per share NAV
     (10.0 )%      (36.1 )% 
Percentage change in benchmark
     (8.8 )%      (35.0 )% 
Benchmark annualized volatility
     32.2     28.2
During the nine months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 2,262,403 outstanding Shares at December 31, 2023 to 2,587,403 outstanding Shares at September 30, 2024. 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 nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. The decrease in the Fund’s NAV was offset by an increase from 2,762,403 outstanding Shares at December 31, 2022 to 3,087,403 outstanding Shares at September 30, 2023
For the nine months ended September 30, 2024 and 2023, 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 10.0% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 36.1% for the nine months ended September 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
The benchmark’s decline of 8.8% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 35.0% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended September 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
                                                 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
  
$
1,521,740
 
 
$
1,430,860
 
Management fee
  
 
354,943
 
 
 
401,207
 
Brokerage commission
  
 
94,413
 
 
 
30,191
 
Futures account fees
  
 
21,146
   
 
 
33,287
   
Net realized gain (loss)
  
 
(12,340,680
 
 
(35,008,564
Change in net unrealized appreciation (depreciation)
  
 
4,340,208
 
 
 
3,841,900
 
Net Income (loss)
  
$
(6,478,732
 
$
(29,735,804
 
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The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of the futures prices during the nine months ended September 30, 2024.
ProShares VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
   
Nine Months Ended

September 30, 2023
 
NAV beginning of period
   $ 157,321,746     $ 266,580,320  
NAV end of period
   $ 163,397,433     $ 211,604,428  
Percentage change in NAV
     3.9     (20.6 )% 
Shares outstanding beginning of period
     2,537,737       1,169,141  
Shares outstanding end of period
     3,337,737       2,268,987  
Percentage change in shares outstanding
     31.5     94.1
Shares created
     4,512,500       2,308,750  
Shares redeemed
     3,712,500       1,208,905  
Per share NAV beginning of period
   $ 61.99     $ 228.01  
Per share NAV end of period
   $ 48.95     $ 93.26  
Percentage change in per share NAV
     (21.0 )%      (59.1 )% 
Percentage change in benchmark
     (19.7 )%      (58.4 )% 
Benchmark annualized volatility
     82.9     56.0
During the nine months ended September 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 2,537,737 outstanding Shares at December 31, 2023 to 3,337,737 outstanding Shares at September 30, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2023, 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 1,169,141 outstanding Shares at December 31, 2022 to 2,268,987 outstanding Shares at September 30, 2023
For the nine months ended September 30, 2024 and 2023, 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 21.0% for the nine months ended September 30, 2024, as compared to the Fund’s per Share NAV decrease of 59.1% for the nine months ended September 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2024.
The benchmark’s decline of 19.7% for the nine months ended September 30, 2024, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2023, can be attributed to a lesser decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2024 and 2023:
 
    
Nine Months Ended

September 30, 2024
    
Nine Months Ended

September 30, 2023
 
Net investment income (loss)
   $ 3,707,955      $ 4,942,508  
Management fee
     945,176        1,495,874  
Brokerage commission
     189,358        250,314  
Futures account fees
     89,976        143,501  
Net realized gain (loss)
     (11,800,514      (228,286,648
Change in net unrealized appreciation (depreciation)
     12,170,504        21,667,964  
Net Income (loss)
   $ 4,077,945      $ (201,676,176
The Fund’s net income increased for the nine months ended September 30, 2024 as compared to the nine months ended September 30, 2023, primarily due to a lesser decrease in the value of the futures prices during the nine months ended September 30, 2024.
 
*
See Note 1 and Note 8 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.
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.
 
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The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of September 30, 2024 and 2023, each of the Fund’s positions were as follows:
ProShares Short VIX Short-Term Futures ETF
As of September 30, 2024 and 2023, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2024 and 2023, which were sensitive to equity market volatility risk.
 
Futures Positions as of September 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
   Short    October 2024      5,429      $ 18.84        1,000      $ (102,295,932
VIX Futures (Cboe)
   Short    November
2024
     4,431        18.10        1,000        (80,190,023
 
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
   Short    October 2023      4,373      $ 17.77        1,000      $ (77,713,457
VIX Futures (Cboe)
   Short    November
2023
     2,906        18.25        1,000        (53,023,748
The September 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative
one-half.
See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
 
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ProShares Ultra Bloomberg Crude Oil:
As of September 30, 2024 and 2023, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk.
 
Futures Positions as of September 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   Long    December 2024      2,269      $ 67.77        1,000      $ 153,770,130  
WTI Crude Oil (NYMEX)
   Long    June 2025      2,326        66.93        1,000        155,679,180  
WTI Crude Oil (NYMEX)
   Long    December 2025      2,361        66.39        1,000        156,746,790  
 
Swap Agreements as of September 30, 2024
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
    
Notional Amount

at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
   Citibank, N.A.    Long    $ 80.8609      $ 143,374,704  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Goldman Sachs International    Long      80.8609        226,614,289  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Morgan Stanley & Co.
International PLC
   Long      80.8609        68,842,383  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Societe Generale    Long      80.8609        172,015,554  
Bloomberg Commodity Balanced WTI Crude Oil Index
   UBS AG    Long      80.8609        109,053,861  
 
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   Long    December 2023      879      $ 88.80        1,000      $ 78,055,200  
WTI Crude Oil (NYMEX)
   Long    June 2024      920        81.12        1,000        74,630,400  
WTI Crude Oil (NYMEX)
   Long    December 2024      956        77.86        1,000        74,434,160  
 
Swap Agreements as of September 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
    
Notional Amount

at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
   Citibank, N.A.    Long    $ 93.5651      $ 210,901,349  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Goldman Sachs International    Long      93.5651        262,218,064  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Morgan Stanley & Co.
International PLC
   Long      93.5651        151,363,911  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Societe Generale    Long      93.5651        199,041,224  
Bloomberg Commodity Balanced WTI Crude Oil Index
   UBS AG    Long      93.5651        157,428,427  
The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 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
 
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to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Bloomberg Natural Gas:
As of September 30, 2024 and 2023, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts linked to the Bloomberg Natural Gas Subindex. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk.
 
Futures Positions as of September 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Natural Gas (NYMEX)
   Long    November
2024
     44,626      $ 2.92        10,000      $ 1,304,417,980  
 
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Natural Gas (NYMEX)
   Long    November
2023
     50,182      $ 2.93        10,000      $ 1,469,830,780  
 
Swap Agreements as of September 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
    
Notional Amount

at Value
 
Bloomberg Natural Gas Subindex
   Citibank, N.A.    Long    $ 0.0799      $ 132,651,213  
Bloomberg Natural Gas Subindex
   Goldman Sachs International    Long      0.0799        90,634,449  
Bloomberg Natural Gas Subindex
   Societe General    Long      0.0799        47,221,373  
Bloomberg Natural Gas Subindex
   UBS AG    Long      0.0799        725,704  
The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2023 swap notional values are calculated by multiplying the number of units times the closing level of the Index. 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. 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 Euro:
As of September 30, 2024 and 2023, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to exchange rate price risk.
 
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Foreign Currency Forward Contracts as of September 30, 2024
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
   
Forward Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International    Long    10/04/24      4,874,921       1.1085      $ 5,403,839  
Euro
   UBS AG    Long    10/04/24      5,080,502       1.1087        5,632,724  
Euro
   Goldman Sachs International    Short    10/04/24      (56,000     1.1048        (61,871
Euro
   UBS AG    Short    10/04/24      (127,000     1.1116        (141,168
 
Foreign Currency Forward Contracts as of September 30, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
   
Forward Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International    Long    10/06/23      7,691,921       1.0752      $
 
 
8,270,353
 
 
Euro
   UBS AG    Long    10/06/23      4,954,502       1.0752        5,327,055  
Euro
   UBS AG    Short    10/06/23      (323,000     1.0602        (342,445
The September 30, 2024 and 2023 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Gold:
As of September 30, 2024 and 2023 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 September 30, 2024 and 2023, which were sensitive to commodity price risk.
 
Futures Positions as of September 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Gold Futures (COMEX)
   Long    December 2024      1,004      $ 2,659.40        100      $ 267,003,760  
 
Swap Agreements as of September 30, 2024
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.    Long    $ 256.4490      $ 142,005,537  
Bloomberg Gold Subindex
   Goldman Sachs International    Long      256.4490        67,448,138  
Bloomberg Gold Subindex
   UBS AG    Long      256.4490        121,264,368  
 
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Gold Futures (COMEX)
   Long    December 2023      264      $ 1,866.10        100      $ 49,265,040  
 
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Swap Agreements as of September 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.    Long    $ 190.8900      $ 105,703,033  
Bloomberg Gold Subindex
   Goldman Sachs International    Long      190.8900        50,205,597  
Bloomberg Gold Subindex
   UBS AG    Long      190.8900        90,264,166  
The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Silver:
As of September 30, 2024 and 2023 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 September 30, 2024 and 2023, which were sensitive to commodity price risk.
 
Futures Positions as of September 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Silver Futures (COMEX)
   Long    December 2024      3,954      $ 31.46        5,000      $ 621,924,660  
 
Swap Agreements as of September 30, 2024
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.    Long    $ 251.8376      $ 316,950,428  
Bloomberg Silver Subindex
   Goldman Sachs International    Long      251.8376        27,896,806  
Bloomberg Silver Subindex
   Morgan Stanley & Co.
International PLC
   Long      251.8376        189,269,052  
Bloomberg Silver Subindex
   UBS AG    Long      251.8376        178,139,138  
 
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Silver Futures (COMEX)
   Long    December 2023      1,756      $ 22.45        5,000      $ 197,111,000  
 
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Swap Agreements as of September 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.    Long    $ 190.6601      $ 159,867,323  
Bloomberg Silver Subindex
   Goldman Sachs International    Long      190.6601        21,119,991  
Bloomberg Silver Subindex
   Morgan Stanley & Co.
International PLC
   Long      190.6601        143,290,980  
Bloomberg Silver Subindex
   UBS AG    Long      190.6601        134,864,794  
The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk 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 September 30, 2024 and 2023, the ProShares Ultra 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 these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to equity market volatility risk.
 
 
Futures Positions as of September 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
   Long    October 2024      12,712      $ 18.84        1,000      $ 239,525,860  
VIX Futures (Cboe)
   Long    November
2024
     10,409        18.10        1,000        188,376,878  
 
 
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
   Long    October 2023      14,181      $ 17.77        1,000      $ 252,013,387  
VIX Futures (Cboe)
   Long    November
2023
     9,464        18.25        1,000        172,682,983  
The September 30, 2024 and 2023 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 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.
 
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ProShares Ultra Yen:
As of September 30, 2024 and 2023, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to exchange rate price risk.
 
Foreign Currency Forward Contracts as of September 30, 2024
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
   
Forward Rate
    
Market Value
USD
 
Yen
   Goldman Sachs International    Long    10/04/24      8,074,137,056       0.006967      $ 56,252,032  
Yen
   UBS AG    Long    10/04/24      9,098,731,856       0.006991        63,607,294  
Yen
   Goldman Sachs International    Short    10/04/24      (604,074,000     0.006967        (4,208,522
Yen
   UBS AG    Short    10/04/24      (1,280,959,000     0.006973        (8,932,441
 
Foreign Currency Forward Contracts as of September 30, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
   
Forward Rate
    
Market Value
USD
 
Yen
   Goldman Sachs International    Long    10/06/23      2,355,724,056       0.006813      $ 16,049,086  
Yen
   UBS AG    Long    10/06/23      2,976,699,856       0.006807        20,261,769  
Yen
   UBS AG    Short    10/06/23      (97,972,000     0.006790        (665,202
The September 30, 2024 and 2023 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Bloomberg Crude Oil:
As of September 30, 2024 and 2023, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk.
 
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Futures Positions as of September 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   Short    December 2024      942      $ 67.77        1,000      $ (63,839,340
WTI Crude Oil (NYMEX)
   Short    June 2025      965        66.93        1,000        (64,587,450
WTI Crude Oil (NYMEX)
   Short    December 2025      980        66.39        1,000        (65,062,200
 
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   Short    December 2023      2,296      $ 88.80        1,000      $ (203,884,800
WTI Crude Oil (NYMEX)
   Short    June 2024      2,404        81.12        1,000        (195,012,480
WTI Crude Oil (NYMEX)
   Short    December 2024      2,500        77.86        1,000        (194,650,000
The September 30, 2024 and 2023 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 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.
ProShares UltraShort Bloomberg Natural Gas:
As of September 30, 2024 and 2023, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk.
 
Futures Positions as of September 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Natural Gas (NYMEX)
   Short    November 2024      9,079      $ 2.92        10,000      $ (265,379,170
 
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Natural Gas (NYMEX)
   Short    November 2023      7,624      $ 2.93        10,000      $ (223,306,960
The September 30, 2024 and 2023 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.
 
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ProShares UltraShort Euro:
As of September 30, 2024 and 2023, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to exchange rate price risk.
 
Foreign Currency Forward Contracts as of September 30, 2024
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
   
Forward Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International    Long    10/04/24      2,449,000       1.1163      $ 2,733,800  
Euro
   UBS AG    Long    10/04/24      4,937,000       1.1127        5,493,208  
Euro
   Goldman Sachs International    Short    10/04/24      (33,971,263     1.1082        (37,647,518
Euro
   UBS AG    Short    10/04/24      (32,544,199     1.1088        (36,083,920
 
Foreign Currency Forward Contracts as of September 30, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
   
Forward Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International    Long    10/06/23      486,000       1.0694      $ 519,743  
Euro
   UBS AG    Long    10/06/23      10,804,000       1.0696        11,556,452  
Euro
   Goldman Sachs International    Short    10/06/23      (43,752,263     1.0751        (47,038,130
Euro
   UBS AG    Short    10/06/23      (50,970,199     1.0735        (54,717,780
The September 30, 2024 and 2023 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Gold:
As of September 30, 2024 and 2023 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 September 30, 2024 and 2023, which were sensitive to commodity price risk.
 
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Futures Positions as of September 30, 2024
 
Contract
  
Long or

Short
    
Expiration
    
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Gold Futures (COMEX)
     Short        December 2024        57      $ 2,659.40        100      $ (15,158,580
 
Swap Agreements as of September 30, 2024
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.    Short    $ 256.4490      $ (4,820,548
Bloomberg Gold Subindex
   Goldman Sachs International    Short      256.4490        (6,317,878
Bloomberg Gold Subindex
   UBS AG    Short      256.4490        (9,772,030
 
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Gold Futures (COMEX)
   Short    December 2023      71      $ 1,866.10        100      $ (13,249,310
 
Swap Agreements as of September 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.    Short    $ 190.8900      $ (3,588,216
Bloomberg Gold Subindex
   Goldman Sachs International    Short      190.8900        (4,702,766
Bloomberg Gold Subindex
   UBS AG    Short      190.8900        (7,273,894
The September 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Silver:
As of September 30, 2024 and 2023 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 September 30, 2024 and 2023, which were sensitive to commodity price risk.
 
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Futures Positions as of September 30, 2024
 
Contract
  
Long or
Short
  
Expiration
  
Contracts
  
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Silver Futures (COMEX)
   Short    December 2024    154    $ 31.46        5,000      $ (24,222,660
 
Swap Agreements as of September 30, 2024
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.    Short    $ 251.8376      $ (22,532,595
Bloomberg Silver Subindex
   Goldman Sachs International    Short      251.8376        (12,371,018
Bloomberg Silver Subindex
   Morgan Stanley & Co. International PLC    Short      251.8376        (1,706,452
Bloomberg Silver Subindex
   UBS AG    Short      251.8376        (3,643,614
 
Futures Positions as of September 30, 2023
 
Contract
  
Long or
Short
    
Expiration
  
Contracts
  
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Silver Futures (COMEX)
   Short      December 2023    109    $ 22.45        5,000      $ (12,235,250
 
Swap Agreements as of September 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.    Short    $ 190.6601      $ (2,570,998
Bloomberg Silver Subindex
   Goldman Sachs International    Short      190.6601        (9,365,796
Bloomberg Silver Subindex
   Morgan Stanley & Co. International PLC    Short      190.6601        (7,405,429
Bloomberg Silver Subindex
   UBS AG    Short      190.6601        (2,368,019
The September 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Yen:
As of September 30, 2024 and 2023, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to exchange rate price risk.
 
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Foreign Currency Forward Contracts as of September 30, 2024
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
   
Forward Rate
    
Market Value
USD
 
Yen
   Goldman Sachs International    Long    10/04/24      766,460,000       0.007045      $ 5,400,022  
Yen
   UBS AG    Long    10/04/24      1,844,169,000       0.007031        12,965,860  
Yen
   Goldman Sachs International    Short    10/04/24      (5,401,596,165     0.006961        (37,598,687
Yen
   UBS AG    Short    10/04/24      (7,246,500,574     0.006960        (50,438,174
 
Foreign Currency Forward Contracts as of September 30, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
  
Local Currency
   
Forward Rate
    
Market Value
USD
 
Yen
   UBS AG    Long    10/06/23      428,237,000       0.006813      $ 2,917,500  
Yen
   Goldman Sachs International    Short    10/06/23      (3,330,184,165     0.006821        (22,714,958
Yen
   UBS AG    Short    10/06/23      (4,908,633,574     0.006814        (33,445,689
The September 30, 2024 and 2023 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares VIX
Mid-Term
Futures ETF
As of September 30, 2024 and 2023, the ProShares VIX
Mid-Term
Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2024 and 2023, which were sensitive to equity market volatility risk.
 
Futures Positions as of September 30, 2024
 
Contract
  
Long or

Short
    
Expiration
    
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
     Long        January 2025        379      $ 18.55        1,000      $ 7,030,715  
VIX Futures (Cboe)
     Long        February 2025        689        18.85        1,000        12,987,994  
VIX Futures (Cboe)
     Long        March 2025        689        18.98        1,000        13,073,775  
VIX Futures (Cboe)
     Long        April 2025        309        19.09        1,000        5,898,347  
 
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
   Long    January 2024      617      $ 19.10        1,000      $ 11,784,515  
VIX Futures (Cboe)
   Long    February 2024      1,028        19.30        1,000        19,841,839  
VIX Futures (Cboe)
   Long    March 2024      1,028        19.60        1,000        20,146,847  
VIX Futures (Cboe)
   Long    April 2024      411        19.90        1,000        8,178,119  
The September 30, 2024 and 2023 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
 
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notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares VIX Short-Term Futures ETF
As of September 30, 2024 and 2023, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of September 30, 2024 and 2023, which were sensitive to equity market volatility risk.
 
Futures Positions as of September 30, 2024
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
     Long      October 2024      4,851      $ 18.84        1,000      $ 91,404,968  
VIX Futures (Cboe)
     Long      November 2024      3,974        18.10        1,000        71,919,465  
 
Futures Positions as of September 30, 2023
 
Contract
  
Long or

Short
    
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
     Long      October 2023      7,067      $ 17.77        1,000      $ 125,589,070  
VIX Futures (Cboe)
     Long      November 2023      4,719        18.25        1,000        86,104,290  
Share
 
The September 30, 2024 and 2023 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 (referred to as the “Daily Target”). Each Short Fund seeks daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results, before fees and expenses, that correspond to one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative
one-half,
one, one and
one-half,
two or three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
Primary Market Risk Exposure
The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its
sub-indexes
are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).
Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading strategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital.
As described in Item 7 in the Annual Report on Form
10-K,
trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.
Commodity Price Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form
10-K,
the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.
Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a
(1.1*0.9)-1
=
-1%
period benchmark return, the
two-day
period return for a theoretical
two-times
fund would be equal to a (1.2
*0.8)-1
=
-4%
period Fund return (rather than simply two times the period return of the benchmark).
Exchange Rate Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form
10-K,
the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect
 
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the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.
Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a
(1.1*0.9)-1
=
-1%
period benchmark return, the
two-day
period return for a theoretical
two-times
fund would be equal to a (1.2
*0.8)-1
=
-4%
period Fund return (rather than simply two times the period return of the benchmark).
Equity Market Volatility Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form
10-K,
the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.
Managing Market Risks
Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective
(-0.5x,
-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 in “Note 2—Significant Accounting Policies—Final Net Asset Value for Fiscal Period”), 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 creation/redemption 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. 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 (as defined in Rules
13a-15(e)
and
15d-15(e)
under the Securities Exchange Act of 1934, as amended (the “1934 Act”)). Our principal executive officer and principal financial officer concluded that the disclosure controls and procedures of the Trust and the Funds were not effective as of September 30, 2024 due to a material weakness in internal control over financial reporting in the design of certain controls over the presentation and disclosure of segregated cash balances with brokers for futures contracts, receivable on open futures contracts, payable on open futures contracts and related accounts in the statement of cash flows. Specifically, certain controls over manual journal entries were not designed at a sufficient level of precision to identify inconsistencies between the journal entries
 
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and the information provided in the
futures
broker customer statements. A material weakness is a deficiency, or a combination of deficiencies, in
internal
control over financial reporting, such that there is a reasonable possibility that a material misstatement of the company’s annual or interim financial statements will not be prevented or detected on a timely basis. This material weakness resulted in the restatement of the Trust’s and the Funds’ financial statements as of and for the year ended December 31, 2021, 2022 and 2023 and the interim financial statements for the fiscal quarters ended September 30, 2023, March 31, 2023 and 2024, and June 30, 2023 and 2024. Additionally, this material weakness could result in misstatements of the financial statements or disclosures that would result in a material misstatement to the annual or interim financial statements that would not be prevented or detected.
As a result, additional analysis was performed as deemed necessary to ensure that our financial statements were prepared in accordance with U.S. generally accepted accounting principles.
Remediation Plan for Material Weakness with respect to Controls Related to the Classification of the FCM Accounts
In response to the identified material weakness with respect to controls related to the classification of the FCM accounts, Management has begun a comprehensive plan to enhance its internal controls over financial reporting with respect to controls related to the classification of the FCM accounts, which generally includes working with the Funds’ Administrator to enhance procedures and reviews relating to the classification of Futures Commission Merchant balances for financial reporting purposes.
Changes in Internal Control over Financial Reporting
There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2024, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.
Certifications
The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form
10-Q,
apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.
 
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Part II. OTHER INFORMATION
Item 1. Legal Proceedings.
As of September 30, 2024, the Trust is not a party to any material legal proceedings.
Item 1A. Risk Factors.
Regulatory and exchange accountability levels may restrict the creation of Creation Units and the operation of the Trust
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.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus
(COVID-19)
and its variants 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 if reimposed, a severe economic impact on global economies as economic activity in some instances has essentially ceased.
On February 24, 2022, Russia commenced a military attack on Ukraine. The ongoing hostilities between the two countries could result in additional widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. As the war continues, sanctions on Russian exports in the future could have a significant adverse impact on the Russian economy and related markets. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflicts and related events could have significant impact on a Fund’s performance, and the value of an investment in a Fund may decline significantly.
The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.
Extreme market volatility and economic turbulence in the first part of 2020 has led to FCMs increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some FCMs 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.
Additionally, public health issues, war and military conflicts (such as Russia’s continued military actions against Ukraine that started in February 2022 and the Israel-Hamas conflict and the ensuing conflict), sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. 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, and the value of an investment in the Fund may decline significantly.
Natural Disasters and Public Health Disruptions, such as the
COVID-19
Pandemic, 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,
COVID-19
including its variants), have been and may continue to be highly disruptive to economies and markets. These conditions have led, and may continue to
 
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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, civil unrest, 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. 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. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margins and collateral requirements in ways that have a significant negative impact on Fund performance 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 transaction 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 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.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
 
a)
None.
 
b)
Not applicable.
 
c)
The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the nine months ended September 30, 2024:
 
                                                                          
Title of Securities Registered
*
  
 
  
Total Number of
Shares Redeemed
    
Average Price
Per Share
 
ProShares Short VIX Short-Term Futures ETF
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
150,000
 
  
$
    63.27
 
  
08/01/24 to 08/31/24
  
 
1,850,000
 
  
$
53.00
 
  
09/01/24 to 09/30/24
  
 
7,900,000
 
  
$
49.17
 
ProShares Ultra Bloomberg Crude Oil
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
1,300,000
 
  
$
33.66
 
  
08/01/24 to 08/31/24
  
 
3,000,000
 
  
$
30.47
 
  
09/01/24 to 09/30/24
  
 
4,250,000
 
  
$
25.72
 
ProShares Ultra Bloomberg Natural Gas**
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
1,190,000
 
  
$
54.75
 
  
08/01/24 to 08/31/24
  
 
1,700,000
 
  
$
50.50
 
  
09/01/24 to 09/30/24
  
 
3,290,000
 
  
$
51.70
 
ProShares Ultra Euro
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
50,000
 
  
$
11.48
 
  
08/01/24 to 08/31/24
  
 
— 
 
  
$
— 
 
  
09/01/24 to 09/30/24
  
 
— 
 
  
$
— 
 
 
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Table of Contents
                                                                          
ProShares Ultra Gold
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
150,000
 
  
$
    80.44
 
  
08/01/24 to 08/31/24
  
 
100,000
 
  
$
81.43
 
  
09/01/24 to 09/30/24
  
 
300,000
 
  
$
93.66
 
ProShares Ultra Silver
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
550,000
 
  
$
41.06
 
  
08/01/24 to 08/31/24
  
 
600,000
 
  
$
34.59
 
  
09/01/24 to 09/30/24
  
 
2,350,000
 
  
$
38.90
 
ProShares Ultra VIX Short-Term Futures ETF
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
8,900,000
 
  
$
23.76
 
  
08/01/24 to 08/31/24
  
 
4,050,000
 
  
$
32.64
 
  
09/01/24 to 09/30/24
  
 
4,800,000
 
  
$
28.85
 
ProShares Ultra Yen
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
— 
 
  
$
— 
 
  
08/01/24 to 08/31/24
  
 
400,000
 
  
$
24.03
 
  
09/01/24 to 09/30/24
  
 
200,000
 
  
$
24.91
 
ProShares UltraShort Bloomberg Crude Oil
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
2,150,000
 
  
$
16.69
 
  
08/01/24 to 08/31/24
  
 
1,900,000
 
  
$
17.59
 
  
09/01/24 to 09/30/24
  
 
4,650,000
 
  
$
19.68
 
ProShares UltraShort Bloomberg Natural Gas
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
   2,050,000
 
  
$
63.18
 
  
08/01/24 to 08/31/24
  
 
800,000
 
  
$
77.26
 
  
09/01/24 to 09/30/24
  
 
400,000
 
  
$
67.35
 
ProShares UltraShort Euro
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
50,000
 
  
$
31.36
 
  
08/01/24 to 08/31/24
  
 
— 
 
  
$
— 
 
  
09/01/24 to 09/30/24
  
 
50,000
 
  
$
29.93
 
ProShares UltraShort Gold
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
100,000
 
  
$
20.70
 
  
08/01/24 to 08/31/24
  
 
100,000
 
  
$
18.77
 
  
09/01/24 to 09/30/24
  
 
100,000
 
  
$
17.85
 
ProShares UltraShort Silver**
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
262,500
 
  
$
46.56
 
  
08/01/24 to 08/31/24
  
 
850,000
 
  
$
47.24
 
  
09/01/24 to 09/30/24
  
 
425,000
 
  
$
40.52
 
ProShares UltraShort Yen**
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
200,000
 
  
$
46.08
 
  
08/01/24 to 08/31/24
  
 
100,000
 
  
$
40.36
 
  
09/01/24 to 09/30/24
  
 
100,000
 
  
$
37.99
 
ProShares VIX
Mid-Term
Futures ETF
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
— 
 
  
$
— 
 
  
08/01/24 to 08/31/24
  
 
575,000
 
  
$
17.62
 
  
09/01/24 to 09/30/24
  
 
— 
 
  
$
— 
 
 
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ProShares VIX Short-Term Futures ETF**
        
Common Units of Beneficial Interest
        
  
07/01/24 to 07/31/24
  
 
1,287,500
 
  
$
   45.36
 
  
08/01/24 to 08/31/24
  
 
  1,212,500
 
  
$
73.12
 
  
09/01/24 to 09/30/24
  
 
225,000
 
  
$
52.20
 
 
*
The registration statement covers an indeterminate amount of securities to be offered or sold.
**
See Note 8 of these Notes to Financial Statements.
Item 3. Defaults Upon Senior Securities.
None.
Item 4. Mine Safety Disclosures.
Not applicable.
Item 5. Other Information.
No officers or trustees of the Trust have adopted, modified or terminated trading plans under either a Rule
10b5-1
trading arrangement (as such terms are defined in Item 408 of Regulation
S-K
under the Securities Act of 1933, as amended) for the three month period ended September 30, 2024.
 
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Item 6. Exhibits.
 
Exhibit
No.
  
Description of Document
31.1    Certification by Principal Executive Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
31.2    Certification by Principal Financial Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
32.1*    Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
32.2*    Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
101.INS    XBRL Instance Document (1)
101.SCH    XBRL Taxonomy Extension Schema (1)
101.CAL    XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF    XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB    XBRL Taxonomy Extension Label Linkbase (1)
101.PRE    XBRL Taxonomy Extension Presentation Linkbase (1)
104.1    Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.
(1)    Filed herewith.
*    These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing.
 
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Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
PROSHARES TRUST II
/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: November 
1
8
, 2024
/s/ Edward J. Karpowicz
By: Edward J. Karpowicz
Principal Financial and Accounting Officer
Date: November 
1
8
, 2024
 
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