v3.21.1

Investments (Tables) | 3 Months Ended
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Mar. 31, 2021
Investments, Debt and Equity Securities [Abstract] |
Fair Value of Derivative Instruments | The following tables indicate the location of derivative related items on the Statements of Financial Condition as w ell as the effect of derivative instruments on the Statements of Operations during the reporting period.
Fair Value of Derivative Instruments as of March 31, 2021 |
|  |  |  | Asset Derivatives |  |  | Liability Derivatives |
Derivatives Not Accounted for as Hedging Instruments |  | Fund |  | Statements of Financial Condition Location |  | Unrealized Appreciation |  |  | Statements of Financial Condition Location |  | Unrealized Depreciation |
VIX Futures Contracts |  |  |  | Receivables on open futures contracts, unrealized appreciation on swap agreements |  |  |  |  |  | Payable on open futures contracts, unrealized depreciation on swap agreements |  |  |  |
|  | ProShares Short VIX Short-Term Futures ETF |  |  |  | $ | 50,470,675 | * |  |  |  | $ | — |
|  | ProShares Ultra VIX Short-Term Futures ETF |  |  |  |  | — |  |  |  |  |  | 332,928,249 | *
|  | ProShares VIX Mid-Term Futures ETF |  |  |  |  | — |  |  |  |  |  | 9,410,288 | *
|  | ProShares VIX Short-Term Futures ETF |  |  |  |  | — |  |  |  |  |  | 59,803,004 | *
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 |  |  |  |  | 238,887,300 | * |  |  |  |  | 41,086,983 | *
|  | ProShares Ultra Bloomberg Natural Gas |  |  |  |  | — |  |  |  |  |  | 11,300,062 | *
|  | ProShares Ultra Gold |  |  |  |  | 6,553,555 | * |  |  |  |  | — |
|  | ProShares Ultra Silver |  |  |  |  | — |  |  |  |  |  | 43,822,824 | *
|  | ProShares UltraShort Bloomberg Crude Oil |  |  |  |  | 469,128 | * |  |  |  |  | 9,469,307 | *
|  | ProShares UltraShort Bloomberg Natural Gas |  |  |  |  | 16,272,857 | * |  |  |  |  | — |
|  | ProShares UltraShort Gold |  |  |  |  | 39,145 | * |  |  |  |  | 685,467 | *
|  | ProShares UltraShort Silver |  |  |  |  | 4,048,127 | * |  |  |  |  | — |
Foreign Exchange Contracts |  |  |  | Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts |  |  |  |  |  | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts |  |  |  |
|  | ProShares Short Euro |  |  |  |  | 33,928 | * |  |  |  |  | — |
|  | ProShares Ultra Euro |  |  |  |  | 4,330 |  |  |  |  |  | 226,734 |
|  | ProShares Ultra Yen |  |  |  |  | 3,041 |  |  |  |  |  | 192,043 |
Fair Value of Derivative Instruments as of March 31, 2021 |
|  |  |  | Asset Derivatives |  |  | Liability Derivatives |
Derivatives Not Accounted for as Hedging Instruments |  | Fund |  | Statements of Financial Condition Location |  | Unrealized Appreciation |  |  | Statements of Financial Condition Location |  | Unrealized Depreciation |
|  | ProShares UltraShort Australian Dollar |  |  |  | $ | 67,102 | * |  |  |  | $ | — |
|  | ProShares UltraShort Euro |  |  |  |  | 3,436,568 |  |  |  |  |  | 181,875 |
|  | ProShares UltraShort Yen |  |  |  |  | 2,366,090 |  |  |  |  |  | 30,168 |
|  |  |  | Total Trust |  | $ | 322,651,846 | * |  |  |  | $ | 509,137,004 | *
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
Fair Value of Derivative Instruments as of December 31, 2020 |
|  |  |  | Asset Derivatives |  |  | Liability Derivatives |
Derivatives Not Accounted for as Hedging Instruments |  | Fund |  | Statements of Financial Condition Location |  | Unrealized Appreciation |  |  | Statements of Financial Condition Location |  | Unrealized Depreciation |
VIX Futures Contracts |  |  |  | Receivables on open futures contracts, unrealized appreciation on swap agreements |  |  |  |  |  | Payable on open futures contracts, unrealized depreciation on swap agreements |  |  |  |
|  | ProShares Short VIX Short-Term Futures ETF |  |  |  | $ | 8,348,783 | * |  |  |  | $ | — |
|  | ProShares Ultra VIX Short-Term Futures ETF |  |  |  |  | — |  |  |  |  |  | 48,549,473 | *
|  | ProShares VIX Mid-Term Futures ETF |  |  |  |  | 147,915 | * |  |  |  |  | 1,281,531 | *
|  | ProShares VIX Short-Term Futures ETF |  |  |  |  | — |  |  |  |  |  | 6,364,090 | *
Commodities Contracts |  |  |  | Receivables on open futures contracts and/or unrealized appreciation on swap agreements |  |  |  |  |  | Payable on open futures contracts and/or unrealized depreciation on swap agreements |  |  |  |
|  | ProShares Ultra Bloomberg Crude Oil |  |  |  |  | 162,806,234 | * |  |  |  |  | — |
|  | ProShares Ultra Bloomberg Natural Gas |  |  |  |  | 6,500,721 | * |  |  |  |  | — |
|  | ProShares Ultra Gold |  |  |  |  | 7,787,854 | * |  |  |  |  | — |
|  | ProShares Ultra Silver |  |  |  |  | 93,942,878 | * |  |  |  |  | — |
|  | ProShares UltraShort Bloomberg Crude Oil |  |  |  |  | — |  |  |  |  |  | 14,636,813 | *
|  | ProShares UltraShort Bloomberg Natural Gas |  |  |  |  | 379,310 | * |  |  |  |  | — |
|  | ProShares UltraShort Gold |  |  |  |  | — |  |  |  |  |  | 465,658 | *
|  | ProShares UltraShort Silver |  |  |  |  | — |  |  |  |  |  | 3,417,637 | *
Foreign Exchange Contracts |  |  |  | Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts |  |  |  |  |  | Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts |  |  |  |
|  | ProShares Short Euro |  |  |  |  | — |  |  |  |  |  | 44,626 | *
|  | ProShares Ultra Euro |  |  |  |  | 89,103 |  |  |  |  |  | 367 |
|  | ProShares Ultra Yen |  |  |  |  | 67,235 |  |  |  |  |  | 148 |
|  | ProShares UltraShort Australian Dollar |  |  |  |  | — |  |  |  |  |  | 138,950 | *
Fair Value of Derivative Instruments as of December 31, 2020 |
|  |  |  | Asset Derivatives |  |  | Liability Derivatives |
Derivatives Not Accounted for as Hedging Instruments |  | Fund |  | Statements of Financial Condition Location |  | Unrealized Appreciation |  |  | Statements of Financial Condition Location |  | Unrealized Depreciation |
|  | ProShares UltraShort Euro |  |  |  | $ | 5,705 |  |  |  |  | $ | 1,142,409 |
|  | ProShares UltraShort Yen |  |  |  |  | 7,008 |  |  |  |  |  | 571,974 |
|  |  |  | Total Trust |  | $ | 280,082,746 | * |  |  |  | $ | 76,613,676 | *
* | 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/pay a ble on open futures.
Effect of Derivative Instruments on Statements of Operations |
The Effect of Derivative Instruments on the Statement of Operations For the three months ended March 31, 2021 |
Derivatives Not Accounted for as Hedging Instruments |  | Location of Gain (Loss) on Derivatives Recognized in Income |  | Fund |  | Realized Gain (Loss) on Derivatives Recognized in Income |  |  | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
VIX Futures Contracts |  | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements |  |  |  |  |  |  |  |  |  |
|  |  |  | ProShares Short VIX Short-Term Futures ETF |  | $ | 24,209,417 |  |  | $ | 42,121,892 |
|  |  |  | ProShares Ultra VIX Short-Term Futures ETF |  |  | (704,518,024 | ) |  |  | (284,378,776 | )
|  |  |  | ProShares VIX Mid-Term Futures ETF |  |  | 3,539,316 |  |  |  | (8,276,672 | )
|  |  |  | ProShares VIX Short-Term Futures ETF |  |  | (76,634,593 | ) |  |  | (53,438,914 | )
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 |  |  | 334,351,228 |  |  |  | 34,994,083 |
|  |  |  | ProShares Ultra Bloomberg Natural Gas |  |  | 41,582,385 |  |  |  | (17,800,783 | )
|  |  |  | ProShares Ultra Gold |  |  | (51,248,132 | ) |  |  | (1,234,299 | )
|  |  |  | ProShares Ultra Silver |  |  | 4,910,551 |  |  |  | (137,765,702 | )
|  |  |  | ProShares UltraShort Bloomberg Crude Oil |  |  | (49,177,765 | ) |  |  | 5,636,634 |
|  |  |  | ProShares UltraShort Bloomberg Natural Gas |  |  | (6,359,394 | ) |  |  | 15,893,547 |
|  |  |  | ProShares UltraShort Gold |  |  | 4,003,190 |  |  |  | (180,664 | )
|  |  |  | ProShares UltraShort Silver |  |  | (2,932,351 | ) |  |  | 7,465,764 |
The Effect of Derivative Instruments on the Statement of Operations For the three months ended March 31, 202 1 |
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 |
Foreign Exchange Contracts |  | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts |  |  |  |  |  |  |  |  |  |
|  |  |  | ProShares Short Euro |  | $ | 69,393 |  |  | $ | 78,554 |
|  |  |  | ProShares Ultra Euro |  |  | (27,342 | ) |  |  | (311,140 | )
|  |  |  | ProShares Ultra Yen |  |  | (139,467 | ) |  |  | (256,089 | )
|  |  |  | ProShares UltraShort Australian Dollar |  |  | (164,544 | ) |  |  | 206,052 |
|  |  |  | ProShares UltraShort Euro |  |  | 70,527 |  |  |  | 4,391,397 |
|  |  |  | ProShares UltraShort Yen |  |  | 1,259,573 |  |  |  | 2,900,888 |
|  |  |  | Total Trust |  | $ | (477,206,032 | ) |  | $ | (389,954,228 | )
The Effect of Derivative Instruments on the Statement of Operations For the three months ended March 31, 2020 |
Derivatives Not Accounted for as Hedging Instruments |  | Location of Gain (Loss) on Derivatives Recognized in Income |  | Fund |  | Realized Gain (Loss) on Derivatives Recognized in Income |  |  | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
VIX Futures Contracts |  | Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements |  |  |  |  |  |  |  |  |  |
|  |  |  | ProShares Short VIX Short-Term Futures ETF |  | $ | (244,300,604 | ) |  | $ | 20,973,802 |
|  |  |  | ProShares Ultra VIX Short-Term Futures ETF |  |  | 726,085,231 |  |  |  | 176,381,861 |
|  |  |  | ProShares VIX Mid-Term Futures ETF |  |  | 7,756,525 |  |  |  | 15,963,130 |
|  |  |  | ProShares VIX Short-Term Futures ETF |  |  | 325,737,788 |  |  |  | 67,783,030 |
Commodities Contracts |  | Net realized gain (loss) on futures contracts , options and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements |  |  |  |  |  |  |  |  |  |
|  |  |  | ProShares Ultra Bloomberg Crude Oil |  |  | (505,591,266 | ) |  |  | (322,776,550 | )
|  |  |  | ProShares Ultra Bloomberg Natural Gas |  |  | (22,819,605 | ) |  |  | (4,466,823 | )
|  |  |  | ProShares Ultra Gold |  |  | 21,498,056 |  |  |  | (19,153,296 | )
|  |  |  | ProShares Ultra Silver |  |  | (3,697,654 | ) |  |  | (85,172,612 | )
|  |  |  | ProShares UltraPro 3x Crude Oil ETF* |  |  | (414,693,599 | ) |  |  | (7,266,550 | )
The Effect of Derivative Instruments on the Statement of Operations For the three months ended March 31, 2020 |
Derivatives Not Accounted for as Hedging Instruments |  | Location of Gain (Loss) on Derivatives Recognized in Income |  | Fund |  | Realized Gain (Loss) on Derivatives Recognized in Income |  |  | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
|  |  |  | ProShares UltraPro 3x Short Crude Oil ETF* |  | $ | 83,293,001 |  |  | $ | 8,358,056 |
|  |  |  | ProShares UltraShort Bloomberg Crude Oil |  |  | 51,674,022 |  |  |  | 76,578,230 |
|  |  |  | ProShares UltraShort Bloomberg Natural Gas |  |  | 5,626,177 |  |  |  | 3,334,986 |
|  |  |  | ProShares UltraShort Gold |  |  | (5,930,882 | ) |  |  | 2,675,796 |
|  |  |  | ProShares UltraShort Silver |  |  | 842,240 |  |  |  | 4,190,271 |
Foreign Exchange Contracts |  | Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts |  |  |  |  |  |  |  |  |  |
|  |  |  | ProShares Short Euro |  |  | (18,638 | ) |  |  | 67,324 |
|  |  |  | ProShares Ultra Euro |  |  | (53,268 | ) |  |  | (221,334 | )
|  |  |  | ProShares Ultra Yen |  |  | (8,483 | ) |  |  | (19,239 | )
|  |  |  | ProShares UltraShort Australian Dollar |  |  | 670,950 |  |  |  | 947,586 |
|  |  |  | ProShares UltraShort Euro |  |  | 1,047,283 |  |  |  | 3,137,931 |
|  |  |  | ProShares UltraShort Yen |  |  | (506,520 | ) |  |  | (699,345 | )
|  |  |  | Total Trust |  | $ | 26,610,754 |  |  | $ | (59,383,746 | )
*   The operations include the activity through March 27, 2020, the date liquidation was determined to be imminent. |
Offsetting of Financial Assets and Liabilities | The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of March 31, 2021.
Fair Values of Derivative Instruments as of March 31, 2021
|  | Assets |  |  | Liabilities |
Fund |  | Gross Amounts of Recognized Assets presented in the Statements of Financial Condition |  |  | Gross Amounts Offset in the Statements of Financial Condition |  |  | Net Amounts of Assets presented in the Statements of Financial Condition |  |  | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition |  |  | Gross Amounts Offset in the Statements of Financial Condition |  |  | Net Amounts of Liabilities presented in the Statements of Financial Condition |
ProShares Ultra Bloomberg Crude Oil |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap agreements |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 40,748,594 |  |  | $ | — |  |  | $ | 40,748,594 |
ProShares Ultra Euro |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  | 4,330 |  |  |  | — |  |  |  | 4,330 |  |  |  | 226,734 |  |  |  | — |  |  |  | 226,734 |
ProShares Ultra Gold |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap agreements |  |  | 6,160,430 |  |  |  | — |  |  |  | 6,160,430 |  |  |  | — |  |  |  | — |  |  |  | — |
ProShares Ultra Silver |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 28,421,003 |  |  |  | — |  |  |  | 28,421,003 |
ProShares Ultra Yen |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  | 3,041 |  |  |  | — |  |  |  | 3,041 |  |  |  | 192,043 |  |  |  | — |  |  |  | 192,043 |
ProShares UltraShort Euro |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  | 3,436,568 |  |  |  | — |  |  |  | 3,436,568 |  |  |  | 181,875 |  |  |  | — |  |  |  | 181,875 |
ProShares UltraShort Gold |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 685,467 |  |  |  | — |  |  |  | 685,467 |
ProShares UltraShort Silver |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap agreements |  |  | 771,233 |  |  |  | — |  |  |  | 771,233 |  |  |  | — |  |  |  | — |  |  |  | — |
ProShares UltraShort Yen |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  | 2,366,090 |  |  |  | — |  |  |  | 2,366,090 |  |  |  | 30,168 |  |  |  | — |  |  |  | 30,168 |
The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts a v ailable for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2020:
Fair Values of Derivative Instruments as of December 31, 2020 |
|  | Assets |  |  | Liabilities |
Fund |  | Gross Amounts of Recognized Assets presented in the Statements of Financial Condition |  |  | Gross Amounts Offset in the Statements of Financial Condition |  |  | Net Amounts of Assets presented in the Statements of Financial Condition |  |  | Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition |  |  | Gross Amounts Offset in the Statements of Financial Condition |  |  | Net Amounts of Liabilities presented in the Statements of Financial Condition |
ProShares Ultra Bloomberg Crude Oil |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap agreements |  | $ | 18,242,195 |  |  | $ | — |  |  | $ | 18,242,195 |  |  | $ | — |  |  | $ | — |  |  | $ | — |
ProShares Ultra Euro |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  | 89,103 |  |  |  | — |  |  |  | 89,103 |  |  |  | 367 |  |  |  | — |  |  |  | 367 |
ProShares Ultra Gold |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap agreements |  |  | 5,140,980 |  |  |  | — |  |  |  | 5,140,980 |  |  |  | — |  |  |  | — |  |  |  | — |
ProShares Ultra Silver |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap agreements |  |  | 56,752,666 |  |  |  | — |  |  |  | 56,752,666 |  |  |  | — |  |  |  | — |  |  |  | — |
ProShares Ultra VIX Short-Term Futures ETF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 24,807 |  |  |  | — |  |  |  | 24,807 |
ProShares Ultra Yen |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  | 67,235 |  |  |  | — |  |  |  | 67,235 |  |  |  | 148 |  |  |  | — |  |  |  | 148 |
ProShares UltraShort Euro |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  | 5,705 |  |  |  | — |  |  |  | 5,705 |  |  |  | 1,142,409 |  |  |  | — |  |  |  | 1,142,409 |
ProShares UltraShort Gold |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 268,728 |  |  |  | — |  |  |  | 268,728 |
ProShares UltraShort Silver |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 3,197,561 |  |  |  | — |  |  |  | 3,197,561 |
ProShares UltraShort Yen |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  | 7,008 |  |  |  | — |  |  |  | 7,008 |  |  |  | 571,974 |  |  |  | — |  |  |  | 571,974 |
Gross Amounts Not Offset in Statements of Financial Condition | Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2021. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2021 |
Fund |  | Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition |  |  | Financial Instruments for the Benefit of (the Funds) / the Counterparties |  |  | Cash Collateral for the Benefit of (the Funds) / the Counterparties |  |  | Net Amount |
ProShares Ultra Bloomberg Crude Oil |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs International |  | $ | (7,714,941 | ) |  | $ | — |  |  | $ | 7,714,941 |  |  | $ | — |
Morgan Stanley & Co. International PLC |  |  | (14,480,061 | ) |  |  | 14,480,061 |  |  |  | — |  |  |  | — |
Societe Generale |  |  | (7,452,971 | ) |  |  | — |  |  |  | 7,452,971 |  |  |  | — |
UBS AG |  |  | (11,100,621 | ) |  |  | — |  |  |  | 11,100,621 |  |  |  | — |
ProShares Ultra Euro |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs International |  |  | (78,549 | ) |  |  | — |  |  |  | 78,549 |  |  |  | — |
UBS AG |  |  | (143,855 | ) |  |  | — |  |  |  | 143,855 |  |  |  | — |
ProShares Ultra Gold |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Citibank, N.A. |  |  | 2,121,049 |  |  |  | — |  |  |  | (310,000 | ) |  |  | 1,811,049 |
Goldman Sachs International |  |  | 1,832,931 |  |  |  | (259,558 | ) |  |  | — |  |  |  | 1,573,373 |
UBS AG |  |  | 2,206,451 |  |  |  | — |  |  |  | (330,000 | ) |  |  | 1,876,451 |
ProShares Ultra Silver |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Citibank, N.A. |  |  | (8,800,436 | ) |  |  | 8,800,436 |  |  |  | — |  |  |  | — |
Goldman Sachs International |  |  | (6,616,052 | ) |  |  | — |  |  |  | 6,616,052 |  |  |  | — |
Morgan Stanley & Co. International PLC |  |  | (6,918,147 | ) |  |  | 6,918,147 |  |  |  | — |  |  |  | — |
UBS AG |  |  | (6,086,368 | ) |  |  | — |  |  |  | 6,086,368 |  |  |  | — |
ProShares Ultra VIX Short-Term Futures ETF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2021 |
Fund |  | Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition |  |  | Financial Instruments for the Benefit of (the Funds) / the Counterparties |  |  | Cash Collateral for the Benefit of (the Funds) / the Counterparties |  |  | Net Amount |
Goldman Sachs & Co. |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
ProShares Ultra Yen |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs International |  |  | (106,904 | ) |  |  | — |  |  |  | 106,904 |  |  |  | — |
UBS AG |  |  | (82,098 | ) |  |  | — |  |  |  | 82,098 |  |  |  | — |
ProShares UltraShort Euro |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs International |  |  | 1,328,784 |  |  |  | (1,154,554 | ) |  |  | — |  |  |  | 174,230 |
UBS AG |  |  | 1,925,909 |  |  |  | — |  |  |  | (1,700,000 | ) |  |  | 225,909 |
ProShares UltraShort Gold |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Citibank, N.A. |  |  | (291,552 | ) |  |  | 156,152 |  |  |  | 135,400 |  |  |  | — |
Goldman Sachs International |  |  | (301,800 | ) |  |  | — |  |  |  | 301,800 |  |  |  | — |
UBS AG |  |  | (92,116 | ) |  |  | — |  |  |  | 92,116 |  |  |  | — |
ProShares UltraShort Silver |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Citibank, N.A. |  |  | 248,259 |  |  |  | — |  |  |  | (248,259 | ) |  |  | — |
Goldman Sachs International |  |  | 135,199 |  |  |  | (135,199 | ) |  |  | — |  |  |  | — |
Morgan Stanley & Co. International PLC |  |  | 259,594 |  |  |  | — |  |  |  | (259,594 | ) |  |  | — |
UBS AG |  |  | 128,181 |  |  |  | — |  |  |  | (128,181 | ) |  |  | — |
ProShares UltraShort Yen |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs International |  |  | 645,892 |  |  |  | (597,669 | ) |  |  | — |  |  |  | 48,223 |
UBS AG |  |  | 1,690,031 |  |  |  | — |  |  |  | (1,510,000 | ) |  |  | 180,031 |
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2020. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020 |
|  | Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition |  |  | Financial Instruments for the Benefit of (the Funds) / the Counterparties |  |  | Cash Collateral for the Benefit of (the Funds) / the Counterparties |  |  | Net Amount |
ProShares Ultra Bloomberg Crude Oil |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs International |  | $ | 1,377,243 |  |  | $ | (1,281,309 | ) |  | $ | — |  |  | $ | 95,934 |
Morgan Stanley & Co. International PLC |  |  | 10,959,227 |  |  |  | — |  |  |  | (10,629,000 | ) |  |  | 330,227 |
Societe Generale |  |  | 1,679,334 |  |  |  | (1,679,334 | ) |  |  | — |  |  |  | — |
UBS AG |  |  | 4,226,391 |  |  |  | (4,151,442 | ) |  |  | (6,270 | ) |  |  | 68,679 |
ProShares Ultra Euro |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs International |  |  | 22,950 |  |  |  | — |  |  |  | — |  |  |  | 22,950 |
UBS AG |  |  | 65,786 |  |  |  | — |  |  |  | — |  |  |  | 65,786 |
ProShares Ultra Gold |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Citibank, N.A. |  |  | 1,770,050 |  |  |  | — |  |  |  | (1,670,000 | ) |  |  | 100,050 |
Goldman Sachs International |  |  | 1,529,612 |  |  |  | (1,497,203 | ) |  |  | — |  |  |  | 32,409 |
UBS AG |  |  | 1,841,318 |  |  |  | — |  |  |  | — |  |  |  | 1,841,318 |
ProShares Ultra Silver |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Citibank, N.A. |  |  | 18,010,776 |  |  |  | — |  |  |  | (18,010,776 | ) |  |  | — |
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020 |
|  | Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition |  |  | Financial Instruments for the Benefit of (the Funds) / the Counterparties |  |  | Cash Collateral for the Benefit of (the Funds) / the Counterparties |  |  | Net Amount |
Goldman Sachs International |  | $ | 12,930,574 |  |  | $ | (12,930,574 | ) |  | $ | — |  |  | $ | — |
Morgan Stanley & Co. International PLC |  |  | 12,353,706 |  |  |  | — |  |  |  | (12,353,706 | ) |  |  | — |
UBS AG |  |  | 13,457,610 |  |  |  | (4,126,610 | ) |  |  | (9,331,000 | ) |  |  | — |
ProShares Ultra VIX Short-Term Futures ETF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs & Co. |  |  | (24,807 | ) |  |  | — |  |  |  | 24,807 |  |  |  | — |
ProShares Ultra Yen |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs International |  |  | 34,265 |  |  |  | — |  |  |  | — |  |  |  | 34,265 |
UBS AG |  |  | 32,822 |  |  |  | — |  |  |  | — |  |  |  | 32,822 |
ProShares UltraShort Euro |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs International |  |  | (388,233 | ) |  |  | — |  |  |  | 388,233 |  |  |  | — |
UBS AG |  |  | (748,471 | ) |  |  | 748,471 |  |  |  | — |  |  |  | — |
ProShares UltraShort Gold |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Citibank, N.A. |  |  | (80,068 | ) |  |  | — |  |  |  | 80,068 |  |  |  | — |
Goldman Sachs International |  |  | (82,645 | ) |  |  | — |  |  |  | 82,645 |  |  |  | — |
UBS AG |  |  | (106,015 | ) |  |  | — |  |  |  | 106,015 |  |  |  | — |
ProShares UltraShort Silver |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Citibank, N.A. |  |  | (1,208,988 | ) |  |  | — |  |  |  | 1,208,988 |  |  |  | — |
Goldman Sachs International |  |  | (927,829 | ) |  |  | — |  |  |  | 927,829 |  |  |  | — |
Morgan Stanley & Co. International PLC |  |  | (579,421 | ) |  |  | — |  |  |  | 579,421 |  |  |  | — |
UBS AG |  |  | (481,323 | ) |  |  | — |  |  |  | 481,323 |  |  |  | — |
ProShares UltraShort Yen |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs International |  |  | (207,021 | ) |  |  | — |  |  |  | 207,021 |  |  |  | — |
UBS AG |  |  | (357,945 | ) |  |  | — |  |  |  | 357,945 |  |  |  | — |

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