NOTE 3 – INVESTMENTS

Short-Term Investments

The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.

Accounting for Derivative Instruments

In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.

All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.

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.

The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.

Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.

Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.

An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are

two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.

When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).

When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.

Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless.

Over-the-counter

options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The

over-the-counter

market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.

Each Oil Fund may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance.

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 March 31, 2021

contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount.

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 March 31, 2021, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily

marking-to-market

and settlement, and segregation and minimum capital requirements applicable to intermediaries.

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

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 March 31, 2021, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.

A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.

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

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

Liability Derivatives

Derivatives Not Accounted for
as Hedging Instruments

Statements of
Financial Condition
Location

Unrealized
Appreciation

Statements of
Financial Condition
Location

Unrealized
Depreciation

VIX Futures Contracts

Commodities Contracts

Foreign Exchange Contracts

Fair Value of Derivative Instruments as of March 31, 2021

Liability Derivatives

Derivatives Not Accounted for
as Hedging Instruments

Statements of
Financial Condition
Location

Unrealized
Appreciation

Statements of
Financial Condition
Location

Unrealized
Depreciation

ProShares UltraShort
Australian Dollar

ProShares UltraShort Euro

ProShares UltraShort Yen

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.


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 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 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

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

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts a

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

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			—