v3.21.1
Significant Accounting Policies
 3 Months Ended
Mar. 31, 2021
Accounting Policies [Abstract]  
Significant Accounting Policies
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form
10-Q
and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form
10-K
for the year ended December 31, 2020, as filed with the SEC on February 19, 2021.
Use of Estimates & Indemnifications
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.
Basis of Presentation
Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund.
Statements of Cash Flows
The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated March 31, 2021 and 2020, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.
Final Net Asset Value for Fiscal Period
The
cut-off
times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 2021 were typically as follows. All times are Eastern Standard Time:
 
Fund
   
Create/Redeem
Cut-off*
   
NAV Calculation
Time
   
NAV
Calculation Date
Ultra Silver and UltraShort Silver
    1:00 p.m.    1:25 p.m.    March 31, 2021
 
   
 
   
 
   
 
Ultra Gold and UltraShort Gold
    1:00 p.m.    1:30 p.m.    March 31, 2021
 
   
 
   
 
   
 
Ultra Bloomberg Crude Oil,
         
Ultra Bloomberg Natural Gas,
         
UltraShort Bloomberg Crude Oil and
         
UltraShort Bloomberg Natural Gas
    2:00 p.m.    2:30 p.m.    March 31, 2021
 
   
 
   
 
   
 
Short Euro,
         
Ultra Euro,
         
Ultra Yen,
         
UltraShort Australian Dollar,
         
UltraShort Euro and
         
UltraShort Yen
    3:00 p.m.    4:00 p.m.    March 31, 2021
 
   
 
   
 
   
 
Short VIX Short-Term Futures ETF**,
         
Ultra VIX Short-Term Futures ETF**,
         
VIX
Mid-Term
Futures ETF** and
         
VIX Short-Term Futures ETF**
    2:00 p.m.    4:00 p.m.    March 31, 2021
 
   
 
   
 
   
 
 
*
Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 2021.
**
On Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Please see Note 8 in these Notes to Financial Statements for more information.
Market value per Share is determined at the close of the applicable primary listing exchange and may be later than when the Funds’ NAV per Share is calculated.
For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended March 31, 2021.
Investment Valuation
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.
Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor.
Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
Fair Value of Financial Instruments
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:
Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.
Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).
Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.
In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.
Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.
The following table
 
summarizes the valuation of investments at March 31, 2021 using the fair value hierarchy:
 
     
                          
      
                          
      
                          
      
                          
      
                          
  
    
Level I - Quoted Prices
    
Level II - Other Significant
Observable Inputs
        
Fund
   
    Short-Term U.S.

Government and
Agencies    
     
Futures
Contracts
*
    
Foreign
Currency
Forward
Contracts
    
Swap
Agreements
    
Total
  
ProShares Short Euro
   
$
999,973
 
   
$
33,928
 
  
$
—  
 
  
$
—  
 
  
$
1,033,901
 
ProShares Short VIX Short-Term Futures ETF
   
 
91,998,460
 
   
 
50,470,675
 
  
 
—  
 
  
 
—  
 
  
 
142,469,135
 
ProShares Ultra Bloomberg Crude Oil
   
 
689,976,589
 
   
 
238,548,911
 
  
 
—  
 
  
 
(40,748,594
) 
  
 
887,776,906
 
ProShares Ultra Bloomberg Natural Gas
   
 
33,999,110
 
   
 
(11,300,062
) 
  
 
—  
 
  
 
—  
 
  
 
22,699,048
 
ProShares Ultra Euro
   
 
999,973
 
   
 
—  
 
  
 
(222,404
) 
  
 
—  
 
  
 
777,569
 
ProShares Ultra Gold
   
 
86,998,893
 
   
 
393,125
 
  
 
—  
 
  
 
6,160,430
 
  
 
93,552,448
 
ProShares Ultra Silver
   
 
419,985,837
 
   
 
(15,401,821
) 
  
 
—  
 
  
 
(28,421,003
) 
  
 
376,163,013
 
ProShares Ultra VIX Short-Term Futures ETF
   
 
376,985,173
 
   
 
(332,928,249
) 
  
 
—  
 
  
 
—  
 
  
 
44,056,924
 
ProShares Ultra Yen
   
 
499,986
 
   
 
—  
 
  
 
(189,002
) 
  
 
—  
 
  
 
310,984
 
ProShares UltraShort Australian Dollar
   
 
—  
 
   
 
67,102
 
  
 
—  
 
  
 
—  
 
  
 
67,102
 
ProShares UltraShort Bloomberg Crude Oil
   
 
34,999,082
 
   
 
(9,000,179
) 
  
 
—  
 
  
 
—  
 
  
 
25,998,903
 
ProShares UltraShort Bloomberg Natural Gas
   
 
43,998,801
 
   
 
16,272,857
 
  
 
—  
 
  
 
—  
 
  
 
60,271,658
 
ProShares UltraShort Euro
   
 
17,999,536
 
   
 
—  
 
  
 
3,254,693
 
  
 
—  
 
  
 
21,254,229
 
ProShares UltraShort Gold
   
 
12,999,597
 
   
 
39,145
 
  
 
—  
 
  
 
(685,467
) 
  
 
12,353,275
 
ProShares UltraShort Silver
   
 
14,999,620
 
   
 
3,276,894
 
  
 
—  
 
  
 
771,233
 
  
 
19,047,747
 
ProShares UltraShort Yen
   
 
14,499,635
 
   
 
—  
 
  
 
2,335,922
 
  
 
—  
 
  
 
16,835,557
 
ProShares VIX
Mid-Term
Futures ETF
   
 
31,999,153
 
   
 
(9,410,288
) 
  
 
—  
 
  
 
—  
 
  
 
22,588,865
 
ProShares VIX Short-Term Futures ETF
   
 
152,996,232
 
   
 
(59,803,004
) 
  
 
—  
 
  
 
—  
 
  
 
93,193,228
 
    
 
 
     
 
 
    
 
 
    
 
 
    
 
 
  
Total Trust
   
$
2,026,935,650
 
   
$
(128,740,966
) 
  
$
5,179,209
 
  
$
(62,923,401
) 
  
$
1,840,450,492
 
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the valuation of investments at December 31, 2020 using the fair value hierarchy:
 
     
                          
      
                          
      
                          
      
                          
      
                          
  
    
Level I - Quoted Prices
    
Level II - Other Significant
Observable Inputs
        
Fund
   
Short-Term U.S.

Government and
Agencies
     
Futures
Contracts
*
    
Foreign
Currency
Forward
Contracts
    
Swap
Agreements
    
Total
  
ProShares Short Euro
   
$
—  
 
   
$
(44,626
) 
  
$
—  
 
  
$
—  
 
  
$
(44,626
) 
ProShares Short VIX Short-Term Futures ETF
   
 
69,999,639
 
   
 
8,348,783
 
  
 
—  
 
  
 
—  
 
  
 
78,348,422
 
ProShares Ultra Bloomberg Crude Oil
   
 
219,998,394
 
   
 
144,564,039
 
  
 
—  
 
  
 
18,242,195
 
  
 
382,804,628
 
ProShares Ultra Bloomberg Natural Gas
   
 
29,999,889
 
   
 
6,500,721
 
  
 
—  
 
  
 
—  
 
  
 
36,500,610
 
ProShares Ultra Euro
   
 
—  
 
   
 
—  
 
  
 
88,736
 
  
 
—  
 
  
 
88,736
 
ProShares Ultra Gold
   
 
74,999,467
 
   
 
2,646,874
 
  
 
—  
 
  
 
5,140,980
 
  
 
82,787,321
 
ProShares Ultra Silver
   
 
244,993,989
 
   
 
37,190,212
 
  
 
—  
 
  
 
56,752,666
 
  
 
338,936,867
 
ProShares Ultra VIX Short-Term Futures ETF
   
 
244,995,969
 
   
 
(48,524,666
) 
  
 
—  
 
  
 
(24,807
) 
  
 
196,446,496
 
ProShares Ultra Yen
   
 
—  
 
   
 
—  
 
  
 
67,087
 
  
 
—  
 
  
 
67,087
 
ProShares UltraShort Australian Dollar
   
 
—  
 
   
 
(138,950
) 
  
 
—  
 
  
 
—  
 
  
 
(138,950
) 
ProShares UltraShort Bloomberg Crude Oil
   
 
—  
 
   
 
(14,636,813
) 
  
 
—  
 
  
 
—  
 
  
 
(14,636,813
) 
ProShares UltraShort Bloomberg Natural Gas
   
 
9,999,861
 
   
 
379,310
 
  
 
—  
 
  
 
—  
 
  
 
10,379,171
 
ProShares UltraShort Euro
   
 
9,999,861
 
   
 
—  
 
  
 
(1,136,704
) 
  
 
—  
 
  
 
8,863,157
 
ProShares UltraShort Gold
   
 
—  
 
   
 
(196,930
) 
  
 
—  
 
  
 
(268,728
) 
  
 
(465,658
) 
ProShares UltraShort Silver
   
 
—  
 
   
 
(220,076
) 
  
 
—  
 
  
 
(3,197,561
) 
  
 
(3,417,637
) 
ProShares UltraShort Yen
   
 
—  
 
   
 
—  
 
  
 
(564,966
) 
  
 
—  
 
  
 
(564,966
) 
ProShares VIX
Mid-Term
Futures ETF
   
 
44,999,732
 
   
 
(1,133,616
) 
  
 
—  
 
  
 
—  
 
  
 
43,866,116
 
ProShares VIX Short-Term Futures ETF
   
 
84,999,583
 
   
 
(6,364,090
) 
  
 
—  
 
  
 
—  
 
  
 
78,635,493
 
    
 
 
     
 
 
    
 
 
    
 
 
    
 
 
  
Total Trust
   
$
1,034,986,384
 
   
$
128,370,172
 
  
$
(1,545,847
) 
  
$
76,644,745
 
  
$
1,238,455,454
 
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
Investment Transactions and Related Income
Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations.
Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.
Brokerage Commissions and 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., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to,
on-going
analysis of tax law, regulation, and interpretations thereof.
New Accounting Pronouncement
In March 2020, the FASB issued Accounting Standards Update
No. 2020-04
(“ASU
2020-04”),
“Reference Rate Reform (Topic 840): Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. ASU
2020-04
provides entities with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., LIBOR) that are expected to be discontinued. ASU
2020-04
allows, among other things, certain contract modifications to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Funds will consider this optional guidance prospectively, if applicable.