v3.24.1.u1

Investments (Tables)

3 Months Ended

Mar. 31, 2024

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 well as the effect of derivative instruments on the Statements of Operations during the reporting period.

Fair Value of Derivative Instruments as of March 31, 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, unrealized appreciation on swap agreements

Payable on open futures contracts, unrealized depreciation on swap agreements

ProShares Short VIX Short-Term Futures ETF

$

8,013,037

*

$

—

ProShares Ultra VIX Short-Term Futures ETF

—

17,898,783

*

ProShares VIX Mid-Term Futures ETF

17,267

*

973,152

*

ProShares VIX Short-Term Futures ETF

—

6,679,575

*

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

69,578,110

*

—

ProShares Ultra Bloomberg Natural Gas

—

92,772,278

*

ProShares Ultra Gold

9,912,182

*

—

ProShares Ultra Silver

31,214,049

*

—

ProShares UltraShort Bloomberg Crude Oil

—

11,995,111

*

ProShares UltraShort Bloomberg Natural Gas

20,277,127

*

—

ProShares UltraShort Gold

—

688,631

*

ProShares UltraShort Silver

—

543,730

*

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 Ultra Euro					965						203,530
		ProShares Ultra Yen					5,548						2,065,194
		ProShares UltraShort Euro					1,164,063						45,109
		ProShares UltraShort Yen					1,626,444						217
				Combined Trust:		$	141,808,792	*				$	133,865,310	*

* 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, 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, unrealized appreciation on swap agreements						Payable on open futures contracts, unrealized depreciation on swap agreements
		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, and/or receivables on open futures contracts						Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures 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.

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, 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 and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
				ProShares Short VIX Short-Term Futures ETF		$	28,496,948			$	(4,627,587	)
				ProShares Ultra VIX Short-Term Futures ETF			(91,003,229	)			13,285,128
				ProShares VIX Mid-Term Futures ETF			(6,108,469	)			2,789,791
				ProShares VIX Short-Term Futures ETF		$	(31,758,964	)		$	2,984,519
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			93,118,600				55,138,407
				ProShares Ultra Bloomberg Natural Gas			(242,180,914	)			(136,379,348	)
				ProShares Ultra Gold			18,471,271				2,737,314
				ProShares Ultra Silver			(4,470,712	)			21,640,522
				ProShares UltraShort Bloomberg Crude Oil			(12,515,601	)			(34,431,430	)
				ProShares UltraShort Bloomberg Natural Gas			44,654,357				23,830,634
				ProShares UltraShort Gold			(1,397,813	)			(344,579	)
				ProShares UltraShort Silver			5,780,020				(1,418,602	)

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			144,574				(509,514	)
				ProShares Ultra Yen			(2,031,575	)			(3,578,931	)
				ProShares UltraShort Euro			(943,861	)			2,967,733
				ProShares UltraShort Yen			1,705,271				2,938,152
				Combined Trust:		$	(200,040,097	)		$	(52,977,791	)

The Effect of Derivative Instruments on the Statement of Operations For the three months ended March 31, 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		$	29,604,148			$	3,178,807
				ProShares Ultra VIX Short-Term Futures ETF			(182,233,430	)			2,046,250
				ProShares VIX Mid-Term Futures ETF			(15,820,720	)			4,590,535
				ProShares VIX Short-Term Futures ETF			(46,096,702	)			1,147,992
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			85,780,427				(138,159,516	)
				ProShares Ultra Bloomberg Natural Gas			(1,061,631,294	)			(52,989,637	)
				ProShares Ultra Gold			10,799,896				10,711,116
				ProShares Ultra Silver			(28,743,864	)			22,387,658

				ProShares UltraShort Bloomberg Crude Oil			27,614,279				10,971,115
				ProShares UltraShort Bloomberg Natural Gas			183,408,644				(44,952,803	)
				ProShares UltraShort Gold			(1,030,881	)			(655,702	)
				ProShares UltraShort Silver			2,713,623				(1,183,236	)
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			280,279				(96,945	)
				ProShares Ultra Yen			(298,808	)			(494,067	)
				ProShares UltraShort Euro			(1,407,311	)			146,013
				ProShares UltraShort Yen			(1,027,976	)			1,862,262
				Combined Trust:		$	(998,089,690	)		$	(181,490,158	)

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, 2024.

Fair Values of Derivative Instruments as of March 31, 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		$	47,666,365			$	—			$	47,666,365			$	—			$	—			$	—
ProShares Ultra Euro
Foreign currency forward contracts			965				—				965				203,530				—				203,530
ProShares Ultra Gold
Swap agreements			7,535,027				—				7,535,027				—				—				—
ProShares Ultra Silver
Swap agreements			8,532,455				—				8,532,455				—				—				—
ProShares Ultra Yen
Foreign currency forward contracts			5,548				—				5,548				2,065,194				—				2,065,194
ProShares UltraShort Euro
Foreign currency forward contracts			1,164,063				—				1,164,063				45,109				—				45,109
ProShares UltraShort Gold
Swap agreements			—				—				—				481,581				—				481,581
ProShares UltraShort Silver
Swap agreements			—				—				—				482,510				—				482,510
ProShares UltraShort Yen
Foreign currency forward contracts			1,626,444				—				1,626,444				217				—				217

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

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, 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”.

Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 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.		$	10,459,881			$	(7,619,374	)		$	—			$	2,840,507
Goldman Sachs International			13,004,988				(9,569,805	)			—				3,435,183
Morgan Stanley & Co.
International PLC			6,506,359				(4,940,096	)			—				1,566,263
Societe Generale			9,882,872				(7,241,166	)			—				2,641,706
UBS AG			7,812,265				(5,715,005	)			—				2,097,260
ProShares Ultra Euro
Goldman Sachs International			(90,225	)			—				90,225				—
UBS AG			(112,340	)			—				96,000				(16,340	)
ProShares Ultra Gold
Citibank, N.A.			3,235,432				(1,854,908	)			—				1,380,524
Goldman Sachs International			1,536,727				(899,187	)			—				637,540
UBS AG			2,762,868				(1,568,634	)			—				1,194,234
ProShares Ultra Silver
Citibank, N.A.			3,081,663				(1,908,038	)			—				1,173,625
Goldman Sachs International			384,359				(341,967	)			—				42,392
Morgan Stanley & Co.
International PLC			2,607,725				(804,404	)			—				1,803,321
UBS AG			2,458,708				(1,535,526	)			—				923,182
ProShares Ultra Yen
Goldman Sachs International			(954,143	)			—				954,143				—
UBS AG			(1,105,503	)			—				1,105,503				—
ProShares UltraShort Euro
Goldman Sachs International			587,358				(286,766	)			—				300,592
UBS AG			531,596				(266,627	)			—				264,969
ProShares UltraShort Gold
Citibank, N.A.			(111,058	)			—				111,058				—
Goldman Sachs International			(145,392	)			—				145,392				—
UBS AG			(225,131	)			—				225,131				—
ProShares UltraShort Silver
Citibank, N.A.			(91,685	)			—				91,685				—
Goldman Sachs International			(173,752	)			—				173,752				—
Morgan Stanley & Co.
International PLC			(24,009	)			—				24,009				—
UBS AG			(193,064	)			—				193,064				—
ProShares UltraShort Yen
Goldman Sachs International			715,090				(603,220	)			—				111,870
UBS AG			911,137				(738,210	)			—				172,927

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”

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				—

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