Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
Title of each class |
Trading Symbol(s) |
Name of each exchange on which registered | ||
Mid-Term Futures ETF |
||||
| ☒ | Accelerated Filer | ☐ | ||||
Non-Accelerated Filer |
☐ | Smaller Reporting Company | ||||
| Emerging Growth Company | ||||||
PROSHARES TRUST II
Table of Contents
Item 1. |
Financial Statements. |
Documents |
Page |
|||
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows: |
||||
| 2 | ||||
| 7 | ||||
| 12 | ||||
| 17 | ||||
| 22 | ||||
| 27 | ||||
| 32 | ||||
| 37 | ||||
| 42 | ||||
| 47 | ||||
| 52 | ||||
| 57 | ||||
| 62 | ||||
| 67 | ||||
| 72 | ||||
| 77 | ||||
| 82 | ||||
| 86 | ||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable on open futures contracts |
— | |||||||
Brokerage commissions and futures account fees payable |
||||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
| $ | $ | |||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires October 2022 |
$ | $ | ( |
) | ||||||||
VIX Futures - Cboe, expires November 2022 |
( |
) | ||||||||||
| $ | ( |
) | ||||||||||
| ^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
$ | $ | ( |
) | $ | ( |
) | $ | ||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
( |
) | ( |
) | ||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
||||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on open futures contracts |
||||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||
Net increase (decrease) in cash |
( |
) | ( |
) | ||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
— | |||||||
Unrealized appreciation on swap agreements |
— | |||||||
Receivable on open futures contracts |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and futures account fees payable |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on swap agreements |
— | |||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding (Note 1) |
||||||||
Net asset value per share (Note 1) |
$ | $ | ||||||
Market value per share (Note 1) (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
Federal Home Loan Discount Notes ^^ : |
||||||||
| $ | $ | |||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
||||||||
† |
||||||||
† |
||||||||
† |
||||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires December 2022 |
$ | $ | ||||||||||
WTI Crude Oil - NYMEX, expires June 2023 |
( |
) | ||||||||||
WTI Crude Oil - NYMEX, expires December 2023 |
( |
) | ||||||||||
| $ | ( |
) | ||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index |
% | $ | $ | ( |
) | |||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index |
( |
) | ||||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index |
( |
) | ||||||||||||||
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index |
( |
) | ||||||||||||||
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index |
( |
) | ||||||||||||||
| Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
| † | All or partial amount pledged as collateral for swap agreements. |
| ^ | The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
| ^^ |
| * | Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ||||||||||||||
Swap agreements |
( |
) | ||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Swap agreements |
( |
) | ||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized and unrealized gain (loss) |
( |
) | ||||||||||||||
Net income (loss) |
$ | ( |
) | $ | $ | $ | ||||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
( |
) | ( |
) | ( |
) | ||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net income (loss) |
( |
) | ||||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
||||||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ||||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ( |
) | ||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ||||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
||||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable from capital shares sold |
— | |||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and futures account fees payable |
||||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
| $ | $ | |||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires November 2022 |
$ | $ | ( |
) | ||||||||
| ^^ | Rates shown represent discount rate at the time of purchase. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Net realized gain (loss) |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||||||
Net realized and unrealized gain (loss) |
||||||||||||||||
Net income (loss) |
$ | $ | $ | $ | ||||||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
( |
) | ( |
) | ||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||||||
Net income (loss) |
||||||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ||||||
Increase (Decrease) in payable on open futures contracts |
||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
||||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ( |
) | ||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
||||||||
Unrealized appreciation on foreign currency forward contracts |
— | |||||||
Receivable from capital shares sold |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on foreign currency forward contracts |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Euro with Goldman Sachs International |
$ | $ | ( |
) | ||||||||||||
Euro with UBS AG |
( |
) | ||||||||||||||
| Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
Contracts to Sell |
||||||||||||||||
Euro with UBS AG |
( |
) | $ | ( |
) | $ | ( |
) | ||||||||
| Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
| † | All or partial amount pledged as collateral for foreign currency forward contracts. |
| ^ | The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
| ^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ||||||||||
Net addition (redemption) of |
( |
) | ||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
||||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
— | |||||||
Unrealized appreciation on swap agreements |
— | |||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Brokerage commissions and futures account fees payable |
— | |||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on swap agreements |
— | |||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
† |
||||||||
† |
||||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold Futures - COMEX, expires December 2022 |
$ | $ | ( |
) | ||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex |
% | $ | $ | ( |
) | |||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex |
( |
) | ||||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex |
( |
) | ||||||||||||||
| Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
| † | All or partial amount pledged as collateral for swap agreements. |
| ^ | The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
| ^^ |
| * | Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
— | |||||||
Unrealized appreciation on swap agreements |
||||||||
Receivable from capital shares sold |
— | |||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Brokerage commissions and futures account fees payable |
— | |||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
† |
||||||||
† |
||||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver Futures - COMEX, expires December 2022 |
$ | $ | ( |
) | ||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex |
% | $ | $ | |||||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex |
||||||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex |
||||||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex |
||||||||||||||||
| Total Unrealized Appreciation |
|
$ | ||||||||||||||
| † | All or partial amount pledged as collateral for swap agreements. |
| ^ | The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
| ^^ |
| * | Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||||||
Swap agreements |
( |
) | ( |
) | ( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
||||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ( |
) | ||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ||||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
||||||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable on open futures contracts |
— | |||||||
Brokerage commissions and futures account fees payable |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on swap agreements |
— | |||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
| $ | $ | |||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires October 2022 |
$ | $ | ||||||||||
VIX Futures - Cboe, expires November 2022 |
||||||||||||
| $ | ||||||||||||
| ^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Swap agreements |
( |
) | ( |
) | ||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
||||||||||||||||
Swap agreements |
||||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
( |
) | ||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ( |
) | ||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ( |
) | ||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ( |
) | ||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
( |
) | ( |
) | ||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | — | |||||
Cash |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
||||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on foreign currency forward contracts |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Yen with Goldman Sachs International |
$ | $ | ( |
) | ||||||||||||
Yen with UBS AG |
( |
) | ||||||||||||||
| Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
Contracts to Sell |
||||||||||||||||
Yen with Goldman Sachs International |
( |
) | $ | ( |
) | $ | ||||||||||
Yen with UBS AG |
( |
) | ( |
) | ||||||||||||
| Total Unrealized Appreciation |
|
$ | ||||||||||||||
| † | All or partial amount pledged as collateral for foreign currency forward contracts. |
| ^ | The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
| ^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Short-term U.S. government and agency obligations |
||||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ||||||||||||
Net addition (redemption) of |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ||||||
Net cash provided by (used in) financing activities |
||||||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and futures account fees payable |
||||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding (Note 1) |
||||||||
Net asset value per share (Note 1) |
$ | $ | ||||||
Market value per share (Note 1) (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
| $ | $ | |||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
WTI Crude Oil - NYMEX, expires December 2022 |
$ | $ | ||||||||||
WTI Crude Oil - NYMEX, expires June 2023 |
||||||||||||
WTI Crude Oil - NYMEX, expires December 2023 |
||||||||||||
| $ | ||||||||||||
| ^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Net income (loss) |
$ | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of ( |
( |
) | ||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
||||||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
||||||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
||||||||
Payable on open futures contracts |
— | |||||||
Brokerage commissions and futures account fees payable |
||||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding (Note 1) |
||||||||
Net asset value per share (Note 1) |
$ | $ | ||||||
Market value per share (Note 1) (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
| $ | $ | |||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Natural Gas - NYMEX, expires November 2022 |
$ | $ | ||||||||||
| ^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | ( |
) | $ | ( |
) | ||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
Net income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
||||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable to Sponsor |
||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ||||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ( |
) | ||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
||||||||
Net increase (decrease) in cash |
||||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
— | |||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Receivable from capital shares sold |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on foreign currency forward contracts |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Euro with UBS AG |
$ | $ | ( |
) | ||||||||||||
| Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
Contracts to Sell |
||||||||||||||||
Euro with Goldman Sachs International |
( |
) | $ | ( |
) | $ | ||||||||||
Euro with UBS AG |
( |
) | ( |
) | ||||||||||||
| Total Unrealized Appreciation |
|
$ | ||||||||||||||
| † | All or partial amount pledged as collateral for foreign currency forward contracts. |
| ^ | The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
| ^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||
Short-term U.S. government and agency obligations |
||||||||||||||||
Net realized gain (loss) |
||||||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Foreign currency forward contracts |
( |
) | ( |
) | ||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss) |
||||||||||||||||
Net income (loss) |
$ | $ | $ | $ | ||||||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
( |
) | ( |
) | ||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized gain (loss) |
||||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
||||||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ( |
) | ||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
— | |||||||
Unrealized appreciation on swap agreements |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and futures account fees payable |
— | |||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on swap agreements |
— | |||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Gold Futures - COMEX, expires December 2022 |
$ | $ | ||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex |
% | $ | ( |
) | $ | |||||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex |
( |
) | ||||||||||||||
Swap agreement with UBS AG based on Bloomberg Gold Subindex |
( |
) | ||||||||||||||
| Total Unrealized Appreciation |
|
$ | ||||||||||||||
| † | All or partial amount pledged as collateral for swap agreements. |
| ^ | The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
| ^^ |
| * | Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ||||||||||||
Swap agreements |
( |
) | ||||||||||||||
Short-term U.S. government and agency obligations |
||||||||||||||||
Net realized gain (loss) |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ||||||||||||||
Swap agreements |
( |
) | ||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
$ | $ | ( |
) | $ | $ | ( |
) | ||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||||||
Net income (loss) |
( |
) | ( |
) | ||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ( |
) | ||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ( |
) | ||||
Decrease (Increase) in receivable on open futures contracts |
||||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ||||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Receivable on open futures contracts |
— | |||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and futures account fees payable |
— | |||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on swap agreements |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
Silver Futures - COMEX, expires December 2022 |
$ | $ | ||||||||||
Rate Paid (Received) * |
Termination Date |
Notional Amount at Value ** |
Unrealized Appreciation (Depreciation)/Value |
|||||||||||||
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex |
% | $ | ( |
) | $ | ( |
) | |||||||||
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex |
( |
) | ( |
) | ||||||||||||
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex |
( |
) | ( |
) | ||||||||||||
Swap agreement with UBS AG based on Bloomberg Silver Subindex |
( |
) | ( |
) | ||||||||||||
| Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
| † | All or partial amount pledged as collateral for swap agreements. |
| ^ | The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
| ^^ |
| * | Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. |
| ** | For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ||||||||||||||
Swap agreements |
( |
) | ||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Net realized gain (loss) |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
( |
) | ||||||||||||||
Swap agreements |
( |
) | ||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||||||
Net realized and unrealized gain (loss) |
||||||||||||||||
Net income (loss) |
$ | $ | $ | $ | ||||||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of ( |
( |
) | ( |
) | ( |
) | ||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ||||||||||||||
Change in net unrealized appreciation (depreciation) |
( |
) | ||||||||||||||
Net income (loss) |
||||||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ( |
) | ||||
Decrease (Increase) in receivable on open futures contracts |
||||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ||||||
Increase (Decrease) in payable on open futures contracts |
||||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
— | |||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on foreign currency forward contracts |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding (Note 1) |
||||||||
Net asset value per share (Note 1) |
$ | $ | ||||||
Market value per share (Note 1) (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
† |
$ | $ | ||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Settlement Date |
Contract Amount in Local Currency |
Contract Amount in U.S. Dollars |
Unrealized Appreciation (Depreciation)/ Value |
|||||||||||||
Contracts to Purchase |
||||||||||||||||
Yen with Goldman Sachs International |
$ | $ | ( |
) | ||||||||||||
Yen with UBS AG |
( |
) | ||||||||||||||
| Total Unrealized Depreciation |
|
$ | ( |
) | ||||||||||||
Contracts to Sell |
||||||||||||||||
Yen with Goldman Sachs International |
( |
) | $ | ( |
) | $ | ||||||||||
Yen with UBS AG |
( |
) | ( |
) | ||||||||||||
| Total Unrealized Appreciation |
|
$ | ||||||||||||||
| † | All or partial amount pledged as collateral for foreign currency forward contracts. |
| ^ | The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. |
| ^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
| Investment Income |
||||||||||||||||
| Interest |
$ | $ | $ | $ | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Expenses |
||||||||||||||||
| Management fee |
||||||||||||||||
| Non-recurring fees and expenses |
||||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total expenses |
||||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
| Net realized gain (loss) on |
||||||||||||||||
| Foreign currency forward contracts |
||||||||||||||||
| Short-term U.S. government and agency obligations |
||||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net realized gain (loss) |
||||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
| Foreign currency forward contracts |
( |
) | ( |
) | ( |
) | ||||||||||
| Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net realized and unrealized gain (loss) |
||||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net income (loss) |
$ | $ | ( |
) | $ | $ | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
| Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Addition of |
||||||||||||||||
| Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net addition (redemption) of |
( |
) | ( |
) | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
| Net realized gain (loss) |
||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
( |
) | ( |
) | ( |
) | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net income (loss) |
( |
) | ||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
( |
) | ||||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable on open futures contracts |
— | |||||||
Brokerage commissions and futures account fees payable |
— | |||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
| $ | $ | |||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires January 2023 |
$ | $ | ||||||||||
VIX Futures - Cboe, expires February 2023 |
||||||||||||
VIX Futures - Cboe, expires March 2023 |
||||||||||||
VIX Futures - Cboe, expires April 2023 |
||||||||||||
| $ | ||||||||||||
| ^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
||||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ||||||||||||||
Net income (loss) |
$ | $ | $ | $ | ( |
) | ||||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
( |
) | ||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
Net income (loss) |
( |
) | ||||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
||||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ( |
) | ||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable to Sponsor |
||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
||||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Receivable from capital shares sold |
— | |||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
— | |||||||
Payable on open futures contracts |
— | |||||||
Brokerage commissions and futures account fees payable |
||||||||
Payable to Sponsor |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding |
||||||||
Net asset value per share |
$ | $ | ||||||
Market value per share (Note 2) |
$ | $ | ||||||
Principal Amount |
Value |
|||||||
Short-term U.S. government and agency obligations |
||||||||
( |
||||||||
U.S. Treasury Bills ^^ : |
||||||||
| $ | $ | |||||||
Total short-term U.S. government and agency obligations (cost $ |
$ | |||||||
Number of Contracts |
Notional Amount at Value |
Unrealized Appreciation (Depreciation)/Value |
||||||||||
VIX Futures - Cboe, expires October 2022 |
$ | $ | ||||||||||
VIX Futures - Cboe, expires November 2022 |
||||||||||||
| $ | ||||||||||||
| ^^ |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Investment Income |
||||||||||||||||
Interest |
$ | $ | $ | $ | ||||||||||||
Expenses |
||||||||||||||||
Management fee |
||||||||||||||||
Brokerage commissions |
||||||||||||||||
Futures account fees |
||||||||||||||||
Non-recurring fees and expenses |
||||||||||||||||
Total expenses |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
Net realized gain (loss) on |
||||||||||||||||
Futures contracts |
( |
) | ( |
) | ( |
) | ||||||||||
Short-term U.S. government and agency obligations |
( |
) | ||||||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
Futures contracts |
||||||||||||||||
Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
Net realized and unrealized gain (loss) |
( |
) | ( |
) | ||||||||||||
Net income (loss) |
$ | $ | ( |
) | $ | $ | ( |
) | ||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
Addition of |
||||||||||||||||
Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net addition (redemption) of |
||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
Change in net unrealized appreciation (depreciation) |
||||||||||||||||
Net income (loss) |
( |
) | ( |
) | ||||||||||||
Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
||||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on open futures contracts |
( |
) | ||||||
Decrease (Increase) in interest receivable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable to Sponsor |
||||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable on open futures contracts |
( |
) | ||||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
||||||||
Net increase (decrease) in cash |
||||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
September 30, 2022 (unaudited) |
December 31, 2021 |
|||||||
Assets |
||||||||
Short-term U.S. government and agency obligations (Note 3) (cost $ |
$ | $ | ||||||
Cash |
||||||||
Segregated cash balances with brokers for futures contracts |
||||||||
Segregated cash balances with brokers for foreign currency forward contracts |
||||||||
Segregated cash balances with brokers for swap agreements |
||||||||
Unrealized appreciation on swap agreements |
||||||||
Unrealized appreciation on foreign currency forward contracts |
||||||||
Receivable from capital shares sold |
||||||||
Receivable on open futures contracts |
||||||||
Interest receivable |
||||||||
Total assets |
||||||||
Liabilities and shareholders’ equity |
||||||||
Liabilities |
||||||||
Payable for capital shares redeemed |
||||||||
Payable on open futures contracts |
||||||||
Brokerage commissions and futures account fees payable |
||||||||
Payable to Sponsor |
||||||||
Unrealized depreciation on swap agreements |
||||||||
Unrealized depreciation on foreign currency forward contracts |
||||||||
Non-recurring fees and expenses payable |
— | |||||||
Total liabilities |
||||||||
Commitments and Contingencies (Note 2) |
||||||||
Shareholders’ equity |
||||||||
Shareholders’ equity |
||||||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
Shares outstanding (Note 9) |
||||||||
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
| Investment Income |
||||||||||||||||
| Interest |
$ | $ | $ | $ | ||||||||||||
| Expenses |
||||||||||||||||
| Management fee |
||||||||||||||||
| Brokerage commissions |
||||||||||||||||
| Futures account fees |
||||||||||||||||
| Non-recurring fees and expenses |
||||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total expenses |
||||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Realized and unrealized gain (loss) on investment activity |
||||||||||||||||
| Net realized gain (loss) on |
||||||||||||||||
| Futures contracts |
( |
) | ( |
) | ( |
) | ||||||||||
| Swap agreements |
( |
) | ( |
) | ||||||||||||
| Foreign currency forward contracts |
||||||||||||||||
| Short-term U.S. government and agency obligations |
( |
) | ( |
) | ( |
) | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Change in net unrealized appreciation (depreciation) on |
||||||||||||||||
| Futures contracts |
||||||||||||||||
| Swap agreements |
( |
) | ( |
) | ||||||||||||
| Foreign currency forward contracts |
( |
) | ( |
) | ||||||||||||
| Short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Change in net unrealized appreciation (depreciation) |
||||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net realized and unrealized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
| |
|
|
|
|
|
|
|
|||||||||
| * | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
2022 |
2021 |
2022 |
2021 |
|||||||||||||
| Shareholders’ equity, beginning of period |
$ | $ | $ | $ | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Addition of |
||||||||||||||||
| Redemption of |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net addition (redemption) of |
( |
) | ( |
) | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net investment income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
| Net realized gain (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
| Change in net unrealized appreciation (depreciation) |
||||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Shareholders’ equity, end of period |
$ | $ | $ | $ | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| * | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
Nine Months Ended September 30, |
||||||||
2022 |
2021 |
|||||||
Cash flow from operating activities |
||||||||
Net income (loss) |
$ | $ | ( |
) | ||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |
||||||||
Purchases of short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Proceeds from sales or maturities of short-term U.S. government and agency obligations |
||||||||
Net amortization and accretion on short-term U.S. government and agency obligations |
( |
) | ( |
) | ||||
Net realized (gain) loss on investments |
( |
) | ||||||
Change in unrealized (appreciation) depreciation on investments |
||||||||
Decrease (Increase) in receivable on futures contracts |
( |
) | ( |
) | ||||
Decrease (Increase) in interest receivable |
( |
) | ||||||
Increase (Decrease) in payable to Sponsor |
( |
) | ||||||
Increase (Decrease) in brokerage commissions and futures account fees payable |
( |
) | ( |
) | ||||
Increase (Decrease) in payable on futures contracts |
( |
) | ( |
) | ||||
Increase (Decrease) in non-recurring fees and expenses payable |
||||||||
Net cash provided by (used in) operating activities |
( |
) | ||||||
Cash flow from financing activities |
||||||||
Proceeds from addition of shares |
||||||||
Payment on shares redeemed |
( |
) | ( |
) | ||||
Net cash provided by (used in) financing activities |
( |
) | ||||||
Net increase (decrease) in cash |
( |
) | ||||||
Cash, beginning of period |
||||||||
Cash, end of period |
$ | $ | ||||||
| * | The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. |
Fund |
Execution Date (Prior to Opening of Trading) |
Type of Split |
Date Trading Resumed at Post- Split Price | |||
| ProShares Ultra VIX Short-Term Futures ETF | ||||||
| ProShares UltraShort Bloomberg Crude Oil | ||||||
| ProShares UltraShort Silver | ||||||
| ProShares VIX Short-Term Futures ETF | ||||||
| ProShares UltraShort Bloomberg Natural Gas | ||||||
| ProShares UltraShort Yen | ||||||
| ProShares Ultra Bloomberg Crude Oil | ||||||
| ProShares UltraShort Bloomberg Natural Gas | ||||||
| ProShares UltraShort Bloomberg Crude Oil |
Fund |
Create/Redeem Cut-off* |
NAV Calculation Time |
NAV Calculation Date | |||
| Ultra Silver and UltraShort Silver | ||||||
| Ultra Gold and UltraShort Gold | ||||||
| Ultra Bloomberg Crude Oil, | ||||||
| Ultra Bloomberg Natural Gas, | ||||||
| UltraShort Bloomberg Crude Oil and | ||||||
| UltraShort Bloomberg Natural Gas | ||||||
| Ultra Euro, | ||||||
| Ultra Yen, | ||||||
| UltraShort Euro and | ||||||
| UltraShort Yen | ||||||
| Short VIX Short-Term Futures ETF, | ||||||
| Ultra VIX Short-Term Futures ETF, | ||||||
| VIX Mid-Term Futures ETF and |
||||||
| VIX Short-Term Futures ETF | ||||||
| * | Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, 2022. |
Level I - Quoted Prices |
Level II - Other Significant Observable Inputs |
|||||||||||||||||||
Fund |
Short-Term U.S. Government and Agencies |
Futures Contracts * |
Foreign Currency Forward Contracts |
Swap Agreements |
Total |
|||||||||||||||
ProShares Short VIX Short-Term Futures ETF |
$ | $ | ( |
) | $ | — | $ | — | $ | |||||||||||
ProShares Ultra Bloomberg Crude Oil |
( |
) | — | ( |
) | |||||||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | — | — | ||||||||||||||||
ProShares Ultra Euro |
— | ( |
) | — | ||||||||||||||||
ProShares Ultra Gold |
( |
) | — | ( |
) | |||||||||||||||
ProShares Ultra Silver |
( |
) | — | |||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
— | — | ||||||||||||||||||
ProShares Ultra Yen |
— | ( |
) | — | ||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
— | — | ||||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
— | — | ||||||||||||||||||
ProShares UltraShort Euro |
— | — | ||||||||||||||||||
ProShares UltraShort Gold |
— | |||||||||||||||||||
ProShares UltraShort Silver |
— | ( |
) | |||||||||||||||||
ProShares UltraShort Yen |
— | — | ||||||||||||||||||
ProShares VIX Mid-Term Futures ETF |
— | — | ||||||||||||||||||
ProShares VIX Short-Term Futures ETF |
— | — | ||||||||||||||||||
Combined Trust: |
$ |
$ |
$ |
$ |
( |
) |
$ |
|||||||||||||
| * | 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. |
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 |
$ | — | $ | ( |
) | $ | — | $ | — | $ | ( |
) | ||||||||
ProShares Short VIX Short-Term Futures ETF |
— | — | ||||||||||||||||||
ProShares Ultra Bloomberg Crude Oil |
— | |||||||||||||||||||
ProShares Ultra Bloomberg Natural Gas |
( |
) | — | — | ||||||||||||||||
ProShares Ultra Euro |
— | — | ||||||||||||||||||
ProShares Ultra Gold |
— | |||||||||||||||||||
ProShares Ultra Silver |
— | |||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
( |
) | — | ( |
) | |||||||||||||||
ProShares Ultra Yen |
— | — | ( |
) | — | ( |
) | |||||||||||||
ProShares UltraShort Australian Dollar |
( |
) | — | — | ||||||||||||||||
ProShares UltraShort Bloomberg Crude Oil |
( |
) | — | — | ||||||||||||||||
ProShares UltraShort Bloomberg Natural Gas |
— | — | ||||||||||||||||||
ProShares UltraShort Euro |
( |
) | — | |||||||||||||||||
ProShares UltraShort Gold |
— | ( |
) | |||||||||||||||||
ProShares UltraShort Silver |
— | ( |
) | |||||||||||||||||
ProShares UltraShort Yen |
— | |||||||||||||||||||
ProShares VIX Mid-Term Futures ETF |
( |
) | — | — | ||||||||||||||||
ProShares VIX Short-Term Futures ETF |
( |
) | — | — | ||||||||||||||||
Combined Trust: |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||
| * | 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. |
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 | $ | — | $ | * | ||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | * |
— | ||||||||||||
| ProShares VIX Mid-Term Futures ETF |
* |
— | ||||||||||||
| ProShares VIX Short-Term Futures ETF | * |
— | ||||||||||||
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 | * |
* | ||||||||||||
| ProShares Ultra Bloomberg Natural Gas | — | * | ||||||||||||
| ProShares Ultra Gold | — | * | ||||||||||||
| ProShares Ultra Silver | * |
* | ||||||||||||
| ProShares UltraShort Bloomberg Crude Oil | * |
— | ||||||||||||
| ProShares UltraShort Bloomberg Natural Gas | * |
— | ||||||||||||
| ProShares UltraShort Gold | * |
— | ||||||||||||
| ProShares UltraShort Silver | * |
* | ||||||||||||
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 | — | |||||||||||||
| ProShares Ultra Yen | ||||||||||||||
| ProShares UltraShort Euro | ||||||||||||||
| ProShares UltraShort Yen | ||||||||||||||
Combined Trust: |
$ |
* |
$ |
* | ||||||||||
| * | 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. |
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 | $ | * |
$ | — | ||||||||||
| ProShares Ultra VIX Short-Term Futures ETF | — | * | ||||||||||||
| ProShares VIX Mid-Term Futures ETF |
* |
* | ||||||||||||
| ProShares VIX Short-Term Futures ETF | — | * | ||||||||||||
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 | * |
— | ||||||||||||
| ProShares Ultra Bloomberg Natural Gas | — | * | ||||||||||||
| ProShares Ultra Gold | * |
— | ||||||||||||
| ProShares Ultra Silver | * |
— | ||||||||||||
| ProShares UltraShort Bloomberg Crude Oil | * |
* | ||||||||||||
| ProShares UltraShort Bloomberg Natural Gas | * |
— | ||||||||||||
| ProShares UltraShort Gold | * |
* | ||||||||||||
| ProShares UltraShort Silver | * |
* | ||||||||||||
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 | — | * | ||||||||||||
| ProShares Ultra Euro | ||||||||||||||
| ProShares Ultra Yen | ||||||||||||||
| ProShares UltraShort Australian Dollar | — | * | ||||||||||||
| ProShares UltraShort Euro | ||||||||||||||
| ProShares UltraShort Yen | ||||||||||||||
Combined Trust: |
$ |
* |
$ |
* | ||||||||||
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 | $ | $ | ( |
) | ||||||||
| ProShares Ultra VIX Short-Term Futures ETF | ( |
) | ||||||||||
| ProShares VIX Mid-Term Futures ETF |
( |
) | ||||||||||
| ProShares VIX Short-Term Futures ETF | ( |
) | ||||||||||
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 | ( |
) | ( |
) | ||||||||
| ProShares Ultra Bloomberg Natural Gas | ( |
) | ||||||||||
| ProShares Ultra Gold | ( |
) | ||||||||||
| ProShares Ultra Silver | ( |
) | ||||||||||
| ProShares UltraShort Bloomberg Crude Oil | ||||||||||||
| ProShares UltraShort Bloomberg Natural Gas | ( |
) | ||||||||||
| ProShares UltraShort Gold | ||||||||||||
| ProShares UltraShort Silver | ( |
) | ||||||||||
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 | ( |
) | ( |
) | ||||||||
| ProShares Ultra Yen | ( |
) | ( |
) | ||||||||
| ProShares UltraShort Euro | ( |
) | ||||||||||
| ProShares UltraShort Yen | ( |
) | ||||||||||
Combined Trust |
$ |
( |
) |
$ |
||||||||
| * | 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. |
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 | $ | ( |
) | $ | ( |
) | ||||||
| ProShares Ultra VIX Short-Term Futures ETF | ||||||||||||
| ProShares VIX Mid-Term Futures ETF |
||||||||||||
| ProShares VIX Short-Term Futures ETF | ||||||||||||
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 | ( |
) | ||||||||||
| ProShares Ultra Bloomberg Natural Gas | ( |
) | ||||||||||
| ProShares Ultra Gold | ( |
) | ( |
) | ||||||||
| ProShares Ultra Silver | ( |
) | ( |
) | ||||||||
| ProShares UltraShort Bloomberg Crude Oil | ( |
) | ||||||||||
| ProShares UltraShort Bloomberg Natural Gas | ( |
) | ||||||||||
| ProShares UltraShort Gold | ||||||||||||
| ProShares UltraShort Silver | ||||||||||||
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 | ( |
) | ( |
) | ||||||||
| ProShares Ultra Yen | ( |
) | ( |
) | ||||||||
| ProShares UltraShort Euro | ||||||||||||
| ProShares UltraShort Yen | ( |
) | ||||||||||
Combined Trust: |
$ |
$ |
||||||||||
The Effect of Derivative Instruments on the Statement of Operations For the three months ended September 30, 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 | $ | $ | ( |
) | ||||||||
| ProShares Ultra VIX Short-Term Futures ETF | ( |
) | ||||||||||
| ProShares VIX Mid-Term Futures ETF |
( |
) | ||||||||||
| ProShares VIX Short-Term Futures ETF | ( |
) | ||||||||||
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 | ( |
) | ||||||||||
| ProShares Ultra Bloomberg Natural Gas | ||||||||||||
| ProShares Ultra Gold | ( |
) | ||||||||||
| ProShares Ultra Silver | ( |
) | ( |
) | ||||||||
| ProShares UltraShort Bloomberg Crude Oil | ( |
) | ( |
) | ||||||||
| ProShares UltraShort Bloomberg Natural Gas | ( |
) | ( |
) | ||||||||
| ProShares UltraShort Gold | ( |
) | ||||||||||
| ProShares UltraShort Silver | ||||||||||||
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 | ( |
) | ||||||||||
| ProShares Ultra Euro | ( |
) | ||||||||||
| ProShares Ultra Yen | ( |
) | ||||||||||
| ProShares UltraShort Australian Dollar | ||||||||||||
| ProShares UltraShort Euro | ( |
) | ||||||||||
ProShares UltraShort Yen |
( |
) | ||||||||||
Combined Trust |
$ |
( |
) |
$ |
||||||||
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 | $ | $ | ( |
) | ||||||||
| ProShares Ultra VIX Short-Term Futures ETF | ( |
) | ||||||||||
| ProShares VIX Mid-Term Futures ETF |
( |
) | ||||||||||
| ProShares VIX Short-Term Futures ETF | ( |
) | ||||||||||
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 | ||||||||||||
| ProShares Ultra Bloomberg Natural Gas | ||||||||||||
| ProShares Ultra Gold | ( |
) | ( |
) | ||||||||
| ProShares Ultra Silver | ( |
) | ( |
) | ||||||||
| ProShares UltraShort Bloomberg Crude Oil | ( |
) | ( |
) | ||||||||
| ProShares UltraShort Bloomberg Natural Gas | ( |
) | ( |
) | ||||||||
| ProShares UltraShort Gold | ( |
) | ||||||||||
| ProShares UltraShort Silver | ( |
) | ||||||||||
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 | ||||||||||||
| ProShares Ultra Euro | ( |
) | ( |
) | ||||||||
| ProShares Ultra Yen | ( |
) | ( |
) | ||||||||
| ProShares UltraShort Australian Dollar | ||||||||||||
ProShares UltraShort Euro |
||||||||||||
ProShares UltraShort Yen |
||||||||||||
Combined Trust: |
$ |
( |
) |
$ |
||||||||
Fair Values of Derivative Instruments as of September 30, 2022 |
||||||||||||||||||||||||
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 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
ProShares Ultra Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares Ultra Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2022 |
||||||||||||||||
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. |
$ | ( |
) | $ | $ | $ | ||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
Morgan Stanley & Co. International PLC |
( |
) | ||||||||||||||
Societe Generale |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares Ultra Euro |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares Ultra Gold |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares Ultra Silver |
||||||||||||||||
Citibank, N.A. |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
Morgan Stanley & Co. International PLC |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares Ultra Yen |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Euro |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Gold |
||||||||||||||||
Citibank, N.A. |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Silver |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
Morgan Stanley & Co. International PLC |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Yen |
||||||||||||||||
Goldman Sachs International |
||||||||||||||||
UBS AG |
||||||||||||||||
Fair Values of Derivative Instruments as of December 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 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
ProShares Ultra Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares Ultra Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares Ultra Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Euro |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
ProShares UltraShort Gold |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Silver |
||||||||||||||||||||||||
Swap agreements |
||||||||||||||||||||||||
ProShares UltraShort Yen |
||||||||||||||||||||||||
Foreign currency forward contracts |
||||||||||||||||||||||||
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2021 |
||||||||||||||||
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. |
$ | $ | $ | ( |
) | $ | ||||||||||
Goldman Sachs International |
( |
) | ( |
) | ||||||||||||
Morgan Stanley & Co. International PLC |
( |
) | ||||||||||||||
Societe Generale |
( |
) | ( |
) | ||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares Ultra Euro |
||||||||||||||||
Goldman Sachs International |
||||||||||||||||
UBS AG |
||||||||||||||||
ProShares Ultra Gold |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ( |
) | ||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares Ultra Silver |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ( |
) | ||||||||||||
Morgan Stanley & Co. International PLC |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||||||||||
Goldman Sachs & Co. |
( |
) | ( |
) | ||||||||||||
ProShares Ultra Yen |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ( |
) | ||||||||||||
ProShares UltraShort Euro |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Gold |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Silver |
||||||||||||||||
Citibank, N.A. |
( |
) | ||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
Morgan Stanley & Co. International PLC |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
ProShares UltraShort Yen |
||||||||||||||||
Goldman Sachs International |
( |
) | ||||||||||||||
UBS AG |
( |
) | ||||||||||||||
Three Months Ended |
Nine Months Ended |
|||||||
Fund |
September 30, 2022 |
September 30, 2022 |
||||||
ProShares Short VIX Short-Term Futures ETF |
$ | $ | ||||||
ProShares Ultra Bloomberg Crude Oil |
||||||||
ProShares Ultra Bloomberg Natural Gas |
||||||||
ProShares Ultra Euro |
||||||||
ProShares Ultra Gold |
||||||||
ProShares Ultra Silver |
||||||||
ProShares Ultra VIX Short-Term Futures ETF |
||||||||
ProShares Ultra Yen |
||||||||
ProShares UltraShort Bloomberg Crude Oil |
||||||||
ProShares UltraShort Bloomberg Natural Gas |
||||||||
ProShares UltraShort Euro |
||||||||
ProShares UltraShort Gold |
||||||||
ProShares UltraShort Silver |
||||||||
ProShares UltraShort Yen |
||||||||
ProShares VIX Mid-Term Futures ETF |
||||||||
ProShares VIX Short-Term Futures ETF |
||||||||
Combined Trust: |
$ | $ | ||||||
Per Share Operating Performance |
Short VIX Short-Term Futures ETF |
Ultra Bloomberg Crude Oil * |
Ultra Bloomberg Natural Gas |
Ultra Euro |
Ultra Gold |
Ultra Silver |
||||||||||||||||||
Net asset value, at June 30, 2022 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | (1) |
(2) | ||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at September 30, 2022 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2022 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2022 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
% | ( |
)% | % | ( |
)% | ( |
)% | ( |
)% | ||||||||||||||
Total Return, at market value^ |
% | ( |
)% | % | ( |
)% | ( |
)% | ( |
)% | ||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | % | % | % | % | ( |
)% | ||||||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2022. |
| ^^ | The expense ratio would be |
| (1) | Amount represents less than $ |
| (2) | Amount represents greater than $( |
Per Share Operating Performance |
Ultra VIX Short-Term Futures ETF |
Ultra Yen |
UltraShort Bloomberg Crude Oil * |
UltraShort Bloomberg Natural Gas * |
UltraShort Euro |
UltraShort Gold |
||||||||||||||||||
Net asset value, at June 30, 2022 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
(1) |
(1) |
( |
) | ||||||||||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Net asset value, at September 30, 2022 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2022 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2022 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
( |
)% | ( |
)% | % | ( |
)% | % | % | |||||||||||||||
Total Return, at market value^ |
( |
)% | ( |
)% | % | ( |
)% | % | % | |||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | % | % | ( |
)% | % | ( |
)% | |||||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2022. |
| ^^ | The expense ratio would be |
| (1) | Amount represents greater than $( |
Per Share Operating Performance |
UltraShort Silver |
UltraShort Yen * |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||||||||
Net asset value, at June 30, 2022 |
$ | $ | $ | $ | ||||||||||||
Net investment income (loss) |
( |
) | (1) |
|||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ||||||||||||||
Change in net asset value from operations |
( |
) | ||||||||||||||
Net asset value, at September 30, 2022 |
$ | $ | $ | $ | ||||||||||||
Market value per share, at June 30, 2022 † |
$ | $ | $ | $ | ||||||||||||
Market value per share, at September 30, 2022 † |
$ | $ | $ | $ | ||||||||||||
Total Return, at net asset value^ |
% | % | % | ( |
)% | |||||||||||
Total Return, at market value^ |
% | % | % | ( |
)% | |||||||||||
Ratios to Average Net Assets** |
||||||||||||||||
Expense ratio^^ |
% | % | % | % | ||||||||||||
Net investment income gain (loss) |
( |
)% | % | ( |
)% | % | ||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2022. |
| ^^ | The expense ratio would be |
| (1) | Amount represents greater than $( |
Per Share Operating Performance |
Short VIX Short-Term Futures ETF |
Ultra Bloomberg Crude Oil * |
Ultra Bloomberg Natural Gas |
Ultra Euro |
Ultra Gold |
Ultra Silver |
||||||||||||||||||
Net asset value, at June 30, 2021 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at September 30, 2021 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2021 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2021 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
( |
)% | % | % | ( |
)% | ( |
)% | ( |
)% | ||||||||||||||
Total Return, at market value^ |
( |
)% | % | % | ( |
)% | ( |
)% | ( |
)% | ||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | ( |
)% | |||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2021. |
| ^^ | The expense ratio would be |
Per Share Operating Performance |
Ultra VIX Short-Term Futures ETF |
Ultra Yen |
UltraShort Bloomberg Crude Oil * |
UltraShort Bloomberg Natural Gas * |
UltraShort Euro |
UltraShort Gold |
||||||||||||||||||
Net asset value, at June 30, 2021 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at September 30, 2021 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at June 30, 2021 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2021 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | % | ||||||||||||||
Total Return, at market value^ |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | % | ||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2021. |
| ^^ | The expense ratio would be |
Per Share Operating Performance |
UltraShort Silver |
UltraShort Yen * |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||||||||
Net asset value, at June 30, 2021 |
$ | $ | $ | $ | ||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized and unrealized gain (loss)# |
( |
) | ||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ||||||||||||
Net asset value, at September 30, 2021 |
$ | $ | $ | $ | ||||||||||||
Market value per share, at June 30, 2021 † |
$ | $ | $ | $ | ||||||||||||
Market value per share, at September 30, 2021 † |
$ | $ | $ | $ | ||||||||||||
Total Return, at net asset value^ |
% | ( |
)% @ |
% | ( |
)% | ||||||||||
Total Return, at market value^ |
% | ( |
)% @ |
% | ( |
)% | ||||||||||
Ratios to Average Net Assets** |
||||||||||||||||
Expense ratio^^ |
% | % | % | % | ||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2021. |
| ^^ | The expense ratio would be |
| @ | Amount represents greater than ( |
Per Share Operating Performance |
Short VIX Short-Term Futures ETF |
Ultra Bloomberg Crude Oil * |
Ultra Bloomberg Natural Gas |
Ultra Euro |
Ultra Gold |
Ultra Silver |
||||||||||||||||||
Net asset value, at December 31, 2021 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at September 30, 2022 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2021 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2022 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
( |
)% | % | % | ( |
)% | ( |
)% | ( |
)% | ||||||||||||||
Total Return, at market value^ |
( |
)% | % | % | ( |
)% | ( |
)% | ( |
)% | ||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2022. |
| ^^ | The expense ratio would be |
Per Share Operating Performance |
Ultra VIX Short-Term Futures ETF |
Ultra Yen |
UltraShort Bloomberg Crude Oil * |
UltraShort Bloomberg Natural Gas * |
UltraShort Euro |
UltraShort Gold |
||||||||||||||||||
Net asset value, at December 31, 2021 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Net asset value, at September 30, 2022 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2021 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2022 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
% | ( |
)% | ( |
)% | ( |
)% | % | % | |||||||||||||||
Total Return, at market value^ |
% | ( |
)% | ( |
)% | ( |
)% | % | % | |||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2022. |
| ^^ | The expense ratio would be |
Per Share Operating Performance |
UltraShort Silver |
UltraShort Yen * |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||||||||
Net asset value, at December 31, 2021 |
$ | $ | $ | $ | ||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized and unrealized gain (loss)# |
||||||||||||||||
Change in net asset value from operations |
||||||||||||||||
Net asset value, at September 30, 2022 |
$ | $ | $ | $ | ||||||||||||
Market value per share, at December 31, 2021 † |
$ | $ | $ | $ | ||||||||||||
Market value per share, at September 30, 2022 † |
$ | $ | $ | $ | ||||||||||||
Total Return, at net asset value^ |
% | % | % | % | ||||||||||||
Total Return, at market value^ |
% | % | % | % | ||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||
Expense ratio^^ |
% | % | % | % | ||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2022. |
| ^^ | The expense ratio would be |
Per Share Operating Performance |
Short VIX Short-Term Futures ETF |
Ultra Bloomberg Crude Oil * |
Ultra Bloomberg Natural Gas |
Ultra Euro |
Ultra Gold |
Ultra Silver |
||||||||||||||||||
Net asset value, at December 31, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ||||||||||||||||||
Net asset value, at September 30, 2021 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2020 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2021 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
% | % | % | ( |
)% | ( |
)% | ( |
)% | |||||||||||||||
Total Return, at market value^ |
% | % | % | ( |
)% | ( |
)% | ( |
)% | |||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2021. |
| ^^ | The expense ratio would be non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance |
Ultra VIX Short-Term Futures ETF |
Ultra Yen |
UltraShort Bloomberg Crude Oil * |
UltraShort Bloomberg Natural Gas * |
UltraShort Euro |
UltraShort Gold |
||||||||||||||||||
Net asset value, at December 31, 2020 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Net asset value, at September 30, 2021 |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at December 31, 2020 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Market value per share, at September 30, 2021 † |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Total Return, at net asset value^ |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | % | ||||||||||||||
Total Return, at market value^ |
( |
)% | ( |
)% | ( |
)% | ( |
)% | % | % | ||||||||||||||
Ratios to Average Net Assets** |
||||||||||||||||||||||||
Expense ratio^^ |
% | % | % | % | % | % | ||||||||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2021. |
| ^^ | The expense ratio would be non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Per Share Operating Performance |
UltraShort Silver |
UltraShort Yen * |
VIX Mid- Term Futures ETF |
VIX Short- Term Futures ETF |
||||||||||||
Net asset value, at December 31, 2020 |
$ | $ | $ | $ | ||||||||||||
Net investment income (loss) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Net realized and unrealized gain (loss)# |
( |
) | ( |
) | ||||||||||||
Change in net asset value from operations |
( |
) | ( |
) | ||||||||||||
Net asset value, at September 30, 2021 |
$ | $ | $ | $ | ||||||||||||
Market value per share, at December 31, 2020 † |
$ | $ | $ | $ | ||||||||||||
Market value per share, at September 30, 2021 † |
$ | $ | $ | $ | ||||||||||||
Total Return, at net asset value^ |
% | % | ( |
)% | ( |
)% | ||||||||||
Total Return, at market value^ |
% | % | ( |
)% | ( |
)% | ||||||||||
Ratios to Average Net Assets** |
||||||||||||||||
Expense ratio^^ |
% | % | % | % | ||||||||||||
Net investment income gain (loss) |
( |
)% | ( |
)% | ( |
)% | ( |
)% | ||||||||
| * | See Note 1 of these Notes to Financial Statements. |
| ** | Percentages are annualized. |
| # | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. |
| † | Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. |
| ^ | Percentages are not annualized for the period ended September 30, 2021. |
| ^^ | The expense ratio would be non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. |
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.
Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements.
Introduction
ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2022, the following sixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds and the Geared VIX Funds, are collectively referred to as the “Geared Funds”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.
The Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.
Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
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As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. Financial Instruments also are used to produce economically “inverse”, “inverse leveraged” or “leveraged” investment results for the Geared Funds.
Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation.
Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from -0.5x, -1x, -2x, 1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily.
Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”).
ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.
Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.
The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.
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Forward and Reverse Split
On May 11, 2021, the Trust announced a 1-for-10 reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF (ticker symbol: UVXY), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Crude Oil (ticker symbol: SCO), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and a 1-for-4 reverse split of the shares of beneficial interest of ProShares VIX Short-Term Futures ETF (ticker symbol: VIXY). The reverse splits were effective prior to market open on May 26, 2021, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the 4 funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.
On December 22, 2021, the Trust announced a 1-for-5 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Natural Gas ETF (ticker symbol: KOLD). The reverse splits were effective prior to market open on January 14, 2022, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.
On May 11, 2022, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and ProShares Ultra Bloomberg Crude Oil and a reverse share split on ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Bloomberg Crude Oil. The Splits did not change the value of a shareholder’s investment.
ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. ProShares Ultra Bloomberg Crude Oil executed a 4:1 Forward Split of its shares. The Forward Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Forward Split prices. The ticker symbol for the Funds did not change. The Forward Split decreased the price per share of the Funds with a proportionate increase in the number of shares outstanding.
ProShares UltraShort Bloomberg Natural Gas executed a 1:4 Reverse Split of its shares. ProShares UltraShort Bloomberg Crude Oil executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y813 for KOLD and 74347Y797 for SCO). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding.
Liquidity and Capital Resources
In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2022 and 2021, each of the Funds earned interest income as follows:
| Fund |
Interest Income Three Months Ended September 30, 2022 |
Interest Income Three Months Ended September 30, 2021 |
Interest Income Nine Months Ended September 30, 2022 |
Interest Income Nine Months Ended September 30, 2021 |
||||||||||||
| ProShares Short VIX Short-Term Futures ETF |
1,006,499 | 8,152 | 1,325,976 | 75,729 | ||||||||||||
| ProShares Ultra Bloomberg Crude Oil |
2,391,191 | 86,370 | 3,964,082 | 365,778 | ||||||||||||
| ProShares Ultra Bloomberg Natural Gas |
909,204 | 7,355 | 1,095,255 | 32,714 | ||||||||||||
| ProShares Ultra Euro |
36,856 | 393 | 47,965 | 1,415 | ||||||||||||
| ProShares Ultra Gold |
678,282 | 14,338 | 1,092,549 | 70,259 | ||||||||||||
| ProShares Ultra Silver |
824,171 | 44,511 | 1,386,134 | 208,169 | ||||||||||||
| ProShares Ultra VIX Short-Term Futures ETF |
3,945,136 | 11,979 | 4,471,067 | 328,504 | ||||||||||||
| ProShares Ultra Yen |
25,362 | 260 | 29,299 | 923 | ||||||||||||
| ProShares UltraShort Bloomberg Crude Oil |
1,748,548 | 6,891 | 2,091,754 | 36,069 | ||||||||||||
| ProShares UltraShort Bloomberg Natural Gas |
953,050 | 9,879 | 1,131,063 | 25,512 | ||||||||||||
| ProShares UltraShort Euro |
230,824 | 5,008 | 285,240 | 17,814 | ||||||||||||
| ProShares UltraShort Gold |
72,261 | 3,075 | 101,921 | 9,213 | ||||||||||||
| ProShares UltraShort Silver |
63,222 | 3,100 | 90,885 | 8,895 | ||||||||||||
| ProShares UltraShort Yen |
115,191 | 2,392 | 151,503 | 9,558 | ||||||||||||
| ProShares VIX Mid-Term Futures ETF |
220,211 | 8,914 | 296,960 | 27,487 | ||||||||||||
| ProShares VIX Short-Term Futures ETF |
1,400,201 | 11,739 | 1,678,813 | 91,187 | ||||||||||||
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Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.
Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.
The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.
Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).
Market Risk
Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.
For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q.
Credit Risk
When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.
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Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.
Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank.
Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.
The Sponsor attempts to minimize certain of these market and credit risks by normally:
| • | executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; |
| • | limiting the outstanding amounts due from counterparties to the Funds; |
| • | not posting margin directly with a counterparty; |
| • | requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to |
| • | market daily, subject to certain minimum thresholds; |
| • | limiting the amount of margin or premium posted at a FCM; and |
| • | ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for. |
Off-Balance Sheet Arrangements and Contractual Obligations
As of November 8, 2022, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.
Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.
Critical Accounting Policies
Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.
Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.
The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).
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For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended September 30, 2022.
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.
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 valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. 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 be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. 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 each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).
The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.
Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.
Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.
Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit futures account fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.
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Results of Operations for the Three Months Ended September 30, 2022 Compared to the Three Months Ended September 30, 2021
ProShares Short VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 403,644,956 | $ | 588,615,946 | ||||
| NAV end of period |
$ | 321,831,051 | $ | 388,523,845 | ||||
| Percentage change in NAV |
(20.3 | )% | (34.0 | )% | ||||
| Shares outstanding beginning of period |
8,384,307 | 10,584,307 | ||||||
| Shares outstanding end of period |
6,634,307 | 7,134,307 | ||||||
| Percentage change in shares outstanding |
(20.9 | )% | (32.6 | )% | ||||
| Shares created |
450,000 | 550,000 | ||||||
| Shares redeemed |
2,200,000 | 4,000,000 | ||||||
| Per share NAV beginning of period |
$ | 48.14 | $ | 55.61 | ||||
| Per share NAV end of period |
$ | 48.51 | $ | 54.46 | ||||
| Percentage change in per share NAV |
0.8 | % | (2.1 | )% | ||||
| Percentage change in benchmark |
(5.7 | )% | (5.6 | )% | ||||
| Benchmark annualized volatility |
51.0 | % | 69.6 | % | ||||
During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,384,307 outstanding Shares at June 30, 2022 to 6,634,307 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,584,307 outstanding Shares at June 30, 2021 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to one-half the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.8% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 2.1% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 5.6% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022.
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (90,304 | ) | $ | (1,466,273 | ) | ||
| Management fee |
914,054 | 1,055,823 | ||||||
| Brokerage commission |
152,661 | 208,885 | ||||||
| Futures account fees |
23,966 | 209,717 | ||||||
| Non-recurring fees and expenses |
6,122 | — | ||||||
| Net realized gain (loss) |
27,694,574 | 34,572,603 | ||||||
| Change in net unrealized appreciation (depreciation) |
(17,470,190 | ) | (43,349,844 | ) | ||||
| Net Income (loss) |
$ | 10,134,080 | $ | (10,243,514 | ) | |||
The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to greater decrease in the value of futures prices during the three months ended September 30, 2022.
ProShares Ultra Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 1,060,867,238 | $ | 1,303,530,902 | ||||
| NAV end of period |
$ | 724,595,262 | $ | 1,090,613,716 | ||||
| Percentage change in NAV |
(31.7 | )% | (16.3 | )% | ||||
| Shares outstanding beginning of period |
25,493,096 | 66,643,096 | ||||||
| Shares outstanding end of period |
27,643,096 | 51,643,096 | ||||||
| Percentage change in shares outstanding |
8.4 | % | (22.5 | )% | ||||
| Shares created |
10,400,000 | 3,800,000 | ||||||
| Shares redeemed |
8,250,000 | 18,800,000 | ||||||
| Per share NAV beginning of period |
$ | 41.61 | $ | 19.56 | ||||
| Per share NAV end of period |
$ | 26.21 | $ | 21.12 | ||||
| Percentage change in per share NAV |
(37.0 | )% | 8.0 | % | ||||
| Percentage change in benchmark |
(18.6 | )% | 5.4 | % | ||||
| Benchmark annualized volatility |
42.8 | % | 30.9 | % | ||||
During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. The decrease in the Fund’s NAV was offset by an increase from 25,493,096 outstanding Shares at June 30, 2022 to 27,643,096 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 66,643,096 outstanding Shares at June 30, 2021 to 51,643,096 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM.
132
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 37.0% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 8.0% for the three months ended September 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s decline of 18.6% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2021, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | 153,992 | $ | (3,130,493 | ) | |||
| Management fee |
2,118,088 | 2,775,351 | ||||||
| Brokerage commission |
85,906 | 198,498 | ||||||
| Futures account fees |
19,466 | 215,514 | ||||||
| Non-recurring fees and expenses |
13,739 | 27,500 | ||||||
| Net realized gain (loss) |
(344,578,932 | ) | 106,325,821 | |||||
| Change in net unrealized appreciation (depreciation) |
(33,248,174 | ) | (16,878,588 | ) | ||||
| Net Income (loss) |
$ | (377,673,114 | ) | $ | 86,316,740 | |||
The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a decrease in the value of WTI Crude Oil during the three months ended September 30, 2022.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil. |
133
ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 187,297,842 | $ | 70,213,227 | ||||
| NAV end of period |
$ | 289,386,097 | $ | 145,038,381 | ||||
| Percentage change in NAV |
54.5 | % | 106.6 | % | ||||
| Shares outstanding beginning of period |
4,737,527 | 1,987,527 | ||||||
| Shares outstanding end of period |
5,437,527 | 1,737,527 | ||||||
| Percentage change in shares outstanding |
14.8 | % | (12.6 | )% | ||||
| Shares created |
6,000,000 | 1,150,000 | ||||||
| Shares redeemed |
5,300,000 | 1,400,000 | ||||||
| Per share NAV beginning of period |
$ | 39.53 | $ | 35.33 | ||||
| Per share NAV end of period |
$ | 53.22 | $ | 83.47 | ||||
| Percentage change in per share NAV |
34.6 | % | 136.3 | % | ||||
| Percentage change in benchmark |
25.3 | % | 58.6 | % | ||||
| Benchmark annualized volatility |
76.6 | % | 48.6 | % | ||||
During the three months ended September 30, 2022, The increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas SubindexSM. The increase in the Fund’s NAV also resulted in part from an increase from 4,737,527 outstanding Shares at June 30, 2022 to 5,437,527 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 1,987,527 outstanding Shares at June 30, 2021 to 1,737,527 outstanding Shares at September 30, 2021.
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 34.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 136.3% for the three months ended September 30, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s rise of 25.3% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 58.6% for the three months ended September 30, 2021, can be attributed to lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | 104,679 | $ | (212,510 | ) | |||
| Management fee |
658,525 | 161,130 | ||||||
| Brokerage commission |
97,589 | 40,472 | ||||||
| Futures account fees |
43,620 | 18,263 | ||||||
| Non-recurring fees and expenses |
4,791 | — | ||||||
| Net realized gain (loss) |
(5,893,297 | ) | 33,925,723 | |||||
| Change in net unrealized appreciation (depreciation) |
97,221,527 | 25,135,708 | ||||||
| Net Income (loss) |
$ | 91,432,909 | $ | 58,848,921 | ||||
134
The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to lesser increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2022.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 9,415,626 | $ | 3,668,741 | ||||
| NAV end of period |
$ | 13,869,371 | $ | 3,479,104 | ||||
| Percentage change in NAV |
47.3 | % | (5.2 | )% | ||||
| Shares outstanding beginning of period |
850,000 | 250,000 | ||||||
| Shares outstanding end of period |
1,450,000 | 250,000 | ||||||
| Percentage change in shares outstanding |
70.6 | % | — | % | ||||
| Shares created |
700,000 | — | ||||||
| Shares redeemed |
100,000 | — | ||||||
| Per share NAV beginning of period |
$ | 11.08 | $ | 14.67 | ||||
| Per share NAV end of period |
$ | 9.57 | $ | 13.92 | ||||
| Percentage change in per share NAV |
(13.7 | )% | (5.1 | )% | ||||
| Percentage change in benchmark |
(6.0 | )% | (2.3 | )% | ||||
| Benchmark annualized volatility |
10.53 | % | 4.5 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 850,000 outstanding Shares at June 30, 2022 to 1,450,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021.
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 5.1% for the three months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s decline of 6.0% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 2.3% for the three months ended September 30, 2021, can be attributed to greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022.
135
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | 5,288 | $ | (8,271 | ) | |||
| Management fee |
31,331 | 8,664 | ||||||
| Non-recurring fees and expenses |
237 | — | ||||||
| Net realized gain (loss) |
(1,618,381 | ) | (254,219 | ) | ||||
| Change in net unrealized appreciation (depreciation) |
(95,012 | ) | 72,853 | |||||
| Net Income (loss) |
$ | (1,708,105 | ) | $ | (189,637 | ) | ||
The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2022.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 239,938,853 | $ | 243,456,703 | ||||
| NAV end of period |
$ | 160,022,292 | $ | 230,917,847 | ||||
| Percentage change in NAV |
(33.3 | )% | (5.2 | )% | ||||
| Shares outstanding beginning of period |
4,250,000 | 4,250,000 | ||||||
| Shares outstanding end of period |
3,400,000 | 4,150,000 | ||||||
| Percentage change in shares outstanding |
(20.0 | )% | (2.4 | )% | ||||
| Shares created |
50,000 | 250,000 | ||||||
| Shares redeemed |
900,000 | 350,000 | ||||||
| Per share NAV beginning of period |
$ | 56.46 | $ | 57.28 | ||||
| Per share NAV end of period |
$ | 47.07 | $ | 55.64 | ||||
| Percentage change in per share NAV |
(16.6 | )% | (2.9 | )% | ||||
| Percentage change in benchmark |
(7.9 | )% | (1.0 | )% | ||||
| Benchmark annualized volatility |
13.4 | % | 13.8 | % | ||||
During the three months ended September 30, 2022, The decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold SubindexSM. The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2022 to 3,400,000 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold SubindexSM. The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2021 to 4,150,000 outstanding Shares at September 30, 2021.
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 2.9% for the three months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
136
The benchmark’s decline of 7.9% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 1.0% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | 191,709 | $ | (596,194 | ) | |||
| Management fee |
475,457 | 582,103 | ||||||
| Brokerage commission |
8,176 | 9,421 | ||||||
| Non-recurring fees and expenses |
2,940 | — | ||||||
| Net realized gain (loss) |
(39,826,294 | ) | (21,858,089 | ) | ||||
| Change in net unrealized appreciation (depreciation) |
2,222,833 | 15,574,284 | ||||||
| Net Income (loss) |
$ | (37,411,752 | ) | $ | (6,879,999 | ) | ||
The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the three months ended September 30, 2022.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 355,577,515 | $ | 661,778,727 | ||||
| NAV end of period |
$ | 323,970,863 | $ | 480,309,476 | ||||
| Percentage change in NAV |
(8.9 | )% | (27.4 | )% | ||||
| Shares outstanding beginning of period |
14,346,526 | 14,396,526 | ||||||
| Shares outstanding end of period |
15,546,526 | 15,146,526 | ||||||
| Percentage change in shares outstanding |
8.4 | % | 5.2 | % | ||||
| Shares created |
2,450,000 | 1,050,000 | ||||||
| Shares redeemed |
1,250,000 | 300,000 | ||||||
| Per share NAV beginning of period |
$ | 24.78 | $ | 45.97 | ||||
| Per share NAV end of period |
$ | 20.84 | $ | 31.71 | ||||
| Percentage change in per share NAV |
(15.9 | )% | (31.0 | )% | ||||
| Percentage change in benchmark |
(6.5 | )% | (16.0 | )% | ||||
| Benchmark annualized volatility |
31.8 | % | 26.7 | % | ||||
137
During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 14,346,526 outstanding Shares at June 30, 2022 to 15,546,526 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 14,396,526 outstanding Shares at June 30, 2021 to 15,146,526 outstanding Shares at September 30, 2021.
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.9% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 31.0% for the three months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 16.0% for the three months ended September 30, 2021, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (15,349 | ) | $ | (1,424,705 | ) | ||
| Management fee |
798,802 | 1,394,627 | ||||||
| Brokerage commission |
34,796 | 27,419 | ||||||
| Futures account fees |
— | 47,170 | ||||||
| Non-recurring fees and expenses |
5,922 | — | ||||||
| Net realized gain (loss) |
(147,391,314 | ) | (201,320,030 | ) | ||||
| Change in net unrealized appreciation (depreciation) |
91,477,472 | (6,018,290 | ) | |||||
| Net Income (loss) |
$ | (55,929,191 | ) | $ | (208,763,025 | ) | ||
The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2022.
138
ProShares Ultra VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 975,683,533 | $ | 840,870,703 | ||||
| NAV end of period |
$ | 995,489,778 | $ | 1,020,845,873 | ||||
| Percentage change in NAV |
2.0 | % | 21.4 | % | ||||
| Shares outstanding beginning of period |
67,228,420 | 30,128,420 | ||||||
| Shares outstanding end of period |
77,328,420 | 41,778,420 | ||||||
| Percentage change in shares outstanding |
15.0 | % | 38.7 | % | ||||
| Shares created |
93,400,000 | 37,800,000 | ||||||
| Shares redeemed |
83,300,000 | 26,150,000 | ||||||
| Per share NAV beginning of period |
$ | 14.51 | $ | 27.91 | ||||
| Per share NAV end of period |
$ | 12.87 | $ | 24.43 | ||||
| Percentage change in per share NAV |
(11.3 | )% | (12.5 | )% | ||||
| Percentage change in benchmark |
(5.7 | )% | (5.6 | )% | ||||
| Benchmark annualized volatility |
51.0 | % | 69.6 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 67,228,420 outstanding Shares at June 30, 2022 to 77,328,420 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 30,128,420 outstanding Shares at June 30, 2021 to 41,778,420 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.5% for the three months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 5.6% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (402,633 | ) | $ | (3,993,799 | ) | ||
| Management fee |
2,831,005 | 2,221,755 | ||||||
| Brokerage commission |
1,276,819 | 1,095,975 | ||||||
| Futures account fees |
219,828 | 668,048 | ||||||
| Non-recurring fees and expenses |
20,117 | — | ||||||
| Net realized gain (loss) |
(289,873,754 | ) | (198,380,990 | ) | ||||
| Change in net unrealized appreciation (depreciation) |
161,745,283 | 186,742,221 | ||||||
| Net Income (loss) |
$ | (128,531,104 | ) | $ | (15,632,568 | ) | ||
139
The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices, during the three months ended September 30, 2022.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 5,024,773 | $ | 2,560,348 | ||||
| NAV end of period |
$ | 10,159,189 | $ | 2,539,880 | ||||
| Percentage change in NAV |
102.2 | % | (0.8 | )% | ||||
| Shares outstanding beginning of period |
149,970 | 49,970 | ||||||
| Shares outstanding end of period |
349,970 | 49,970 | ||||||
| Percentage change in shares outstanding |
133.4 | % | — | % | ||||
| Shares created |
250,000 | — | ||||||
| Shares redeemed |
50,000 | — | ||||||
| Per share NAV beginning of period |
$ | 33.51 | $ | 51.24 | ||||
| Per share NAV end of period |
$ | 29.03 | $ | 50.83 | ||||
| Percentage change in per share NAV |
(13.3 | )% | (0.8 | )% | ||||
| Percentage change in benchmark |
(6.5 | )% | (0.2 | )% | ||||
| Benchmark annualized volatility |
11.15 | % | 5.5 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 149,970 outstanding Shares at June 30, 2022 to 349,970 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021.
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 0.2% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022.
140
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | 3,923 | $ | (5,973 | ) | |||
| Management fee |
21,245 | 6,233 | ||||||
| Non-recurring fees and expenses |
194 | — | ||||||
| Net realized gain (loss) |
(1,652,590 | ) | (25,554 | ) | ||||
| Change in net unrealized appreciation (depreciation) |
(14,681 | ) | 11,059 | |||||
| Net Income (loss) |
$ | (1,663,348 | ) | $ | (20,468 | ) | ||
The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2022.
ProShares UltraShort Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 501,157,304 | $ | 79,400,059 | ||||
| NAV end of period |
$ | 368,791,089 | $ | 93,575,213 | ||||
| Percentage change in NAV |
(26.4 | )% | 17.9 | % | ||||
| Shares outstanding beginning of period |
21,755,220 | 876,760 | ||||||
| Shares outstanding end of period |
12,155,220 | 1,236,760 | ||||||
| Percentage change in shares outstanding |
(44.1 | )% | 41.1 | % | ||||
| Shares created |
11,050,000 | 670,000 | ||||||
| Shares redeemed |
20,650,000 | 310,000 | ||||||
| Per share NAV beginning of period |
$ | 23.04 | $ | 90.56 | ||||
| Per share NAV end of period |
$ | 30.34 | $ | 75.66 | ||||
| Percentage change in per share NAV |
31.7 | % | (16.5 | )% | ||||
| Percentage change in benchmark |
(18.6 | )% | 5.4 | % | ||||
| Benchmark annualized volatility |
42.8 | % | 30.9 | % | ||||
During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 21,755,220 outstanding Shares at June 30, 2022 to 12,155,220 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 876,760 outstanding Shares at June 30, 2021 to 1,236,760 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM.
141
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 31.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 16.5% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s decline of 18.6% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2021, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | 392,570 | $ | (241,725 | ) | |||
| Management fee |
1,160,746 | 201,146 | ||||||
| Brokerage commission |
148,121 | 29,277 | ||||||
| Futures account fees |
39,563 | 18,193 | ||||||
| Non-recurring fees and expenses |
7,548 | — | ||||||
| Net realized gain (loss) |
66,444,885 | (11,449,562 | ) | |||||
| Change in net unrealized appreciation (depreciation) |
76,987,949 | (1,520,893 | ) | |||||
| Net Income (loss) |
$ | 143,825,404 | $ | (13,212,180 | ) | |||
The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a decrease in the value of WTI Crude Oil during the three months ended September 30, 2022.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil. |
142
ProShares UltraShort Bloomberg Natural Gas*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 211,823,446 | $ | 97,525,300 | ||||
| NAV end of period |
$ | 242,389,998 | $ | 138,468,677 | ||||
| Percentage change in NAV |
14.4 | % | 42.0 | % | ||||
| Shares outstanding beginning of period |
4,966,856 | 226,242 | ||||||
| Shares outstanding end of period |
13,966,856 | 986,242 | ||||||
| Percentage change in shares outstanding |
181.2 | % | 335.9 | % | ||||
| Shares created |
58,900,000 | 1,025,000 | ||||||
| Shares redeemed |
49,900,000 | 265,000 | ||||||
| Per share NAV beginning of period |
$ | 42.65 | $ | 431.07 | ||||
| Per share NAV end of period |
$ | 17.35 | $ | 140.40 | ||||
| Percentage change in per share NAV |
(59.3 | )% | (67.4 | )% | ||||
| Percentage change in benchmark |
25.3 | % | 58.6 | % | ||||
| Benchmark annualized volatility |
76.6 | % | 48.6 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 4,966,856 outstanding Shares at June 30, 2022 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 226,242 outstanding Shares at June 30, 2021 to 986,242 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM.
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 59.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 67.4% for the three months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s rise of 25.3% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 58.6% for the three months ended September 30, 2021, can be attributed to a lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (5,144 | ) | $ | (358,817 | ) | ||
| Management fee |
730,949 | 258,824 | ||||||
| Brokerage commission |
173,386 | 67,808 | ||||||
| Futures account fees |
48,485 | 42,064 | ||||||
| Non-recurring fees and expenses |
5,374 | — | ||||||
| Net realized gain (loss) |
8,115,767 | (95,609,878 | ) | |||||
| Change in net unrealized appreciation (depreciation) |
(23,467,384 | ) | (17,871,536 | ) | ||||
| Net Income (loss) |
$ | (15,356,761 | ) | $ | (113,840,231 | ) | ||
143
The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2022.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Natural Gas. |
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 62,270,097 | $ | 48,820,440 | ||||
| NAV end of period |
$ | 90,584,278 | $ | 48,640,817 | ||||
| Percentage change in NAV |
45.5 | % | (0.4 | )% | ||||
| Shares outstanding beginning of period |
2,050,000 | 2,050,000 | ||||||
| Shares outstanding end of period |
2,600,000 | 1,950,000 | ||||||
| Percentage change in shares outstanding |
26.8 | % | (4.9 | )% | ||||
| Shares created |
1,100,000 | 100,000 | ||||||
| Shares redeemed |
550,000 | 200,000 | ||||||
| Per share NAV beginning of period |
$ | 30.38 | $ | 23.81 | ||||
| Per share NAV end of period |
$ | 34.84 | $ | 24.94 | ||||
| Percentage change in per share NAV |
14.7 | % | 4.8 | % | ||||
| Percentage change in benchmark |
(6.5 | )% | (2.3 | )% | ||||
| Benchmark annualized volatility |
11.15 | % | 4.5 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,050,000 outstanding Shares at June 30, 2022 to 2,600,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,050,000 outstanding Shares at June 30, 2021 to 1,950,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 4.8% for the three months ended September 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 2.3% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022.
144
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | 25,953 | $ | (111,725 | ) | |||
| Management fee |
203,036 | 116,733 | ||||||
| Non-recurring fees and expenses |
1,835 | — | ||||||
| Net realized gain (loss) |
11,086,708 | 2,974,466 | ||||||
| Change in net unrealized appreciation (depreciation) |
(292,818 | ) | (617,958 | ) | ||||
| Net Income (loss) |
$ | 10,819,843 | $ | 2,244,783 | ||||
The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2022.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 34,611,284 | $ | 32,835,014 | ||||
| NAV end of period |
$ | 29,634,725 | $ | 27,731,022 | ||||
| Percentage change in NAV |
(14.4 | )% | (15.5 | )% | ||||
| Shares outstanding beginning of period |
1,096,977 | 946,977 | ||||||
| Shares outstanding end of period |
796,977 | 796,977 | ||||||
| Percentage change in shares outstanding |
(27.3 | )% | (15.8 | )% | ||||
| Shares created |
350,000 | 650,000 | ||||||
| Shares redeemed |
650,000 | 800,000 | ||||||
| Per share NAV beginning of period |
$ | 31.55 | $ | 34.67 | ||||
| Per share NAV end of period |
$ | 37.18 | $ | 34.80 | ||||
| Percentage change in per share NAV |
17.9 | % | 0.4 | % | ||||
| Percentage change in benchmark |
(7.9 | )% | (1.0 | )% | ||||
| Benchmark annualized volatility |
13.4 | % | 13.8 | % | ||||
During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,096,977 outstanding Shares at June 30, 2022 to 796,977 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold SubindexSM. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 946,977 outstanding Shares at June 30, 2021 to 796,977 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold SubindexSM.
145
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 17.9% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 0.4% for the three months ended September 30, 2021, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s decline of 7.9% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 1.0% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (8,595 | ) | $ | (68,386 | ) | ||
| Management fee |
76,652 | 66,304 | ||||||
| Brokerage commission |
3,565 | 3,301 | ||||||
| Futures account fees |
— | 1,856 | ||||||
| Non-recurring fees and expenses |
639 | — | ||||||
| Net realized gain (loss) |
4,988,228 | 1,213,721 | ||||||
| Change in net unrealized appreciation (depreciation) |
841,546 | (1,898,419 | ) | |||||
| Net Income (loss) |
$ | 5,821,179 | $ | (753,084 | ) | |||
The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the futures prices during the three months ended September 30, 2022.
146
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 33,052,840 | $ | 34,859,763 | ||||
| NAV end of period |
$ | 33,763,052 | $ | 40,373,877 | ||||
| Percentage change in NAV |
2.1 | % | 15.8 | % | ||||
| Shares outstanding beginning of period |
1,041,329 | 1,491,329 | ||||||
| Shares outstanding end of period |
991,329 | 1,291,329 | ||||||
| Percentage change in shares outstanding |
(4.8 | )% | (13.4 | )% | ||||
| Shares created |
1,000,000 | 1,000,000 | ||||||
| Shares redeemed |
1,050,000 | 1,200,000 | ||||||
| Per share NAV beginning of period |
$ | 31.74 | $ | 23.37 | ||||
| Per share NAV end of period |
$ | 34.06 | $ | 31.27 | ||||
| Percentage change in per share NAV |
7.3 | % | 33.8 | % | ||||
| Percentage change in benchmark |
(6.5 | )% | (16.0 | )% | ||||
| Benchmark annualized volatility |
31.8 | % | 26.7 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 1,041,329 outstanding Shares at June 30, 2022 to 991,329 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 1,491,329 outstanding Shares at June 30, 2021 to 1,291,329 outstanding Shares at September 30, 2021.
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 33.8% for the three months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 16.0% for the three months ended September 30, 2021, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (13,304 | ) | $ | (102,532 | ) | ||
| Management fee |
67,215 | 90,963 | ||||||
| Brokerage commission |
8,699 | 8,141 | ||||||
| Futures account fees |
— | 6,528 | ||||||
| Non-recurring fees and expenses |
612 | — | ||||||
| Net realized gain (loss) |
6,215,407 | 6,662,145 | ||||||
| Change in net unrealized appreciation (depreciation) |
(4,075,524 | ) | 3,922,596 | |||||
| Net Income (loss) |
$ | 2,126,579 | $ | 10,482,209 | ||||
147
The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2022.
ProShares UltraShort Yen*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 45,568,882 | $ | 27,231,748 | ||||
| NAV end of period |
$ | 51,937,338 | $ | 23,328,922 | ||||
| Percentage change in NAV |
14.0 | % | (14.3 | )% | ||||
| Shares outstanding beginning of period |
798,580 | 698,580 | ||||||
| Shares outstanding end of period |
798,580 | 598,580 | ||||||
| Percentage change in shares outstanding |
— | % | (14.3 | )% | ||||
| Shares created |
250,000 | — | ||||||
| Shares redeemed |
250,000 | 100,000 | ||||||
| Per share NAV beginning of period |
$ | 57.06 | $ | 38.98 | ||||
| Per share NAV end of period |
$ | 65.04 | $ | 38.97 | ||||
| Percentage change in per share NAV |
14.0 | % | (0.0 | )%@ | ||||
| Percentage change in benchmark |
(6.5 | )% | (0.2 | )% | ||||
| Benchmark annualized volatility |
11.2 | % | 5.5 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2022 to September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 698,580 outstanding Shares at June 30, 2021 to 598,580 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.0% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 0.0% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 0.2% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022.
148
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | 7,640 | $ | (54,645 | ) | |||
| Management fee |
106,598 | 57,037 | ||||||
| Non-recurring fees and expenses |
953 | — | ||||||
| Net realized gain (loss) |
5,879,873 | 197,444 | ||||||
| Change in net unrealized appreciation (depreciation) |
(523,871 | ) | (189,932 | ) | ||||
| Net Income (loss) |
$ | 5,363,642 | $ | (47,133 | ) | |||
The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2022.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Yen. |
ProShares VIX Mid-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 95,721,271 | $ | 92,662,734 | ||||
| NAV end of period |
$ | 110,420,574 | $ | 127,673,137 | ||||
| Percentage change in NAV |
15.4 | % | 37.7 | % | ||||
| Shares outstanding beginning of period |
2,712,403 | 3,037,403 | ||||||
| Shares outstanding end of period |
3,112,403 | 3,962,403 | ||||||
| Percentage change in shares outstanding |
14.7 | % | 30.5 | % | ||||
| Shares created |
850,000 | 1,200,000 | ||||||
| Shares redeemed |
450,000 | 275,000 | ||||||
| Per share NAV beginning of period |
$ | 35.29 | $ | 30.51 | ||||
| Per share NAV end of period |
$ | 35.48 | $ | 32.22 | ||||
| Percentage change in per share NAV |
0.6 | % | 5.6 | % | ||||
| Percentage change in benchmark |
1.1 | % | 6.0 | % | ||||
| Benchmark annualized volatility |
22.1 | % | 22.9 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,712,403 outstanding Shares at June 30, 2022 to 3,112,403 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 3,037,403 outstanding Shares at June 30, 2021 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.
149
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 5.6% for the three months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s rise of 1.1% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 6.0% for the three months ended September 30, 2021, can be attributed to a lesser increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (1,269 | ) | $ | (262,156 | ) | ||
| Management fee |
201,508 | 221,356 | ||||||
| Brokerage commission |
17,922 | 20,803 | ||||||
| Futures account fees |
— | 28,911 | ||||||
| Non-recurring fees and expenses |
2,050 | — | ||||||
| Net realized gain (loss) |
(1,349,272 | ) | (4,024,133 | ) | ||||
| Change in net unrealized appreciation (depreciation) |
3,368,209 | 10,652,952 | ||||||
| Net Income (loss) |
$ | 2,017,668 | $ | 6,366,663 | ||||
The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser increase in the value of the futures prices during the three months ended September 30, 2022.
150
ProShares VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 341,714,316 | $ | 272,352,675 | ||||
| NAV end of period |
$ | 437,536,628 | $ | 368,777,333 | ||||
| Percentage change in NAV |
28.0 | % | 35.3 | % | ||||
| Shares outstanding beginning of period |
18,757,826 | 11,307,826 | ||||||
| Shares outstanding end of period |
25,582,826 | 16,257,826 | ||||||
| Percentage change in shares outstanding |
36.4 | % | 43.8 | % | ||||
| Shares created |
17,775,000 | 6,300,000 | ||||||
| Shares redeemed |
10,950,000 | 1,350,000 | ||||||
| Per share NAV beginning of period |
$ | 18.22 | $ | 24.09 | ||||
| Per share NAV end of period |
$ | 17.10 | $ | 22.68 | ||||
| Percentage change in per share NAV |
(6.1 | )% | (5.8 | )% | ||||
| Percentage change in benchmark |
(5.7 | )% | (5.6 | )% | ||||
| Benchmark annualized volatility |
51.0 | % | 69.6 | % | ||||
During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 18,757,826 outstanding Shares at June 30, 2022 to 25,582,826 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 11,307,826 outstanding Shares at June 30, 2021 to 16,257,826 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.1% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 5.8% for the three months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.
The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 5.6% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:
| Three Months Ended September 30, 2022 |
Three Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | 259,392 | $ | (897,586 | ) | |||
| Management fee |
874,070 | 660,051 | ||||||
| Brokerage commission |
203,095 | 97,516 | ||||||
| Futures account fees |
54,944 | 151,758 | ||||||
| Non-recurring fees and expenses |
8,700 | — | ||||||
| Net realized gain (loss) |
(45,457,319 | ) | (51,868,433 | ) | ||||
| Change in net unrealized appreciation (depreciation) |
51,698,947 | 42,168,297 | ||||||
| Net Income (loss) |
$ | 6,501,020 | $ | (10,597,722 | ) | |||
The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the futures prices, during the three months ended September 30, 2022.
151
Results of Operations for the Nine Months Ended September 30, 2022 Compared to the Nine Months Ended September 30, 2021
ProShares Short VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 423,812,594 | $ | 409,371,468 | ||||
| NAV end of period |
$ | 321,831,051 | $ | 388,523,845 | ||||
| Percentage change in NAV |
(24.1 | )% | (5.1 | )% | ||||
| Shares outstanding beginning of period |
6,884,307 | 9,884,307 | ||||||
| Shares outstanding end of period |
6,634,307 | 7,134,307 | ||||||
| Percentage change in shares outstanding |
(3.6 | )% | (27.8 | )% | ||||
| Shares created |
5,050,000 | 3,400,000 | ||||||
| Shares redeemed |
5,300,000 | 6,150,000 | ||||||
| Per share NAV beginning of period |
$ | 61.56 | $ | 41.42 | ||||
| Per share NAV end of period |
$ | 48.51 | $ | 54.46 | ||||
| Percentage change in per share NAV |
(21.2 | )% | 31.5 | % | ||||
| Percentage change in benchmark |
14.7 | % | (58.4 | )% | ||||
| Benchmark annualized volatility |
86.1 | % | 73.8 | % | ||||
During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 6,884,307 outstanding Shares at December 31, 2021 to 6,634,307 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,884,307 outstanding Shares at December 31, 2020 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 31.5% for the nine months ended September 30, 2021, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022.
152
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (2,481,226 | ) | $ | (4,774,396 | ) | ||
| Management fee |
2,934,952 | 3,415,545 | ||||||
| Brokerage commission |
517,911 | 638,744 | ||||||
| Futures account fees |
348,217 | 795,836 | ||||||
| Non-recurring fees and expenses |
6,122 | — | ||||||
| Net realized gain (loss) |
(26,521,746 | ) | 168,119,037 | |||||
| Change in net unrealized appreciation (depreciation) |
(47,680,063 | ) | (14,532,856 | ) | ||||
| Net Income (loss) |
$ | (76,683,035 | ) | $ | 148,811,785 | |||
The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to an increase in the value of futures prices during the nine months ended September 30, 2022.
ProShares Ultra Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 1,103,783,570 | $ | 902,739,250 | ||||
| NAV end of period |
$ | 724,595,262 | $ | 1,090,613,716 | ||||
| Percentage change in NAV |
(34.4 | )% | 20.8 | % | ||||
| Shares outstanding beginning of period |
51,243,096 | 99,243,096 | ||||||
| Shares outstanding end of period |
27,643,096 | 51,643,096 | ||||||
| Percentage change in shares outstanding |
(46.1 | )% | (48.0 | )% | ||||
| Shares created |
20,700,000 | 17,400,000 | ||||||
| Shares redeemed |
44,300,000 | 65,000,000 | ||||||
| Per share NAV beginning of period |
$ | 21.54 | $ | 9.10 | ||||
| Per share NAV end of period |
$ | 26.21 | $ | 21.12 | ||||
| Percentage change in per share NAV |
21.7 | % | 132.2 | % | ||||
| Percentage change in benchmark |
18.7 | % | 58.2 | % | ||||
| Benchmark annualized volatility |
45.6 | % | 29.1 | % | ||||
During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 51,243,096 outstanding Shares at December 31, 2021 to 27,643,096 outstanding Shares at September 30, 2022. the decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil IndexSM. The increase in the Fund’s NAV was offset by a decrease from 99,243,096 outstanding Shares at December 31, 2020 to 51,643,096 outstanding Shares at September 30, 2021.
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 21.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 132.2% for the nine months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
153
The benchmark’s rise of 18.7% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 58.2% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (5,154,872 | ) | $ | (9,100,359 | ) | ||
| Management fee |
8,301,804 | 8,104,728 | ||||||
| Brokerage commission |
421,657 | 701,710 | ||||||
| Futures account fees |
381,754 | 632,199 | ||||||
| Non-recurring fees and expenses |
13,739 | 27,500 | ||||||
| Net realized gain (loss) |
818,132,441 | 761,182,708 | ||||||
| Change in net unrealized appreciation (depreciation) |
(339,456,270 | ) | 176,076,207 | |||||
| Net Income (loss) |
$ | 473,521,299 | $ | 928,158,556 | ||||
The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2022.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil. |
154
ProShares Ultra Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 193,892,178 | $ | 169,800,371 | ||||
| NAV end of period |
$ | 289,386,097 | $ | 145,038,381 | ||||
| Percentage change in NAV |
49.3 | % | (14.6 | )% | ||||
| Shares outstanding beginning of period |
7,587,527 | 8,087,527 | ||||||
| Shares outstanding end of period |
5,437,527 | 1,737,527 | ||||||
| Percentage change in shares outstanding |
(28.3 | )% | (78.5 | )% | ||||
| Shares created |
15,100,000 | 5,200,000 | ||||||
| Shares redeemed |
17,250,000 | 11,550,000 | ||||||
| Per share NAV beginning of period |
$ | 25.55 | $ | 21.00 | ||||
| Per share NAV end of period |
$ | 53.22 | $ | 83.47 | ||||
| Percentage change in per share NAV |
108.3 | % | 297.6 | % | ||||
| Percentage change in benchmark |
86.6 | % | 113.0 | % | ||||
| Benchmark annualized volatility |
71.7 | % | 40.5 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 7,587,527 outstanding Shares at December 31, 2021 to 5,437,527 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 1,737,527 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas SubindexSM.
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 108.3% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 297.6% for the nine months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
The benchmark’s rise of 86.6% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 113.0% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (977,992 | ) | $ | (845,018 | ) | ||
| Management fee |
1,589,759 | 568,903 | ||||||
| Brokerage commission |
300,747 | 195,831 | ||||||
| Futures account fees |
177,950 | 112,998 | ||||||
| Non-recurring fees and expenses |
4,791 | — | ||||||
| Net realized gain (loss) |
235,314,633 | 80,409,947 | ||||||
| Change in net unrealized appreciation (depreciation) |
(89,199,198 | ) | 35,684,757 | |||||
| Net Income (loss) |
$ | 145,137,443 | $ | 115,249,686 | ||||
155
The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of Henry Hub Natural Gas during the nine months ended September 30, 2022.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 8,659,095 | $ | 4,737,350 | ||||
| NAV end of period |
$ | 13,869,371 | $ | 3,479,104 | ||||
| Percentage change in NAV |
60.2 | % | (26.6 | )% | ||||
| Shares outstanding beginning of period |
650,000 | 300,000 | ||||||
| Shares outstanding end of period |
1,450,000 | 250,000 | ||||||
| Percentage change in shares outstanding |
123.1 | % | (16.7 | )% | ||||
| Shares created |
1,250,000 | 100,000 | ||||||
| Shares redeemed |
450,000 | 150,000 | ||||||
| Per share NAV beginning of period |
$ | 13.32 | $ | 15.79 | ||||
| Per share NAV end of period |
$ | 9.57 | $ | 13.92 | ||||
| Percentage change in per share NAV |
(28.2 | )% | (11.9 | )% | ||||
| Percentage change in benchmark |
(13.2 | )% | (5.2 | )% | ||||
| Benchmark annualized volatility |
9.4 | % | 5.6 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 1,450,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2020 to 250,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 28.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 11.9% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
The benchmark’s decline of 13.2% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 5.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022.
156
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (18,918 | ) | $ | (26,743 | ) | ||
| Management fee |
66,646 | 28,158 | ||||||
| Non-recurring fees and expenses |
237 | — | ||||||
| Net realized gain (loss) |
(2,511,725 | ) | (186,149 | ) | ||||
| Change in net unrealized appreciation (depreciation) |
(514,727 | ) | (251,418 | ) | ||||
| Net Income (loss) |
$ | (3,045,370 | ) | $ | (464,310 | ) | ||
The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2022.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 232,780,534 | $ | 263,540,473 | ||||
| NAV end of period |
$ | 160,022,292 | $ | 230,917,847 | ||||
| Percentage change in NAV |
(31.3 | )% | (12.4 | )% | ||||
| Shares outstanding beginning of period |
3,900,000 | 3,900,000 | ||||||
| Shares outstanding end of period |
3,400,000 | 4,150,000 | ||||||
| Percentage change in shares outstanding |
(12.8 | )% | 6.4 | % | ||||
| Shares created |
1,650,000 | 1,250,000 | ||||||
| Shares redeemed |
2,150,000 | 1,000,000 | ||||||
| Per share NAV beginning of period |
$ | 59.69 | $ | 67.57 | ||||
| Per share NAV end of period |
$ | 47.07 | $ | 55.64 | ||||
| Percentage change in per share NAV |
(21.1 | )% | (17.7 | )% | ||||
| Percentage change in benchmark |
(9.3 | )% | (7.9 | )% | ||||
| Benchmark annualized volatility |
17.4 | % | 15.7 | % | ||||
During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold SubindexSM. The decrease in the Fund’s NAV also resulted in part from a decrease from 3,900,000 outstanding Shares at December 31, 2021 to 3,400,000 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 4,150,000 outstanding Shares at September 30, 2021.
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.1% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 17.7% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
157
The benchmark’s decline of 9.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.9% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (845,479 | ) | $ | (1,745,829 | ) | ||
| Management fee |
1,863,020 | 1,718,350 | ||||||
| Brokerage commission |
43,899 | 32,974 | ||||||
| Futures account fees |
28,169 | 64,764 | ||||||
| Non-recurring fees and expenses |
2,940 | — | ||||||
| Net realized gain (loss) |
(39,908,781 | ) | (27,599,609 | ) | ||||
| Change in net unrealized appreciation (depreciation) |
(17,626,635 | ) | (19,136,522 | ) | ||||
| Net Income (loss) |
$ | (58,380,895 | ) | $ | (48,481,960 | ) | ||
The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2022.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 515,453,594 | $ | 745,304,028 | ||||
| NAV end of period |
$ | 323,970,863 | $ | 480,309,476 | ||||
| Percentage change in NAV |
(37.1 | )% | (35.6 | )% | ||||
| Shares outstanding beginning of period |
14,796,526 | 14,696,526 | ||||||
| Shares outstanding end of period |
15,546,526 | 15,146,526 | ||||||
| Percentage change in shares outstanding |
5.1 | % | 3.1 | % | ||||
| Shares created |
4,250,000 | 4,450,000 | ||||||
| Shares redeemed |
3,500,000 | 4,000,000 | ||||||
| Per share NAV beginning of period |
$ | 34.84 | $ | 50.71 | ||||
| Per share NAV end of period |
$ | 20.84 | $ | 31.71 | ||||
| Percentage change in per share NAV |
(40.2 | )% | (37.5 | )% | ||||
| Percentage change in benchmark |
(19.0 | )% | (17.0 | )% | ||||
| Benchmark annualized volatility |
31.7 | % | 33.0 | % | ||||
158
During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 14,796,526 outstanding Shares at December 31, 2021 to 15,546,526 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver SubindexSM. The decrease in the Fund’s NAV was offset by an increase from 14,696,526 outstanding Shares at December 31, 2020 to 15,146,526 outstanding Shares at September 30, 2021.
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 40.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 37.5% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
The benchmark’s decline of 19.0% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 17.0% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of silver futures contracts during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (1,839,301 | ) | $ | (4,805,716 | ) | ||
| Management fee |
3,098,741 | 4,640,919 | ||||||
| Brokerage commission |
94,079 | 114,716 | ||||||
| Futures account fees |
26,693 | 258,250 | ||||||
| Non-recurring fees and expenses |
5,922 | — | ||||||
| Net realized gain (loss) |
(186,949,626 | ) | (80,038,809 | ) | ||||
| Change in net unrealized appreciation (depreciation) |
(16,694,572 | ) | (192,156,316 | ) | ||||
| Net Income (loss) |
$ | (205,483,499 | ) | $ | (277,000,841 | ) | ||
The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2022.
159
ProShares Ultra VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 816,679,636 | $ | 1,356,204,199 | ||||
| NAV end of period |
$ | 995,489,778 | $ | 1,020,845,873 | ||||
| Percentage change in NAV |
21.9 | % | (24.7 | )% | ||||
| Shares outstanding beginning of period |
65,828,420 | 12,713,091 | ||||||
| Shares outstanding end of period |
77,328,420 | 41,778,420 | ||||||
| Percentage change in shares outstanding |
17.5 | % | 228.6 | % | ||||
| Shares created |
234,900,000 | 70,385,000 | ||||||
| Shares redeemed |
223,400,000 | 41,319,671 | ||||||
| Per share NAV beginning of period |
$ | 12.41 | $ | 106.68 | ||||
| Per share NAV end of period |
$ | 12.87 | $ | 24.43 | ||||
| Percentage change in per share NAV |
3.7 | % | (77.1 | )% | ||||
| Percentage change in benchmark |
14.7 | % | (58.4 | )% | ||||
| Benchmark annualized volatility |
86.1 | % | 73.8 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 65,828,420 outstanding Shares at December 31, 2021 to 77,328,420 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 12,713,091 outstanding Shares at December 31, 2020 to 41,778,420 outstanding Shares at September 30, 2021.
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 77.1% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (7,265,397 | ) | $ | (16,038,632 | ) | ||
| Management fee |
7,085,920 | 8,897,953 | ||||||
| Brokerage commission |
3,183,788 | 4,225,879 | ||||||
| Futures account fees |
1,446,639 | 3,243,304 | ||||||
| Non-recurring fees and expenses |
20,117 | — | ||||||
| Net realized gain (loss) |
81,807,278 | (1,757,407,418 | ) | |||||
| Change in net unrealized appreciation (depreciation) |
323,479,748 | 146,498,138 | ||||||
| Net Income (loss) |
$ | 398,021,629 | $ | (1,626,947,912 | ) | |||
160
The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to an increase in the value of futures prices during the nine months ended September 30, 2022.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 2,362,849 | $ | 2,989,499 | ||||
| NAV end of period |
$ | 10,159,189 | $ | 2,539,880 | ||||
| Percentage change in NAV |
330.0 | % | (15.0 | )% | ||||
| Shares outstanding beginning of period |
49,970 | 49,970 | ||||||
| Shares outstanding end of period |
349,970 | 49,970 | ||||||
| Percentage change in shares outstanding |
600.4 | % | — | % | ||||
| Shares created |
350,000 | — | ||||||
| Shares redeemed |
50,000 | — | ||||||
| Per share NAV beginning of period |
$ | 47.29 | $ | 59.83 | ||||
| Per share NAV end of period |
$ | 29.03 | $ | 50.83 | ||||
| Percentage change in per share NAV |
(38.6 | )% | (15.0 | )% | ||||
| Percentage change in benchmark |
(20.3 | )% | (7.2 | )% | ||||
| Benchmark annualized volatility |
10.1 | % | 5.2 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 349,970 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to September 30, 2021.
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 38.6% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
The benchmark’s decline of 20.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022.
161
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (5,605 | ) | $ | (18,221 | ) | ||
| Management fee |
34,710 | 19,144 | ||||||
| Non-recurring fees and expenses |
194 | — | ||||||
| Net realized gain (loss) |
(2,531,291 | ) | (305,028 | ) | ||||
| Change in net unrealized appreciation (depreciation) |
(3,861 | ) | (126,370 | ) | ||||
| Net Income (loss) |
$ | (2,540,757 | ) | $ | (449,619 | ) | ||
The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2022.
ProShares UltraShort Bloomberg Crude Oil*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 114,167,602 | $ | 96,839,233 | ||||
| NAV end of period |
$ | 368,791,089 | $ | 93,575,213 | ||||
| Percentage change in NAV |
223.0 | % | (3.4 | )% | ||||
| Shares outstanding beginning of period |
1,776,760 | 416,994 | ||||||
| Shares outstanding end of period |
12,155,220 | 1,236,760 | ||||||
| Percentage change in shares outstanding |
584.1 | % | 196.6 | % | ||||
| Shares created |
38,940,000 | 1,447,500 | ||||||
| Shares redeemed |
28,561,540 | 627,734 | ||||||
| Per share NAV beginning of period |
$ | 64.26 | $ | 232.23 | ||||
| Per share NAV end of period |
$ | 30.34 | $ | 75.66 | ||||
| Percentage change in per share NAV |
(52.8 | )% | (67.4 | )% | ||||
| Percentage change in benchmark |
18.7 | % | 58.2 | % | ||||
| Benchmark annualized volatility |
45.6 | % | 29.1 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 12,155,220 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil IndexSM. The decrease in the Fund’s NAV was offset by an increase from 416,994 outstanding Shares at December 31, 2020 to 1,236,760 outstanding Shares at September 30, 2021.
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 52.8% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 67.4% for the nine months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
162
The benchmark’s rise of 18.7% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 58.2% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (1,043,095 | ) | $ | (751,650 | ) | ||
| Management fee |
2,599,503 | 603,444 | ||||||
| Brokerage commission |
332,256 | 100,902 | ||||||
| Futures account fees |
195,542 | 83,373 | ||||||
| Non-recurring fees and expenses |
7,548 | — | ||||||
| Net realized gain (loss) |
(142,631,216 | ) | (86,637,748 | ) | ||||
| Change in net unrealized appreciation (depreciation) |
113,674,105 | (5,829,481 | ) | |||||
| Net Income (loss) |
$ | (30,000,206 | ) | $ | (93,218,879 | ) | ||
The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil , in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2022.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil. |
163
ProShares UltraShort Bloomberg Natural Gas*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 242,145,130 | $ | 24,977,745 | ||||
| NAV end of period |
$ | 242,389,998 | $ | 138,468,677 | ||||
| Percentage change in NAV |
0.1 | % | 454.4 | % | ||||
| Shares outstanding beginning of period |
978,742 | 26,242 | ||||||
| Shares outstanding end of period |
13,966,856 | 986,242 | ||||||
| Percentage change in shares outstanding |
1,327.0 | % | 3,658.3 | % | ||||
| Shares created |
82,240,000 | 1,402,500 | ||||||
| Shares redeemed |
69,251,886 | 442,500 | ||||||
| Per share NAV beginning of period |
$ | 247.40 | $ | 951.82 | ||||
| Per share NAV end of period |
$ | 17.35 | $ | 140.40 | ||||
| Percentage change in per share NAV |
(93.0 | )% | (85.3 | )% | ||||
| Percentage change in benchmark |
86.6 | % | 113.0 | % | ||||
| Benchmark annualized volatility |
71.7 | % | 40.5 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 978,742 outstanding Shares at December 31, 2021 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 26,242 outstanding Shares at December 31, 2020 to 986,242 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas SubindexSM.
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 93.0% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 85.3% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
The benchmark’s rise of 86.6% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 113.0% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (1,452,942 | ) | $ | (932,981 | ) | ||
| Management fee |
1,784,017 | 609,472 | ||||||
| Brokerage commission |
539,244 | 249,831 | ||||||
| Futures account fees |
255,370 | 99,190 | ||||||
| Non-recurring fees and expenses |
5,374 | — | ||||||
| Net realized gain (loss) |
(389,255,425 | ) | (112,274,576 | ) | ||||
| Change in net unrealized appreciation (depreciation) |
116,824,672 | (35,670,233 | ) | |||||
| Net Income (loss) |
$ | (273,883,695 | ) | $ | (148,877,790 | ) | ||
164
The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of Henry Hub Natural Gas, during the nine months ended September 30, 2022.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Natural Gas. |
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 54,263,045 | $ | 52,953,339 | ||||
| NAV end of period |
$ | 90,584,278 | $ | 48,640,817 | ||||
| Percentage change in NAV |
66.9 | % | (8.1 | )% | ||||
| Shares outstanding beginning of period |
2,100,000 | 2,350,000 | ||||||
| Shares outstanding end of period |
2,600,000 | 1,950,000 | ||||||
| Percentage change in shares outstanding |
23.8 | % | (17.0 | )% | ||||
| Shares created |
1,650,000 | 300,000 | ||||||
| Shares redeemed |
1,150,000 | 700,000 | ||||||
| Per share NAV beginning of period |
$ | 25.84 | $ | 22.53 | ||||
| Per share NAV end of period |
$ | 34.84 | $ | 24.94 | ||||
| Percentage change in per share NAV |
34.8 | % | 10.7 | % | ||||
| Percentage change in benchmark |
(13.2 | )% | (5.2 | )% | ||||
| Benchmark annualized volatility |
9.4 | % | 5.6 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 2,100,000 outstanding Shares at December 31, 2021 to 2,600,000 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 1,950,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 34.8% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
The benchmark’s decline of 13.2% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 5.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022.
165
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (184,021 | ) | $ | (337,637 | ) | ||
| Management fee |
467,426 | 355,451 | ||||||
| Non-recurring fees and expenses |
1,835 | — | ||||||
| Net realized gain (loss) |
16,904,945 | 2,249,236 | ||||||
| Change in net unrealized appreciation (depreciation) |
3,015,661 | 3,263,109 | ||||||
| Net Income (loss) |
$ | 19,736,585 | $ | 5,174,708 | ||||
The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2022.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 26,859,844 | $ | 20,337,376 | ||||
| NAV end of period |
$ | 29,634,725 | $ | 27,731,022 | ||||
| Percentage change in NAV |
10.3 | % | 36.4 | % | ||||
| Shares outstanding beginning of period |
846,977 | 646,977 | ||||||
| Shares outstanding end of period |
796,977 | 796,977 | ||||||
| Percentage change in shares outstanding |
(5.9 | )% | 23.2 | % | ||||
| Shares created |
1,500,000 | 1,700,000 | ||||||
| Shares redeemed |
1,550,000 | 1,550,000 | ||||||
| Per share NAV beginning of period |
$ | 31.71 | $ | 31.43 | ||||
| Per share NAV end of period |
$ | 37.18 | $ | 34.80 | ||||
| Percentage change in per share NAV |
17.3 | % | 10.7 | % | ||||
| Percentage change in benchmark |
(9.3 | )% | (7.9 | )% | ||||
| Benchmark annualized volatility |
17.4 | % | 15.7 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold SubindexSM. The increase in the Fund’s NAV was offset by a decrease from 846,977 outstanding Shares at December 31, 2021 to 796,977 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at December 31, 2020 to 796,977 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold SubindexSM.
166
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 17.3% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
The benchmark’s decline of 9.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.9% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (128,991 | ) | $ | (208,304 | ) | ||
| Management fee |
218,466 | 199,999 | ||||||
| Brokerage commission |
9,361 | 9,174 | ||||||
| Futures account fees |
2,446 | 8,344 | ||||||
| Non-recurring fees and expenses |
639 | — | ||||||
| Net realized gain (loss) |
3,237,429 | (1,767,467 | ) | |||||
| Change in net unrealized appreciation (depreciation) |
3,160,276 | 1,727,781 | ||||||
| Net Income (loss) |
$ | 6,268,714 | $ | (247,990 | ) | |||
The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the futures prices during the nine months ended September 30, 2022.
167
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 26,537,000 | $ | 28,885,775 | ||||
| NAV end of period |
$ | 33,763,052 | $ | 40,373,877 | ||||
| Percentage change in NAV |
27.2 | % | 39.8 | % | ||||
| Shares outstanding beginning of period |
991,329 | 1,041,744 | ||||||
| Shares outstanding end of period |
991,329 | 1,291,329 | ||||||
| Percentage change in shares outstanding |
— | % | 24.0 | % | ||||
| Shares created |
2,800,000 | 3,750,000 | ||||||
| Shares redeemed |
2,800,000 | 3,500,415 | ||||||
| Per share NAV beginning of period |
$ | 26.77 | $ | 27.73 | ||||
| Per share NAV end of period |
$ | 34.06 | $ | 31.27 | ||||
| Percentage change in per share NAV |
27.2 | % | 12.8 | % | ||||
| Percentage change in benchmark |
(19.0 | )% | (17.0 | )% | ||||
| Benchmark annualized volatility |
31.7 | % | 33.0 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM. There was no net change in the Fund’s outstanding Shares from December 31, 2021 to September 30, 2022. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,041,744 outstanding Shares at December 31, 2020 to 1,291,329 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver SubindexSM.
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 27.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 12.8% for the nine months ended September 30, 2021, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
The benchmark’s decline of 19.0% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 17.0% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the silver futures contracts during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (125,396 | ) | $ | (279,779 | ) | ||
| Management fee |
190,549 | 248,539 | ||||||
| Brokerage commission |
20,677 | 19,409 | ||||||
| Futures account fees |
4,443 | 20,726 | ||||||
| Non-recurring fees and expenses |
612 | — | ||||||
| Net realized gain (loss) |
8,252,703 | (2,146,577 | ) | |||||
| Change in net unrealized appreciation (depreciation) |
1,567,440 | 10,463,787 | ||||||
| Net Income (loss) |
$ | 9,694,747 | $ | 8,037,431 | ||||
168
The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2022.
ProShares UltraShort Yen*
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 24,840,784 | $ | 23,691,070 | ||||
| NAV end of period |
$ | 51,937,338 | $ | 23,328,922 | ||||
| Percentage change in NAV |
109.1 | % | (1.5 | )% | ||||
| Shares outstanding beginning of period |
598,580 | 698,580 | ||||||
| Shares outstanding end of period |
798,580 | 598,580 | ||||||
| Percentage change in shares outstanding |
33.4 | % | (14.3 | )% | ||||
| Shares created |
1,100,000 | 200,000 | ||||||
| Shares redeemed |
900,000 | 300,000 | ||||||
| Per share NAV beginning of period |
$ | 41.50 | $ | 33.91 | ||||
| Per share NAV end of period |
$ | 65.04 | $ | 38.97 | ||||
| Percentage change in per share NAV |
56.7 | % | 14.9 | % | ||||
| Percentage change in benchmark |
(20.3 | )% | (7.2 | )% | ||||
| Benchmark annualized volatility |
10.1 | % | 5.2 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 598,580 outstanding Shares at December 31, 2021 to 798,580 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 698,580 outstanding Shares at December 31, 2020 to 598,580 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 56.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 14.9% for the nine months ended September 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
The benchmark’s decline of 20.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022.
169
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (109,049 | ) | $ | (186,478 | ) | ||
| Management fee |
259,599 | 196,036 | ||||||
| Non-recurring fees and expenses |
953 | — | ||||||
| Net realized gain (loss) |
14,980,187 | 3,055,103 | ||||||
| Change in net unrealized appreciation (depreciation) |
(453,336 | ) | 1,066,333 | |||||
| Net Income (loss) |
$ | 14,417,802 | $ | 3,934,958 | ||||
The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2022.
| * | See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Yen. |
ProShares VIX Mid-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 112,875,680 | $ | 72,075,095 | ||||
| NAV end of period |
$ | 110,420,574 | $ | 127,673,137 | ||||
| Percentage change in NAV |
(2.2 | )% | 77.1 | % | ||||
| Shares outstanding beginning of period |
3,687,403 | 1,962,403 | ||||||
| Shares outstanding end of period |
3,112,403 | 3,962,403 | ||||||
| Percentage change in shares outstanding |
(15.6 | )% | 101.9 | % | ||||
| Shares created |
1,850,000 | 2,625,000 | ||||||
| Shares redeemed |
2,425,000 | 625,000 | ||||||
| Per share NAV beginning of period |
$ | 30.61 | $ | 36.73 | ||||
| Per share NAV end of period |
$ | 35.48 | $ | 32.22 | ||||
| Percentage change in per share NAV |
15.9 | % | (12.3 | )% | ||||
| Percentage change in benchmark |
17.8 | % | (11.4 | )% | ||||
| Benchmark annualized volatility |
32.5 | % | 28.3 | % | ||||
During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,687,403 outstanding Shares at December 31, 2021 to 3,112,403 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.
170
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 15.9% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.3% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
The benchmark’s rise of 17.8% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 11.4% for the nine months ended September 30, 2021, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (437,530 | ) | $ | (694,100 | ) | ||
| Management fee |
627,755 | 586,702 | ||||||
| Brokerage commission |
58,291 | 48,211 | ||||||
| Futures account fees |
46,394 | 86,674 | ||||||
| Non-recurring fees and expenses |
2,050 | — | ||||||
| Net realized gain (loss) |
11,304,277 | (14,890,359 | ) | |||||
| Change in net unrealized appreciation (depreciation) |
6,887,044 | 5,949,460 | ||||||
| Net Income (loss) |
$ | 17,753,791 | $ | (9,634,999 | ) | |||
The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to an increase in the value of the futures prices during the nine months ended September 30, 2022.
171
ProShares VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| NAV beginning of period |
$ | 269,703,164 | $ | 293,390,549 | ||||
| NAV end of period |
$ | 437,536,628 | $ | 368,777,333 | ||||
| Percentage change in NAV |
62.2 | % | 25.7 | % | ||||
| Shares outstanding beginning of period |
17,832,826 | 5,331,579 | ||||||
| Shares outstanding end of period |
25,582,826 | 16,257,826 | ||||||
| Percentage change in shares outstanding |
43.5 | % | 204.9 | % | ||||
| Shares created |
35,900,000 | 16,556,250 | ||||||
| Shares redeemed |
28,150,000 | 5,630,003 | ||||||
| Per share NAV beginning of period |
$ | 15.12 | $ | 55.03 | ||||
| Per share NAV end of period |
$ | 17.10 | $ | 22.68 | ||||
| Percentage change in per share NAV |
13.1 | % | (58.8 | )% | ||||
| Percentage change in benchmark |
14.7 | % | (58.4 | )% | ||||
| Benchmark annualized volatility |
86.1 | % | 73.8 | % | ||||
During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 17,832,826 outstanding Shares at December 31, 2021 to 25,582,826 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 5,331,579 outstanding Shares at December 31, 2020 to 16,257,826 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 13.1% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 58.8% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.
The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, can be attributed to an increase in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2022.
Net Income/Loss
The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:
| Nine Months Ended September 30, 2022 |
Nine Months Ended September 30, 2021 |
|||||||
| Net investment income (loss) |
$ | (1,545,500 | ) | $ | (3,019,972 | ) | ||
| Management fee |
2,353,478 | 2,154,874 | ||||||
| Brokerage commission |
490,751 | 365,013 | ||||||
| Futures account fees |
371,384 | 591,272 | ||||||
| Non-recurring fees and expenses |
8,700 | — | ||||||
| Net realized gain (loss) |
31,935,690 | (304,349,667 | ) | |||||
| Change in net unrealized appreciation (depreciation) |
84,851,343 | 27,729,790 | ||||||
| Net Income (loss) |
$ | 115,241,533 | $ | (279,639,849 | ) | |||
The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to an increase in the value of the futures prices during the nine months ended September 30, 2022.
172
Item 3. Quantitative and Qualitative Disclosures About Market Risk.
Quantitative Disclosure
Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity
Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments.
The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of September 30, 2022 and 2021, each of the Fund’s positions were as follows:
ProShares Short VIX Short-Term Futures ETF
As of September 30, 2022 and 2021, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2022 and 2021, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2022
| Contract |
Long or Short |
Expiration |
Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| VIX Futures (Cboe) |
Short | October 2022 | 3,083 | $ | 31.52 | 1,000 | $ | (97,163,828 | ) | |||||||||||
| VIX Futures (Cboe) |
Short | November 2022 | 2,052 | 31.07 | 1,000 | (63,759,128 | ) | |||||||||||||
Futures Positions as of September 30, 2021
| Contract |
Long or Short |
Expiration |
Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| VIX Futures (Cboe) |
Short | October 2021 | 4,341 | $ | 22.87 | 1,000 | $ | (99,269,120 | ) | |||||||||||
| VIX Futures (Cboe) |
Short | November 2021 | 4,001 | 23.69 | 1,000 | (94,767,286 | ) | |||||||||||||
The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
173
ProShares Ultra Bloomberg Crude Oil:
As of September 30, 2022 and 2021, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil IndexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2022
| Contract |
Long or Short |
Expiration |
Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| WTI Crude Oil (NYMEX) |
Long | December 2022 | 1,450 | $ | 78.72 | 1,000 | $ | 114,144,000 | ||||||||||||
| WTI Crude Oil (NYMEX) |
Long | June 2023 | 1,535 | 73.00 | 1,000 | 112,055,000 | ||||||||||||||
| WTI Crude Oil (NYMEX) |
Long | December 2023 | 1,610 | 69.66 | 1,000 | 112,152,600 | ||||||||||||||
Swap Agreements as of September 30, 2022
| Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
| Bloomberg Commodity Balanced WTI Crude Oil Index |
Citibank, N.A. | Long | $ | 77.9524 | $ | 175,709,387 | ||||||
| Bloomberg Commodity Balanced WTI Crude Oil Index |
Goldman Sachs International | Long | 77.9524 | 218,463,160 | ||||||||
| Bloomberg Commodity Balanced WTI Crude Oil Index |
Morgan Stanley & Co. International PLC | Long | 77.9524 | 304,335,914 | ||||||||
| Bloomberg Commodity Balanced WTI Crude Oil Index |
Societe Generale | Long | 77.9524 | 165,828,296 | ||||||||
| Bloomberg Commodity Balanced WTI Crude Oil Index |
UBS AG | Long | 77.9524 | 246,871,587 | ||||||||
Futures Positions as of September 30, 2021
| Contract |
Long or Short |
Expiration |
Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| WTI Crude Oil (NYMEX) |
Long | December 2021 | 5,657 | $ | 74.70 | 1,000 | $ | 422,577,900 | ||||||||||||
| WTI Crude Oil (NYMEX) |
Long | June 2022 | 5,843 | 71.15 | 1,000 | 415,729,450 | ||||||||||||||
| WTI Crude Oil (NYMEX) |
Long | December 2022 | 6,063 | 67.70 | 1,000 | 410,465,100 | ||||||||||||||
Swap Agreements as of September 30, 2021
| Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
| Bloomberg Commodity Balanced WTI Crude Oil Index |
Citibank, N.A. | Long | $ | 63.6871 | $ | 143,554,545 | ||||||
| Bloomberg Commodity Balanced WTI Crude Oil Index |
Goldman Sachs International | Long | 63.6871 | 203,094,978 | ||||||||
| Bloomberg Commodity Balanced WTI Crude Oil Index |
Morgan Stanley & Co. International PLC | Long | 63.6871 | 248,642,399 | ||||||||
| Bloomberg Commodity Balanced WTI Crude Oil Index |
Societe Generale | Long | 63.6871 | 135,481,695 | ||||||||
| Bloomberg Commodity Balanced WTI Crude Oil Index |
UBS AG | Long | 63.6871 | 201,694,052 | ||||||||
174
The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares Ultra Bloomberg Natural Gas:
As of September 30, 2022 and 2021, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2022
| Contract |
Long or Short |
Expiration |
Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| Natural Gas (NYMEX) |
Long | November 2022 | 8,556 | $ | 6.77 | 10,000 | $ | 578,898,960 | ||||||||||||
Futures Positions as of September 30, 2021
| Contract |
Long or Short |
Expiration |
Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| Natural Gas (NYMEX) |
Long | November 2021 | 4,944 | $ | 5.87 | 10,000 | $ | 290,064,480 | ||||||||||||
The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
ProShares Ultra Euro:
As of September 30, 2022 and 2021, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2022
| Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency |
Forward Rate |
Market Value USD |
||||||||||||||
| Euro |
Goldman Sachs International | Long | 10/07/22 | 12,276,921 | 0.9964 | $ | 12,232,264 | |||||||||||||
| Euro |
UBS AG | Long | 10/07/22 | 17,572,502 | 0.9940 | 17,466,744 | ||||||||||||||
| Euro |
UBS AG | Short | 10/07/22 | (1,566,000 | ) | 0.9801 | $ | (1,534,866 | ) | |||||||||||
175
| Foreign Currency Forward Contracts as of September 30, 2021
|
||||||||||||||||||||
| Reference Currency |
Counterparty |
Long or |
Settlement Date |
Local Currency | Forward Rate | Market Value USD |
||||||||||||||
| Euro |
Goldman Sachs International | Long | 10/08/21 | 3,388,921 | 1.1851 | $ | 4,016,217 | |||||||||||||
| Euro |
UBS AG | Long | 10/08/21 | 2,801,502 | 1.1849 | 3,319,492 | ||||||||||||||
| Euro |
Goldman Sachs International | Short | 10/08/21 | (93,000 | ) | 1.1685 | $ | (108,671 | ) | |||||||||||
| Euro |
UBS AG | Short | 10/08/21 | (84,000 | ) | 1.1726 | (98,499 | ) | ||||||||||||
The September 30, 2022 and 2021 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares Ultra Gold:
As of September 30, 2022 and 2021 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2022
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| Gold Futures (COMEX) |
Long | December 2022 | 409 | $ | 1,672.00 | 100 | $ | 68,384,800 | ||||||||||||
Swap Agreements as of September 30, 2022
| Reference Index |
Counterparty |
Long or Short |
Index Close | Notional Amount at Value |
||||||||
| Bloomberg Gold Subindex |
Citibank, N.A. | Long | $ | 180.7152 | $ | 100,068,860 | ||||||
| Bloomberg Gold Subindex |
Goldman Sachs International | Long | 180.7152 | 47,529,603 | ||||||||
| Bloomberg Gold Subindex |
UBS AG | Long | 180.7152 | 104,098,025 | ||||||||
Futures Positions as of September 30, 2021
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| Gold Futures (COMEX) |
Long | December 2021 | 856 | $ | 1,757.00 | 100 | $ | 150,399,200 | ||||||||||||
Swap Agreements as of September 30, 2021
| Reference Index |
Counterparty |
Long or Short |
Index Close | Notional Amount at Value |
||||||||
| Bloomberg Gold Subindex |
Citibank, N.A. | Long | $ | 193.6583 | $ | 107,235,945 | ||||||
| Bloomberg Gold Subindex |
Goldman Sachs International | Long | 193.6583 | 92,669,240 | ||||||||
| Bloomberg Gold Subindex |
UBS AG | Long | 193.6583 | 111,553,685 | ||||||||
The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract
176
or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares Ultra Silver:
As of September 30, 2022 and 2021 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2022
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| Silver Futures (COMEX) |
Long | December 2022 | 2,163 | $ | 19.04 | 5,000 | $ | 205,906,785 | ||||||||||||
Swap Agreements as of September 30, 2022
| Reference Index |
Counterparty |
Long or Short |
Index Close | Notional Amount at Value |
||||||||
| Bloomberg Silver Subindex |
Citibank, N.A. | Long | $ | 169.7456 | $ | 142,330,643 | ||||||
| Bloomberg Silver Subindex |
Goldman Sachs International | Long | 169.7456 | 18,803,260 | ||||||||
| Bloomberg Silver Subindex |
Morgan Stanley & Co. International PLC | Long | 169.7456 | 156,302,767 | ||||||||
| Bloomberg Silver Subindex |
UBS AG | Long | 169.7456 | 124,719,934 | ||||||||
Futures Positions as of September 30, 2021
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| Silver Futures (COMEX) |
Long | December 2021 | 1,213 | $ | 22.05 | 5,000 | $ | 133,715,055 | ||||||||||||
Swap Agreements as of September 30, 2021
| Reference Index |
Counterparty |
Long or Short |
Index Close | Notional Amount at Value |
||||||||
| Bloomberg Silver Subindex |
Citibank, N.A. | Long | $ | 200.3035 | $ | 219,572,067 | ||||||
| Bloomberg Silver Subindex |
Goldman Sachs International | Long | 200.3035 | 219,657,055 | ||||||||
| Bloomberg Silver Subindex |
Morgan Stanley & Co. International PLC | Long | 200.3035 | 204,665,509 | ||||||||
| Bloomberg Silver Subindex |
UBS AG | Long | 200.3035 | 182,787,599 | ||||||||
The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
177
ProShares Ultra VIX Short-Term Futures ETF
As of September 30, 2022 and 2021, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2022
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| VIX Futures (Cboe) |
Long | October 2022 | 28,597 | $ | 31.52 | 1,000 | $ | 901,263,052 | ||||||||||||
| VIX Futures (Cboe) |
Long | November 2022 | 19,065 | 31.07 | 1,000 | 592,381,961 | ||||||||||||||
Futures Positions as of September 30, 2021
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| VIX Futures (Cboe) |
Long | October 2021 | 32,595 | $ | 22.87 | 1,000 | $ | 745,375,941 | ||||||||||||
| VIX Futures (Cboe) |
Long | November 2021 | 30,104 | 23.69 | 1,000 | 713,040,334 | ||||||||||||||
Swap Agreements as of September 30, 2021
| Reference Index |
Counterparty |
Long or Short |
Index Close |
Notional Amount at Value |
||||||||
| iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index |
Goldman Sachs International | Long | $ | 27.8300 | $ | 73,401,625 | ||||||
The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares Ultra Yen:
As of September 30, 2022 and 2021, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to exchange rate price risk.
178
Foreign Currency Forward Contracts as of September 30, 2022
| Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency | Forward Rate |
Market Value USD |
||||||||||||||
| Yen |
Goldman Sachs International | Long | 10/07/22 | 1,186,245,517 | 0.006949 | $ | 8,243,617 | |||||||||||||
| Yen |
UBS AG | Long | 10/07/22 | 1,919,545,856 | 0.006945 | 13,331,165 | ||||||||||||||
| Yen |
Goldman Sachs International | Short | 10/07/22 | (33,368,000 | ) | 0.006974 | $ | (232,706 | ) | |||||||||||
| Yen |
UBS AG | Short | 10/07/22 | (133,030,000 | ) | 0.006945 | (923,831 | ) | ||||||||||||
Foreign Currency Forward Contracts as of September 30, 2021
| Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency | Forward Rate |
Market Value USD |
||||||||||||||
| Yen |
Goldman Sachs International | Long | 10/08/21 | 327,930,517 | 0.009089 | $ | 2,980,606 | |||||||||||||
| Yen |
UBS AG | Long | 10/08/21 | 253,562,756 | 0.009086 | 2,303,858 | ||||||||||||||
| Yen |
Goldman Sachs International | Short | 10/08/21 | (6,319,000 | ) | 0.008956 | $ | (56,591 | ) | |||||||||||
| Yen |
UBS AG | Short | 10/08/21 | (10,090,000 | ) | 0.009078 | (91,593 | ) | ||||||||||||
The September 30, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Bloomberg Crude Oil:
As of September 30, 2022 and 2021, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2022
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| WTI Crude Oil (NYMEX) |
Short | December 2022 | 3,174 | $ | 78.72 | 1,000 | $ | (249,857,280 | ) | |||||||||||
| WTI Crude Oil (NYMEX) |
Short | June 2023 | 3,344 | 73.00 | 1,000 | (244,112,000 | ) | |||||||||||||
| WTI Crude Oil (NYMEX) |
Short | December 2023 | 3,500 | 69.66 | 1,000 | (243,810,000 | ) | |||||||||||||
Futures Positions as of September 30, 2021
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| WTI Crude Oil (NYMEX) |
Short | December 2021 | 848 | $ | 74.70 | 1,000 | $ | (63,345,600 | ) | |||||||||||
| WTI Crude Oil (NYMEX) |
Short | June 2022 | 876 | 71.15 | 1,000 | (62,327,400 | ) | |||||||||||||
| WTI Crude Oil (NYMEX) |
Short | December 2022 | 909 | 67.70 | 1,000 | (61,539,300 | ) | |||||||||||||
179
The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. September 30, 2022 and 2021 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Bloomberg Natural Gas:
As of September 30, 2022 and 2021, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2022
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| Natural Gas (NYMEX) |
Short | November 2022 | 7,167 | $ | 6.77 | 10,000 | $ | (484,919,220 | ) | |||||||||||
Futures Positions as of September 30, 2021
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| Natural Gas (NYMEX) |
Short | November 2021 | 4,720 | $ | 5.87 | 10,000 | $ | (276,922,400 | ) | |||||||||||
The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Euro:
As of September 30, 2022 and 2021, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to exchange rate price risk.
180
Foreign Currency Forward Contracts as of September 30, 2022
| Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency | Forward Rate | Market Value USD |
||||||||||||||
| Euro |
UBS AG | Long | 10/07/22 | 38,000,000 | 0.9876 | $ | 37,528,206 | |||||||||||||
| Euro |
Goldman Sachs International | Short | 10/07/22 | (78,612,263 | ) | 0.9970 | $ | (78,374,875 | ) | |||||||||||
| Euro |
UBS AG | Short | 10/07/22 | (144,189,199 | ) | 0.9931 | (143,198,834 | ) | ||||||||||||
Foreign Currency Forward Contracts as of September 30, 2021
| Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency | Forward Rate | Market Value USD |
||||||||||||||
| Euro |
UBS AG | Long | 10/08/21 | 5,650,000 | 1.1862 | $ | 6,702,072 | |||||||||||||
| Euro |
Goldman Sachs International | Short | 10/08/21 | (39,458,263 | ) | 1.1837 | $ | (46,708,330 | ) | |||||||||||
| Euro |
UBS AG | Short | 10/08/21 | (49,895,199 | ) | 1.1841 | (59,081,294 | ) | ||||||||||||
The September 30, 2022 and 2021 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Gold:
As of September 30, 2022 and 2021 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2022
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| Gold Futures (COMEX) |
Short | December 2022 | 157 | $ | 1,672.00 | 100 | $ | (26,250,400 | ) | |||||||||||
Swap Agreements as of September 30, 2022
| Reference Index |
Counterparty |
Long or Short |
Index Close | Notional Amount at Value |
||||||||
| Bloomberg Gold Subindex |
Citibank, N.A. | Short | $ | 180.7152 | $ | (13,547,911 | ) | |||||
| Bloomberg Gold Subindex |
Goldman Sachs International | Short | 180.7152 | (8,863,141 | ) | |||||||
| Bloomberg Gold Subindex |
UBS AG | Short | 180.7152 | (10,598,433 | ) | |||||||
Futures Positions as of September 30, 2021
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| Gold Futures (COMEX) |
Short | December 2021 | 114 | $ | 1,757.00 | 100 | $ | (20,029,800 | ) | |||||||||||
181
Swap Agreements as of September 30, 2021
| Reference Index |
Counterparty |
Long or Short |
Index Close | Notional Amount at Value |
||||||||
| Bloomberg Gold Subindex |
Citibank, N.A. | Short | $ | 193.6583 | $ | (14,518,233 | ) | |||||
| Bloomberg Gold Subindex |
Goldman Sachs International | Short | 193.6583 | (9,497,933 | ) | |||||||
| Bloomberg Gold Subindex |
UBS AG | Short | 193.6583 | (11,357,509 | ) | |||||||
The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Silver:
As of September 30, 2022 and 2021 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver SubindexSM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.
Futures Positions as of September 30, 2022
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| Silver Futures (COMEX) |
Short | December 2022 | 506 | $ | 19.04 | 5,000 | $ | (48,168,670 | ) | |||||||||||
Swap Agreements as of September 30, 2022
| Reference Index |
Counterparty |
Long or Short |
Index Close | Notional Amount at Value |
||||||||
| Bloomberg Silver Subindex |
Citibank, N.A. | Short | $ | 169.7456 | $ | (2,288,972 | ) | |||||
| Bloomberg Silver Subindex |
Goldman Sachs International | Short | 169.7456 | (8,338,415 | ) | |||||||
| Bloomberg Silver Subindex |
Morgan Stanley & Co. International PLC | Short | 169.7456 | (6,593,089 | ) | |||||||
| Bloomberg Silver Subindex |
UBS AG | Short | 169.7456 | (2,108,259 | ) | |||||||
Futures Positions as of September 30, 2021
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| Silver Futures (COMEX) |
Short | December 2021 | 380 | $ | 22.05 | 5,000 | $ | (41,889,300 | ) | |||||||||||
182
Swap Agreements as of September 30, 2021
| Reference Index |
Counterparty |
Long or Short |
Index Close | Notional Amount at Value |
||||||||
| Bloomberg Silver Subindex |
Citibank, N.A. | Short | $ | 200.3035 | $ | (7,432,206 | ) | |||||
| Bloomberg Silver Subindex |
Goldman Sachs International | Short | 200.3035 | (9,839,512 | ) | |||||||
| Bloomberg Silver Subindex |
Morgan Stanley & Co. International PLC | Short | 200.3035 | (7,779,988 | ) | |||||||
| Bloomberg Silver Subindex |
UBS AG | Short | 200.3035 | (13,786,912 | ) | |||||||
The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
ProShares UltraShort Yen:
As of September 30, 2022 and 2021, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to exchange rate price risk.
Foreign Currency Forward Contracts as of September 30, 2022
| Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency | Forward Rate | Market Value USD |
||||||||||||||
| Yen |
Goldman Sachs International | Long | 10/07/22 | 513,732,000 | 0.007033 | $ | 3,613,292 | |||||||||||||
| Yen |
UBS AG | Long | 10/07/22 | 1,169,990,000 | 0.006995 | 8,183,497 | ||||||||||||||
| Yen |
Goldman Sachs International | Short | 10/07/22 | (4,358,922,165 | ) | 0.006949 | $ | (30,291,833 | ) | |||||||||||
| Yen |
UBS AG | Short | 10/07/22 | (12,349,528,574 | ) | 0.006949 | (85,811,526 | ) | ||||||||||||
Foreign Currency Forward Contracts as of September 30, 2021
| Reference Currency |
Counterparty |
Long or Short |
Settlement Date |
Local Currency | Forward Rate | Market Value USD |
||||||||||||||
| Yen |
Goldman Sachs International | Long | 10/08/21 | 32,600,000 | 0.009147 | $ | 298,181 | |||||||||||||
| Yen |
UBS AG | Long | 10/08/21 | 373,110,000 | 0.009098 | 3,394,710 | ||||||||||||||
| Yen |
Goldman Sachs International | Short | 10/08/21 | (1,558,854,165 | ) | 0.009077 | $ | (14,149,247 | ) | |||||||||||
| Yen |
UBS AG | Short | 10/08/21 | (4,049,118,875 | ) | 0.009085 | (36,785,074 | ) | ||||||||||||
The September 30, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.
183
ProShares VIX Mid-Term Futures ETF
As of September 30, 2022 and 2021, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2022 and 2021, which were sensitive to equity market volatility risk.
Futures Positions as of September 30, 2022
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| VIX Futures (Cboe) |
Long | January 2023 | 728 | $ | 30.70 | 1,000 | $ | 22,351,129 | ||||||||||||
| VIX Futures (Cboe) |
Long | February 2023 | 1,214 | 30.31 | 1,000 | 36,796,340 | ||||||||||||||
| VIX Futures (Cboe) |
Long | March 2023 | 1,214 | 30.18 | 1,000 | 36,638,520 | ||||||||||||||
| VIX Futures (Cboe) |
Long | April 2023 | 486 | 30.25 | 1,000 | 14,700,868 | ||||||||||||||
Futures Positions as of September 30, 2021
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| VIX Futures (Cboe) |
Long | January 2022 | 872 | $ | 24.80 | 1,000 | $ | 21,626,210 | ||||||||||||
| VIX Futures (Cboe) |
Long | February 2022 | 1,677 | 25.23 | 1,000 | 42,304,841 | ||||||||||||||
| VIX Futures (Cboe) |
Long | March 2022 | 1,677 | 25.66 | 1,000 | 43,023,603 | ||||||||||||||
| VIX Futures (Cboe) |
Long | April 2022 | 804 | 25.83 | 1,000 | 20,765,953 | ||||||||||||||
The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
ProShares VIX Short-Term Futures ETF
As of September 30, 2022 and 2021, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of September 30, 2022 and 2021, which were sensitive to equity market volatility risk.
184
Futures Positions as of September 30, 2022
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| VIX Futures (Cboe) |
Long | October 2022 | 8,381 | $ | 31.52 | 1,000 | $ | 264,135,596 | ||||||||||||
| VIX Futures (Cboe) |
Long | November 2022 | 5,587 | 31.07 | 1,000 | 173,597,588 | ||||||||||||||
Futures Positions as of September 30, 2021
| Contract |
Long or Short |
Expiration | Contracts | Valuation Price |
Contract Multiplier |
Notional Amount at Value |
||||||||||||||
| VIX Futures (Cboe) |
Long | October 2021 | 8,245 | $ | 22.87 | 1,000 | $ | 188,545,011 | ||||||||||||
| VIX Futures (Cboe) |
Long | November 2021 | 7,617 | 23.69 | 1,000 | 180,415,500 | ||||||||||||||
The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
185
Qualitative Disclosure
As described in Item 7 in the Annual Report on Form 10-K, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, of its corresponding benchmark. Each Short Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results, before fees and expenses, that correspond to one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative one-half, one, one and one-half, two or three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.
Primary Market Risk Exposure
The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).
Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading strategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital.
As described in Item 7 in the Annual Report on Form 10-K, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.
Commodity Price Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.
Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).
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Exchange Rate Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.
Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).
Equity Market Volatility Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.
Managing Market Risks
Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-0.5x, -1x, -2x, 1.5x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described in Item 7 of the Annual Report on Form 10-K, these adjustments are done through the use of various Financial Instruments. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.
For Geared Funds, the impact of the index’s movements each day also affects whether the Fund’s portfolio needs to be rebalanced. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds and UltraShort Funds will generally decrease when the Index rises on a given day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day. As a result, the Fund’s short exposure may need to be increased.
The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.
Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in both non-interest bearing and interest bearing demand deposit accounts. The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).
Item 4. Controls and Procedures.
Disclosure Controls and Procedures
Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of December 31, 2021, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the
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Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to management, including the principal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.
Changes in Internal Control over Financial Reporting
There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2022 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.
Certifications
The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.
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Part II. OTHER INFORMATION
| Item 1. | Legal Proceedings. |
As of September 30, 2022, the Trust is not a party to any material legal proceedings.
| Item 1A. | Risk Factors. |
Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.
During April 2020, the collapse of demand for fuel as a result of economic conditions relating to COVID-19 and other factors created an oversupply of crude oil production that rapidly filled most available oil storage facilities. As a result, market participants who contractually promised to buy and take delivery of crude oil were unable to store the crude oil and were at risk of default under the terms of the May 2020 WTI crude oil futures contract. The scarcity in storage was widespread, and some market participants took the extreme measure of selling their futures contracts at a negative price (effectively paying another market participant to accept their crude oil). As a result, for the first time in history, a period of “extraordinary contango” resulted in certain crude oil futures contracts trading below zero. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and could cause significant losses. The oversupply of oil may continue, impacting futures contracts for other delivery months. Such circumstances may arise as a result of a number of factors, including the following: (1) disruptions in oil pipelines and other means to get oil out of storage and delivered to refineries (as might occur due to infrastructure deterioration, work stoppages, or weather/disaster); (2) any agreement by oil producing nations regarding production limits; or (3) potential government intervention (in the form of grants or other aid) to keep oil producers, and the workers they employ, in service. It is not possible to predict if or when these economic conditions will reverse. Any reversal of these conditions could have a significant negative impact on the performance of the Short Crude Oil Fund.
On February 24, 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future could have a significant adverse impact on the Russian economy and related markets. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflicts and related events could have significant impact on a Fund’s performance, and the value of an investment in a Fund may decline significantly.
The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.
Extreme market volatility and economic turbulence in the first part of 2020 has led to futures commission merchants increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some futures commission merchants may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts. If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.
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Natural Disasters and Public Health Disruptions, such as the COVID-19 Virus, May Have a Significant Negative Impact on the Performance of Each Fund
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and may continue to be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. For example, during March and April 2020, the U.S. federal government passed various legislation in response to the COVID-19 pandemic, the effects and results of which are uncertain. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities and accuracy of economic projections. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. A widespread crisis, such as the COVID-19 pandemic, may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.
Natural or environmental disasters or public health crisis, such as the COVID-19 pandemic and hurricanes, could result in sudden and large fluctuations in the supply of and demand for crude oil. For example, contemporaneous with the onset of the COVID-19 pandemic in the U.S., crude oil markets experienced shocks to supply of and demand for crude oil, which dramatically impacted the price of crude oil and futures contracts on crude oil and caused extreme volatility in the crude oil markets and crude oil futures markets.
The COVID-19 pandemic has already had, and may continue to have, a significant negative and unpredictable impact on the U.S. and global economy. For example, equity and other markets have experienced extreme declines and volatility. During much of 2020 and the first quarter of 2021, the unemployment rate in the U.S. has been extremely high by historical standards. Further, the global slowdown in the economy contributed to a significant oversupply in the crude oil market, resulting in historic shocks to, and extreme volatility in, the price of oil and related derivatives contracts. It is not possible to predict when unemployment and market conditions will return to more normal levels.
Market downturns, disruptions or illiquidity as a result of, or related to, the COVID-19 pandemic can have a significant negative impact on the value of Fund portfolio investments, the operations of each Fund, the markets in which the Funds invest and the trading of Fund Shares in the secondary market. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margin and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transact on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure consistent with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. These and other global economic shocks as a result of the COVID-19 pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.
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The Funds as well as the Sponsor and its service providers are vulnerable to the effects of public health crises, including the ongoing COVID-19 pandemic
Pandemics and other public health crises may cause a curtailment of business activities which may potentially impact the ability of the Sponsor and its service providers to operate. The COVID-19 pandemic (including any variants or issues relating to public acceptance of available vaccines) or a similar public health threat could adversely impact the Funds by causing operating delays and disruptions, market disruption and shutdowns (including as a result of government regulation and prevention measures). The COVID-19 pandemic has had and will likely continue to have serious negative effects on social, economic and financial systems, including significant uncertainty and volatility in the financial markets.
Governmental authorities and regulators throughout the world have, in the past, responded to major economic disruptions with a variety of fiscal and monetary policy changes, such as quantitative easing, new monetary programs and lower interest rates. An unexpected or quick reversal of these policies, or the ineffectiveness of these policies, is likely to increase volatility in the market generally, and could specifically increase volatility in the market for gold, which could adversely affect the price of the Funds. The outbreak could also cause the closure of futures exchanges, which could eliminate the ability of Authorized Participants to hedge purchases of Baskets, increasing trading costs and resulting in a sustained premium or discount in the shares of the Funds. The duration of the outbreak and its effects cannot be determined with any reasonable amount of certainty. A prolonged outbreak could result in an increase of the costs of the Funds, affect liquidity in the markets as well as the correlation between the price of the shares of the Funds and the net asset value of the Funds, any of which could adversely and materially affect the value of an investment in the Funds. The outbreak could impair information technology and other operational systems upon which the Funds’ service providers rely and could otherwise disrupt the ability of the employees of such service providers to perform essential tasks on behalf of the Funds.
| Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds. |
| a) | None. |
| b) | Not applicable. |
| c) | The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the three months ended September 30, 2022: |
| Title of Securities Registered* |
|
Total Number of Shares Redeemed |
Average Price Per Share |
|||||||
| ProShares Short VIX Short-Term Futures ETF |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | 850,000 | $ | 50.40 | ||||||
| 08/01/22 to 08/31/22 | 950,000 | $ | 53.82 | |||||||
| 09/01/22 to 09/30/22 | 400,000 | $ | 53.05 | |||||||
| ProShares Ultra Bloomberg Crude Oil |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | 3,750,000 | $ | 37.59 | ||||||
| 08/01/22 to 08/31/22 | 2,450,000 | $ | 37.02 | |||||||
| 09/01/22 to 09/30/22 | 2,050,000 | $ | 31.72 | |||||||
| ProShares Ultra Bloomberg Natural Gas |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | 3,050,000 | $ | 67.58 | ||||||
| 08/01/22 to 08/31/22 | 1,900,000 | $ | 98.18 | |||||||
| 09/01/22 to 09/30/22 | 350,000 | $ | 78.79 | |||||||
| ProShares Ultra Euro |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | — | $ | — | ||||||
| 08/01/22 to 08/31/22 | 50,000 | $ | 10.22 | |||||||
| 09/01/22 to 09/30/22 | 50,000 | $ | 9.91 | |||||||
| ProShares Ultra Gold |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | 300,000 | $ | 51.50 | ||||||
| 08/01/22 to 08/31/22 | 250,000 | $ | 51.79 | |||||||
| 09/01/22 to 09/30/22 | 350,000 | $ | 47.67 | |||||||
191
| ProShares Ultra Silver |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | — | $ | — | ||||||
| 08/01/22 to 08/31/22 | 500,000 | $ | 22.97 | |||||||
| 09/01/22 to 09/30/22 | 750,000 | $ | 22.11 | |||||||
| ProShares Ultra VIX Short-Term Futures ETF |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | 3,800,000 | $ | 13.70 | ||||||
| 08/01/22 to 08/31/22 | 27,450,000 | $ | 10.33 | |||||||
| 09/01/22 to 09/30/22 | 52,050,000 | $ | 11.22 | |||||||
| ProShares Ultra Yen |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | — | $ | — | ||||||
| 08/01/22 to 08/31/22 | — | $ | — | |||||||
| 09/01/22 to 09/30/22 | 50,000 | $ | 29.75 | |||||||
| ProShares UltraShort Bloomberg Crude Oil |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | 4,200,000 | $ | 25.49 | ||||||
| 08/01/22 to 08/31/22 | 7,550,000 | $ | 24.47 | |||||||
| 09/01/22 to 09/30/22 | 8,900,000 | $ | 27.61 | |||||||
| ProShares UltraShort Bloomberg Natural Gas |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | 3,400,000 | $ | 21.98 | ||||||
| 08/01/22 to 08/31/22 | 17,900,000 | $ | 14.14 | |||||||
| 09/01/22 to 09/30/22 | 28,600,000 | $ | 15.02 | |||||||
| ProShares UltraShort Euro |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | — | $ | — | ||||||
| 08/01/22 to 08/31/22 | 150,000 | $ | 32.87 | |||||||
| 09/01/22 to 09/30/22 | 400,000 | $ | 34.53 | |||||||
| ProShares UltraShort Gold |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | 300,000 | $ | 34.13 | ||||||
| 08/01/22 to 08/31/22 | — | $ | — | |||||||
| 09/01/22 to 09/30/22 | 350,000 | $ | 37.44 | |||||||
| ProShares UltraShort Silver |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | 400,000 | $ | 36.78 | ||||||
| 08/01/22 to 08/31/22 | 300,000 | $ | 31.03 | |||||||
| 09/01/22 to 09/30/22 | 350,000 | $ | 34.90 | |||||||
| ProShares UltraShort Yen |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | — | $ | — | ||||||
| 08/01/22 to 08/31/22 | 250,000 | $ | 57.10 | |||||||
| 09/01/22 to 09/30/22 | — | $ | — | |||||||
| ProShares VIX Mid-Term Futures ETF |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | 325,000 | $ | 34.95 | ||||||
| 08/01/22 to 08/31/22 | — | $ | — | |||||||
| 09/01/22 to 09/30/22 | 125,000 | $ | 34.37 | |||||||
| ProShares VIX Short-Term Futures ETF |
||||||||||
| Common Units of Beneficial Interest |
07/01/22 to 07/31/22 | 1,150,000 | $ | 17.47 | ||||||
| 08/01/22 to 08/31/22 | 2,300,000 | $ | 14.63 | |||||||
| 09/01/22 to 09/30/22 | 7,500,000 | $ | 15.48 |
| * | The registration statement covers an indeterminate amount of securities to be offered or sold. |
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| Item 3. | Defaults Upon Senior Securities. |
None.
| Item 4. | Mine Safety Disclosures. |
Not applicable.
| Item 5. | Other Information. |
None.
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| Item 6. | Exhibits. |
| (1) | Filed herewith. |
| * | These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing. |
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Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| PROSHARES TRUST II |
| /s/ Todd Johnson |
| By: Todd Johnson |
| Principal Executive Officer |
| Date: November 8, 2022 |
| /s/ Edward Karpowicz |
| By: Edward Karpowicz |
| Principal Financial and Accounting Officer |
| Date: November 8, 2022 |
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