ProShares Trust II 10-Q

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 March 31, 2021 and 2020, each of the Fund’s positions were as follows: ProShares Short Euro : As of March 31, 2021 and 2020, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to exchange rate price risk. Futures Positions as of March 31, 2021 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Euro Fx Currency Futures (CME) Short June 2021 15 $ 1.17 125,000 $ (2,201,625 ) Futures Positions as of March 31, 2020 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Euro Fx Currency Futures (CME) Short June 2020 17 $ 1.11 125,000 $ (2,348,019 ) The March 31, 2021 and 2020 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 positions in Financial Instruments each day to have $1.00 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 one. 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 Short VIX Short-Term Futures ETF As of March 31, 2021 and 2020, 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 March 31, 2021 and 2020, which were sensitive to equity market volatility risk. Futures Positions as of March 31, 2021 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Short April 2021 6,607 $ 20.73 1,000 $ (136,989,538 ) VIX Futures (Cboe) Short May 2021 5,590 22.68 1,000 (126,757,722 ) 163 Table of Contents Futures Positions as of March 31, 2020 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Short April 2020 4,392 $ 46.78 1,000 $ (205,435,800 ) VIX Futures (Cboe) Short May 2020 4,878 40.93 1,000 (199,632,150 ) The March 31, 2021 and 2020 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. ProShares Ultra Bloomberg Crude Oil: As of March 31, 2021 and 2020, 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 Index SM and Bloomberg WTI Crude Oil Subindex SM , respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to commodity price risk. Futures Positions as of March 31, 2021 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value WTI Crude Oil (NYMEX) Long June 2021 8,933 $ 59.18 1,000 $ 528,654,940 WTI Crude Oil (NYMEX) Long December 2021 9,478 56.85 1,000 538,824,300 WTI Crude Oil (NYMEX) Long June 2022 9,857 54.72 1,000 539,375,040 Swap Agreements as of March 31, 2021 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Commodity Balanced WTI Crude Oil Index Goldman Sachs International Long $49.0975 $108,014,255 Bloomberg Commodity Balanced WTI Crude Oil Index Morgan Stanley & Co. International PLC Long 49.0975 202,730,402 Bloomberg Commodity Balanced WTI Crude Oil Index Societe Generale Long 49.0975 104,445,210 Bloomberg Commodity Balanced WTI Crude Oil Index UBS AG Long 49.0975 155,489,475 Futures Positions as of March 31, 2020 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value WTI Crude Oil (NYMEX) Long May 2020 15,735 $ 20.48 1,000 $ 322,252,800 164 Table of Contents Swap Agreements as of March 31, 2020 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg WTI Crude Oil Subindex Citibank, N.A. Long $ 30.1606 $ 103,616,044 Bloomberg WTI Crude Oil Subindex Goldman Sachs International Long 30.1606 129,822,430 Bloomberg WTI Crude Oil Subindex Royal Bank of Canada Long 30.1606 144,648,067 Bloomberg WTI Crude Oil Subindex Societe Generale Long 30.1606 32,149,931 Bloomberg WTI Crude Oil Subindex UBS AG Long 30.1606 137,973,564 The March 31, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2021 and 2020 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 March 31, 2021 and 2020, 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 March 31, 2021 and 2020, which were sensitive to commodity price risk. Futures Positions as of March 31, 2021 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Natural Gas (NYMEX) Long May 2021 5,698 $ 2.61 10,000 $ 148,603,840 Futures Positions as of March 31, 2020 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Natural Gas (NYMEX) Long May 2020 3,249 $ 1.64 10,000 $ 53,283,600 The March 31, 2021 and 2020 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 March 31, 2021 and 2020, 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 March 31, 2021 and 2020, which were sensitive to exchange rate price risk. 165 Table of Contents Foreign Currency Forward Contracts as of March 31, 2021 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Euro Goldman Sachs International Long 04/09/21 2,210,921 1.2082 $ 2,671,235 Euro UBS AG Long 04/09/21 4,249,502 1.2075 5,131,458 Euro UBS AG Short 04/09/21 (276,000 ) 1.1884 (327,986 ) Foreign Currency Forward Contracts as of March 31, 2020 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Euro Goldman Sachs International Long 04/03/20 5,798,921 1.1140 $ 6,459,710 Euro UBS AG Long 04/03/20 5,578,220 1.1120 6,202,913 Euro Goldman Sachs International Short 04/03/20 (1,190,000 ) 1.1446 (1,362,084 ) Euro UBS AG Short 04/03/20 (3,030,918 ) 1.0879 (3,297,458 ) The March 31, 2021 and 2020 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 March 31, 2021 and 2020 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 Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to commodity price risk. Futures Positions as of March 31, 2021 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Gold Futures (COMEX) Long June 2021 722 $ 1,715.60 100 $ 123,866,320 Swap Agreements as of March 31, 2021 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Gold Subindex Citibank, N.A. Long $ 189.7346 $ 105,063,244 Bloomberg Gold Subindex Goldman Sachs International Long 189.7346 90,791,674 Bloomberg Gold Subindex UBS AG Long 189.7346 109,293,502 Futures Positions as of March 31, 2020 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Gold Futures (COMEX) Long June 2020 482 $ 1,596.60 100 $ 76,956,120 166 Table of Contents Swap Agreements as of March 31, 2020 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Gold Subindex Citibank, N.A. Long $ 181.9712 $ 62,978,399 Bloomberg Gold Subindex Goldman Sachs International Long 181.9712 62,167,791 Bloomberg Gold Subindex UBS AG Long 181.9712 54,777,259 The March 31, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2021 and 2020 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. Counterparty risk related to the swap agreements 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 Silver: As of March 31, 2021 and 2020 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 Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to commodity price risk. Futures Positions as of March 31, 2021 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Silver Futures (COMEX) Long May 2021 1,667 $ 24.53 5,000 $ 204,474,220 Swap Agreements as of March 31, 2021 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Silver Subindex Citibank, N.A. Long $ 223.9196 $ 291,359,450 Bloomberg Silver Subindex Goldman Sachs International Long 223.9196 218,805,087 Bloomberg Silver Subindex Morgan Stanley & Co. International PLC Long 223.9196 228,795,897 Bloomberg Silver Subindex UBS AG Long 223.9196 201,503,724 Futures Positions as of March 31, 2020 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Silver Futures (COMEX) Long May 2020 906 $ 14.16 5,000 $ 64,126,680 Swap Agreements as of March 31, 2020 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Silver Subindex Citibank, N.A. Long $ 133.7523 $ 62,269,702 Bloomberg Silver Subindex Goldman Sachs International Long 133.7523 68,893,289 Bloomberg Silver Subindex UBS AG Long 133.7523 64,040,895 167 Table of Contents The March 31, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2021 and 2020 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. Counterparty risk related to the swap agreements 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 VIX Short-Term Futures ETF As of March 31, 2021 and 2020, 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 March 31, 2021 and 2020, which were sensitive to equity market volatility risk. Futures Positions as of March 31, 2021 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long April 2021 45,234 $ 20.73 1,000 $ 937,881,756 VIX Futures (Cboe) Long May 2021 38,279 22.68 1,000 868,006,948 Swap Agreements as of March 31, 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 $ 11.4000 $ 120,270,000 Futures Positions as of March 31, 2020 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long April 2020 8,867 $ 46.78 1,000 $ 414,753,925 VIX Futures (Cboe) Long May 2020 9,852 40.93 1,000 403,193,100 Swap Agreements as of March 31, 2020 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 $ 46.1923 $ 71,236,931 The March 31, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2021 and 2020 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. 168 Table of Contents ProShares Ultra Yen: As of March 31, 2021 and 2020, 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 March 31, 2021 and 2020, which were sensitive to exchange rate price risk. Foreign Currency Forward Contracts as of March 31, 2021 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Yen Goldman Sachs International Long 04/09/21 332,532,517 0.009354 $ 3,110,368 Yen UBS AG Long 04/09/21 263,662,756 0.009355 2,466,565 Yen UBS AG Short 04/09/21 (21,110,000 ) 0.009176 (193,709 ) Foreign Currency Forward Contracts as of March 31, 2020 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Yen Goldman Sachs International Long 04/03/20 374,903,256 0.009352 $ 3,506,173 Yen UBS AG Long 04/03/20 297,882,756 0.009332 2,779,768 Yen Goldman Sachs International Short 04/03/20 (35,997,739 ) 0.009386 (337,883 ) Yen UBS AG Short 04/03/20 (34,490,000 ) 0.009184 (316,747 ) The March 31, 2021 and 2020 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 Australian Dollar: As of March 31, 2021 and 2020, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to exchange rate price risk. Futures Positions as of March 31, 2021 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Australian Dollar Fx Currency Futures (CME) Short June 2021 60 $ 75.98 1,000 $ (4,560,900 ) 169 Table of Contents Futures Positions as of March 31, 2020 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Australian Dollar Fx Currency Futures (CME) Short June 2020 234 $ 61.53 1,000 $ (14,374,620 ) The March 31, 2021 and 2020 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 positions in Financial Instruments each day to have $2.00 of short exposure to the Australian dollar 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 Australian dollar 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 Bloomberg Crude Oil: As of March 31, 2021 and 2020, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse 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 Index SM and Bloomberg WTI Crude Oil Subindex SM , respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to commodity price risk. Futures Positions as of March 31, 2021 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value WTI Crude Oil (NYMEX) Short June 2021 1,020 $ 59.18 1,000 $ (60,363,600 ) WTI Crude Oil (NYMEX) Short December 2021 1,082 56.85 1,000 (61,511,700 ) WTI Crude Oil (NYMEX) Short June 2022 1,125 54.72 1,000 (61,560,000 ) Futures Positions as of March 31, 2020 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value WTI Crude Oil (NYMEX) Short May 2020 3,923 $ 20.48 1,000 $ (80,343,040 ) Swap Agreements as of March 31, 2020 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg WTI Crude Oil Subindex Citibank N.A. Short $ 30.1606 $ (23,689,605 ) Bloomberg WTI Crude Oil Subindex Goldman Sachs International Short 30.1606 (37,283,308 ) Bloomberg WTI Crude Oil Subindex Royal Bank of Canada Short 30.1606 (35,979,891 ) Bloomberg WTI Crude Oil Subindex Societe Generale Short 30.1606 (1,886,919 ) Bloomberg WTI Crude Oil Subindex UBS AG Short 30.1606 (21,000,790 ) The March 31, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. March 31, 2021 and 2020 short swap notional values are calculated by multiplying the 170 Table of Contents 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 March 31, 2021 and 2020, 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 March 31, 2021 and 2020, which were sensitive to commodity price risk. Futures Positions as of March 31, 2021 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Natural Gas (NYMEX) Short May 2021 5,327 $ 2.61 10,000 $ (138,928,160 ) Futures Positions as of March 31, 2020 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Natural Gas (NYMEX) Short May 2020 2,125 $ 1.64 10,000 $ (34,850,000 ) The March 31, 2021 and 2020 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 March 31, 2021 and 2020, 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 March 31, 2021 and 2020, which were sensitive to exchange rate price risk. Foreign Currency Forward Contracts as of March 31, 2021 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Euro UBS AG Long 04/09/21 12,078,000 1.1877 $ 14,345,411 Euro Goldman Sachs International Short 04/09/21 (37,401,263 ) 1.2082 (45,188,206 ) Euro UBS AG Short 04/09/21 (68,453,199 ) 1.2035 (82,380,948 ) 171 Table of Contents Foreign Currency Forward Contracts as of March 31, 2020 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Euro Goldman Sachs International Long 04/03/20 33,335,051 1.1208 $ 37,363,018 Euro UBS AG Long 04/03/20 33,759,900 1.1016 37,188,671 Euro Goldman Sachs International Short 04/03/20 (76,098,314 ) 1.1136 (84,743,082 ) Euro UBS AG Short 04/03/20 (160,480,099 ) 1.1067 (177,599,175 ) The March 31, 2021 and 2020 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 March 31, 2021 and 2020 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 Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to commodity price risk. Futures Positions as of March 31, 2021 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Gold Futures (COMEX) Short June 2021 247 $ 1,715.60 100 $ (42,375,320 ) Swap Agreements as of March 31, 2021 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Gold Subindex Citibank, N.A. Short $ 189.7346 $ (14,224,080 ) Bloomberg Gold Subindex Goldman Sachs International Short 189.7346 (14,746,325 ) Bloomberg Gold Subindex UBS AG Short 189.7346 (11,127,395 ) Futures Positions as of March 31, 2020 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Gold Futures (COMEX) Short June 2020 127 $ 1,596.60 100 $ (20,276,820 ) Swap Agreements as of March 31, 2020 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Gold Subindex Citibank, N.A. Short $ 181.9712 $ (9,571,739 ) Bloomberg Gold Subindex Goldman Sachs International Short 181.9712 (7,173,997 ) Bloomberg Gold Subindex UBS AG Short 181.9712 (4,175,904 ) 172 Table of Contents The March 31, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2021 and 2020 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. Counterparty risk related to the swap agreements 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 March 31, 2021 and 2020 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 Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to commodity price risk. Futures Positions as of March 31, 2021 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Silver Futures (COMEX) Short May 2021 347 $ 24.53 5,000 $ (42,563,020 ) Swap Agreements as of March 31, 2021 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Silver Subindex Citibank, N.A. Short $ 223.9196 $ (8,308,475 ) Bloomberg Silver Subindex Goldman Sachs International Short 223.9196 (15,457,845 ) Bloomberg Silver Subindex Morgan Stanley & Co. International PLC Short 223.9196 (8,697,261 ) Bloomberg Silver Subindex UBS AG Short 223.9196 (15,222,974 ) Futures Positions as of March 31, 2020 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Silver Futures (COMEX) Short May 2020 155 $ 14.16 5,000 $ (10,970,900 ) Swap Agreements as of March 31, 2020 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Silver Subindex Citibank, N.A. Short $ 133.7523 $ (12,296,080 ) Bloomberg Silver Subindex Goldman Sachs International Short 133.7523 (7,543,899 ) Bloomberg Silver Subindex UBS AG Short 133.7523 (6,961,822 ) The March 31, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2021 and 2020 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 173 Table of Contents 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. Counterparty risk related to the swap agreements 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 March 31, 2021 and 2020, 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 March 31, 2021 and 2020, which were sensitive to exchange rate price risk. Foreign Currency Forward Contracts as of March 31, 2021 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Yen UBS AG Long 04/09/21 167,310,000 0.009212 $ 1,541,327 Yen Goldman Sachs International Short 04/09/21 (2,009,085,165 ) 0.009354 (18,792,128 ) Yen UBS AG Short 04/09/21 (5,895,178,875 ) 0.009324 (54,965,979 ) Foreign Currency Forward Contracts as of March 31, 2020 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Yen Goldman Sachs International Long 04/03/20 1,519,059,504 0.009552 $ 14,509,954 Yen UBS AG Long 04/03/20 1,225,973,077 0.009320 11,425,593 Yen Goldman Sachs International Short 04/03/20 (3,356,532,669 ) 0.009327 (31,305,097 ) Yen UBS AG Short 04/03/20 (5,767,995,952 ) 0.009251 (53,358,109 ) The March 31, 2021 and 2020 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. ProShares VIX Mid-Term Futures ETF As of March 31, 2021 and 2020, 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 March 31, 2021 and 2020, which were sensitive to equity market volatility risk. 174 Table of Contents Futures Positions as of March 31, 2021 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long July 2021 550 $ 24.30 1,000 $ 13,365,000 VIX Futures (Cboe) Long August 2021 1,016 24.45 1,000 24,842,318 VIX Futures (Cboe) Long September 2021 1,016 24.85 1,000 25,249,530 VIX Futures (Cboe) Long October 2021 466 25.01 1,000 11,653,868 Futures Positions as of March 31, 2020 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long July 2020 228 $ 33.93 1,000 $ 7,734,900 VIX Futures (Cboe) Long August 2020 481 31.68 1,000 15,235,675 VIX Futures (Cboe) Long September 2020 481 30.10 1,000 14,478,100 VIX Futures (Cboe) Long October 2020 253 29.93 1,000 7,571,025 The March 31, 2021 and 2020 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 March 31, 2021 and 2020, 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 March 31, 2021 and 2020, which were sensitive to equity market volatility risk. Futures Positions as of March 31, 2021 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long April 2021 8,754 $ 20.73 1,000 $ 181,505,436 VIX Futures (Cboe) Long May 2021 7,407 22.68 1,000 167,959,651 Share Futures Positions as of March 31, 2020 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long April 2020 2,417 $ 46.78 1,000 $ 113,055,175 VIX Futures (Cboe) Long May 2020 2,684 40.93 1,000 109,842,700 The March 31, 2021 and 2020 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. 175 Table of Contents 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). 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 176 Table of Contents 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).