0001415311 us-gaap:~~SwapMember~~USGovernmentAgenciesShorttermDebtSecuritiesMember ck0001415311:~~ProsharesUltraSilverMember~~UnitedStatesTreasuryBillsZeroPointOneThreeFivePercentageDueAprilTwentyOneTwoThousandAndTwentyTwoMember ck0001415311:~~BloombergMember ck0001415311:SilverSubindexMember ck0001415311:CitibankNaMember 2021-01-01 2021-03-31~~ProsharesUltraShortSilverMember 2022-01-01 2022-03-31

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM

10-Q

☒	Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 ~~for the quarterly period ended March 31, 2021.~~

for the quarterly period ended March 31, 2022.

☐	Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the transition period from

Commission file number:

001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)


Delaware		87-6284802
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o ProShare Capital Management LLC

~~7501~~7272 Wisconsin Avenue, ~~Suite 1000~~21

Floor

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(240)

497-6400

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:


Title of each class	Trading ~~Trading~~ Symbol(s)	Name of each exchange on which registered
ProShares Short Euro	EUFX	NYSE Arca
ProShares Short VIX Short-Term Futures ETF	SVXY	Cboe BZX Exchange
ProShares Ultra Bloomberg Crude Oil	UCO	NYSE Arca
ProShares Ultra Bloomberg Natural Gas	BOIL	NYSE Arca
ProShares Ultra Euro	ULE	NYSE Arca
ProShares Ultra Gold	UGL	NYSE Arca
ProShares Ultra Silver	AGQ	NYSE Arca
ProShares Ultra VIX Short-Term Futures ETF	UVXY	Cboe BZX Exchange
ProShares Ultra Yen	YCL	NYSE Arca
ProShares UltraShort Australian Dollar	CROC	NYSE Arca
ProShares UltraShort Bloomberg Crude Oil	SCO	NYSE Arca
ProShares UltraShort Bloomberg Natural Gas	KOLD	NYSE Arca
ProShares UltraShort Euro	EUO	NYSE Arca
ProShares UltraShort Gold	GLL	NYSE Arca
ProShares UltraShort Silver	ZSL	NYSE Arca
ProShares UltraShort Yen	YCS	NYSE Arca
ProShares VIX Mid-Term Futures ETF	VIXM	Cboe BZX Exchange
ProShares VIX Short-Term Futures ETF	VIXY	Cboe BZX Exchange

Securities registered pursuant to Section 12(g) of the Act: None

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation

S-T

(§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a

non-accelerated

filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule

12b-2

of the Exchange Act.

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule

12b-2

of the Exchange Act.). ☐ Yes ☒ No

Indicate by check mark whether the registrant has filed all documents and reports required to be filed by Sections 12, 13 or 15(d) of the Securities Exchange Act of 1934 subsequent to the distribution of securities under a plan confirmed by a court. ☒ Yes ☐ No

As of

~~April 26, 2021~~

, May 2, 2022, the registrant had

~~344,851,695~~222,523,625 shares of common stock, $0 par value per share, outstanding.

Table of Contents

PROSHARES TRUST II

Table of Contents


	Page
Part I. FINANCIAL INFORMATION
Item 1. Financial ~~Statements.~~Statements		3
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of ~~Operations.~~Operations		132
Item 3. Quantitative and Qualitative Disclosures About Market ~~Risk.~~Risk		~~163~~169
Item 4. Controls and ~~Procedures.~~Procedures		~~177~~183

Part II. OTHER INFORMATION
Item 1. Legal ~~Proceedings.~~Proceedings		~~179~~185
Item 1A. Risk ~~Factors.~~Factors		~~179~~185
Item 2. Unregistered Sales of Equity Securities and Use of ~~Proceeds.~~Proceeds		~~181~~187
Item 3. Defaults Upon Senior ~~Securities.~~Securities		~~182~~188
Item 4. Mine Safety ~~Disclosures.~~Disclosures		~~182~~188
Item 5. Other ~~Information.~~Information		~~182~~189
Item 6. ~~Exhibits.~~Exhibits		~~183~~190

Table of Contents

Part I. FINANCIAL INFORMATION

Item 1.

Financial Statements.

Index


Documents	Page
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:
ProShares Short Euro		4
ProShares Short VIX Short-Term Futures ETF		9
ProShares Ultra Bloomberg Crude Oil		14
ProShares Ultra Bloomberg Natural Gas		1920
ProShares Ultra Euro		2425
ProShares Ultra Gold		2930
ProShares Ultra Silver		3435
ProShares Ultra VIX Short-Term Futures ETF		3940
ProShares Ultra Yen		4445
ProShares UltraShort Australian Dollar		4950
ProShares UltraShort Bloomberg Crude Oil		5455
ProShares UltraShort Bloomberg Natural Gas		5960
ProShares UltraShort Euro		6465
ProShares UltraShort Gold		6970
ProShares UltraShort Silver		7475
ProShares UltraShort Yen		7980
ProShares VIX Mid-Term Futures ETF		8485
ProShares VIX Short-Term Futures ETF		8990
ProShares Trust II		9495
Notes to Financial Statements		9899

Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Cash	$	4,500,918	$	2,219,932
Segregated cash balances with brokers for futures contracts		87,120		38,720
Receivable on open futures contracts		38,569		—
Interest receivable		—		93

Total assets		4,626,607		2,258,745

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		11,500
Payable to Sponsor		3,207		1,824

Total liabilities		3,207		13,324

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		4,623,400		2,245,421

Total liabilities and shareholders’ equity	$	4,626,607	$	2,258,745

Shares outstanding		100,000		50,000

Net asset value per share	$	46.23	$	44.91

Market value per share (Note 2)	$	46.18	$	44.92

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Euro Fx Currency Futures - CME, expires June 2022		33	$	4,578,338	$	2,656

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF ~~FINANCIAL CONDITION~~

OPERATIONS

(unaudited)

March 31, 2021
(unaudited)

December 31,
2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $999,885 and $–, respectively)
   $ 999,973    $ —
Cash
   1,155,210    4,105,781
Segregated cash balances with brokers for futures contracts
   33,000    68,310
Receivable on open futures contracts
   —      21,094
Interest receivable
   67    175

Total assets
   2,188,250    4,195,360

Liabilities and shareholders’ equity

Liabilities

Payable on open futures contracts
   1,125    —
Payable to Sponsor
   2,571    3,391
Non-recurring
fees and expenses payable
   14    14

Total liabilities
   3,710    3,405

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   2,184,540    4,191,955

Total liabilities and shareholders’ equity
   $ 2,188,250    $ 4,195,360

Shares outstanding
   50,000    100,000

Net asset value per share
   $ 43.69    $ 41.92

Market value per share (Note 2)
   $ 43.52    $ 41.35


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	(93	)	$	596

Expenses
Management fee		6,672			9,053
Brokerage commissions		144			181

Total expenses		6,816			9,234

Net investment income (loss)		(6,909	)		(8,638	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		59,419			69,393
Short-term U.S. government and agency obligations		4,452			—

Net realized gain (loss)		63,871			69,393

Change in net unrealized appreciation (depreciation) on
Futures contracts		8,056			78,554
Short-term U.S. government and agency obligations		—			88

Change in net unrealized appreciation (depreciation)		8,056			78,642

Net realized and unrealized gain (loss)		71,927			148,035

Net income (loss)	$	65,018		$	139,397

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT EURO

~~SCHEDULE~~STATEMENTS OF ~~INVESTMENTS~~CHANGES IN SHAREHOLDERS’ EQUITY

~~MARCH 31, 2021~~

(unaudited)

Principal Amount

Value

Short-term U.S. government and agency obligations

(46% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.086% due 05/20/21
   $ 1,000,000    $ 999,973

Total short-term U.S. government and agency obligations
(cost $999,885)
      $ 999,973

~~Futures Contracts Sold~~

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/Value

Euro Fx Currency Futures - CME, expires June 2021
   15    $ 2,201,625    $ 33,928

^^	~~Rates shown represent discount rate at the time of purchase.~~


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	2,245,421		$	4,191,955

Addition of 50,000 and – shares, respectively		2,312,961			—
Redemption of – and 50,000 shares, respectively		—			(2,146,812	)

Net addition (redemption) of 50,000 and (50,000) shares, respectively		2,312,961			(2,146,812	)

Net investment income (loss)		(6,909	)		(8,638	)
Net realized gain (loss)		63,871			69,393
Change in net unrealized appreciation (depreciation)		8,056			78,642

Net income (loss)		65,018			139,397

Shareholders’ equity, end of period	$	4,623,400		$	2,184,540

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF ~~OPERATIONS~~CASH FLOWS

(unaudited)

Three Months Ended
March 31,


2021

2020

Investment Income

Interest
   $ 596 $ 7,595

Expenses

Management fee
   9,053 5,503
Brokerage commissions
   181 100

Total expenses
   9,234 5,603

Net investment income (loss)
   (8,638 ) 1,992

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   69,393 (18,638 )

Net realized gain (loss)
   69,393 (18,638 )

Change in net unrealized appreciation (depreciation) on

Futures contracts
   78,554 67,324
Short-term U.S. government and agency obligations
   88 (30 )

Change in net unrealized appreciation (depreciation)
   78,642 67,294

Net realized and unrealized gain (loss)
   148,035 48,656

Net income (loss)
   $ 139,397 $ 50,648


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	65,018		$	139,397
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		—			(1,999,562	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		4,452			1,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		0			(323	)
Net realized (gain) loss on investments		(4,452	)		—
Change in unrealized (appreciation) depreciation on investments		—			(88	)
Decrease (Increase) in receivable on open futures contracts		(38,569	)		21,094
Decrease (Increase) in interest receivable		93			108
Increase (Decrease) in payable to Sponsor		1,383			(820	)
Increase (Decrease) in payable on open futures contracts		(11,500	)		1,125

Net cash provided by (used in) operating activities		16,425			(839,069	)

Cash flow from financing activities
Proceeds from addition of shares		2,312,961			—
Payment on shares redeemed		—			(2,146,812	)

Net cash provided by (used in) financing activities		2,312,961			(2,146,812	)

Net increase (decrease) in cash		2,329,386			(2,985,881	)
Cash, beginning of period		2,258,652			4,174,091

Cash, end of period	$	4,588,038		$	1,188,210

See accompanying notes to financial statements.

Table of Contents

~~PROSHARES SHORT EURO~~

~~STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 4,191,955 $ 2,282,195

Redemption of 50,000 and – shares, respectively
   (2,146,812 ) —

Net addition (redemption) of (50,000) and – shares, respectively
   (2,146,812 ) —

Net investment income (loss)
   (8,638 ) 1,992
Net realized gain (loss)
   69,393 (18,638 )
Change in net unrealized appreciation (depreciation)
   78,642 67,294

Net income (loss)
   139,397 50,648

Shareholders’ equity, end of period
   $ 2,184,540 $ 2,332,843

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES SHORT EURO~~

~~STATEMENTS OF CASH FLOWS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ 139,397 $ 50,648
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
   (1,999,562 ) —
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   1,000,000 747,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (323 ) (1,225 )
Change in unrealized appreciation (depreciation) on investments
   (88 ) 30
Decrease (Increase) in receivable on futures contracts
   21,094 (2,975 )
Decrease (Increase) in interest receivable
   108 840
Increase (Decrease) in payable to Sponsor
   (820 ) 1,785
Increase (Decrease) in payable on futures contracts
   1,125 (5,100 )

Net cash provided by (used in) operating activities
   (839,069 ) 791,003

Cash flow from financing activities

Payment on shares redeemed
   (2,146,812 ) —

Net cash provided by (used in) financing activities
   (2,146,812 ) —

Net increase (decrease) in cash
   (2,985,881 ) 791,003
Cash, beginning of period
   4,174,091 1,540,916

Cash, end of period
   $ 1,188,210 $ 2,331,919

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

March 31, 2021
(unaudited)

December 31,
2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $91,994,322 and $69,998,727, respectively)
   $ 91,998,460    $ 69,999,639
Cash
   178,094,057    132,392,153
Segregated cash balances with brokers for futures contracts
   172,795,856    134,187,067
Receivable on open futures contracts
   84,745,212    74,226,825
Interest receivable
   5,009    4,384

Total assets
   527,638,594    410,810,068

Liabilities and shareholders’ equity

Liabilities

Payable on open futures contracts
   —      996,159
Brokerage commissions and fees payable
   121,727    114,522
Payable to Sponsor
   384,663    326,566
Non-recurring
fees and expenses payable
   1,353    1,353

Total liabilities
   507,743    1,438,600

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   527,130,851    409,371,468

Total liabilities and shareholders’ equity
   $ 527,638,594    $ 410,810,068

Shares outstanding
   11,184,307    9,884,307

Net asset value per share
   $ 47.13    $ 41.42

Market value per share (Note 2)
   $ 47.10    $ 41.44


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $180,804,059 and $147,851,244, respectively)	$	180,357,257	$	147,815,719
Cash		65,794,655		44,359,519
Segregated cash balances with brokers for futures contracts		165,590,124		138,651,465
Receivable on open futures contracts		96,824,449		99,544,338
Interest receivable		—		2,868

Total assets		508,566,485		430,373,909

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		6,125,130
Payable on open futures contracts		12,542,043		—
Brokerage commissions and futures account fees payable		70,274		104,312
Payable to Sponsor		365,319		331,873

Total liabilities		12,977,636		6,561,315

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		495,588,849		423,812,594

Total liabilities and shareholders’ equity	$	508,566,485	$	430,373,909

Shares outstanding		9,084,307		6,884,307

Net asset value per share	$	54.55	$	61.56

Market value per share (Note 2)	$	54.56	$	61.55

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(36% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.021% due 04/21/22	$	25,000,000	$	24,997,917
0.393% due 07/21/22		79,000,000		78,828,270
0.223% due 11/03/22		77,000,000		76,531,070
					��
Total short-term U.S. government and agency obligations (cost $180,804,059)			$	180,357,257

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires April 2022		4,910	$	115,232,790	$	31,922,101
VIX Futures - Cboe, expires May 2022		5,324		133,034,515		4,062,361

					$	35,984,462

^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

~~SCHEDULE~~STATEMENTS OF ~~INVESTMENTS~~OPERATIONS

~~MARCH 31, 2021~~

(unaudited)

Principal
Amount

Value

Short-term U.S. government and agency obligations

(17% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.075% due

04/15/21
   $ 50,000,000    $ 49,999,710
0.086% due 05/20/21
   20,000,000    19,999,456
0.041% due 06/17/21
   22,000,000    21,999,294

Total short-term U.S. government and agency obligations
(cost $91,994,322)
      $ 91,998,460

~~Futures Contracts Sold~~

Number
of
Contracts

Notional
Amount
at Value

Unrealized
Appreciation
(Depreciation)/Value

VIX Futures - Cboe, expires April 2021
   6,607    $ 136,989,538    $ 42,996,259
VIX Futures - Cboe, expires May 2021
   5,590    126,757,722    7,474,416

         $ 50,470,675

^^	~~Rates shown represent discount rate at the time of purchase.~~


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	94,343		$	33,890

Expenses
Management fee		986,537			1,042,569
Brokerage commissions		187,698			175,910
Futures accounts fees		217,030			257,777

Total expenses		1,391,265			1,476,256

Net investment income (loss)		(1,296,922	)		(1,442,366	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(41,100,614	)		24,209,417
Short-term U.S. government and agency obligations		(10,494	)		0

Net realized gain (loss)		(41,111,108	)		24,209,417

Change in net unrealized appreciation (depreciation) on
Futures contracts		4,709,184			42,121,892
Short-term U.S. government and agency obligations		(411,277	)		3,226

Change in net unrealized appreciation (depreciation)		4,297,907			42,125,118

Net realized and unrealized gain (loss)		(36,813,201	)		66,334,535

Net income (loss)	$	(38,110,123	)	$	64,892,169

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	423,812,594		$	409,371,468

Addition of 3,000,000 and 2,400,000 shares, respectively		156,515,471			98,109,468
Redemption of 800,000 and 1,100,000 shares, respectively		(46,629,093	)		(45,242,254	)

Net addition (redemption) of 2,200,000 and 1,300,000 shares, respectively		109,886,378			52,867,214

Net investment income (loss)		(1,296,922	)		(1,442,366	)
Net realized gain (loss)		(41,111,108	)		24,209,417
Change in net unrealized appreciation (depreciation)		4,297,907			42,125,118

Net income (loss)		(38,110,123	)		64,892,169

Shareholders’ equity, end of period	$	495,588,849		$	527,130,851

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF ~~OPERATIONS~~CASH FLOWS

(unaudited)

Three Months Ended
March 31,


2021

2020

Investment Income

Interest
   $ 33,890 $ 749,861

Expenses

Management fee
   1,042,569 886,197
Brokerage commissions
   175,910 189,532
Brokerage fees
   257,777 29,728

Total expenses
   1,476,256 1,105,457

Net investment income (loss)
   (1,442,366 ) (355,596 )

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   24,209,417 (244,300,604 )

Net realized gain (loss)
   24,209,417 (244,300,604 )

Change in net unrealized appreciation (depreciation) on

Futures contracts
   42,121,892 20,973,802
Short-term U.S. government and agency obligations
   3,226 81,856

Change in net unrealized appreciation (depreciation)
   42,125,118 21,055,658

Net realized and unrealized gain (loss)
   66,334,535 (223,244,946 )

Net income (loss)
   $ 64,892,169 $ (223,600,542 )


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(38,110,123	)	$	64,892,169
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		(184,846,445	)		(166,972,737	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		151,980,347			145,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(97,211	)		(22,858	)
Net realized (gain) loss on investments		10,494			0
Change in unrealized (appreciation) depreciation on investments		411,277			(3,226	)
Decrease (Increase) in receivable on open futures contracts		2,719,889			(10,518,387	)
Decrease (Increase) in interest receivable		2,868			(625	)
Increase (Decrease) in payable to Sponsor		33,446			58,097
Increase (Decrease) in brokerage commissions and futures account fees payable		(34,038	)		7,205
Increase (Decrease) in payable on open futures contracts		12,542,043			(996,159	)

Net cash provided by (used in) operating activities		(55,387,453	)		31,443,479

Cash flow from financing activities
Proceeds from addition of shares		156,515,471			98,109,468
Payment on shares redeemed		(52,754,223	)		(45,242,254	)

Net cash provided by (used in) financing activities		103,761,248			52,867,214

Net increase (decrease) in cash		48,373,795			84,310,693
Cash, beginning of period		183,010,984			266,579,220

Cash, end of period	$	231,384,779		$	350,889,913

See accompanying notes to financial statements.

1113

Table of Contents

PROSHARES ~~SHORT VIX SHORT-TERM FUTURES ETF~~ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF ~~CHANGES IN SHAREHOLDERS’ EQUITY~~FINANCIAL CONDITION

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 409,371,468 $ 284,437,179

Addition of 2,400,000 and 24,850,000 shares, respectively
   98,109,468 883,568,508
Redemption of 1,100,000 and 3,100,000 shares, respectively
   (45,242,254 ) (135,147,487 )

Net addition (redemption) of 1,300,000 and 21,750,000 shares, respectively
   52,867,214 748,421,021

Net investment income (loss)
   (1,442,366 ) (355,596 )
Net realized gain (loss)
   24,209,417 (244,300,604 )
Change in net unrealized appreciation (depreciation)
   42,125,118 21,055,658

Net income (loss)
   64,892,169 (223,600,542 )

Shareholders’ equity, end of period
   $ 527,130,851 $ 809,257,658


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $1,016,679,454 and $848,800,309, respectively)	$	1,016,050,654	$	848,757,567
Cash		122,491,540		86,582,912
Segregated cash balances with brokers for futures contracts		198,872,883		130,704,477
Segregated cash balances with brokers for swap agreements		181,812,000		—
Unrealized appreciation on swap agreements		—		63,928,293
Receivable on open futures contracts		187,616		—
Interest receivable		1		3,523

Total assets		1,519,414,694		1,129,976,772

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		15,183,510		—
Payable on open futures contracts		37,639,347		25,317,560
Brokerage commissions and futures account fees payable		99,348		24,677
Payable to Sponsor		1,226,530		850,965
Unrealized depreciation on swap agreements		128,285,274		—

Total liabilities		182,434,009		26,193,202

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		1,336,980,685		1,103,783,570

Total liabilities and shareholders’ equity	$	1,519,414,694	$	1,129,976,772

Shares outstanding		8,810,774		12,810,774

Net asset value per share	$	151.74	$	86.16

Market value per share (Note 2)	$	153.30	$	86.78

See accompanying notes to financial statements.

Table of Contents

~~PROSHARES SHORT VIX SHORT-TERM FUTURES ETF~~

~~STATEMENTS OF CASH FLOWS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ 64,892,169 $ (223,600,542 )
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
   (166,972,737 ) (149,679,751 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   145,000,000 115,000,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (22,858 ) (301,095 )
Change in unrealized appreciation (depreciation) on investments
   (3,226 ) (81,856 )
Decrease (Increase) in receivable on futures contracts
   (10,518,387 ) (102,545,073 )
Decrease (Increase) in interest receivable
   (625 ) 45,308
Increase (Decrease) in payable to Sponsor
   58,097 431,086
Increase (Decrease) in brokerage commissions and fees payable
   7,205 —
Increase (Decrease) in payable on futures contracts
   (996,159 ) —

Net cash provided by (used in) operating activities
   31,443,479 (360,731,923 )

Cash flow from financing activities

Proceeds from addition of shares
   98,109,468 883,568,508
Payment on shares redeemed
   (45,242,254 ) (135,147,487 )

Net cash provided by (used in) financing activities
   52,867,214 748,421,021

Net increase (decrease) in cash
   84,310,693 387,689,098
Cash, beginning of period
   266,579,220 167,544,087

Cash, end of period
   $ 350,889,913 $ 555,233,185

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

PROSHARES ULTRA BLOOMBERG CRUDE OIL

~~STATEMENTS OF FINANCIAL CONDITION~~

March 31, 2021
(unaudited)

December 31,
2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $689,932,775 and $219,996,153, respectively)
   $ 689,976,589    $ 219,998,394
Cash
   227,574,108    491,732,847
Segregated cash balances with brokers for futures contracts
   181,733,171    175,526,749
Segregated cash balances with brokers for swap agreements
   56,228,000    —
Unrealized appreciation on swap agreements
   —      18,242,195
Receivable on open futures contracts
   —      1,611,608
Interest receivable
   143,801    21,388

Total assets
   1,155,655,669    907,133,181

Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   —      3,627,934
Payable on open futures contracts
   25,300,245    —
Brokerage commissions and fees payable
   1,352    —
Payable to Sponsor
   989,343    728,955
Unrealized depreciation on swap agreements
   40,748,594    —
Non-recurring
fees and expenses payable
   37,042    37,042

Total liabilities
   67,076,576    4,393,931

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   1,088,579,093    902,739,250

Total liabilities and shareholders’ equity
   $ 1,155,655,669    $ 907,133,181

Shares outstanding
   20,710,774    24,810,774

Net asset value per share
   $ 52.56    $ 36.38

Market value per share (Note 2)
   $ 52.85    $ 36.27

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRA BLOOMBERG CRUDE OIL~~

SCHEDULE OF INVESTMENTS

MARCH 31, ~~2021~~2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
( 76 % of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.076 % due 04/21/22 †	$	285,000,000	$	284,976,259
0.232 % due 05/19/22 †		175,000,000		174,939,328
0.321 % due 06/16/22 †		180,000,000		179,834,706
0.393 % due 07/21/22 †		47,000,000		46,897,831
0.706 % due 08/18/22 †		150,000,000		149,504,820
0.637 % due 11/03/22 †		181,000,000		179,897,710

Total short-term U.S. government and agency obligations (cost $ 1,016,679,454 )			$	1,016,050,654

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires June 2022		4,115	$	405,409,800	$	144,895,562
WTI Crude Oil - NYMEX, expires December 2022		4,724		423,270,400		91,533,153
WTI Crude Oil - NYMEX, expires June 2023		5,012		424,065,320		9,162,448

					$	245,591,163

~~(unaudited)~~

Total Return Swap Agreements


	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		0.35	%		04/06/22	$	202,256,578	$	(18,119,250	)
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			04/06/22		394,073,711		(36,248,743	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			04/06/22		350,316,746		(31,383,289	)
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.25			04/06/22		190,882,596		(17,086,634	)
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.30			04/06/22		284,170,376		(25,447,358	)

							Total Unrealized Depreciation	$	(128,285,274	)

Principal Amount

Value

Short-term U.S. government and agency obligations

(63% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.060% due 04/15/21
   $ 90,000,000    $ 89,999,478
0.048% due 05/20/21
†
   195,000,000    194,994,696
0.045% due 06/17/21
†
   230,000,000    229,992,617
0.061% due 07/15/21
†
   175,000,000    174,989,798

Total short-term U.S. government and agency obligations

(cost $689,932,775)
      $ 689,976,589

Futures Contracts Purchased


Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/Value

WTI Crude Oil - NYMEX, expires June 2021
   8,933    $ 528,654,940    $ 141,467,113
WTI Crude Oil - NYMEX, expires December 2021
   9,478    538,824,300    97,420,187
WTI Crude Oil - NYMEX, expires June 2022
   9,857    539,375,040    (338,389 )

         $238,548,911

Total Return Swap Agreements
^


Rate Paid
(Received)
*

Termination
Date

Notional Amount
at Value
**

Unrealized
Appreciation
(Depreciation)/Value

Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.35 % 04/06/21    $ 108,014,255    $ (7,714,940 )
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.35 04/06/21    202,730,402    (14,480,063 )
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.25 04/06/21    104,445,210    (7,452,971 )
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index
   0.30 04/06/21    155,489,475    (11,100,620 )

      Total Unrealized
Depreciation    $(40,748,594)

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of March 31, ~~2021.~~2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

Table of Contents

*	Reflects the floating financing rate, as of March 31, ~~2021,~~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.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
March 31,


2021

2020

Investment Income

Interest
   $ 168,075 $ 1,401,460

Expenses

Management fee
   2,535,085 870,239
Brokerage commissions
   293,200 126,337
Brokerage fees
   98,937 —

Total expenses
   2,927,222 996,576

Net investment income (loss)
   (2,759,147 ) 404,884

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   191,676,501 (88,947,210 )
Swap agreements
   142,674,727 (416,644,056 )
Short-term U.S. government and agency obligations
   —   37,469

Net realized gain (loss)
   334,351,228 (505,553,797 )

Change in net unrealized appreciation (depreciation) on

Futures contracts
   93,984,872 (73,713,718 )
Swap agreements
   (58,990,789 ) (249,062,832 )
Short-term U.S. government and agency obligations
   41,573 354,889

Change in net unrealized appreciation (depreciation)
   35,035,656 (322,421,661 )

Net realized and unrealized gain (loss)
   369,386,884 (827,975,458 )

Net income (loss)
   $ 366,627,737 $ (827,570,574 )


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	308,880		$	168,075

Expenses
Management fee		3,084,812			2,535,085
Brokerage commissions		195,541			293,200
Futures accounts fees		252,687			98,937

Total expenses		3,533,040			2,927,222

Net investment income (loss)		(3,224,160	)		(2,759,147	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		266,409,832			191,676,501
Swap agreements		533,013,238			142,674,727
Short-term U.S. government and agency obligations		(3,136	)		—

Net realized gain (loss)		799,419,934			334,351,228

Change in net unrealized appreciation (depreciation) on
Futures contracts		98,135,638			93,984,872
Swap agreements		(192,213,567	)		(58,990,789	)
Short-term U.S. government and agency obligations		(586,058	)		41,573

Change in net unrealized appreciation (depreciation)		(94,663,987	)		35,035,656

Net realized and unrealized gain (loss)		704,755,947			369,386,884

Net income (loss)	$	701,531,787		$	366,627,737

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	1,103,783,570		$	902,739,250

Addition of 2,150,000 and 2,350,000 shares, respectively		330,317,033			117,044,190
Redemption of 6,150,000 and 6,450,000 shares, respectively		(798,651,705	)		(297,832,084	)

Net addition (redemption) of (4,000,000) and (4,100,000) shares, respectively		(468,334,672	)		(180,787,894	)

Net investment income (loss)		(3,224,160	)		(2,759,147	)
Net realized gain (loss)		799,419,934			334,351,228
Change in net unrealized appreciation (depreciation)		(94,663,987	)		35,035,656

Net income (loss)		701,531,787			366,627,737

Shareholders’ equity, end of period	$	1,336,980,685		$	1,088,579,093

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF ~~CHANGES IN SHAREHOLDERS’ EQUITY~~CASH FLOWS

(unaudited)

Three Months Ended
March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 902,739,250 $ 309,844,582

Addition of 2,350,000 and 10,680,000 shares, respectively
   117,044,190 1,058,330,164
Redemption of 6,450,000 and 440,000 shares, respectively
   (297,832,084 ) (105,010,791 )

Net addition (redemption) of (4,100,000) and 10,240,000 shares, respectively
   (180,787,894 ) 953,319,373

Net investment income (loss)
   (2,759,147 ) 404,884
Net realized gain (loss)
   334,351,228 (505,553,797 )
Change in net unrealized appreciation (depreciation)
   35,035,656 (322,421,661 )

Net income (loss)
   366,627,737 (827,570,574 )

Shareholders’ equity, end of period
   $ 1,088,579,093 $ 435,593,381


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	701,531,787		$	366,627,737
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		(1,394,562,680	)		(934,851,425	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,226,992,801			465,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(312,402	)		(85,197	)
Net realized (gain) loss on investments		3,136			0
Change in unrealized (appreciation) depreciation on investments		192,799,625			58,949,216
Decrease (Increase) in receivable on open futures contracts		(187,616	)		1,611,608
Decrease (Increase) in interest receivable		3,522			(122,413	)
Increase (Decrease) in payable to Sponsor		375,565			260,388
Increase (Decrease) in brokerage commissions and futures account fees payable		74,671			1,352
Increase (Decrease) in payable on open futures contracts		12,321,787			25,300,245

Net cash provided by (used in) operating activities		739,040,196			(17,308,489	)

Cash flow from financing activities
Proceeds from addition of shares		330,317,033			117,044,190
Payment on shares redeemed		(783,468,195	)		(301,460,018	)

Net cash provided by (used in) financing activities		(453,151,162	)		(184,415,828	)

Net increase (decrease) in cash		285,889,034			(201,724,317	)
Cash, beginning of period		217,287,389			667,259,596

Cash, end of period	$	503,176,423		$	465,535,279

See accompanying notes to financial statements.

1719

Table of Contents

PROSHARES ULTRA BLOOMBERG ~~CRUDE OIL~~NATURAL GAS

STATEMENTS OF ~~CASH FLOWS~~FINANCIAL CONDITION

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ 366,627,737 $ (827,570,574 )
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
   (934,851,425 ) (309,822,847 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   465,000,000 335,391,900
Net amortization and accretion on short-term U.S. government and agency obligations
   (85,197 ) (983,931 )
Net realized gain (loss) on investments
   —   (37,469 )
Change in unrealized appreciation (depreciation) on investments
   58,949,216 248,707,943
Decrease (Increase) in receivable on futures contracts
   1,611,608 (3,375,450 )
Decrease (Increase) in interest receivable
   (122,413 ) 26,297
Increase (Decrease) in payable to Sponsor
   260,388 366,309
Increase (Decrease) in brokerage commissions and fees payable
   1,352 —
Increase (Decrease) in payable on futures contracts
   25,300,245 25,747

Net cash provided by (used in) operating activities
   (17,308,489 ) (557,272,075 )

Cash flow from financing activities

Proceeds from addition of shares
   117,044,190 972,270,720
Payment on shares redeemed
   (301,460,018 ) (105,010,791 )

Net cash provided by (used in) financing activities
   (184,415,828 ) 867,259,929

Net increase (decrease) in cash
   (201,724,317 ) 309,987,854
Cash, beginning of period
   667,259,596 88,315,563

Cash, end of period
   $ 465,535,279 $ 398,303,417


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $95,926,918 and $90,936,719, respectively)	$	95,749,617	$	90,922,438
Cash		20,472,226		6,846,634
Segregated cash balances with brokers for futures contracts		24,424,860		47,289,091
Receivable from capital shares sold		—		20,448,741
Receivable on open futures contracts		13,001,650		33,998,620
Interest receivable		—		1,130

Total assets		153,648,353		199,506,654

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		8,420,202		—
Payable on open futures contracts		—		5,403,658
Brokerage commissions and futures account fees payable		23,412		63,628
Payable to Sponsor		135,253		147,190

Total liabilities		8,578,867		5,614,476

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		145,069,486		193,892,178

Total liabilities and shareholders’ equity	$	153,648,353	$	199,506,654

Shares outstanding		2,587,527		7,587,527

Net asset value per share	$	56.06	$	25.55

Market value per share (Note 2)	$	56.31	$	26.09

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

~~STATEMENTS OF FINANCIAL CONDITION~~(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(66% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.106% due 04/21/22	$	40,000,000	$	39,996,668
0.393% due 07/21/22		24,000,000		23,947,829
0.223% due 11/03/22		32,000,000		31,805,120

Total short-term U.S. government and agency obligations (cost $95,926,918)			$	95,749,617

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Natural Gas - NYMEX, expires May 2022		5,149	$	290,506,580	$	76,824,603

March 31, 2021
(unaudited)

December 31, 2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $33,996,891 and $29,999,585, respectively)
   $ 33,999,110    $ 29,999,889
Cash
   31,161,434    92,972,312
Segregated cash balances with brokers for futures contracts
   13,254,222    44,320,410
Receivable on open futures contracts
   —      13,775,851
Interest receivable
   768    4,326

Total assets
   78,415,534    181,072,788

Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   3,233,023    11,132,546
Payable on open futures contracts
   798,217    —
Brokerage commissions and fees payable
   13,490    —
Payable to Sponsor
   63,318    139,455
Non-recurring
fees and expenses payable
   416    416

Total liabilities
   4,108,464    11,272,417

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   74,307,070    169,800,371

Total liabilities and shareholders’ equity
   $ 78,415,534    $ 181,072,788

Shares outstanding (Note 1)
   3,487,527    8,087,527

Net asset value per share (Note 1)
   $ 21.31    $ 21.00

Market value per share (Note 1) (Note 2)
   $ 21.20    $ 21.07

^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	39,581		$	13,815

Expenses
Management fee		396,610			254,815
Brokerage commissions		88,452			92,297
Futures accounts fees		71,117			81,848

Total expenses		556,179			428,960

Net investment income (loss)		(516,598	)		(415,145	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		76,220,688			41,582,385
Short-term U.S. government and agency obligations		(3,452	)		551

Net realized gain (loss)		76,217,236			41,582,936

Change in net unrealized appreciation (depreciation) on
Futures contracts		85,030,764			(17,800,783	)
Short-term U.S. government and agency obligations		(163,020	)		1,915

Change in net unrealized appreciation (depreciation)		84,867,744			(17,798,868	)

Net realized and unrealized gain (loss)		161,084,980			23,784,068

Net income (loss)	$	160,568,382		$	23,368,923

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

~~SCHEDULE~~STATEMENTS OF ~~INVESTMENTS~~CHANGES IN SHAREHOLDERS’ EQUITY

~~MARCH 31, 2021~~

(unaudited)

Principal Amount

Value

Short-term U.S. government and agency obligations

(46% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.041% due 04/15/21
   $ 3,000,000    $ 2,999,983
0.076% due 05/20/21
   25,000,000    24,999,320
0.040% due 06/17/21
   6,000,000    5,999,807

Total short-term U.S. government and agency obligations

(cost $33,996,891)
      $ 33,999,110

Futures Contracts Purchased


Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/Value

Natural Gas - NYMEX, expires May 2021
   5,698    $ 148,603,840    $ (11,300,062 )

^^	~~Rates shown represent discount rate at the time of purchase.~~


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	193,892,178		$	169,800,371

Addition of 2,600,000 and 3,400,000 shares, respectively		87,880,355			76,480,823
Redemption of 7,600,000 and 8,000,000 shares, respectively		(297,271,429	)		(195,343,047	)

Net addition (redemption) of (5,000,000) and (4,600,000) shares, respectively		(209,391,074	)		(118,862,224	)

Net investment income (loss)		(516,598	)		(415,145	)
Net realized gain (loss)		76,217,236			41,582,936
Change in net unrealized appreciation (depreciation)		84,867,744			(17,798,868	)

Net income (loss)		160,568,382			23,368,923

Shareholders’ equity, end of period	$	145,069,486		$	74,307,070

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF ~~OPERATIONS~~CASH FLOWS

(unaudited)

Three Months Ended
March 31,


2021

2020

Investment Income

Interest
   $ 13,815 $ 139,339


Expenses

Management fee
   254,815 97,108
Brokerage commissions
   92,297 44,582
Brokerage fees
   81,848 —


Total expenses
   428,960 141,690


Net investment income (loss)
   (415,145 ) (2,351 )


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   41,582,385 (22,819,605 )
Short-term U.S. government and agency obligations
   551 1,054


Net realized gain (loss)
   41,582,936 (22,818,551 )


Change in net unrealized appreciation (depreciation) on

Futures contracts
   (17,800,783 ) (4,466,823 )
Short-term U.S. government and agency obligations
   1,915 29,786


Change in net unrealized appreciation (depreciation)
   (17,798,868 ) (4,437,037 )


Net realized and unrealized gain (loss)
   23,784,068 (27,255,588 )


Net income (loss)
   $ 23,368,923 $ (27,257,939 )


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	160,568,382		$	23,368,923
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		(135,944,242	)		(88,986,855	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		130,991,301			84,999,676
Net amortization and accretion on short-term U.S. government and agency obligations		(40,710	)		(9,576	)
Net realized (gain) loss on investments		3,452			(551	)
Change in unrealized (appreciation) depreciation on investments		163,020			(1,915	)
Decrease (Increase) in receivable on open futures contracts		20,996,970			13,775,851
Decrease (Increase) in interest receivable		1,130			3,558
Increase (Decrease) in payable to Sponsor		(11,937	)		(76,137	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(40,216	)		13,490
Increase (Decrease) in payable on open futures contracts		(5,403,658	)		798,217

Net cash provided by (used in) operating activities		171,283,492			33,884,681

Cash flow from financing activities
Proceeds from addition of shares		108,329,096			76,480,823
Payment on shares redeemed		(288,851,227	)		(203,242,570	)

Net cash provided by (used in) financing activities		(180,522,131	)		(126,761,747	)

Net increase (decrease) in cash		(9,238,639	)		(92,877,066	)
Cash, beginning of period		54,135,725			137,292,722

Cash, end of period	$	44,897,086		$	44,415,656

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA ~~BLOOMBERG NATURAL GAS~~EURO

STATEMENTS OF ~~CHANGES IN SHAREHOLDERS’ EQUITY~~FINANCIAL CONDITION

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 169,800,371 $ 45,160,205

Addition of 3,400,000 and 225,000 shares, respectively
   76,480,823 15,680,240
Redemption of 8,000,000 and 125,000 shares, respectively
   (195,343,047 ) (6,910,889 )

Net addition (redemption) of (4,600,000) and 100,000 shares, respectively
   (118,862,224 ) 8,769,351

Net investment income (loss)
   (415,145 ) (2,351 )
Net realized gain (loss)
   41,582,936 (22,818,551 )
Change in net unrealized appreciation (depreciation)
   (17,798,868 ) (4,437,037 )

Net income (loss)
   23,368,923 (27,257,939 )

Shareholders’ equity, end of period
   $ 74,307,070 $ 26,671,617


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $4,690,961 and $998,130, respectively)	$	4,685,054	$	997,678
Cash		1,608,252		6,891,458
Segregated cash balances with brokers for foreign currency forward contracts		—		691,000
Unrealized appreciation on foreign currency forward contracts		—		84,150
Interest receivable		—		153

Total assets		6,293,306		8,664,439

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		6,006		3,846
Unrealized depreciation on foreign currency forward contracts		50,318		1,498

Total liabilities		56,324		5,344

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		6,236,982		8,659,095

Total liabilities and shareholders’ equity	$	6,293,306	$	8,664,439

Shares outstanding		500,000		650,000

Net asset value per share	$	12.47	$	13.32

Market value per share (Note 2)	$	12.46	$	13.33

See accompanying notes to financial statements.

2225

Table of Contents

~~PROSHARES ULTRA BLOOMBERG NATURAL GAS~~

~~STATEMENTS OF CASH FLOWS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ 23,368,923 $ (27,257,939 )
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
   (88,986,855 ) (24,903,944 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   84,999,676 36,564,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (9,576 ) (96,553 )
Net realized gain (loss) on investments
   (551 ) (1,054 )
Change in unrealized appreciation (depreciation) on investments
   (1,915 ) (29,786 )
Decrease (Increase) in receivable on futures contracts
   13,775,851 37,024
Decrease (Increase) in interest receivable
   3,558 6,493
Increase (Decrease) in payable to Sponsor
   (76,137 ) 23,126
Increase (Decrease) in brokerage commissions and fees payable
   13,490 —
Increase (Decrease) in payable on futures contracts
   798,217 1,533,810

Net cash provided by (used in) operating activities
   33,884,681 (14,124,823 )

Cash flow from financing activities

Proceeds from addition of shares
   76,480,823 15,680,240
Payment on shares redeemed
   (203,242,570 ) (6,910,889 )

Net cash provided by (used in) financing activities
   (126,761,747 ) 8,769,351

Net increase (decrease) in cash
   (92,877,066 ) (5,355,472 )
Cash, beginning of period
   137,292,722 17,619,062

Cash, end of period
   $ 44,415,656 $ 12,263,590

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

PROSHARES ULTRA EURO

~~STATEMENTS OF FINANCIAL CONDITION~~

March 31, 2021
(unaudited)

December 31,
2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $999,885 and $–, respectively)
   $ 999,973    $ —
Cash
   2,230,111    4,045,092
Segregated cash balances with brokers for foreign currency forward contracts
   607,000    607,000
Unrealized appreciation on foreign currency forward contracts
   4,330    89,103
Interest receivable
   70    162

Total assets
   3,841,484    4,741,357

Liabilities and shareholders’ equity

Liabilities

Payable to Sponsor
   3,011    3,625
Unrealized depreciation on foreign currency forward contracts
   226,734    367
Non-recurring
fees and expenses payable
   15    15

Total liabilities
   229,760    4,007

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   3,611,724    4,737,350

Total liabilities and shareholders’ equity
   $ 3,841,484    $ 4,741,357

Shares outstanding
   250,000    300,000

Net asset value per share
   $ 14.45    $ 15.79

Market value per share (Note 2)
   $ 14.47    $ 15.81

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRA EURO~~

SCHEDULE OF INVESTMENTS

MARCH 31, ~~2021~~2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(75% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.393% due 07/21/22	$	4,000,000	$	3,991,305
0.554% due 11/03/22 †		698,000		693,749

Total short-term U.S. government and agency obligations (cost $4,690,961)			$	4,685,054

Foreign Currency Forward Contracts

~~(unaudited)~~


	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		04/08/22		4,422,921		$	4,893,608		$	(7,961	)
Euro with UBS AG		04/08/22		11,991,502			13,267,638			(31,928	)

							Total Unrealized Depreciation		$	(39,889	)

Contracts to Sell
Euro with UBS AG		04/08/22		(5,127,000	)	$	(5,672,615	)	$	(10,429	)

							Total Unrealized Depreciation		$	(10,429	)

Principal Amount

Value

Short-term U.S. government and agency obligations

(28% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.086% due 05/20/21
   $ 1,000,000    $ 999,973

Total short-term U.S. government and agency obligations

(cost $999,885)
      $ 999,973

Foreign Currency Forward Contracts
^


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
   04/09/21    2,210,921 $ 2,592,686 $ (78,549 )
Euro with UBS AG
   04/09/21    4,249,502 4,983,274 (148,185 )

      Total Unrealized
Depreciation $(226,734)

Contracts to Sell

Euro with UBS AG
   04/09/21    (276,000 ) $ (323,658 ) $ 4,330

      Total Unrealized
Appreciation $4,330

†	All or partial amount pledged as collateral for foreign currency forward contracts.

^	The positions and counterparties herein are as of March 31, ~~2021.~~2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
March 31,


2021

2020

Investment Income

Interest
   $ 584 $ 15,801


Expenses

Management fee
   10,078 12,554


Total expenses
   10,078 12,554


Net investment income (loss)
   (9,494 ) 3,247


Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Foreign currency forward contracts
   (27,342 ) (53,268 )


Net realized gain (loss)
   (27,342 ) (53,268 )


Change in net unrealized appreciation (depreciation) on

Foreign currency forward contracts
   (311,140 ) (221,334 )
Short-term U.S. government and agency obligations
   88 (208 )


Change in net unrealized appreciation (depreciation)
   (311,052 ) (221,542 )


Net realized and unrealized gain (loss)
   (338,394 ) (274,810 )


Net income (loss)
   $ (347,888 ) $ (271,563 )


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	4,587		$	584

Expenses
Management fee		20,278			10,078

Total expenses		20,278			10,078

Net investment income (loss)		(15,691	)		(9,494	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(441,030	)		(27,342	)
Short-term U.S. government and agency obligations		(5,949	)		—

Net realized gain (loss)		(446,979	)		(27,342	)

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(132,970	)		(311,140	)
Short-term U.S. government and agency obligations		(5,455	)		88

Change in net unrealized appreciation (depreciation)		(138,425	)		(311,052	)

Net realized and unrealized gain (loss)		(585,404	)		(338,394	)

Net income (loss)	$	(601,095	)	$	(347,888	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 4,737,350 $ 6,204,424

Addition of – and 50,000 shares, respectively
   —   669,855
Redemption of 50,000 and 200,000 shares, respectively
   (777,738 ) (2,653,574 )

Net addition (redemption) of (50,000) and (150,000) shares, respectively
   (777,738 ) (1,983,719 )

Net investment income (loss)
   (9,494 ) 3,247
Net realized gain (loss)
   (27,342 ) (53,268 )
Change in net unrealized appreciation (depreciation)
   (311,052 ) (221,542 )

Net income (loss)
   (347,888 ) (271,563 )

Shareholders’ equity, end of period
   $ 3,611,724 $ 3,949,142


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	8,659,095		$	4,737,350

Addition of 100,000 and – shares, respectively		1,316,267			0
Redemption of 250,000 and 50,000 shares, respectively		(3,137,285	)		(777,738	)

Net addition (redemption) of (150,000) and (50,000) shares, respectively		(1,821,018	)		(777,738	)

Net investment income (loss)		(15,691	)		(9,494	)
Net realized gain (loss)		(446,979	)		(27,342	)
Change in net unrealized appreciation (depreciation)		(138,425	)		(311,052	)

Net income (loss)		(601,095	)		(347,888	)

Shareholders’ equity, end of period	$	6,236,982		$	3,611,724

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ (347,888 ) $ (271,563 )
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
   (1,999,562 ) (1,395,795 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   1,000,000 5,375,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (323 ) (9,001 )
Change in unrealized appreciation (depreciation) on investments
   311,052 221,542
Decrease (Increase) in interest receivable
   92 (485 )
Increase (Decrease) in payable to Sponsor
   (614 ) 2,766

Net cash provided by (used in) operating activities
   (1,037,243 ) 3,922,464

Cash flow from financing activities

Proceeds from addition of shares
   —   669,855
Payment on shares redeemed
   (777,738 ) (1,995,276 )

Net cash provided by (used in) financing activities
   (777,738 ) (1,325,421 )

Net increase (decrease) in cash
   (1,814,981 ) 2,597,043
Cash, beginning of period
   4,652,092 2,127,437

Cash, end of period
   $ 2,837,111 $ 4,724,480


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(601,095	)	$	(347,888	)
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		(5,984,289	)		(1,999,562	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		2,290,249			1,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(4,740	)		(323	)
Net realized (gain) loss on investments		5,949			—
Change in unrealized (appreciation) depreciation on investments		138,425			311,052
Decrease (Increase) in interest receivable		153			92
Increase (Decrease) in payable to Sponsor		2,160			(614	)

Net cash provided by (used in) operating activities		(4,153,188	)		(1,037,243	)

Cash flow from financing activities
Proceeds from addition of shares		1,316,267			—
Payment on shares redeemed		(3,137,285	)		(777,738	)

Net cash provided by (used in) financing activities		(1,821,018	)		(777,738	)

Net increase (decrease) in cash		(5,974,206	)		(1,814,981	)
Cash, beginning of period		7,582,458			4,652,092

Cash, end of period	$	1,608,252		$	2,837,111

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

March 31, 2021
(unaudited)

December 31,
2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $86,995,913 and $74,998,283, respectively)
   $ 86,998,893    $ 74,999,467
Cash
   95,364,405    164,381,859
Segregated cash balances with brokers for futures contracts
   8,360,001    11,581,250
Segregated cash balances with brokers for swap agreements
   16,243,000    7,489,000
Unrealized appreciation on swap agreements
   6,160,430    5,140,980
Receivable on open futures contracts
   1,605,224    148,784
Interest receivable
   2,345    6,531

Total assets
   214,734,298    263,747,871

Liabilities and shareholders’ equity

Liabilities

Brokerage commissions and fees payable
   9,172    —
Payable to Sponsor
   176,066    206,394
Non-recurring
fees and expenses payable
   1,004    1,004

Total liabilities
   186,242    207,398

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   214,548,056    263,540,473

Total liabilities and shareholders’ equity
   $ 214,734,298    $ 263,747,871

Shares outstanding
   3,950,000    3,900,000

Net asset value per share
   $ 54.32    $ 67.57

Market value per share (Note 2)
   $ 53.91    $ 68.20


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $298,652,557 and $207,964,168, respectively)	$	298,473,849	$	207,956,320
Cash		37,818,466		9,328,332
Segregated cash balances with brokers for futures contracts		13,525,200		6,093,750
Segregated cash balances with brokers for swap agreements		11,048,000		—
Unrealized appreciation on swap agreements		—		8,639,188
Receivable on open futures contracts		2,562,814		944,644
Interest receivable		—		690

Total assets		363,428,329		232,962,924

Liabilities and shareholders’ equity
Liabilities
Brokerage commissions and futures account fees payable		10,530		4,034
Payable to Sponsor		277,421		178,356
Unrealized depreciation on swap agreements		8,110,556		—

Total liabilities		8,398,507		182,390

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		355,029,822		232,780,534

Total liabilities and shareholders’ equity	$	363,428,329	$	232,962,924

Shares outstanding		5,300,000		3,900,000

Net asset value per share	$	66.99	$	59.69

Market value per share (Note 2)	$	66.14	$	59.81

See accompanying notes to financial statements.

2930

Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, ~~2021~~2022

(unaudited)

Principal Amount

Value

Short-term U.S. government and agency obligations

(41% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.069% due 04/15/21
†
   $ 60,000,000    $ 59,999,651
0.070% due 05/20/21
†
   22,000,000    21,999,402
0.037% due 06/17/21
†
   5,000,000    4,999,840

Total short-term U.S. government and agency obligations
(cost $86,995,913)
      $ 86,998,893


	Principal Amount		Value
Short-term U.S. government and agency obligations
(84% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.021% due 04/21/22	$	50,000,000	$	49,995,835
0.209% due 05/19/22 †		25,000,000		24,991,332
0.363% due 06/16/22 †		90,000,000		89,917,353
0.393% due 07/21/22 †		45,000,000		44,902,179
0.706% due 08/18/22 †		75,000,000		74,752,410
0.223% due 11/03/22 †		14,000,000		13,914,740

Total short-term U.S. government and agency obligations (cost $298,652,557)			$	298,473,849

Futures Contracts Purchased

Number of

Contracts

Notional Amount

at Value

Unrealized
Appreciation
(Depreciation)/Value

Gold Futures - COMEX, expires June 2021
   722    $ 123,866,320    $ 393,125


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Gold Futures - COMEX, expires June 2022		1,871	$	365,593,400	$	(7,245,013	)

Total Return Swap Agreements

Rate Paid

(Received)*

Termination

Date

Notional Amount

at Value**

Unrealized

Appreciation

(Depreciation)/Value

Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
   0.25 % 04/06/21    $ 105,063,244    $ 2,121,049
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.25 04/06/21    90,791,674    1,832,931
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25 04/06/21    109,293,502    2,206,450

      Total Unrealized
Appreciation
   $ 6,160,430


	Rate Paid (Received) *			Termination Date		Notional Amount at Value **		Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex		0.25	%		04/06/22	$	118,728,333	$	(2,792,482	)
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex		0.25			04/06/22		102,600,526		(2,413,156	)
Swap agreement with UBS AG based on Bloomberg Gold Subindex		0.25			04/06/22		123,508,801		(2,904,918	)

							Total Unrealized Depreciation	$	(8,110,556	)

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of March 31, ~~2021.~~2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of March 31, ~~2021,~~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.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended March 31,


2021

2020

Investment Income

Interest
   $ 35,827 $ 414,684

Expenses

Management fee
   568,207 295,411
Brokerage commissions
   14,888 10,365
Brokerage fees
   32,402 —

Total expenses
   615,497 305,776

Net investment income (loss)
   (579,670 ) 108,908

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   (16,805,897 ) (68,161 )
Swap agreements
   (34,442,235 ) 21,566,217
Short-term U.S. government and agency obligations
   245 —

Net realized gain (loss)
   (51,247,887 ) 21,498,056

Change in net unrealized appreciation (depreciation) on

Futures contracts
   (2,253,749 ) (3,638,236 )
Swap agreements
   1,019,450 (15,515,060 )
Short-term U.S. government and agency obligations
   1,796 55,936

Change in net unrealized appreciation (depreciation)
   (1,232,503 ) (19,097,360 )

Net realized and unrealized gain (loss)
   (52,480,390 ) 2,400,696

Net income (loss)
   $ (53,060,060 ) $ 2,509,604


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	95,113		$	35,827

Expenses
Management fee		671,415			568,207
Brokerage commissions		21,659			14,888
Futures accounts fees		19,505			32,402

Total expenses		712,579			615,497

Net investment income (loss)		(617,466	)		(579,670	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		20,190,020			(16,805,897	)
Swap agreements		37,628,576			(34,442,235	)
Short-term U.S. government and agency obligations		—			245

Net realized gain (loss)		57,818,596			(51,247,887	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		(7,899,907	)		(2,253,749	)
Swap agreements		(16,749,744	)		1,019,450
Short-term U.S. government and agency obligations		(170,860	)		1,796

Change in net unrealized appreciation (depreciation)		(24,820,511	)		(1,232,503	)

Net realized and unrealized gain (loss)		32,998,085			(52,480,390	)

Net income (loss)	$	32,380,619		$	(53,060,060	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 263,540,473 $ 110,726,032

Addition of 600,000 and 1,150,000 shares, respectively
   37,062,261 64,993,775
Redemption of 550,000 and 950,000 shares, respectively
   (32,994,618 ) (49,747,615 )

Net addition (redemption) of 50,000 and 200,000 shares, respectively
   4,067,643 15,246,160

Net investment income (loss)
   (579,670 ) 108,908
Net realized gain (loss)
   (51,247,887 ) 21,498,056
Change in net unrealized appreciation (depreciation)
   (1,232,503 ) (19,097,360 )

Net income (loss)
   (53,060,060 ) 2,509,604

Shareholders’ equity, end of period
   $ 214,548,056 $ 128,481,796


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	232,780,534		$	263,540,473

Addition of 1,500,000 and 600,000 shares, respectively		95,684,676			37,062,261
Redemption of 100,000 and 550,000 shares, respectively		(5,816,007	)		(32,994,618	)

Net addition (redemption) of 1,400,000 and 50,000 shares, respectively		89,868,669			4,067,643

Net investment income (loss)		(617,466	)		(579,670	)
Net realized gain (loss)		57,818,596			(51,247,887	)
Change in net unrealized appreciation (depreciation)		(24,820,511	)		(1,232,503	)

Net income (loss)		32,380,619			(53,060,060	)

Shareholders’ equity, end of period	$	355,029,822		$	214,548,056

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

Three Months Ended March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ (53,060,060 ) $ 2,509,604
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
   (206,969,781 ) (60,782,344 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   194,999,771 96,257,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (27,375 ) (236,284 )
Net realized gain (loss) on investments
   (245 ) —
Change in unrealized appreciation (depreciation) on investments
   (1,021,246 ) 15,459,124
Decrease (Increase) in receivable on futures contracts
   (1,456,440 ) 170,073
Decrease (Increase) in interest receivable
   4,186 (8,574 )
Increase (Decrease) in payable to Sponsor
   (30,328 ) 117,996
Increase (Decrease) in brokerage commissions and fees payable
   9,172 —
Increase (Decrease) in payable on futures contracts
   —   1,978,828

Net cash provided by (used in) operating activities
   (67,552,346 ) 55,465,423

Cash flow from financing activities

Proceeds from addition of shares
   37,062,261 64,993,775
Payment on shares redeemed
   (32,994,618 ) (49,747,615 )

Net cash provided by (used in) financing activities
   4,067,643 15,246,160

Net increase (decrease) in cash
   (63,484,703 ) 70,711,583
Cash, beginning of period
   183,452,109 38,526,723

Cash, end of period
   $ 119,967,406 $ 109,238,306


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	32,380,619		$	(53,060,060	)
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		(439,592,586	)		(206,969,781	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		349,000,000			194,999,771
Net amortization and accretion on short-term U.S. government and agency obligations		(95,803	)		(27,375	)
Net realized (gain) loss on investments		—			(245	)
Change in unrealized (appreciation) depreciation on investments		16,920,604			(1,021,246	)
Decrease (Increase) in receivable on open futures contracts		(1,618,170	)		(1,456,440	)
Decrease (Increase) in interest receivable		690			4,186
Increase (Decrease) in payable to Sponsor		99,065			(30,328	)
Increase (Decrease) in brokerage commissions and futures account fees payable		6,496			9,172

Net cash provided by (used in) operating activities		(42,899,085	)		(67,552,346	)

Cash flow from financing activities
Proceeds from addition of shares		95,684,676			37,062,261
Payment on shares redeemed		(5,816,007	)		(32,994,618	)

Net cash provided by (used in) financing activities		89,868,669			4,067,643

Net increase (decrease) in cash		46,969,584			(63,484,703	)
Cash, beginning of period		15,422,082			183,452,109

Cash, end of period	$	62,391,666		$	119,967,406

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

March 31, 2021
(unaudited)

December 31, 2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $419,957,178 and $244,987,251, respectively)
   $ 419,985,837    $ 244,993,989
Cash
   94,849,379    301,951,458
Segregated cash balances with brokers for futures contracts
   32,096,625    66,062,502
Segregated cash balances with brokers for swap agreements
   51,110,000    78,388,000
Unrealized appreciation on swap agreements
   —      56,752,666
Receivable from capital shares sold
   4,134,427    —
Receivable on open futures contracts
   1,465,450    —
Interest receivable
   4,633    10,698

Total assets
   603,646,351    748,159,313

Liabilities and shareholders’ equity

Liabilities

Payable on open futures contracts
   2,165,523    2,312,939
Brokerage commissions and fees payable
   45,354    —
Payable to Sponsor
   510,862    539,986
Unrealized depreciation on swap agreements
   28,421,003    —
Non-recurring
fees and expenses payable
   2,360    2,360

Total liabilities
   31,145,102    2,855,285

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   572,501,249    745,304,028

Total liabilities and shareholders’ equity
   $ 603,646,351    $ 748,159,313

Shares outstanding
   13,846,526    14,696,526

Net asset value per share
   $ 41.35    $ 50.71

Market value per share (Note 2)
   $ 41.10    $ 51.28


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $465,593,363 and $451,896,236, respectively)	$	465,290,460	$	451,872,982
Cash		22,418,785		10,985,565
Segregated cash balances with brokers for futures contracts		13,190,750		14,502,938
Segregated cash balances with brokers for swap agreements		81,624,040		—
Unrealized appreciation on swap agreements		0		40,591,699
Receivable on open futures contracts		174,600		1,384,919
Interest receivable		0		1,582

Total assets		582,698,635		519,339,685

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		0		3,483,770
Brokerage commissions and futures account fees payable		9,893		9,833
Payable to Sponsor		462,171		392,488
Unrealized depreciation on swap agreements		23,850,730		—

Total liabilities		24,322,794		3,886,091

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		558,375,841		515,453,594

Total liabilities and shareholders’ equity	$	582,698,635	$	519,339,685

Shares outstanding		14,296,526		14,796,526

Net asset value per share	$	39.06	$	34.84

Market value per share (Note 2)	$	38.53	$	34.74

See accompanying notes to financial statements.

3435

Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, ~~2021~~2022

(unaudited)

Principal Amount

Value

Short-term U.S. government and agency obligations

(73% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.062% due 04/15/21
†
   $ 80,000,000    $ 79,999,536
0.051% due 05/20/21
†
   100,000,000    99,997,280
0.057% due 06/17/21
†
   115,000,000    114,996,309
0.056% due 07/15/21
†
   125,000,000    124,992,712

Total short-term U.S. government and agency obligations
(cost $419,957,178)
      $ 419,985,837


	Principal Amount		Value
Short-term U.S. government and agency obligations
(83% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.135% due 04/21/22†	$	75,000,000	$	74,993,752
0.209% due 05/19/22†		150,000,000		149,947,995
0.351% due 06/16/22†		100,000,000		99,908,170
0.393% due 07/21/22†		23,000,000		22,950,003
0.706% due 08/18/22†		75,000,000		74,752,410
0.223% due 11/03/22†		43,000,000		42,738,130

Total short-term U.S. government and agency obligations (cost $465,593,363)			$	465,290,460

Futures Contracts Purchased

Number of

Contracts

Notional Amount

at Value

Unrealized
Appreciation
(Depreciation)/Value

Silver Futures - COMEX, expires May 2021
   1,667    $ 204,474,220    $ (15,401,821 )


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Silver Futures - COMEX, expires May 2022		1,351	$	169,773,415	$	9,192,378

Total Return Swap Agreements



	Rate Paid (Received)*			Termination Date		Notional Amount at Value**		Unrealized Appreciation (Depreciation)/Value			Rate Paid (Received) *			Termination Date		Notional Amount at Value **		Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex		0.25	%		04/06/21	$	291,359,450	$	(8,800,436	)		0.25	%		04/06/22	$	237,998,246	$	(7,141,286	)
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.30			04/06/21		218,805,087		(6,616,052	)		0.30			04/06/22		249,395,557		(5,875,157	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30			04/06/21		228,795,897		(6,918,147	)		0.30			04/06/22		232,374,365		(5,474,180	)
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25			04/06/21		201,503,724		(6,086,368	)		0.25			04/06/22		227,857,585		(5,360,107	)

							Total Unrealized Depreciation	$	(28,421,003	)							Total Unrealized Depreciation	$	(23,850,730	)

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of March 31, ~~2021.~~2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of March 31, ~~2021,~~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.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended March 31,


2021

2020

Investment Income

Interest
   $ 98,129 $ 776,287

Expenses

Management fee
   1,631,135 481,247
Brokerage commissions
   46,582 18,208
Brokerage fees
   162,187 —

Total expenses
   1,839,904 499,455

Net investment income (loss)
   (1,741,775 ) 276,832

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   6,896,270 (9,641,976 )
Swap agreements
   (1,985,719 ) 5,944,322
Short-term U.S. government and agency obligations
   191 —

Net realized gain (loss)
   4,910,742 (3,697,654 )

Change in net unrealized appreciation (depreciation) on

Futures contracts
   (52,592,033 ) (4,249,586 )
Swap agreements
   (85,173,669 ) (80,923,026 )
Short-term U.S. government and agency obligations
   21,921 110,781

Change in net unrealized appreciation (depreciation)
   (137,743,781 ) (85,061,831 )

Net realized and unrealized gain (loss)
   (132,833,039 ) (88,759,485 )

Net income (loss)
   $ (134,574,814 ) $ (88,482,653 )


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	140,449		$	98,129

Expenses
Management fee		1,217,599			1,631,135
Brokerage commissions		30,551			46,582
Futures accounts fees		20,505			162,187

Total expenses		1,268,655			1,839,904

Net investment income (loss)		(1,128,206	)		(1,741,775	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(5,744,962	)		6,896,270
Swap agreements		122,381,989			(1,985,719	)
Short-term U.S. government and agency obligations		10			191

Net realized gain (loss)		116,637,037			4,910,742

Change in net unrealized appreciation (depreciation) on
Futures contracts		6,685,833			(52,592,033	)
Swap agreements		(64,442,429	)		(85,173,669	)
Short-term U.S. government and agency obligations		(279,649	)		21,921

Change in net unrealized appreciation (depreciation)		(58,036,245	)		(137,743,781	)

Net realized and unrealized gain (loss)		58,600,792			(132,833,039	)

Net income (loss)	$	57,472,586		$	(134,574,814	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 745,304,028 $ 239,254,842

Addition of 2,400,000 and 750,000 shares, respectively
   120,399,635 14,162,113
Redemption of 3,250,000 and 1,250,000 shares, respectively
   (158,627,600 ) (35,148,766 )

Net addition (redemption) of (850,000) and (500,000) shares, respectively
   (38,227,965 ) (20,986,653 )

Net investment income (loss)
   (1,741,775 ) 276,832
Net realized gain (loss)
   4,910,742 (3,697,654 )
Change in net unrealized appreciation (depreciation)
   (137,743,781 ) (85,061,831 )

Net income (loss)
   (134,574,814 ) (88,482,653 )

Shareholders’ equity, end of period
   $ 572,501,249 $ 129,785,536


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	515,453,594		$	745,304,028

Addition of 1,000,000 and 2,400,000 shares, respectively		39,033,941			120,399,635
Redemption of 1,500,000 and 3,250,000 shares, respectively		(53,584,280	)		(158,627,600	)

Net addition (redemption) of (500,000) and (850,000) shares, respectively		(14,550,339	)		(38,227,965	)

Net investment income (loss)		(1,128,206	)		(1,741,775	)
Net realized gain (loss)		116,637,037			4,910,742
Change in net unrealized appreciation (depreciation)		(58,036,245	)		(137,743,781	)

Net income (loss)		57,472,586			(134,574,814	)

Shareholders’ equity, end of period	$	558,375,841		$	572,501,249

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

Three Months Ended March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ (134,574,814 ) $ (88,482,653 )
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
   (684,892,324 ) (113,569,175 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   509,999,794 188,705,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (77,206 ) (472,102 )
Net realized gain (loss) on investments
   (191 ) —
Change in unrealized appreciation (depreciation) on investments
   85,151,748 80,812,245
Decrease (Increase) in receivable on futures contracts
   (1,465,450 ) (51,960 )
Decrease (Increase) in interest receivable
   6,065 33,357
Increase (Decrease) in payable to Sponsor
   (29,124 ) 116,819
Increase (Decrease) in brokerage commissions and fees payable
   45,354 —
Increase (Decrease) in payable on futures contracts
   (147,416 ) 91,879

Net cash provided by (used in) operating activities
   (225,983,564 ) 67,183,410

Cash flow from financing activities

Proceeds from addition of shares
   116,265,208 12,321,941
Payment on shares redeemed
   (158,627,600 ) (35,148,766 )

Net cash provided by (used in) financing activities
   (42,362,392 ) (22,826,825 )

Net increase (decrease) in cash
   (268,345,956 ) 44,356,585
Cash, beginning of period
   446,401,960 79,058,662

Cash, end of period
   $ 178,056,004 $ 123,415,247


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	57,472,586		$	(134,574,814	)
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		(555,554,828	)		(684,892,324	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		541,999,742			509,999,794
Net amortization and accretion on short-term U.S. government and agency obligations		(142,031	)		(77,206	)
Net realized (gain) loss on investments		(10	)		(191	)
Change in unrealized (appreciation) depreciation on investments		64,722,078			85,151,748
Decrease (Increase) in receivable on open futures contracts		1,210,319			(1,465,450	)
Decrease (Increase) in interest receivable		1,582			6,065
Increase (Decrease) in payable to Sponsor		69,683			(29,124	)
Increase (Decrease) in brokerage commissions and futures account fees payable		60			45,354
Increase (Decrease) in payable on open futures contracts		—			(147,416	)

Net cash provided by (used in) operating activities		109,779,181			(225,983,564	)

Cash flow from financing activities
Proceeds from addition of shares		39,033,941			116,265,208
Payment on shares redeemed	��	(57,068,050	)		(158,627,600	)

Net cash provided by (used in) financing activities		(18,034,109	)		(42,362,392	)

Net increase (decrease) in cash		91,745,072			(268,345,956	)
Cash, beginning of period		25,488,503			446,401,960

Cash, end of period	$	117,233,575		$	178,056,004

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $193,806,309 and $221,725,609, respectively)	$	193,118,875	$	221,660,593
Cash		70,665,485		108,688,034
Segregated cash balances with brokers for futures contracts		490,761,445		463,432,845
Receivable from capital shares sold		15,544,945		—
Securities sold receivabl e		6,195,418		0
Receivable on open futures contracts		352,266,772		33,597,688
Interest receivable		0		5,060

Total assets		1,128,552,940		827,384,220

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		0		9,447,456
Brokerage commissions and futures account fees payable		234,366		167,855
Payable to Sponsor		709,933		611,836
Unrealized depreciation on swap agreements		0		477,437

Total liabilities		944,299		10,704,584

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		1,127,608,641		816,679,636

Total liabilities and shareholders’ equity	$	1,128,552,940	$	827,384,220

Shares outstanding (Note 1)		83,528,420		65,828,420

Net asset value per share (Note 1)	$	13.50	$	12.41

Market value per share (Note 1) (Note 2)	$	13.46	$	12.43

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

~~STATEMENTS OF FINANCIAL CONDITION~~

MARCH 31, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(17% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.135% due 04/21/22	$	50,000,000	$	49,995,835
0.223% due 11/03/22		144,000,000		143,123,040

Total short-term U.S. government and agency obligations (cost $193,806,309)			$	193,118,875

March 31, 2021
(unaudited)

December 31, 2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $376,960,550 and $244,990,791, respectively)
   $ 376,985,173    $ 244,995,969
Cash
   53,272,722    181,991,996
Segregated cash balances with brokers for futures contracts
   782,757,661    879,704,000
Segregated cash balances with brokers for swap agreements
   85,756,000    7,976,000
Receivable from capital shares sold
   —      49,086,388
Receivable on open futures contracts
   39,317,506    16,422,512
Interest receivable
   6,631    7,054

Total assets
   1,338,095,693    1,380,183,919

Liabilities and shareholders’ equity

Liabilities

Payable on open futures contracts
   12,652,068    22,424,475
Brokerage commissions and fees payable
   734,787    485,039
Payable to Sponsor
   1,352,907    1,040,582
Unrealized depreciation on swap agreements
   —      24,807
Securities purchased payable
   38,977,944    —
Non-recurring
fees and expenses payable
   4,817    4,817

Total liabilities
   53,722,523    23,979,720

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   1,284,373,170    1,356,204,199

Total liabilities and shareholders’ equity
   $ 1,338,095,693    $ 1,380,183,919

Shares outstanding
   228,030,912    127,130,912

Net asset value per share
   $ 5.63    $ 10.67

Market value per share (Note 2)
   $ 5.65    $ 10.65


Futures Contracts Purchased
	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires April 2022		33,482	$	785,789,058	$	(144,097,149	)
VIX Futures - Cboe, expires May 2022		36,263		906,128,965		(17,115,511	)

					$	(161,212,660	)

^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	95,261		$	113,969

Expenses
Management fee		1,961,177			4,383,077
Brokerage commissions		936,758			1,956,628
Futures accounts fees		782,688			1,843,813

Total expenses		3,680,623			8,183,518

Net investment income (loss)		(3,585,362	)		(8,069,549	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		258,438,098			(653,063,682	)
Swap agreements		22,556,586			(51,454,342	)
Short-term U.S. government and agency obligations		(15,153	)		18,520

Net realized gain (loss)		280,979,531			(704,499,504	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		(34,855,903	)		(284,403,583	)
Swap agreements		477,437			24,807
Short-term U.S. government and agency obligations		(622,418	)		19,445

Change in net unrealized appreciation (depreciation)		(35,000,884	)		(284,359,331	)

Net realized and unrealized gain (loss)		245,978,647			(988,858,835	)

Net income (loss)	$	242,393,285		$	(996,928,384	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	816,679,636		$	1,356,204,199

Addition of 83,100,000 and 19,630,000 shares, respectively (Note 1)		1,171,715,867			1,939,143,031
Redemption of 65,400,000 and 9,540,000 shares, respectively (Note 1)		(1,103,180,147	)		(1,014,045,676	)

Net addition (redemption) of 17,700,000 and 10,090,000 shares, respectively (Note 1)		68,535,720			925,097,355

Net investment income (loss)		(3,585,362	)		(8,069,549	)
Net realized gain (loss)		280,979,531		��	(704,499,504	)
Change in net unrealized appreciation (depreciation)		(35,000,884	)		(284,359,331	)

Net income (loss)		242,393,285			(996,928,384	)

Shareholders’ equity, end of period	$	1,127,608,641		$	1,284,373,170

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities

Net income (loss)	$	242,393,285		$	(996,928,384	)
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		(396,948,446	)		(811,866,867	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		424,952,914			679,996,765
Net amortization and accretion on short-term U.S. government and agency obligations		(100,321	)		(81,137	)
Net realized (gain) loss on investments		15,153			(18,520	)
Change in unrealized (appreciation) depreciation on investments		144,981			(44,252	)
Decrease (Increase) in securities sold receivable		(6,195,418	)		0
Decrease (Increase) in receivable on open futures contracts		(318,669,084	)		(22,894,994	)
Decrease (Increase) in interest receivable		5,060			423
Increase (Decrease) in payable to Sponsor		98,097			312,325
Increase (Decrease) in brokerage commissions and futures account fees payable		66,511			249,748
Increase (Decrease) in payable on open futures contracts		(9,447,456	)		(9,772,407	)
Increase (Decrease) in securities purchased payable		—			38,977,944

Net cash provided by (used in) operating activities		(63,684,724	)		(1,122,069,356	)

Cash flow from financing activities
Proceeds from addition of shares		1,156,170,922			1,988,229,419
Payment on shares redeemed		(1,103,180,147	)		(1,014,045,676	)

Net cash provided by (used in) financing activities		52,990,775			974,183,743

Net increase (decrease) in cash		(10,693,949	)		(147,885,613	)
Cash, beginning of period		572,120,879			1,069,671,996

Cash, end of period	$	561,426,930		$	921,786,383

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $996,736 and $0, respectively)	$	993,910	$	—
Cash		1,339,246		2,232,820
Segregated cash balances with brokers for foreign currency forward contracts		—		225,000
Unrealized appreciation on foreign currency forward contracts		7,119		821
Interest receivable		—		95

Total assets		2,340,275		2,458,736

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		1,800		1,954
Unrealized depreciation on foreign currency forward contracts		238,770		93,933

Total liabilities		240,570		95,887

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		2,099,705		2,362,849

Total liabilities and shareholders’ equity	$	2,340,275	$	2,458,736

Shares outstanding		49,970		49,970

Net asset value per share	$	42.02	$	47.29

Market value per share (Note 2)	$	42.09	$	47.29

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

MARCH 31, ~~2021~~2022

(unaudited)

Principal Amount

Value

Short-term U.S. government and agency obligations

(29% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.063% due 04/15/21
   $ 77,000,000    $ 76,999,553
0.061% due 05/20/21
   100,000,000    99,997,280
0.051% due 07/15/21
   200,000,000    199,988,340

Total short-term U.S. government and agency obligations
(cost $376,960,550)
      $ 376,985,173

~~Futures Contracts Purchased~~


	Principal Amount		Value
Short-term U.S. government and agency obligations
(47% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.554% due 11/03/22 †	$	1,000,000	$	993,910

Total short-term U.S. government and agency obligations (cost $996,736)			$	993,910

Number of

Contracts

Notional Amount

at Value

Unrealized
Appreciation
(Depreciation)/Value

VIX Futures - Cboe, expires April 2021
   45,234    $ 937,881,756    $ (271,592,637 )
VIX Futures - Cboe, expires May 2021
   38,279    868,006,948    (61,335,612 )

         $ (332,928,249 )

~~Total Return Swap Agreements~~


Foreign Currency Forward Contracts ^
	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		04/08/22		321,397,517		$	2,640,512		$	(140,536	)
Yen with UBS AG		04/08/22		234,765,856			1,928,772			(98,234	)

							Total Unrealized Depreciation		$	(238,770	)

Contracts to Sell
Yen with Goldman Sachs International		04/08/22		(6,529,000	)	$	(53,640	)	$	(254	)
Yen with UBS AG		04/08/22		(37,680,000	)		(309,568	)		7,373

							Total Unrealized Appreciation		$	7,119

Rate Paid

(Received)*

Termination

Date

Notional Amount

at Value**

Unrealized

Appreciation

(Depreciation)/Value

Swap agreement with Goldman Sachs & Co., based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index
   0.97 % 04/28/21    $ 120,270,000    $ 0—

      Total Unrealized
Depreciation
   $ 0—

†	All or partial amount pledged as collateral for foreign currency forward contracts.

^	The positions and counterparties herein are as of March 31, ~~2021.~~2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	873		$	356

Expenses
Management fee		5,429			6,649

Total expenses		5,429			6,649

Net investment income (loss)		(4,556	)		(6,293	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(118,771	)		(139,467	)
Short-term U.S. government and agency obligations		1,548			—

Net realized gain (loss)		(117,223	)		(139,467	)

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(138,539	)		(256,089	)
Short-term U.S. government and agency obligations		(2,826	)		44

Change in net unrealized appreciation (depreciation)		(141,365	)		(256,045	)

Net realized and unrealized gain (loss)		(258,588	)		(395,512	)

Net income (loss)	$	(263,144	)	$	(401,805	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	2,362,849		$	2,989,499

Net investment income (loss)		(4,556	)		(6,293	)
Net realized gain (loss)		(117,223	)		(139,467	)
Change in net unrealized appreciation (depreciation)		(141,365	)		(256,045	)

Net income (loss)		(263,144	)		(401,805	)

Shareholders’ equity, end of period	$	2,099,705		$	2,587,694

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

(unaudited)


	Three Months Ended March 31,
	2022				2021
Cash flow from operating activities
Net income (loss)	$	(263,144	)		$	(401,805	)
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		(995,769	)			(499,849	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,548				—
Net amortization and accretion on short-term U.S. government and agency obligations		(967	)			(93	)
Net realized (gain) loss on investments		(1,548	)			—
Change in unrealized (appreciation) depreciation on investments		141,365				256,045
Decrease (Increase) in interest receivable		95				27
Increase (Decrease) in payable to Sponsor		(154	)			(213	)

Net cash provided by (used in) operating activities		(1,118,574	)	��		(645,888	)

Net increase (decrease) in cash		(1,118,574	)			(645,888	)
Cash, beginning of period		2,457,820				2,924,696

Cash, end of period	$	1,339,246			$	2,278,808

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $ 0 and $ 1,999,869 , respectively)	$	0	$	1,999,875
Cash		2,144,311		310,565
Segregated cash balances with brokers for futures contracts		108,900		117,920
Receivable on open futures contracts		11,700		—
Interest receivable		—		16

Total assets		2,264,911		2,428,376

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		13,735
Payable to Sponsor		1,886		2,018

Total liabilities		1,886		15,753

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		2,263,025		2,412,623

Total liabilities and shareholders’ equity	$	2,264,911	$	2,428,376

Shares outstanding		50,000		50,000

Net asset value per share	$	45.26	$	48.25

Market value per share (Note 2)	$	45.35	$	48.41

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Australian Dollar Fx Currency Futures - CME, expires June 2022		60	$	4,497,900	$	(96,657	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	115		$	258

Expenses
Management fee		5,696			5,139
Brokerage commissions		500			386

Total expenses		6,196			5,525

Net investment income (loss)		(6,081	)		(5,267	)
					��
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(116,848	)		(164,544	)
Short-term U.S. government and agency obligations		4,839			—

Net realized gain (loss)		(112,009	)		(164,544	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		(31,502	)		206,052
Short-term U.S. government and agency obligations		(6	)		0

Change in net unrealized appreciation (depreciation)		(31,508	)		206,052

Net realized and unrealized gain (loss)		(143,517	)		41,508

Net income (loss)	$	(149,598	)	$	36,241

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	2,412,623		$	2,222,639

Net investment income (loss)		(6,081	)		(5,267	)
Net realized gain (loss)		(112,009	)		(164,544	)
Change in net unrealized appreciation (depreciation)		(31,508	)		206,052

Net income (loss)		(149,598	)		36,241

Shareholders’ equity, end of period	$	2,263,025		$	2,258,880

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

(unaudited)


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities

Net income (loss)	$	(149,598	)	$	36,241
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Proceeds from sales or maturities of short-term U.S. government and agency obligations		2,004,839			—
Net amortization and accretion on short-term U.S. government and agency obligations		(131	)		—
Net realized (gain) loss on investments		(4,839	)		—
Change in unrealized (appreciation) depreciation on investments		6			—
Decrease (Increase) in receivable on open futures contracts		(11,700	)		—
Decrease (Increase) in interest receivable		16			31
Increase (Decrease) in payable to Sponsor		(132	)		(596	)
Increase (Decrease) in payable on open futures contracts		(13,735	)		(3,718	)

Net cash provided by (used in) operating activities		1,824,726			31,958

Net increase (decrease) in cash		1,824,726			31,958
Cash, beginning of period		428,485			2,234,027

Cash, end of period	$	2,253,211		$	2,265,985

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $172,878,249 and $55,932,300, respectively)	$	172,675,022	$	55,916,023
Cash		74,893,009		29,602,412
Segregated cash balances with brokers for futures contracts		146,472,433		24,841,141
Receivable from capital shares sold		2,335,415		—
Receivable on open futures contracts		24,718,248		4,064,439
Interest receivable		0		1,359

Total assets		421,094,127		114,425,374

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		3,982,086		175,557
Brokerage commissions and futures account fees payable		42,292		7,944
Payable to Sponsor		270,518		74,271

Total liabilities		4,294,896		257,772

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		416,799,231		114,167,602

Total liabilities and shareholders’ equity	$	421,094,127	$	114,425,374

Shares outstanding (Note 1)		71,433,799		8,883,799

Net asset value per share (Note 1)	$	5.83	$	12.85

Market value per share (Note 1) (Note 2)	$	5.79	$	12.75

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(41% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.051% due 04/21/22	$	40,000,000	$	39,996,668
0.209% due 05/19/22		25,000,000		24,991,333
0.389% due 06/16/22		50,000,000		49,954,085
0.393% due 07/21/22		22,000,000		21,952,176
0.223% due 11/03/22		36,000,000		35,780,760

Total short-term U.S. government and agency obligations (cost $172,878,249)			$	172,675,022


Futures Contracts Sold
	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires June 2022		2,737	$	269,649,240	$	(4,110,731	)
WTI Crude Oil - NYMEX, expires December 2022		3,147		281,971,200		(2,299,051	)
WTI Crude Oil - NYMEX, expires June 2023		3,339		282,512,790		116,312

					$	(6,293,470	)

^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	53,907		$	10,835

Expenses
Management fee		492,647			221,263
Brokerage commissions		77,056			43,044
Futures accounts fees		70,177			47,712

Total expenses		639,880			312,019

Net investment income (loss)		(585,973	)		(301,184	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(106,482,101	)		(49,177,765	)

Net realized gain (loss)		(106,482,101	)		(49,177,765	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		2,115,992			5,636,634
Short-term U.S. government and agency obligations		(186,950	)		2,210

Change in net unrealized appreciation (depreciation)		1,929,042			5,638,844

Net realized and unrealized gain (loss)		(104,553,059	)		(43,538,921	)

Net income (loss)	$	(105,139,032	)	$	(43,840,105	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	114,167,602		$	96,839,233

Addition of 77,850,000 and 1,950,000 shares, respectively (Note 1)		510,028,879			64,302,979
Redemption of 15,300,000 and 850,000 shares, respectively (Note 1)		(102,258,218	)		(25,583,717	)

Net addition (redemption) of 62,550,000 and 1,100,000 shares, respectively (Note 1)		407,770,661			38,719,262

Net investment income (loss)		(585,973	)		(301,184	)
Net realized gain (loss)		(106,482,101	)		(49,177,765	)
Change in net unrealized appreciation (depreciation)		1,929,042			5,638,844

Net income (loss)		(105,139,032	)		(43,840,105	)

Shareholders’ equity, end of period	$	416,799,231		$	91,718,390

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(105,139,032	)	$	(43,840,105	)
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		(203,890,683	)		(59,990,524	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		87,000,000			25,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(55,266	)		(6,348	)
Change in unrealized (appreciation) depreciation on investments		186,950			(2,210	)
Decrease (Increase) in receivable on open futures contracts		(20,653,809	)		(2,690,988	)
Decrease (Increase) in interest receivable		1,359			2,099
Increase (Decrease) in payable to Sponsor		196,247			(7,303	)
Increase (Decrease) in brokerage commissions and futures account fees payable		34,348			25,647
Increase (Decrease) in payable on open futures contracts		3,806,529			166,417

Net cash provided by (used in) operating activities		(238,513,357	)		(81,343,315	)

Cash flow from financing activities
Proceeds from addition of shares		507,693,464			64,302,979
Payment on shares redeemed		(102,258,218	)		(25,583,717	)

Net cash provided by (used in) financing activities		405,435,246			38,719,262

Net increase (decrease) in cash		166,921,889			(42,624,053	)
Cash, beginning of period		54,443,553			97,113,373

Cash, end of period	$	221,365,442		$	54,489,320

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $109,916,719 and $123,855,553, respectively)	$	109,627,801	$	123,821,548
Cash		70,201,998		53,547,476
Segregated cash balances with brokers for futures contracts		35,162,820		59,453,451
Receivable from capital shares sold		19,436,163		—
Receivable on open futures contracts		18,454,994		30,090,351
Interest receivable		—		1,749

Total assets		252,883,776		266,914,575

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		15,986,002
Payable on open futures contracts		2,342,100		8,542,438
Brokerage commissions and futures account fees payable		29,510		46,867
Payable to Sponsor		171,329		194,138

Total liabilities		2,542,939		24,769,445

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		250,340,837		242,145,130

Total liabilities and shareholders’ equity	$	252,883,776	$	266,914,575

Shares outstanding (Note 1)		15,474,477		3,914,966

Net asset value per share (Note 1)	$	16.18	$	61.85

Market value per share (Note 1) (Note 2)	$	16.14	$	60.55

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(44% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.135% due 04/21/22	$	40,000,000	$	39,996,668
0.209% due 05/19/22		10,000,000		9,996,533
0.223% due 11/03/22		60,000,000		59,634,600

Total short-term U.S. government and agency obligations (cost $109,916,719)			$	109,627,801

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Natural Gas - NYMEX, expires May 2022		8,883	$	501,178,860	$	(74,095,907	)

^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	55,825		$	7,883

Expenses
Management fee		542,364			159,337
Brokerage commissions		220,951			85,680
Futures accounts fees		129,929			23,273

Total expenses		893,244			268,290

Net investment income (loss)		(837,419	)		(260,407	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(114,665,698	)		(6,359,394	)
Short-term U.S. government and agency obligations		(58,610	)		—

Net realized gain (loss)		(114,724,308	)		(6,359,394	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		(87,532,158	)		15,893,547
Short-term U.S. government and agency obligations		(254,913	)		1,517

Change in net unrealized appreciation (depreciation)		(87,787,071	)		15,895,064

Net realized and unrealized gain (loss)		(202,511,379	)		9,535,670

Net income (loss)	$	(203,348,798	)	$	9,275,263

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	242,145,130		$	24,977,745

Addition of 18,560,000 and 820,000 shares, respectively (Note 1)		454,959,241			142,050,186
Redemption of 7,000,489 and 570,000 shares, respectively (Note 1)		(243,414,736	)		(106,843,919	)

Net addition (redemption) of 11,559,511 and 250,000 shares, respectively (Note 1)		211,544,505			35,206,267

Net investment income (loss)		(837,419	)		(260,407	)
Net realized gain (loss)		(114,724,308	)		(6,359,394	)
Change in net unrealized appreciation (depreciation)		(87,787,071	)		15,895,064

Net income (loss)		(203,348,798	)		9,275,263

Shareholders’ equity, end of period	$	250,340,837		$	69,459,275

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(203,348,798	)	$	9,275,263
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		(171,922,547	)		(53,993,457	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		185,860,345			20,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(57,574	)		(3,966	)
Net realized (gain) loss on investments		58,610			0
Change in unrealized (appreciation) depreciation on investments		254,913			(1,517	)
Decrease (Increase) in receivable on open futures contracts		11,635,357			(607,891	)
Decrease (Increase) in interest receivable		1,749			(694	)
Increase (Decrease) in payable to Sponsor		(22,809	)		43,590
Increase (Decrease) in brokerage commissions and futures account fees payable		(17,357	)		427
Increase (Decrease) in payable on open futures contracts		(6,200,338	)		(1,543,700	)

Net cash provided by (used in) operating activities		(183,758,449	)		(26,831,945	)

Cash flow from financing activities
Proceeds from addition of shares		435,523,078			142,050,186
Payment on shares redeemed		(259,400,738	)		(109,448,096	)

Net cash provided by (used in) financing activities		176,122,340			32,602,090

Net increase (decrease) in cash		(7,636,109	)		5,770,145
Cash, beginning of period		113,000,927			19,147,382

Cash, end of period	$	105,364,818		$	24,917,527

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $41,972,530 and $46,968,288, respectively)	$	41,892,032	$	46,961,125
Cash		8,512,948		7,554,065
Unrealized appreciation on foreign currency forward contracts		134,035		135,118
Interest receivable		—		603

Total assets		50,539,015		54,650,911

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		40,931		44,707
Unrealized depreciation on foreign currency forward contracts		—		343,159

Total liabilities		40,931		387,866

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		50,498,084		54,263,045

Total liabilities and shareholders’ equity	$	50,539,015	$	54,650,911

Shares outstanding		1,850,000		2,100,000

Net asset value per share	$	27.30	$	25.84

Market value per share (Note 2)	$	27.31	$	25.86

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(83% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.135% due 04/21/22	$	22,000,000	$	21,998,167
0.393% due 07/21/22 †		4,000,000		3,991,305
0.223% due 11/03/22 †		16,000,000		15,902,560

Total short-term U.S. government and agency obligations (cost $41,972,530)			$	41,892,032

Foreign Currency Forward Contracts


	Settlement Date		Contract Amount in Local Currency			Contract Amount in U.S. Dollars			Unrealized Appreciation (Depreciation)/ Value
Contracts to Purchase
Euro with UBS AG		04/08/22		13,916,000		$	15,396,940		$	6,561

							Total Unrealized Appreciation		$	6,561

Contracts to Sell
Euro with Goldman Sachs International		04/08/22		(46,280,263	)	$	(51,205,409	)	$	83,304
Euro with UBS AG		04/08/22		(58,998,199	)		(65,276,787	)		44,170

							Total Unrealized Appreciation		$	127,474

†	All or partial amount pledged as collateral for foreign currency forward contracts.

^	The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	15,405		$	7,166

Expenses
Management fee		117,456			124,038

Total expenses		117,456			124,038

Net investment income (loss)		(102,051	)		(116,872	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		2,542,134			70,527
Short-term U.S. government and agency obligations		210,974			0

Net realized gain (loss)		2,753,108			70,527

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		342,076			4,391,397
Short-term U.S. government and agency obligations		(73,335	)		840

Change in net unrealized appreciation (depreciation)		268,741			4,392,237

Net realized and unrealized gain (loss)		3,021,849			4,462,764

Net income (loss)	$	2,919,798		$	4,345,892

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	54,263,045		$	52,953,339

Addition of 50,000 and 200,000 shares, respectively		1,371,662			4,613,244
Redemption of 300,000 and 300,000 shares, respectively		(8,056,421	)		(6,980,338	)

Net addition (redemption) of (250,000) and (100,000) shares, respectively		(6,684,759	)		(2,367,094	)

Net investment income (loss)		(102,051	)		(116,872	)
Net realized gain (loss)		2,753,108			70,527
Change in net unrealized appreciation (depreciation)		268,741			4,392,237

Net income (loss)		2,919,798			4,345,892

Shareholders’ equity, end of period	$	50,498,084		$	54,932,137

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	2,919,798		$	4,345,892
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		(29,988,234	)		(41,994,414	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		35,210,974			34,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(16,008	)		(4,421	)
Net realized (gain) loss on investments		(210,974	)		0
Change in unrealized (appreciation) depreciation on investments		(268,741	)		(4,392,237	)
Decrease (Increase) in interest receivable		603			1,228
Increase (Decrease) in payable to Sponsor		(3,776	)		1,273

Net cash provided by (used in) operating activities		7,643,642			(8,042,679	)

Cash flow from financing activities
Proceeds from addition of shares		1,371,662			4,613,244
Payment on shares redeemed		(8,056,421	)		(6,980,338	)

Net cash provided by (used in) financing activities		(6,684,759	)		(2,367,094	)

Net increase (decrease) in cash		958,883			(10,409,773	)
Cash, beginning of period		7,554,065			44,132,228

Cash, end of period	$	8,512,948		$	33,722,455

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $21,981,721 and $25,984,097, respectively)	$	21,937,571	$	25,980,516
Cash		8,485,001		1,287,229
Segregated cash balances with brokers for futures contracts		978,300		703,125
Segregated cash balances with brokers for swap agreements		469,000		—
Unrealized appreciation on swap agreements		908,323		0
Interest receivable		0		434

Total assets		32,778,195		27,971,304

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		155,425		92,537
Brokerage commissions and futures account fees payable		533		294
Payable to Sponsor		23,786		25,512
Unrealized depreciation on swap agreements		0		993,117

Total liabilities		179,744		1,111,460

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		32,598,451		26,859,844

Total liabilities and shareholders’ equity	$	32,778,195	$	27,971,304

Shares outstanding		1,196,977		846,977

Net asset value per share	$	27.23	$	31.71

Market value per share (Note 2)	$	27.61	$	31.66

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(67% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.135% due 04/21/22 †	$	8,000,000	$	7,999,334
0.393% due 07/21/22 †		6,000,000		5,986,957
0.223% due 11/03/22 †		8,000,000		7,951,280

Total short-term U.S. government and agency obligations (cost $21,981,721)			$	21,937,571

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Gold Futures - COMEX, expires June 2022		134	$	26,183,600	$	325,987

Total Return Swap Agreements


	Rate Paid (Received) *			Termination Date	Notional Amount at Value **			Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex		0.25	%	04/06/22	$	(16,074,140	)	$	372,654
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex		0.20		04/06/22		(10,515,819	)		244,146
Swap agreement with UBS AG based on Bloomberg Gold Subindex		0.25		04/06/22		(12,574,684	)		291,523

						Total Unrealized Appreciation		$	908,323

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of March 31, ~~2021,~~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.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ~~ULTRA VIX SHORT-TERM FUTURES ETF~~ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended March 31,


2021

2020

Investment Income

Interest
   $ 113,969 $ 1,411,740

Expenses

Management fee
   4,383,077 1,383,275
Brokerage commissions
   1,956,628 741,009
Brokerage fees
   1,843,813 16,721

Total expenses
   8,183,518 2,141,005

Net investment income (loss)
   (8,069,549 ) (729,265 )

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   (653,063,682 ) 656,145,228
Swap agreements
   (51,454,342 ) 69,940,003
Short-term U.S. government and agency obligations
   18,520 —

Net realized gain (loss)
   (704,499,504 ) 726,085,231

Change in net unrealized appreciation (depreciation) on

Futures contracts
   (284,403,583 ) 198,355,954
Swap agreements
   24,807 (21,974,093 )
Short-term U.S. government and agency obligations
   19,445 135,054

Change in net unrealized appreciation (depreciation)
   (284,359,331 ) 176,516,915

Net realized and unrealized gain (loss)
   (988,858,835 ) 902,602,146

Net income (loss)
   $ (996,928,384 ) $ 901,872,881


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	9,685		$	2,962

Expenses
Management fee		66,138			63,727
Brokerage commissions		2,811			3,590
Futures accounts fees		1,866			4,686

Total expenses		70,815			72,003

Net investment income (loss)		(61,130	)		(69,041	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(1,991,249	)		1,334,982
Swap agreements		(4,317,424	)		2,668,208
Short-term U.S. government and agency obligations		4			169

Net realized gain (loss)		(6,308,669	)		4,003,359

Change in net unrealized appreciation (depreciation) on
Futures contracts		167,908			236,075
Swap agreements		1,901,440			(416,739	)
Short-term U.S. government and agency obligations		(40,569	)		811

Change in net unrealized appreciation (depreciation)		2,028,779			(179,853	)

Net realized and unrealized gain (loss)		(4,279,890	)		3,823,506

Net income (loss)	$	(4,341,020	)	$	3,754,465

See accompanying notes to financial statements.

Table of Contents

PROSHARES ~~ULTRA VIX SHORT-TERM FUTURES ETF~~ULTRASHORT GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 1,356,204,199 $ 527,636,003

Addition of 196,300,000 and 9,900,000 shares, respectively
   1,939,143,031 359,090,211
Redemption of 95,400,000 and 41,400,000 shares, respectively
   (1,014,045,676 ) (1,195,778,603 )

Net addition (redemption) of 100,900,000 and (31,500,000) shares, respectively
   925,097,355 (836,688,392 )

Net investment income (loss)
   (8,069,549 ) (729,265 )
Net realized gain (loss)
   (704,499,504 ) 726,085,231
Change in net unrealized appreciation (depreciation)
   (284,359,331 ) 176,516,915

Net income (loss)
   (996,928,384 ) 901,872,881

Shareholders’ equity, end of period
   $ 1,284,373,170 $ 592,820,492


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	26,859,844		$	20,337,376

Addition of 450,000 and 750,000 shares, respectively		13,189,949			27,291,216
Redemption of 100,000 and 300,000 shares, respectively		(3,110,322	)		(10,139,542	)

Net addition (redemption) of 350,000 and 450,000 shares, respectively		10,079,627			17,151,674

Net investment income (loss)		(61,130	)		(69,041	)
Net realized gain (loss)		(6,308,669	)		4,003,359
Change in net unrealized appreciation (depreciation)		2,028,779			(179,853	)

Net income (loss)		(4,341,020	)		3,754,465

Shareholders’ equity, end of period	$	32,598,451		$	41,243,515

See accompanying notes to financial statements.

Table of Contents

PROSHARES ~~ULTRA VIX SHORT-TERM FUTURES ETF~~ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

Three Months Ended March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ (996,928,384 ) $ 901,872,881
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
   (811,866,867 ) (198,455,580 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   679,996,765 260,000,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (81,137 ) (652,333 )
Net realized gain (loss) on investments
   (18,520 ) —
Change in unrealized appreciation (depreciation) on investments
   (44,252 ) 21,839,039
Decrease (Increase) in receivable on futures contracts
   (22,894,994 ) (40,866,835 )
Decrease (Increase) in interest receivable
   423 (33,608 )
Increase (Decrease) in payable to Sponsor
   312,325 566,652
Increase (Decrease) in brokerage commissions and fees payable
   249,748 —
Increase (Decrease) in payable on futures contracts
   (9,772,407 ) (857,523 )
Increase (Decrease) in securities purchased payable
   38,977,944 —

Net cash provided by (used in) operating activities
   (1,122,069,356 ) 943,412,693

Cash flow from financing activities

Proceeds from addition of shares
   1,988,229,419 359,177,711
Payment on shares redeemed
   (1,014,045,676 ) (1,195,778,603 )

Net cash provided by (used in) financing activities
   974,183,743 (836,600,892 )

Net increase (decrease) in cash
   (147,885,613 ) 106,811,801
Cash, beginning of period
   1,069,671,996 361,561,329

Cash, end of period
   $ 921,786,383 $ 468,373,130


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(4,341,020	)	$	3,754,465
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		(17,987,492	)		(18,997,037	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		21,999,990			5,999,936
Net amortization and accretion on short-term U.S. government and agency obligations		(10,118	)		(1,516	)
Net realized (gain) loss on investments		(4	)		(169	)
Change in unrealized (appreciation) depreciation on investments		(1,860,871	)		415,928
Decrease (Increase) in receivable on open futures contracts		0			1,317
Decrease (Increase) in interest receivable		434			127
Increase (Decrease) in payable to Sponsor		(1,726	)		10,663
Increase (Decrease) in brokerage commissions and futures account fees payable		239			1,492
Increase (Decrease) in payable on open futures contracts		62,888			536,010

Net cash provided by (used in) operating activities		(2,137,680	)		(8,278,784	)

Cash flow from financing activities
Proceeds from addition of shares		13,189,949			27,291,216
Payment on shares redeemed		(3,110,322	)		(10,139,542	)

Net cash provided by (used in) financing activities		10,079,627			17,151,674

Net increase (decrease) in cash		7,941,947			8,872,890
Cash, beginning of period		1,990,354			20,633,371

Cash, end of period	$	9,932,301		$	29,506,261

See accompanying notes to financial statements.

Table of Contents

PROSHARES ~~ULTRA YEN~~ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

March 31, 2021
(unaudited)

December 31, 2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $499,942 and $–, respectively)
   $ 499,986    $ —
Cash
   1,972,808    2,618,696
Segregated cash balances with brokers for foreign currency forward contracts
   306,000    306,000
Unrealized appreciation on foreign currency forward contracts
   3,041    67,235
Interest receivable
   84    111

Total assets
   2,781,919    2,992,042

Liabilities and shareholders’ equity

Liabilities

Payable to Sponsor
   2,171    2,384
Unrealized depreciation on foreign currency forward contracts
   192,043    148
Non-recurring
fees and expenses payable
   11    11

Total liabilities
   194,225    2,543

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   2,587,694    2,989,499

Total liabilities and shareholders’ equity
   $ 2,781,919    $ 2,992,042

Shares outstanding
   49,970    49,970

Net asset value per share
   $ 51.78    $ 59.83

Market value per share (Note 2)
   $ 51.78    $ 59.82


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $13,931,199 and $22,995,121, respectively)	$	13,910,829	$	22,994,261
Cash		7,528,145		1,829,901
Segregated cash balances with brokers for futures contracts		1,604,313		1,081,575
Segregated cash balances with brokers for swap agreements		118,000		2,572,000
Unrealized appreciation on swap agreements		273,094		—
Receivable on open futures contracts		0		15,446
Interest receivable		0		378

Total assets		23,434,381		28,493,561

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		7,363		5,840
Brokerage commissions and futures account fees payable		733		747
Payable to Sponsor		19,769		28,560
Unrealized depreciation on swap agreements		0		1,921,414

Total liabilities		27,865		1,956,561

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		23,406,516		26,537,000

Total liabilities and shareholders’ equity	$	23,434,381	$	28,493,561

Shares outstanding (Note 1)		1,091,329		991,329

Net asset value per share (Note 1)	$	21.45	$	26.77

Market value per share (Note 1) (Note 2)	$	21.78	$	26.84

See accompanying notes to financial statements.

4475

Table of Contents

PROSHARES ~~ULTRA YEN~~ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, ~~2021~~2022

(unaudited)

Principal Amount

Value

Short-term U.S. government and agency obligations

(19% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.086% due 05/20/21
   $ 500,000    $ 499,986

Total short-term U.S. government and agency obligations
(cost $499,942)
      $ 499,986

~~Foreign Currency Forward Contracts~~


	Principal Amount		Value
Short-term U.S. government and agency obligations
(59% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.135% due 04/21/22	$	947,000	$	946,921
0.393% due 07/21/22 †		11,000,000		10,976,088
0.223% due 11/03/22 †		2,000,000		1,987,820

Total short-term U.S. government and agency obligations (cost $13,931,199)			$	13,910,829

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
   04/09/21    332,532,517 $ 3,003,464 $ (106,904 )
Yen with UBS AG
   04/09/21    263,662,756 2,381,425 (85,139 )

      Total Unrealized
Depreciation
$ (192,043 )

Contracts to Sell

Yen with UBS AG
   04/09/21    (21,110,000 ) $ (190,668 ) $ 3,041

      Total Unrealized
Appreciation
$ 3,041


Futures Contracts Sold
	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Silver Futures - COMEX, expires May 2022		167	$	20,986,055	$	267,147


Total Return Swap Agreements ^
	Rate Paid (Received) *			Termination Date	Notional Amount at Value **			Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex		0.25	%	04/06/22	$	(3,066,720	)	$	(193,389	)
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.25		04/06/22		(11,171,645	)		259,041
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30		04/06/22		(8,833,290	)		204,525
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25		04/06/22		(2,824,603	)		2,917

						Total Unrealized Appreciation		$	273,094

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of March 31, ~~2021.~~2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRA YEN~~

~~STATEMENTS OF OPERATIONS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Investment Income

Interest
   $ 356 $ 8,867

Expenses

Management fee
   6,649 7,241

Total expenses
   6,649 7,241

Net investment income (loss)
   (6,293 ) 1,626

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Foreign currency forward contracts
   (139,467 ) (8,483 )

Net realized gain (loss)
   (139,467 ) (8,483 )

Change in net unrealized appreciation (depreciation) on

Foreign currency forward contracts
   (256,089 ) (19,239 )
Short-term U.S. government and agency obligations
   44 (74 )

Change in net unrealized appreciation (depreciation)
   (256,045 ) (19,313 )

Net realized and unrealized gain (loss)
   (395,512 ) (27,796 )

Net income (loss)
   $ (401,805 ) $ (26,170 )

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRA YEN~~

~~STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 2,989,499 $ 5,580,964

Redemption of – and 50,000 shares, respectively
   —   (2,746,014 )

Net addition (redemption) of – and (50,000) shares, respectively
   —   (2,746,014 )

Net investment income (loss)
   (6,293 ) 1,626
Net realized gain (loss)
   (139,467 ) (8,483 )
Change in net unrealized appreciation (depreciation)
   (256,045 ) (19,313 )

Net income (loss)
   (401,805 ) (26,170 )

Shareholders’ equity, end of period
   $ 2,587,694 $ 2,808,780

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRA YEN~~

~~STATEMENTS OF CASH FLOWS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ (401,805 ) $ (26,170 )
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
   (499,849 ) (99,700 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   —   1,911,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (93 ) (3,270 )
Change in unrealized appreciation (depreciation) on investments
   256,045 19,313
Decrease (Increase) in interest receivable
   27 3,174
Increase (Decrease) in payable to Sponsor
   (213 ) (176 )

Net cash provided by (used in) operating activities
   (645,888 ) 1,804,171

Cash flow from financing activities

Payment on shares redeemed
   —   (2,746,014 )

Net cash provided by (used in) financing activities
   —   (2,746,014 )

Net increase (decrease) in cash
   (645,888 ) (941,843 )
Cash, beginning of period
   2,924,696 3,783,138

Cash, end of period
   $ 2,278,808 $ 2,841,295

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT AUSTRALIAN DOLLAR~~

~~STATEMENTS OF FINANCIAL CONDITION~~

March 31, 2021
(unaudited)

December 31, 2020

Assets

Cash
   $ 2,147,185    $ 2,133,707
Segregated cash balances with brokers for futures contracts
   118,800    100,320
Interest receivable
   88    119

Total assets
   2,266,073    2,234,146

Liabilities and shareholders’ equity

Liabilities

Payable on open futures contracts
   5,400    9,118
Payable to Sponsor
   1,774    2,370
Non-recurring
fees and expenses payable
   19    19

Total liabilities
   7,193    11,507

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   2,258,880    2,222,639

Total liabilities and shareholders’ equity
   $ 2,266,073    $ 2,234,146

Shares outstanding
   50,000    50,000

Net asset value per share
   $ 45.18    $ 44.45

Market value per share (Note 2)
   $ 45.19    $ 43.89

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT AUSTRALIAN DOLLAR~~

~~SCHEDULE OF INVESTMENTS~~

~~MARCH 31, 2021~~

~~(unaudited)~~

~~Futures Contracts Sold~~

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/Value

Australian Dollar Fx Currency Futures - CME, expires June 2021
   60    $ 4,560,900    $ 67,102

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT AUSTRALIAN DOLLAR~~

~~STATEMENTS OF OPERATIONS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Investment Income

Interest
   $ 258 $ 20,054

Expenses

Management fee
   5,139 15,130
Brokerage commissions
   386 1,499

Total expenses
   5,525 16,629

Net investment income (loss)
   (5,267 ) 3,425

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   (164,544 ) 670,950

Net realized gain (loss)
   (164,544 ) 670,950

Change in net unrealized appreciation (depreciation) on

Futures contracts
   206,052 947,586
Short-term U.S. government and agency obligations
   —   (206 )

Change in net unrealized appreciation (depreciation)
   206,052 947,380

Net realized and unrealized gain (loss)
   41,508 1,618,330

Net income (loss)
   $ 36,241 $ 1,621,755

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT AUSTRALIAN DOLLAR~~

~~STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 2,222,639 $ 5,608,612


Net investment income (loss)
   (5,267 ) 3,425
Net realized gain (loss)
   (164,544 ) 670,950
Change in net unrealized appreciation (depreciation)
   206,052 947,380


Net income (loss)
   36,241 1,621,755


Shareholders’ equity, end of period
   $ 2,258,880 $ 7,230,367

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT AUSTRALIAN DOLLAR~~

~~STATEMENTS OF CASH FLOWS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ 36,241 $ 1,621,755
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
   —   (498,498 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   —   4,436,000
Net amortization and accretion on short-term U.S. government and agency obligations
   —   (6,234 )
Change in unrealized appreciation (depreciation) on investments
   —   206
Decrease (Increase) in receivable on futures contracts
   —   (21,755 )
Decrease (Increase) in interest receivable
   31 (2,493 )
Increase (Decrease) in payable to Sponsor
   (596 ) 5,702
Increase (Decrease) in payable on futures contracts
   (3,718 ) (37,725 )

Net cash provided by (used in) operating activities
   31,958 5,496,958

Net increase (decrease) in cash
   31,958 5,496,958
Cash, beginning of period
   2,234,027 1,717,873

Cash, end of period
   $ 2,265,985 $ 7,214,831

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL~~

~~STATEMENTS OF FINANCIAL CONDITION~~

March 31,
2021
(unaudited)

December 31,
2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $34,996,872 and $–, respectively)
   $ 34,999,082    $ —
Cash
   33,474,775    74,317,150
Segregated cash balances with brokers for futures contracts
   21,014,545    22,608,223
Segregated cash balances with brokers for swap agreements
   —      188,000
Receivable on open futures contracts
   2,751,890    60,902
Interest receivable
   1,200    3,299

Total assets
   92,241,492    97,177,574

Liabilities and shareholders’ equity

Liabilities

Payable on open futures contracts
   423,827    257,410
Brokerage commissions and fees payable
   25,647    —
Payable to Sponsor
   73,277    80,580
Non-recurring
fees and expenses payable
   351    351

Total liabilities
   523,102    338,341

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   91,718,390    96,839,233

Total liabilities and shareholders’ equity
   $ 92,241,492    $ 97,177,574

Shares outstanding
   12,739,884    8,339,884

Net asset value per share
   $ 7.20    $ 11.61

Market value per share (Note 2)
   $ 7.15    $ 11.64

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL~~

~~SCHEDULE OF INVESTMENTS~~

~~MARCH 31, 2021~~

~~(unaudited)~~

Principal Amount

Value

Short-term U.S. government and agency obligations

(38% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.041% due 04/15/21
   $ 5,000,000    $ 4,999,971
0.086% due 05/20/21
   15,000,000    14,999,592
0.042% due 06/17/21
   15,000,000    14,999,519

Total short-term U.S. government and agency obligations
(cost $34,996,872)
      $ 34,999,082

~~Futures Contracts Sold~~

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/
Value

WTI Crude Oil - NYMEX, expires June 2021
   1,020    $ 60,363,600    $ (5,808,804 )
WTI Crude Oil - NYMEX, expires December 2021
   1,082    61,511,700    (3,660,503 )
WTI Crude Oil - NYMEX, expires June 2022
   1,125    61,560,000    469,128

         $(9,000,179)

^^	~~Rates shown represent discount rate at the time of purchase.~~

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL~~

~~STATEMENTS OF OPERATIONS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Investment Income

Interest
   $ 10,835 $ 248,709

Expenses

Management fee
   221,263 202,369
Brokerage commissions
   43,044 77,053
Brokerage fees
   47,712 —

Total expenses
   312,019 279,422

Net investment income (loss)
   (301,184 ) (30,713 )

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   (49,177,765 ) 6,504,689
Swap agreements
   —   45,169,333
Short-term U.S. government and agency obligations
   —   (20 )

Net realized gain (loss)
   (49,177,765 ) 51,674,002

Change in net unrealized appreciation (depreciation) on

Futures contracts
   5,636,634 54,837,080
Swap agreements
   —   21,741,150
Short-term U.S. government and agency obligations
   2,210 3,127

Change in net unrealized appreciation (depreciation)
   5,638,844 76,581,357

Net realized and unrealized gain (loss)
   (43,538,921 ) 128,255,359

Net income (loss)
   $ (43,840,105 ) $ 128,224,646

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL~~

~~STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY~~

~~(unaudited)~~

Three Months Ended March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 96,839,233 $ 125,451,681

Addition of 7,800,000 and 3,350,000 shares, respectively
   64,302,979 71,229,475
Redemption of 3,400,000 and 11,600,000 shares, respectively
   (25,583,717 ) (224,811,779 )

Net addition (redemption) of 4,400,000 and (8,250,000) shares, respectively
   38,719,262 (153,582,304 )

Net investment income (loss)
   (301,184 ) (30,713 )
Net realized gain (loss)
   (49,177,765 ) 51,674,002
Change in net unrealized appreciation (depreciation)
   5,638,844 76,581,357

Net income (loss)
   (43,840,105 ) 128,224,646

Shareholders’ equity, end of period
   $ 91,718,390 $ 100,094,023

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL~~

~~STATEMENTS OF CASH FLOWS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ (43,840,105 ) $ 128,224,646
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
   (59,990,524 ) (32,897,274 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   25,000,000 88,246,647
Net amortization and accretion on short-term U.S. government and agency obligations
   (6,348 ) (146,748 )
Net realized gain (loss) on investments
   —   20
Change in unrealized appreciation (depreciation) on investments
   (2,210 ) (21,744,277 )
Decrease (Increase) in receivable on futures contracts
   (2,690,988 ) 1,144,404
Decrease (Increase) in interest receivable
   2,099 26,150
Increase (Decrease) in payable to Sponsor
   (7,303 ) 26,465
Increase (Decrease) in brokerage commissions and fees payable
   25,647 —
Increase (Decrease) in payable on futures contracts
   166,417 953,702

Net cash provided by (used in) operating activities
   (81,343,315 ) 163,833,735

Cash flow from financing activities

Proceeds from addition of shares
   64,302,979 67,838,424
Payment on shares redeemed
   (25,583,717 ) (222,259,090 )

Net cash provided by (used in) financing activities
   38,719,262 (154,420,666 )

Net increase (decrease) in cash
   (42,624,053 ) 9,413,069
Cash, beginning of period
   97,113,373 61,909,177

Cash, end of period
   $ 54,489,320 $ 71,322,246

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS~~

~~STATEMENTS OF FINANCIAL CONDITION~~

March 31, 2021
(unaudited)

December 31, 2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $43,997,035 and $9,999,612, respectively)
   $ 43,998,801    $ 9,999,861
Cash
   12,606,546    12,600,775
Segregated cash balances with brokers for futures contracts
   12,310,981    6,546,607
Receivable on open futures contracts
   607,891    —
Interest receivable
   1,242    548

Total assets
   69,525,461    29,147,791

Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   —      2,604,177
Payable on open futures contracts
   —      1,543,700
Brokerage commissions and fees payable
   427    —
Payable to Sponsor
   65,619    22,029
Non-recurring
fees and expenses payable
   140    140

Total liabilities
   66,186    4,170,046

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   69,459,275    24,977,745

Total liabilities and shareholders’ equity
   $ 69,525,461    $ 29,147,791

Shares outstanding
   1,774,832    524,832

Net asset value per share
   $ 39.14    $ 47.59

Market value per share (Note 2)
   $ 39.32    $ 47.38

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS~~

~~SCHEDULE OF INVESTMENTS~~

~~MARCH 31, 2021~~

~~(unaudited)~~

Principal Amount

Value

Short-term U.S. government and agency obligations

(63% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.041% due 04/15/21
   $ 4,000,000    $ 3,999,977
0.047% due 05/20/21
   22,000,000    21,999,402
0.040% due 06/17/21
   18,000,000    17,999,422

Total short-term U.S. government and agency obligations
(cost $43,997,035)
      $ 43,998,801

~~Futures Contracts Sold~~

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/Value

Natural Gas - NYMEX, expires May 2021
   5,327    $ 138,928,160    $ 16,272,857

^^	~~Rates shown represent discount rate at the time of purchase.~~

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS~~

~~STATEMENTS OF OPERATIONS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Investment Income

Interest
   $ 7,883 $ 42,432

Expenses

Management fee
   159,337 32,430
Brokerage commissions
   85,680 32,281
Brokerage fees
   23,273 —

Total expenses
   268,290 64,711

Net investment income (loss)
   (260,407 ) (22,279 )

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   (6,359,394 ) 5,626,177

Net realized gain (loss)
   (6,359,394 ) 5,626,177

Change in net unrealized appreciation (depreciation) on

Futures contracts
   15,893,547 3,334,986
Short-term U.S. government and agency obligations
   1,517 625

Change in net unrealized appreciation (depreciation)
   15,895,064 3,335,611

Net realized and unrealized gain (loss)
   9,535,670 8,961,788

Net income (loss)
   $ 9,275,263 $ 8,939,509

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS~~

~~STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 24,977,745 $ 12,515,603

Addition of 4,100,000 and 550,000 shares, respectively
   142,050,186 29,104,581
Redemption of 2,850,000 and 600,000 shares, respectively
   (106,843,919 ) (33,139,760 )

Net addition (redemption) of 1,250,000 and (50,000) shares, respectively
   35,206,267 (4,035,179 )

Net investment income (loss)
   (260,407 ) (22,279 )
Net realized gain (loss)
   (6,359,394 ) 5,626,177
Change in net unrealized appreciation (depreciation)
   15,895,064 3,335,611

Net income (loss)
   9,275,263 8,939,509

Shareholders’ equity, end of period
   $ 69,459,275 $ 17,419,933

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS~~

~~STATEMENTS OF CASH FLOWS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ 9,275,263 $ 8,939,509
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
   (53,993,457 ) (2,990,772 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   20,000,000 7,160,924
Net amortization and accretion on short-term U.S. government and agency obligations
   (3,966 ) (14,617 )
Change in unrealized appreciation (depreciation) on investments
   (1,517 ) (625 )
Decrease (Increase) in receivable on futures contracts
   (607,891 ) (714,526 )
Decrease (Increase) in interest receivable
   (694 ) (130 )
Increase (Decrease) in payable to Sponsor
   43,590 11,592
Increase (Decrease) in brokerage commissions and fees payable
   427 —
Increase (Decrease) in payable on futures contracts
   (1,543,700 ) (6,826 )

Net cash provided by (used in) operating activities
   (26,831,945 ) 12,384,529

Cash flow from financing activities

Proceeds from addition of shares
   142,050,186 29,104,581
Payment on shares redeemed
   (109,448,096 ) (33,139,760 )

Net cash provided by (used in) financing activities
   32,602,090 (4,035,179 )

Net increase (decrease) in cash
   5,770,145 8,349,350
Cash, beginning of period
   19,147,382 7,370,891

Cash, end of period
   $ 24,917,527 $ 15,720,241

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT EURO~~

~~STATEMENTS OF FINANCIAL CONDITION~~

March 31, 2021
(unaudited)

December 31,
2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $17,998,447 and $9,999,612, respectively)
   $ 17,999,536    $ 9,999,861
Cash
   29,681,455    42,133,228
Segregated cash balances with brokers for foreign currency forward contracts
   4,041,000    1,999,000
Unrealized appreciation on foreign currency forward contracts
   3,436,568    5,705
Interest receivable
   920    2,148

Total assets
   55,159,479    54,139,942

Liabilities and shareholders’ equity

Liabilities

Payable to Sponsor
   45,247    43,974
Unrealized depreciation on foreign currency forward contracts
   181,875    1,142,409
Non-recurring
fees and expenses payable
   220    220

Total liabilities
   227,342    1,186,603

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   54,932,137    52,953,339

Total liabilities and shareholders’ equity
   $ 55,159,479    $ 54,139,942

Shares outstanding
   2,250,000    2,350,000

Net asset value per share
   $ 24.41    $ 22.53

Market value per share (Note 2)
   $ 24.42    $ 22.52

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT EURO~~

~~SCHEDULE OF INVESTMENTS~~

~~MARCH 31, 2021~~

~~(unaudited)~~

Principal Amount

Value

Short-term U.S. government and agency obligations

(33% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.041% due 04/15/21
   $ 3,000,000    $ 2,999,983
0.086% due 05/20/21
†
   7,000,000    6,999,810
0.041% due 06/17/21
   8,000,000    7,999,743

Total short-term U.S. government and agency obligations
(cost $17,998,447)
      $ 17,999,536

~~Foreign Currency Forward Contracts~~

Settlement
Date

Contract Amount
in Local Currency

Contract Amount
in U.S. Dollars

Unrealized
Appreciation
(Depreciation)/
Value

Contracts to Purchase

Euro with UBS AG
   04/09/21    12,078,000 $ 14,163,535 $ (181,875 )


Total
Unrealized
Depreciation

$ (181,875 )

Contracts to Sell

Euro with Goldman Sachs International
   04/09/21    (37,401,263 ) $ (43,859,422 ) $ 1,328,784
Euro with UBS AG
   04/09/21    (68,453,199 ) (80,273,164 ) 2,107,784


Total
Unrealized
Appreciation

$ 3,436,568

†	~~All or partial amount pledged as collateral for foreign currency forward contracts.~~

^	The positions and counterparties herein are as of March 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	~~Rates shown represent discount rate at the time of purchase.~~

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT EURO~~

~~STATEMENTS OF OPERATIONS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Investment Income

Interest
   $ 7,166 $ 399,657

Expenses

Management fee
   124,038 263,442

Total expenses
   124,038 263,442

Net investment income (loss)
   (116,872 ) 136,215

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Foreign currency forward contracts
   70,527 1,047,283

Net realized gain (loss)
   70,527 1,047,283

Change in net unrealized appreciation (depreciation) on

Foreign currency forward contracts
   4,391,397 3,137,931
Short-term U.S. government and agency obligations
   840 52,320

Change in net unrealized appreciation (depreciation)
   4,392,237 3,190,251

Net realized and unrealized gain (loss)
   4,462,764 4,237,534

Net income (loss)
   $ 4,345,892 $ 4,373,749

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT EURO~~

~~STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 52,953,339 $ 120,581,173

Addition of 200,000 and 200,000 shares, respectively
   4,613,244 5,754,066
Redemption of 300,000 and 1,350,000 shares, respectively
   (6,980,338 ) (37,514,389 )

Net addition (redemption) of (100,000) and (1,150,000) shares, respectively
   (2,367,094 ) (31,760,323 )

Net investment income (loss)
   (116,872 ) 136,215
Net realized gain (loss)
   70,527 1,047,283
Change in net unrealized appreciation (depreciation)
   4,392,237 3,190,251

Net income (loss)
   4,345,892 4,373,749

Shareholders’ equity, end of period
   $ 54,932,137 $ 93,194,599

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT EURO~~

~~STATEMENTS OF CASH FLOWS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ 4,345,892 $ 4,373,749
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
   (41,994,414 ) (56,787,039 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   34,000,000 105,685,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (4,421 ) (251,364 )
Change in unrealized appreciation (depreciation) on investments
   (4,392,237 ) (3,190,251 )
Decrease (Increase) in interest receivable
   1,228 27,885
Increase (Decrease) in payable to Sponsor
   1,273 67,380


Net cash provided by (used in) operating activities
   (8,042,679 ) 49,925,360


Cash flow from financing activities

Proceeds from addition of shares
   4,613,244 5,754,066
Payment on shares redeemed
   (6,980,338 ) (33,413,625 )


Net cash provided by (used in) financing activities
   (2,367,094 ) (27,659,559 )


Net increase (decrease) in cash
   (10,409,773 ) 22,265,801
Cash, beginning of period
   44,132,228 44,280,278


Cash, end of period
   $ 33,722,455 $ 66,546,079

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT GOLD~~

~~STATEMENTS OF FINANCIAL CONDITION~~

March 31, 2021
(unaudited)

December 31,
2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $12,998,786 and $–, respectively)
   $ 12,999,597    $ —
Cash
   22,381,424    16,935,121
Segregated cash balances with brokers for futures contracts
   2,923,750    1,503,750
Segregated cash balances with brokers for swap agreements
   4,201,087    2,194,500
Receivable on open futures contracts
   —      1,317
Interest receivable
   615    742

Total assets
   42,506,473    20,635,430

Liabilities and shareholders’ equity

Liabilities

Payable on open futures contracts
   548,420    12,410
Brokerage commissions and fees payable
   1,492    —
Payable to Sponsor
   27,498    16,835
Unrealized depreciation on swap agreements
   685,467    268,728
Non-recurring
fees and expenses payable
   81    81

Total liabilities
   1,262,958    298,054

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   41,243,515    20,337,376

Total liabilities and shareholders’ equity
   $ 42,506,473    $ 20,635,430

Shares outstanding
   1,096,977    646,977

Net asset value per share
   $ 37.60    $ 31.43

Market value per share (Note 2)
   $ 37.89    $ 31.14

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES ULTRASHORT GOLD~~

~~SCHEDULE OF INVESTMENTS~~

~~MARCH 31, 2021~~

~~(unaudited)~~

Principal Amount

Value

Short-term U.S. government and agency obligations

(32% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.086% due 05/20/21
†
   $ 3,000,000    $ 2,999,918
0.041% due 06/17/21
†
   10,000,000    9,999,679

Total short-term U.S. government and agency obligations
(cost $12,998,786)
      $ 12,999,597

~~Futures Contracts Sold~~

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/Value

Gold Futures - COMEX, expires June 2021
   247    $ 42,375,320    $ 39,145

~~Total Return Swap Agreements~~

    Rate Paid
(Received)
*

Termination
Date

Notional Amount
at Value
**

Unrealized
Appreciation
(Depreciation)/Value

Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
   0.25 % 04/06/21    $ (14,224,080 ) $ (291,552 )
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
   0.20 04/06/21    (14,746,325 ) (301,800 )
Swap agreement with UBS AG based on Bloomberg Gold Subindex
   0.25 04/06/21    (11,127,395 ) (92,115 )


Total
Unrealized
Depreciation

$ (685,467 )

†	~~All or partial amount pledged as collateral for swap agreements.~~

^	The positions and counterparties herein are as of March 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	~~Rates shown represent discount rate at the time of purchase.~~

*	Reflects the floating financing rate, as of March 31, ~~2021,~~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”~~“ short” exposure to the benchmark index.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT ~~GOLD~~SILVER

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
March 31,
��

2021

2020

Investment Income

Interest
   $ 2,962 $ 61,021

Expenses

Management fee
   63,727 43,239
Brokerage commissions
   3,590 2,104
Brokerage fees
   4,686 —

Total expenses
   72,003 45,343

Net investment income (loss)
   (69,041 ) 15,678

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   1,334,982 (2,028,666 )
Swap agreements
   2,668,208 (3,902,216 )
Short-term U.S. government and agency obligations
   169 —

Net realized gain (loss)
   4,003,359 (5,930,882 )

Change in net unrealized appreciation (depreciation) on

Futures contracts
   236,075 641,113
Swap agreements
   (416,739 ) 2,034,683
Short-term U.S. government and agency obligations
   811 1,178

Change in net unrealized appreciation (depreciation)
   (179,853 ) 2,676,974

Net realized and unrealized gain (loss)
   3,823,506 (3,253,908 )

Net income (loss)
   $ 3,754,465 $ (3,238,230 )


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	8,920		$	3,117

Expenses
Management fee		60,953			84,745
Brokerage commissions		5,301			7,444
Futures accounts fees		3,274			9,991

Total expenses		69,528			102,180

Net investment income (loss)		(60,608	)		(99,063	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(1,293,770	)		(1,236,193	)
Swap agreements		(6,079,976	)		(1,696,158	)
Short-term U.S. government and agency obligations		(190	)		85

Net realized gain (loss)		(7,373,936	)		(2,932,266	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		(385,346	)		3,496,970
Swap agreements		2,194,508			3,968,794
Short-term U.S. government and agency obligations		(19,510	)		747

Change in net unrealized appreciation (depreciation)		1,789,652			7,466,511

Net realized and unrealized gain (loss)		(5,584,284	)		4,534,245

Net income (loss)	$	(5,644,892	)	$	4,435,182

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT ~~GOLD~~SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 20,337,376 $ 21,047,560

Addition of 750,000 and 200,000 shares, respectively
   27,291,216 9,689,641
Redemption of 300,000 and 150,000 shares, respectively
   (10,139,542 ) (6,929,927 )

Net addition (redemption) of 450,000 and 50,000 shares, respectively
   17,151,674 2,759,714

Net investment income (loss)
   (69,041 ) 15,678
Net realized gain (loss)
   4,003,359 (5,930,882 )
Change in net unrealized appreciation (depreciation)
   (179,853 ) 2,676,974

Net income (loss)
   3,754,465 (3,238,230 )

Shareholders’ equity, end of period
   $ 41,243,515 $ 20,569,044


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	26,537,000		$	28,885,775

Addition of 1,100,000 and 2,450,000 shares, respectively (Note 1)		25,560,144			58,095,647
Redemption of 1,000,000 and 1,875,000 shares, respectively (Note 1)		(23,045,736	)		(46,271,940	)

Net addition (redemption) of 100,000 and 575,000 shares, respectively (Note 1)		2,514,408			11,823,707

Net investment income (loss)		(60,608	)		(99,063	)
Net realized gain (loss)		(7,373,936	)		(2,932,266	)
Change in net unrealized appreciation (depreciation)		1,789,652			7,466,511

Net income (loss)		(5,644,892	)		4,435,182

Shareholders’ equity, end of period	$	23,406,516		$	45,144,664

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT ~~GOLD~~SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ 3,754,465 $ (3,238,230 )
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
   (18,997,037 ) (6,983,176 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   5,999,936 17,371,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (1,516 ) (31,387 )
Net realized gain (loss) on investments
   (169 ) —
Change in unrealized appreciation (depreciation) on investments
   415,928 (2,035,861 )
Decrease (Increase) in receivable on futures contracts
   1,317 (71,561 )
Decrease (Increase) in interest receivable
   127 3,872
Increase (Decrease) in payable to Sponsor
   10,663 10,968
Increase (Decrease) in brokerage commissions and fees payable
   1,492 —
Increase (Decrease) in payable on futures contracts
   536,010 110,341

Net cash provided by (used in) operating activities
   (8,278,784 ) 5,135,966

Cash flow from financing activities

Proceeds from addition of shares
   27,291,216 7,388,926
Payment on shares redeemed
   (10,139,542 ) (6,929,927 )

Net cash provided by (used in) financing activities
   17,151,674 458,999

Net increase (decrease) in cash
   8,872,890 5,594,965
Cash, beginning of period
   20,633,371 9,895,915

Cash, end of period
   $ 29,506,261 $ 15,490,880


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(5,644,892	)	$	4,435,182
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		(20,979,052	)		(22,996,733	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		30,052,082			7,999,988
Net amortization and accretion on short-term U.S. government and agency obligations		(9,298	)		(2,043	)
Net realized (gain) loss on investments		190			(85	)
Change in unrealized (appreciation) depreciation on investments		(2,174,998	)		(3,969,541	)
Decrease (Increase) in receivable on open futures contracts		15,446			(208,039	)
Decrease (Increase) in interest receivable		378			463
Increase (Decrease) in payable to Sponsor		(8,791	)		7,144
Increase (Decrease) in brokerage commissions and futures account fees payable		(14	)		3,309
Increase (Decrease) in payable on open futures contracts		1,523			294,893

Net cash provided by (used in) operating activities		1,252,574			(14,435,462	)

Cash flow from financing activities
Proceeds from addition of shares		25,560,144			58,095,647
Payment on shares redeemed		(23,045,736	)		(46,271,940	)

Net cash provided by (used in) financing activities		2,514,408			11,823,707

Net increase (decrease) in cash		3,766,982			(2,611,755	)
Cash, beginning of period		5,483,476			32,155,049

Cash, end of period	$	9,250,458		$	29,543,294

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT ~~SILVER~~YEN

STATEMENTS OF FINANCIAL CONDITION

March 31, 2021
(unaudited)

December 31,
2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $14,998,873 and $—, respectively)
   $ 14,999,620    $ —
Cash
   15,590,378    18,919,314
Segregated cash balances with brokers for futures contracts
   6,919,687    1,503,250
Segregated cash balances with brokers for swap agreements
   7,033,229    11,732,485
Unrealized appreciation on swap agreements
   771,233    —
Receivable on open futures contracts
   247,484    39,445
Interest receivable
   351    814

Total assets
   45,561,982    32,195,308

Liabilities and shareholders’ equity

Liabilities

Payable on open futures contracts
   381,175    86,282
Brokerage commissions and fees payable
   3,309    —
Payable to Sponsor
   32,701    25,557
Unrealized depreciation on swap agreements
   —      3,197,561
Non-recurring
fees and expenses payable
   133    133

Total liabilities
   417,318    3,309,533

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   45,144,664    28,885,775

Total liabilities and shareholders’ equity
   $ 45,561,982    $ 32,195,308

Shares outstanding
   6,466,976    4,166,976

Net asset value per share
   $ 6.98    $ 6.93

Market value per share (Note 2)
   $ 7.01    $ 6.85


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $20,984,538 and $20,990,068, respectively)	$	20,954,357	$	20,987,825
Cash		13,748,678		3,003,251
Unrealized appreciation on foreign currency forward contracts		2,372,690		1,237,168
Interest receivable		0		339

Total assets		37,075,725		25,228,583

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		9,290,592		—
Payable to Sponsor		21,724		20,211
Unrealized depreciation on foreign currency forward contracts		36,708		367,588

Total liabilities		9,349,024		387,799

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		27,726,701		24,840,784

Total liabilities and shareholders’ equity	$	37,075,725	$	25,228,583

Shares outstanding		299,290		299,290

Net asset value per share	$	92.64	$	83.00

Market value per share (Note 2)	$	92.73	$	82.99

See accompanying notes to financial statements.

7480

Table of Contents

PROSHARES ULTRASHORT ~~SILVER~~YEN

SCHEDULE OF INVESTMENTS

MARCH 31, ~~2021~~2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(76% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.135% due 04/21/22 †	$	5,000,000	$	4,999,584
0.209% due 05/19/22		5,000,000		4,998,266
0.393% due 07/21/22 †		6,000,000		5,986,957
0.223% due 11/03/22 †		5,000,000		4,969,550

Total short-term U.S. government and agency obligations (cost $20,984,538)			$	20,954,357

Foreign Currency Forward Contracts

~~(unaudited)~~


	Settlement Date		Contract Amount in Local Currency			Contract Amount in U.S. Dollars			Unrealized Appreciation (Depreciation)/ Value
Contracts to Purchase
Yen with UBS AG		04/08/22		2,874,020,000		$	23,612,146		$	(36,708	)

							Total Unrealized Depreciation		$	(36,708	)

Contracts to Sell
Yen with Goldman Sachs International		04/08/22		(1,973,114,165	)	$	(16,210,555	)	$	748,238
Yen with UBS AG		04/08/22		(7,652,928,574	)		(62,874,326	)		1,624,452

							Total Unrealized Appreciation		$	2,372,690

Principal Amount

Value

Short-term U.S. government and agency obligations

(33% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.041% due 04/15/21
†
   $ 2,000,000    $ 1,999,989
0.061% due 05/20/21
†
   10,000,000    9,999,727
0.044% due 06/17/21
†
   3,000,000    2,999,904

Total short-term U.S. government and agency obligations

(cost $14,998,873)
      $ 14,999,620

Futures Contracts Sold



Number of

Contracts

Notional Amount

at Value

Unrealized

Appreciation
(Depreciation)/Value

Silver Futures - COMEX, expires May 2021
   347    $ 42,563,020    $ 3,276,894

Total Return Swap Agreements
^



    Rate Paid
(Received)
*

Termination
Date

Notional Amount
at Value
**

Unrealized
Appreciation
(Depreciation)/Value

Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
   0.25 % 04/06/21    $ (8,308,475 ) $ 248,258
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
   0.25 04/06/21    (15,457,845 ) 135,200
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
   0.30 04/06/21    (8,697,261 ) 259,594
Swap agreement with UBS AG based on Bloomberg Silver Subindex
   0.25 04/06/21    (15,222,974 ) 128,181

      Total Unrealized
Appreciation
$ 771,233

†

† All or partial amount pledged as collateral for ~~swap agreements.~~

foreign currency forward contracts.

^	The positions and counterparties herein are as of March 31, ~~2021.~~2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.
* Reflects the floating financing rate, as of March 31, 2021, 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.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT ~~SILVER~~YEN

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
March 31,


2021

2020

Investment Income

Interest
   $ 3,117 $ 44,536

Expenses

Management fee
   84,745 37,136
Brokerage commissions
   7,444 3,981
Brokerage fees
   9,991 —

Total expenses
   102,180 41,117

Net investment income (loss)
   (99,063 ) 3,419

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   (1,236,193 ) 1,920,009
Swap agreements
   (1,696,158 ) (1,077,769 )
Short-term U.S. government and agency obligations
   85 —

Net realized gain (loss)
   (2,932,266 ) 842,240

Change in net unrealized appreciation (depreciation) on

Futures contracts
   3,496,970 1,603,007
Swap agreements
   3,968,794 2,587,264
Short-term U.S. government and agency obligations
   747 185

Change in net unrealized appreciation (depreciation)
   7,466,511 4,190,456

Net realized and unrealized gain (loss)
   4,534,245 5,032,696

Net income (loss)
   $ 4,435,182 $ 5,036,115


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	9,399		$	3,596

Expenses
Management fee		59,820			66,553

Total expenses		59,820			66,553

Net investment income (loss)		(50,421	)		(62,957	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		1,080,173			1,259,573
Short-term U.S. government and agency obligations		102,971			—

Net realized gain (loss)		1,183,144			1,259,573

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		1,466,402			2,900,888
Short-term U.S. government and agency obligations		(27,938	)		854

Change in net unrealized appreciation (depreciation)		1,438,464			2,901,742

Net realized and unrealized gain (loss)		2,621,608			4,161,315

Net income (loss)	$	2,571,187		$	4,098,358

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT ~~SILVER~~YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 28,885,775 $ 13,834,163

Addition of 9,800,000 and 200,000 shares, respectively
   58,095,647 5,962,843
Redemption of 7,500,000 and 200,000 shares, respectively
   (46,271,940 ) (5,945,290 )

Net addition (redemption) of 2,300,000 and – shares, respectively
   11,823,707 17,553

Net investment income (loss)
   (99,063 ) 3,419
Net realized gain (loss)
   (2,932,266 ) 842,240
Change in net unrealized appreciation (depreciation)
   7,466,511 4,190,456

Net income (loss)
   4,435,182 5,036,115

Shareholders’ equity, end of period
   $ 45,144,664 $ 18,887,831


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	24,840,784		$	23,691,070

Addition of 100,000 and 100,000 shares, respectively		9,605,322			7,132,412
Redemption of 100,000 and – shares, respectively		(9,290,592	)		0

Net addition (redemption) of 0 and 100,000 shares, respectively		314,730			7,132,412

Net investment income (loss)		(50,421	)		(62,957	)
Net realized gain (loss)		1,183,144			1,259,573
Change in net unrealized appreciation (depreciation)		1,438,464			2,901,742

Net income (loss)		2,571,187			4,098,358

Shareholders’ equity, end of period	$	27,726,701		$	34,921,840

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT ~~SILVER~~YEN

STATEMENTS OF CASH FLOWS

(unaudited)

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ 4,435,182 $ 5,036,115
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
   (22,996,733 ) (4,386,262 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   7,999,988 12,574,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (2,043 ) (24,652 )
Net realized gain (loss) on investments
   (85 ) —
Change in unrealized appreciation (depreciation) on investments
   (3,969,541 ) (2,587,449 )
Decrease (Increase) in receivable on futures contracts
   (208,039 ) (12,581 )
Decrease (Increase) in interest receivable
   463 (2,333 )
Increase (Decrease) in payable to Sponsor
   7,144 13,753
Increase (Decrease) in brokerage commissions and fees payable
   3,309 —
Increase (Decrease) in payable on futures contracts
   294,893 (9,156 )

Net cash provided by (used in) operating activities
   (14,435,462 ) 10,601,435

Cash flow from financing activities

Proceeds from addition of shares
   58,095,647 5,962,843
Payment on shares redeemed
   (46,271,940 ) (5,945,290 )

Net cash provided by (used in) financing activities
   11,823,707 17,553

Net increase (decrease) in cash
   (2,611,755 ) 10,618,988
Cash, beginning of period
   32,155,049 6,646,212

Cash, end of period
   $ 29,543,294 $ 17,265,200


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	2,571,187		$	4,098,358
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		(17,984,733	)		(21,496,640	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		18,102,971			7,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(9,737	)		(2,141	)
Net realized (gain) loss on investments		(102,971	)		—
Change in unrealized (appreciation) depreciation on investments		(1,438,464	)		(2,901,742	)
Decrease (Increase) in interest receivable		339			410
Increase (Decrease) in payable to Sponsor		1,513			7,512

Net cash provided by (used in) operating activities		1,140,105			(13,294,243	)

Cash flow from financing activities
Proceeds from addition of shares		9,605,322			7,132,412

Net cash provided by (used in) financing activities		9,605,322			7,132,412

Net increase (decrease) in cash		10,745,427			(6,161,831	)
Cash, beginning of period		3,003,251			24,274,564

Cash, end of period	$	13,748,678		$	18,112,733

See accompanying notes to financial statements.

Table of Contents

PROSHARES ~~ULTRASHORT YEN~~VIX

MID-TERM

FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

March 31, 2021
(unaudited)

December 31, 2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $14,498,781 and $–, respectively)
   $ 14,499,635    $ —
Cash
   15,006,733    21,470,564
Segregated cash balances with brokers for foreign currency forward contracts
   3,106,000    2,804,000
Unrealized appreciation on foreign currency forward contracts
   2,366,090    7,008
Interest receivable
   504    914

Total assets
   34,978,962    24,282,486

Liabilities and shareholders’ equity

Liabilities

Payable to Sponsor
   26,860    19,348
Unrealized depreciation on foreign currency forward contracts
   30,168    571,974
Non-recurring
fees and expenses payable
   94    94

Total liabilities
   57,122    591,416

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   34,921,840    23,691,070

Total liabilities and shareholders’ equity
   $ 34,978,962    $ 24,282,486

Shares outstanding
   449,290    349,290

Net asset value per share
   $ 77.73    $ 67.83

Market value per share (Note 2)
   $ 77.75    $ 67.81


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $63,955,449 and $85,937,303, respectively)	$	63,802,455	$	85,922,969
Cash		16,665,482		8,130,069
Segregated cash balances with brokers for futures contracts		15,897,200		18,941,750
Receivable on open futures contracts		1,586,495		63,397
Interest receivable		0		1,097

Total assets		97,951,632		113,059,282

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		0		94,495
Brokerage commissions and futures account fees payable		10,122		7,124
Payable to Sponsor		71,596		81,983

Total liabilities		81,718		183,602

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		97,869,914		112,875,680

Total liabilities and shareholders’ equity	$	97,951,632	$	113,059,282

Shares outstanding		3,112,403		3,687,403

Net asset value per share	$	31.45	$	30.61

Market value per share (Note 2)	$	31.50	$	30.57

See accompanying notes to financial statements.

7985

Table of Contents

PROSHARES ~~ULTRASHORT YEN~~VIX

MID-TERM

FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, ~~2021~~2022

(unaudited)

Principal Amount

Value

Short-term U.S. government and agency obligations

(42% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.041% due 04/15/21
   $ 3,000,000    $ 2,999,983
0.086% due 05/20/21
   4,500,000    4,499,878
0.044% due 06/17/21
   7,000,000    6,999,774

Total short-term U.S. government and agency obligations

(cost $14,498,781)
      $ 14,499,635


	Principal Amount		Value
Short-term U.S. government and agency obligations
(65% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.135% due 04/21/22	$	32,000,000	$	31,997,335
0.223% due 11/03/22		32,000,000		31,805,120

Total short-term U.S. government and agency obligations (cost $63,955,449)			$	63,802,455

~~Foreign Currency Forward~~Futures Contracts

Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires July 2022		593	$	15,480,562	$	226,352
VIX Futures - Cboe, expires August 2022		1,235		32,424,802		42,738
VIX Futures - Cboe, expires September 2022		1,235		32,852,729		(1,054,439	)
VIX Futures - Cboe, expires October 2022		642		17,245,083		(174,214	)

					$	(959,563	)

Settlement Date

Contract Amount
in Local Currency

Contract Amount
in U.S. Dollars

Unrealized
Appreciation
(Depreciation)/
Value

Contracts to Purchase

Yen with UBS AG
   04/09/21    167,310,000 $ 1,511,159 $ (30,168 )

      Total Unrealized
Depreciation
$ (30,168 )

Contracts to Sell

Yen with Goldman Sachs International
   04/09/21    (2,009,085,165 ) $ (18,146,236 ) $ 645,891
Yen with UBS AG
   04/09/21    (5,895,178,875 ) (53,245,781 ) 1,720,199

      Total Unrealized
Appreciation
$ 2,366,090


^ The positions and counterparties herein are as of March 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ~~ULTRASHORT YEN~~VIX

MID-TERM

FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
March 31,


2021

2020

Investment Income

Interest
   $ 3,596 $ 126,183

Expenses

Management fee
   66,553 84,437

Total expenses
   66,553 84,437

Net investment income (loss)
   (62,957 ) 41,746

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Foreign currency forward contracts
   1,259,573 (506,520 )

Net realized gain (loss)
   1,259,573 (506,520 )

Change in net unrealized appreciation (depreciation) on

Foreign currency forward contracts
   2,900,888 (699,345 )
Short-term U.S. government and agency obligations
   854 2,276

Change in net unrealized appreciation (depreciation)
   2,901,742 (697,069 )

Net realized and unrealized gain (loss)
   4,161,315 (1,203,589 )

Net income (loss)
   $ 4,098,358 $ (1,161,843 )


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	23,923		$	10,224

Expenses
Management fee		215,663			178,080
Brokerage commissions		24,869			11,312
Futures accounts fees		35,488			25,632

Total expenses		276,020			215,024

Net investment income (loss)		(252,097	)		(204,800	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		4,791,833			3,539,316
Short-term U.S. government and agency obligations		(336	)		—

Net realized gain (loss)		4,791,497			3,539,316

Change in net unrealized appreciation (depreciation) on
Futures contracts		(335,175	)		(8,276,672	)
Short-term U.S. government and agency obligations		(138,660	)		1,150

Change in net unrealized appreciation (depreciation)		(473,835	)		(8,275,522	)

Net realized and unrealized gain (loss)		4,317,662			(4,736,206	)

Net income (loss)	$	4,065,565		$	(4,941,006	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ~~ULTRASHORT YEN~~VIX

MID-TERM

FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 23,691,070 $ 38,132,320

Addition of 100,000 and 50,000 shares, respectively
   7,132,412 3,956,753

Redemption of – and 150,000 shares, respectively
   —   (11,341,060 )

Net addition (redemption) of 100,000 and (100,000) shares, respectively
   7,132,412 (7,384,307 )

Net investment income (loss)
   (62,957 ) 41,746
Net realized gain (loss)
   1,259,573 (506,520 )
Change in net unrealized appreciation (depreciation)
   2,901,742 (697,069 )

Net income (loss)
   4,098,358 (1,161,843 )

Shareholders’ equity, end of period
   $ 34,921,840 $ 29,586,170


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	112,875,680		$	72,075,095

Addition of 700,000 and 400,000 shares, respectively		22,135,602			15,879,994
Redemption of 1,275,000 and 200,000 shares, respectively		(41,206,933	)		(7,891,336	)

Net addition (redemption) of (575,000) and 200,000 shares, respectively		(19,071,331	)		7,988,658

Net investment income (loss)		(252,097	)		(204,800	)
Net realized gain (loss)		4,791,497			3,539,316
Change in net unrealized appreciation (depreciation)		(473,835	)		(8,275,522	)

Net income (loss)		4,065,565			(4,941,006	)

Shareholders’ equity, end of period	$	97,869,914		$	75,122,747

See accompanying notes to financial statements.

Table of Contents

PROSHARES ~~ULTRASHORT YEN~~VIX

MID-TERM

FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ 4,098,358 $ (1,161,843 )
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
   (21,496,640 ) (12,760,075 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   7,000,000 34,374,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (2,141 ) (68,691 )
Change in unrealized appreciation (depreciation) on investments
   (2,901,742 ) 697,069
Decrease (Increase) in interest receivable
   410 5,925
Increase (Decrease) in payable to Sponsor
   7,512 20,523

Net cash provided by (used in) operating activities
   (13,294,243 ) 21,106,908

Cash flow from financing activities

Proceeds from addition of shares
   7,132,412 3,956,753
Payment on shares redeemed
   —   (11,341,060 )

Net cash provided by (used in) financing activities
   7,132,412 (7,384,307 )

Net increase (decrease) in cash
   (6,161,831 ) 13,722,601
Cash, beginning of period
   24,274,564 12,507,112

Cash, end of period
   $ 18,112,733 $ 26,229,713


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	4,065,565		$	(4,941,006	)
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		(51,992,010	)		(47,992,944	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		73,998,548			61,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(25,020	)		(5,327	)
Net realized (gain) loss on investments		336			—
Change in unrealized (appreciation) depreciation on investments		138,660			(1,150	)
Decrease (Increase) in receivable on open futures contracts		(1,523,098	)		247,077
Decrease (Increase) in interest receivable		1,097			(856	)
Increase (Decrease) in payable to Sponsor		(10,387	)		8,296
Increase (Decrease) in brokerage commissions and futures account fees payable		2,998			875
Increase (Decrease) in payable on open futures contracts		(94,495	)		188,562

Net cash provided by (used in) operating activities		24,562,194			8,503,527

Cash flow from financing activities
Proceeds from addition of shares		22,135,602			15,879,994
Payment on shares redeemed		(41,206,933	)		(8,807,123	)

Net cash provided by (used in) financing activities		(19,071,331	)		7,072,871

Net increase (decrease) in cash		5,490,863			15,576,398
Cash, beginning of period		27,071,819			27,802,834

Cash, end of period	$	32,562,682		$	43,379,232

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX

~~MID-TERM~~

SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

March 31, 2021
(unaudited)

December 31,
2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $31,997,344 and $44,999,073, respectively)
   $ 31,999,153    $ 44,999,732
Cash
   29,170,532    14,723,084
Segregated cash balances with brokers for futures contracts
   14,208,700    13,079,750
Receivable on open futures contracts
   —      247,077
Interest receivable
   1,499    643

Total assets
   75,379,884    73,050,286

Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   —      915,787
Payable on open futures contracts
   188,562    —
Brokerage commissions and fees payable
   11,270    10,395
Payable to Sponsor
   57,305    49,009

Total liabilities
   257,137    975,191

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   75,122,747    72,075,095

Total liabilities and shareholders’ equity
   $ 75,379,884    $ 73,050,286

Shares outstanding
   2,162,403    1,962,403

Net asset value per share
   $ 34.74    $ 36.73

Market value per share (Note 2)
   $ 35.06    $ 36.70


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $169,889,115 and $150,887,871, respectively)	$	169,589,079	$	150,861,898
Cash		31,727,811		11,013,736
Segregated cash balances with brokers for futures contracts		120,057,105		104,947,080
Receivable from capital shares sold		9,145,462		3,026,614
Receivable on open futures contracts		74,735,260		2,115,232
Interest receivable		0		1,774

Total assets		405,254,717		271,966,334

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		15		2,037,391
Brokerage commissions and futures account fees payable		57,973		38,926
Payable to Sponsor		246,329		186,853

Total liabilities		304,317		2,263,170

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		404,950,400		269,703,164

Total liabilities and shareholders’ equity	$	405,254,717	$	271,966,334

Shares outstanding (Note 1)		24,382,826		17,832,826

Net asset value per share (Note 1)	$	16.61	$	15.12

Market value per share (Note 1) (Note 2)	$	16.57	$	15.17

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX

~~MID-TERM~~

SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, ~~2021~~

2022

(unaudited)

Principal Amount

Value

Short-term U.S. government and agency obligations

(43% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.041% due 04/15/21
   $ 5,000,000    $ 4,999,971
0.086% due 05/20/21
   10,000,000    9,999,728
0.040% due 06/17/21
   17,000,000    16,999,454

Total short-term U.S. government and agency obligations

(cost $31,997,344)
      $ 31,999,153


	Principal Amount		Value
Short-term U.S. government and agency obligations
(42% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.135% due 04/21/22	$	55,000,000	$	54,995,418
0.209% due 05/19/22		25,000,000		24,991,333
0.351% due 06/16/22		20,000,000		19,981,634
0.393% due 07/21/22		12,000,000		11,973,914
0.223% due 11/03/22		58,000,000		57,646,780

Total short-term U.S. government and agency obligations (cost $169,889,115)			$	169,589,079

Futures Contracts Purchased

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/Value

VIX Futures - Cboe, expires July 2021
   550    $ 13,365,000    $ (938,335 )
VIX Futures - Cboe, expires August 2021
   1,016    24,842,318    (3,842,774 )
VIX Futures - Cboe, expires September 2021
   1,016    25,249,530    (4,020,035 )
VIX Futures - Cboe, expires October 2021
   466    11,653,868    (609,144 )


$(9,410,288)


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires April 2022		8,017	$	188,150,973	$	(38,308,680	)
VIX Futures - Cboe, expires May 2022		8,681		216,918,224		(4,996,257	)

					$	(43,304,937	)


^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

8591

Table of Contents

PROSHARES VIX

~~MID-TERM~~

SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
March 31,


2021

2020

Investment Income

Interest
   $ 10,224 $ 158,298

Expenses

Management fee
   178,080 94,284
Brokerage commissions
   11,312 15,939
Brokerage fees
   25,632 155

Total expenses
   215,024 110,378

Net investment income (loss)
   (204,800 ) 47,920

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   3,539,316 7,756,525

Net realized gain (loss)
   3,539,316 7,756,525

Change in net unrealized appreciation (depreciation) on

Futures contracts
   (8,276,672 ) 15,963,130
Short-term U.S. government and agency obligations
   1,150 19,740

Change in net unrealized appreciation (depreciation)
   (8,275,522 ) 15,982,870

Net realized and unrealized gain (loss)
   (4,736,206 ) 23,739,395

Net income (loss)
   $ (4,941,006 ) $ 23,787,315


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	70,709		$	38,460

Expenses
Management fee		705,691			825,460
Brokerage commissions		116,474			172,658
Futures accounts fees		200,657			265,146

Total expenses		1,022,822			1,263,264

Net investment income (loss)		(952,113	)		(1,224,804	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		53,734,127			(76,634,593	)
Short-term U.S. government and agency obligations		97			—

Net realized gain (loss)		53,734,224			(76,634,593	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		(13,174,318	)		(53,438,914	)
Short-term U.S. government and agency obligations		(274,063	)		8,060

Change in net unrealized appreciation (depreciation)		(13,448,381	)		(53,430,854	)

Net realized and unrealized gain (loss)		40,285,843			(130,065,447	)

Net income (loss)	$	39,333,730		$	(131,290,251	)

See accompanying notes to financial statements.

Table of Contents

~~PROSHARES VIX~~

~~MID-TERM~~

~~FUTURES ETF~~

~~STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 72,075,095 $ 45,986,584

Addition of 400,000 and 375,000 shares, respectively
   15,879,994 10,708,061
Redemption of 200,000 and 1,375,000 shares, respectively
   (7,891,336 ) (35,447,574 )

Net addition (redemption) of 200,000 and (1,000,000) shares, respectively
   7,988,658 (24,739,513 )

Net investment income (loss)
   (204,800 ) 47,920
Net realized gain (loss)
   3,539,316 7,756,525
Change in net unrealized appreciation (depreciation)
   (8,275,522 ) 15,982,870

Net income (loss)
   (4,941,006 ) 23,787,315

Shareholders’ equity, end of period
   $ 75,122,747 $ 45,034,386

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES VIX~~

~~MID-TERM~~

~~FUTURES ETF~~

~~STATEMENTS OF CASH FLOWS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ (4,941,006 ) $ 23,787,315
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
   (47,992,944 ) (23,530,289 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   61,000,000 23,000,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (5,327 ) (68,368 )
Change in unrealized appreciation (depreciation) on investments
   (1,150 ) (19,740 )
Decrease (Increase) in receivable on futures contracts
   247,077 (2,635,835 )
Decrease (Increase) in interest receivable
   (856 ) 22,658
Increase (Decrease) in payable to Sponsor
   8,296 32,113
Increase (Decrease) in brokerage commissions and fees payable
   875 —
Increase (Decrease) in payable on futures contracts
   188,562 (1,129,877 )

Net cash provided by (used in) operating activities
   8,503,527 19,457,977

Cash flow from financing activities

Proceeds from addition of shares
   15,879,994 7,802,797
Payment on shares redeemed
   (8,807,123 ) (35,447,574 )

Net cash provided by (used in) financing activities
   7,072,871 (27,644,777 )

Net increase (decrease) in cash
   15,576,398 (8,186,800 )
Cash, beginning of period
   27,802,834 33,130,653

Cash, end of period
   $ 43,379,232 $ 24,943,853

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF ~~FINANCIAL CONDITION~~

CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

March 31, 2021
(unaudited)

December 31, 2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $152,987,025 and $84,998,436, respectively)
   $ 152,996,232    $ 84,999,583
Cash
   47,332,471    71,736,247
Segregated cash balances with brokers for futures contracts
   150,530,784    134,825,900
Receivable on open futures contracts
   1,887,259    2,295,585
Interest receivable
   2,281    2,815

Total assets
   352,749,027    293,860,130

Liabilities and shareholders’ equity

Liabilities

Payable on open futures contracts
   2,819,500    231,900
Brokerage commissions and fees payable
   120,448    81,049
Payable to Sponsor
   230,321    156,632

Total liabilities
   3,170,269    469,581

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   349,578,758    293,390,549

Total liabilities and shareholders’ equity
   $ 352,749,027    $ 293,860,130

Shares outstanding
   37,501,317    21,326,317

Net asset value per share
   $ 9.32    $ 13.76

Market value per share (Note 2)
   $ 9.35    $ 13.74


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	269,703,164		$	293,390,549

Addition of 9,950,000 and 6,331,250 shares, respectively (Note 1)		161,172,915			326,892,710
Redemption of 3,400,000 and 2,287,500 shares, respectively (Note 1)		(65,259,409	)		(139,414,250	)

Net addition (redemption) of 6,550,000 and 4,043,750 shares, respectively (Note 1)		95,913,506			187,478,460

Net investment income (loss)		(952,113	)		(1,224,804	)
Net realized gain (loss)		53,734,224			(76,634,593	)
Change in net unrealized appreciation (depreciation)		(13,448,381	)		(53,430,854	)

Net income (loss)		39,333,730			(131,290,251	)

Shareholders’ equity, end of period	$	404,950,400		$	349,578,758

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

~~SCHEDULE OF INVESTMENTS~~(unaudited)

~~MARCH 31, 2021~~

~~(unaudited)~~

Principal
Amount

Value

Short-term U.S. government and agency obligations

(44% of shareholders’ equity)

U.S. Treasury Bills
^^
:

0.067% due

04/15/21
   $ 65,000,000    $ 64,999,623
0.086% due 05/20/21
   18,000,000    17,999,510
0.040% due 06/17/21
   45,000,000    44,998,556
0.075% due 07/15/21
   25,000,000    24,998,543

Total short-term U.S. government and agency obligations
(cost $152,987,025)
      $ 152,996,232

~~Futures Contracts Purchased~~

Number of
Contracts

Notional Amount
at Value

Unrealized
Appreciation
(Depreciation)/
Value

VIX Futures - Cboe, expires April 2021
   8,754    $ 181,505,436    $ (48,339,299 )
VIX Futures - Cboe, expires May 2021
   7,407    167,959,651    (11,463,705 )

         $ (59,803,004 )

^^	~~Rates shown represent discount rate at the time of purchase.~~


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	39,333,730		$	(131,290,251	)
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		(167,928,504	)		(247,959,463	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		148,999,840			180,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(72,483	)		(29,126	)
Net realized (gain) loss on investments		(97	)		—
Change in unrealized (appreciation) depreciation on investments		274,063			(8,060	)
Decrease (Increase) in receivable on open futures contracts		(72,620,028	)		408,326
Decrease (Increase) in interest receivable		1,774			534
Increase (Decrease) in payable to Sponsor		59,476			73,689
Increase (Decrease) in brokerage commissions and futures account fees payable		19,047			39,399
Increase (Decrease) in payable on open futures contracts		(2,037,376	)		2,587,600

Net cash provided by (used in) operating activities		(53,970,558	)		(196,177,352	)

Cash flow from financing activities
Proceeds from addition of shares		155,054,067			326,892,710
Payment on shares redeemed		(65,259,409	)		(139,414,250	)

Net cash provided by (used in) financing activities		89,794,658			187,478,460

Net increase (decrease) in cash		35,824,100			(8,698,892	)
Cash, beginning of period		115,960,816			206,562,147

Cash, end of period	$	151,784,916		$	197,863,255

See accompanying notes to financial statements.

Table of Contents

PROSHARES ~~VIX SHORT-TERM FUTURES ETF~~

TRUST II

COMBINED STATEMENTS OF ~~OPERATIONS~~FINANCIAL CONDITION

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Investment Income

Interest
   $ 38,460 $ 960,075

Expenses

Management fee
   825,460 626,516
Brokerage commissions
   172,658 184,760
Brokerage fees
   265,146 4,774

Total expenses
   1,263,264 816,050

Net investment income (loss)
   (1,224,804 ) 144,025

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   (76,634,593 ) 325,737,788

Net realized gain (loss)
   (76,634,593 ) 325,737,788

Change in net unrealized appreciation (depreciation) on

Futures contracts
   (53,438,914 ) 67,783,030
Short-term U.S. government and agency obligations
   8,060 119,214

Change in net unrealized appreciation (depreciation)
   (53,430,854 ) 67,902,244

Net realized and unrealized gain (loss)
   (130,065,447 ) 393,640,032

Net income (loss)
   $ (131,290,251 ) $ 393,784,057


	March 31, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $2,872,659,877 and $2,505,722,885, respectively)	$	2,869,108,822	$	2,505,429,337
Cash		581,016,956		394,413,910
Segregated cash balances with brokers for futures contracts		1,226,733,453		1,010,799,328
Segregated cash balances with brokers for foreign currency forward contracts		—		916,000
Segregated cash balances with brokers for swap agreements		275,071,040		2,572,000
Unrealized appreciation on swap agreements		1,181,417		113,159,180
Unrealized appreciation on foreign currency forward contracts		2,513,844		1,457,257
Receivable from capital shares sold		46,461,985		23,475,355
Securities sold receivable		6,195,418		0
Receivable on open futures contracts		584,563,167		205,819,074
Interest receivable		1		22,943

Total assets		5,592,846,103		4,258,064,384

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		32,894,304		25,594,902
Payable on open futures contracts		56,668,379		51,142,167
Brokerage commissions and futures account fees payable		588,986		476,241
Payable to Sponsor		4,055,508		3,178,585
Unrealized depreciation on swap agreements		160,246,560		3,391,968
Unrealized depreciation on foreign currency forward contracts		325,796		806,178

Total liabilities		254,779,533		84,590,041

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		5,338,066,570		4,173,474,343

Total liabilities and shareholders’ equity	$	5,592,846,103	$	4,258,064,384

Shares outstanding (Note 1)		243,148,625		151,164,114

See accompanying notes to financial statements.

Table of Contents

~~PROSHARES VIX SHORT-TERM FUTURES ETF~~

~~STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Shareholders’ equity, beginning of period
   $ 293,390,549 $ 279,792,503

Addition of 25,325,000 and 6,800,000 shares, respectively
   326,892,710 78,257,089
Redemption of 9,150,000 and 23,675,000 shares, respectively
   (139,414,250 ) (528,778,295 )

Net addition (redemption) of 16,175,000 and (16,875,000) shares, respectively
   187,478,460 (450,521,206 )

Net investment income (loss)
   (1,224,804 ) 144,025
Net realized gain (loss)
   (76,634,593 ) 325,737,788
Change in net unrealized appreciation (depreciation)
   (53,430,854 ) 67,902,244

Net income (loss)
   (131,290,251 ) 393,784,057

Shareholders’ equity, end of period
   $ 349,578,758 $ 223,055,354

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES VIX SHORT-TERM FUTURES ETF~~

~~STATEMENTS OF CASH FLOWS~~

~~(unaudited)~~

Three Months Ended
March 31,


2021

2020

Cash flow from operating activities

Net income (loss)
   $ (131,290,251 ) $ 393,784,057
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
   (247,959,463 ) (137,588,047 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   180,000,000 149,000,000
Net amortization and accretion on short-term U.S. government and agency obligations
   (29,126 ) (417,516 )
Change in unrealized appreciation (depreciation) on investments
   (8,060 ) (119,214 )
Decrease (Increase) in receivable on futures contracts
   408,326 770,570
Decrease (Increase) in interest receivable
   534 (5,342 )
Increase (Decrease) in payable to Sponsor
   73,689 283,274
Increase (Decrease) in brokerage commissions and fees payable
   39,399 —
Increase (Decrease) in payable on futures contracts
   2,587,600 (2,062,759 )


Net cash provided by (used in) operating activities
   (196,177,352 ) 403,645,023


Cash flow from financing activities

Proceeds from addition of shares
   326,892,710 78,257,089
Payment on shares redeemed
   (139,414,250 ) (518,770,322 )


Net cash provided by (used in) financing activities
   187,478,460 (440,513,233 )


Net increase (decrease) in cash
   (8,698,892 ) (36,868,210 )
Cash, beginning of period
   206,562,147 194,935,341


Cash, end of period
   $ 197,863,255 $ 158,067,131

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

PROSHARES TRUST II

~~COMBINED STATEMENTS OF FINANCIAL CONDITION~~

March 31, 2021
(unaudited)

December 31, 2020

Assets

Short-term U.S. government and agency obligations (Note 3) (cost $2,026,810,504 and $1,034,967,523, respectively)
   $ 2,026,935,650    $ 1,034,986,384
Cash
   893,065,733    1,651,161,384
Segregated cash balances with brokers for futures contracts
   1,399,057,783    1,491,618,088
Segregated cash balances with brokers for foreign currency forward contracts
   8,060,000    5,716,000
Segregated cash balances with brokers for swap agreements
   220,571,316    107,967,985
Unrealized appreciation on swap agreements
   6,931,663    80,135,841
Unrealized appreciation on foreign currency forward contracts
   5,810,029    169,051
Receivable from capital shares sold
   4,134,427    49,086,388
Receivable on open futures contracts
   132,627,916    108,851,000
Interest receivable
   172,108    66,871

Total assets

$

4,697,366,625    4,529,758,992

Liabilities and shareholders’ equity

Liabilities

Payable for capital shares redeemed
   3,233,023    18,280,444
Payable on open futures contracts
   45,284,062    27,874,393
Brokerage commissions and fees payable
   1,088,475    691,005
Payable to Sponsor
   4,045,514    3,407,672
Unrealized depreciation on swap agreements
   69,855,064    3,491,096
Unrealized depreciation on foreign currency forward contracts
   630,820    1,714,898
Securities purchased payable
   38,977,944    —
Non-recurring
fees and expenses payable
   48,070    48,070

Total liabilities
   163,162,972    55,507,578

Commitments and Contingencies (Note 2)
   0    0
Shareholders’ equity

Shareholders’ equity
   4,534,203,653    4,474,251,414

Total liabilities and shareholders’ equity
   $ 4,697,366,625    $ 4,529,758,992

Shares outstanding
   346,051,695    228,676,695

~~See accompanying notes to financial statements.~~

~~Table of Contents~~

~~PROSHARES TRUST II~~

COMBINED STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended
March 31,


2021

2020*

Investment Income

Interest
   $ 549,742 $ 7,499,714

Expenses

Management fee
   12,169,010 5,838,804
Brokerage commissions
   2,903,800 1,746,456
Brokerage fees
   2,853,404 51,378

Total expenses
   17,926,214 7,636,638

Net investment income (loss)
   (17,376,472 ) (136,924 )

Realized and unrealized gain (loss) on investment activity

Net realized gain (loss) on

Futures contracts
   (534,133,804 ) 315,177,827
Swap agreements
   55,764,481 (279,339,085 )
Options
   —   (9,707,000 )
Foreign currency forward contracts
   1,163,291 479,012
Short-term U.S. government and agency obligations
   19,761 176,434

Net realized gain (loss)
   (477,186,271 ) 26,787,188

Change in net unrealized appreciation (depreciation) on

Futures contracts
   (257,111,138 ) 279,530,155
Swap agreements
   (139,568,146 ) (341,111,914 )
Foreign currency forward contracts
   6,725,056 2,198,013
Short-term U.S. government and agency obligations
   106,285 961,117

Change in net unrealized appreciation (depreciation)
   (389,847,943 ) (58,422,629 )

Net realized and unrealized gain (loss)
   (867,034,214 ) (31,635,441 )

Net income (loss)
   $ (884,410,686 ) $ (31,772,365 )

*	~~The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF through March 27, 2020, the date liquidation was determined to be imminent.~~


	Three Months Ended March 31,
	2022			2021
Investment Income
Interest	$	1,026,882		$	549,742
Expenses
Management fee		10,616,957			12,169,010
Brokerage commissions		1,908,765			2,903,800
Futures account fees		1,804,923			2,853,404

Total expenses		14,330,645			17,926,214

Net investment income (loss)		(13,303,763	)		(17,376,472	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		408,448,775			(534,133,804	)
Swap agreements		705,182,989			55,764,481
Foreign currency forward contracts		3,062,506			1,163,291
Short-term U.S. government and agency obligations		227,575			19,761

Net realized gain (loss)		1,116,921,845			(477,186,271	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		52,639,066			(257,111,138	)
Swap agreements		(268,832,355	)		(139,568,146	)
Foreign currency forward contracts		1,536,969			6,725,056
Short-term U.S. government and agency obligations		(3,257,507	)		106,285

Change in net unrealized appreciation (depreciation)		(217,913,827	)		(389,847,943	)

Net realized and unrealized gain (loss)		899,008,018			(867,034,214	)

Net income (loss)	$	885,704,255		$	(884,410,686	)

See accompanying notes to financial statements.

9596

Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended
March 31,


2021

2020*

Shareholders’ equity, beginning of period
   $ 4,474,251,414 $ 2,356,325,101

Addition of 255,925,000 and 246,780,000 shares, respectively
   3,034,497,796 3,084,661,161
Redemption of 138,550,000 and 107,815,000 shares, respectively
   (2,090,134,871 ) (2,662,911,931 )

Net addition (redemption) of 117,375,000 and 138,965,000 shares, respectively
   944,362,925 421,749,230

Net investment income (loss)
   (17,376,472 ) (136,924 )
Net realized gain (loss)
   (477,186,271 ) 26,787,188
Change in net unrealized appreciation (depreciation)
   (389,847,943 ) (58,422,629 )

Net income (loss)
   (884,410,686 ) (31,772,365 )

Shareholders’ equity, end of period
   $ 4,534,203,653 $ 2,746,301,966

*	~~The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF through March 27, 2020, the date liquidation was determined to be imminent.~~


	Three Months Ended March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	4,173,474,343		$	4,474,251,414

Addition of 202,260,000 and 43,781,250 shares, respectively (Note 1)		3,082,800,285			3,034,497,796
Redemption of 110,275,489 and 35,372,500 shares, respectively (Note 1)		(2,803,912,313	)		(2,090,134,871	)

Net addition (redemption) of 91,984,511 and 8,408,750 shares, respectively (Note 1)		278,887,972			944,362,925

Net investment income (loss)		(13,303,763	)		(17,376,472	)
Net realized gain (loss)		1,116,921,845			(477,186,271	)
Change in net unrealized appreciation (depreciation)		(217,913,827	)		(389,847,943	)

Net income (loss)		885,704,255			(884,410,686	)

Shareholders’ equity, end of period	$	5,338,066,570		$	4,534,203,653

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

(unaudited)

Three Months Ended
March 31,


2021

2020*

Cash flow from operating activities

Net income (loss)
   $ (884,410,686 ) $ (31,772,365 )
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
   (3,414,460,174 ) (1,271,770,647 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations
   2,422,995,930 1,721,389,895
Net amortization and accretion on short-term U.S. government and agency obligations
   (358,976 ) (4,035,875 )
Net realized gain (loss) on investments
   (19,761 ) (176,434 )
Change in unrealized appreciation (depreciation) on investments
   132,736,805 337,952,784
Decrease (Increase) in securities sold receivable
   —   3,883
Decrease (Increase) in receivable on futures contracts
   (23,776,916 ) (146,056,402 )
Decrease (Increase) in interest receivable
   (105,237 ) 153,339
Increase (Decrease) in payable to Sponsor
   637,842 2,222,523
Increase (Decrease) in brokerage commissions and fees payable
   397,470 —
Increase (Decrease) in payable on futures contracts
   17,409,669 (1,490,423 )
Increase (Decrease) in securities purchased payable
   38,977,944 —

Net cash provided by (used in) operating activities
   (1,709,976,090 ) 606,420,278

Cash flow from financing activities

Proceeds from addition of shares
   3,079,449,757 2,985,264,602
Payment on shares redeemed
   (2,105,182,292 ) (2,643,315,875 )

Net cash provided by (used in) financing activities
   974,267,465 341,948,727

Net increase (decrease) in cash
   (735,708,625 ) 948,369,005
Cash, beginning of period
   3,256,463,457 1,190,195,205

Cash, end of period**
   $ 2,520,754,832 $ 2,138,564,210

*	~~The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF through March 27, 2020, the date liquidation was determined to be imminent.~~

**	~~Cash, end of period includes cash balances for the liquidated funds as of March 27, 2020.~~


	Three Months Ended March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	885,704,255		$	(884,410,686	)
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		(3,797,102,540	)		(3,414,460,174	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		3,431,442,943			2,422,995,930
Net amortization and accretion on short-term U.S. government and agency obligations		(1,049,820	)		(358,976	)
Net realized (gain) loss on investments		(227,575	)		(19,761	)
Change in unrealized (appreciation) depreciation on investments		270,552,893			132,736,805
Decrease (Increase) in securities sold receivable		(6,195,418	)		0
Decrease (Increase) in receivable on futures contracts		(378,744,093	)		(23,776,916	)
Decrease (Increase) in interest receivable		22,942			(105,237	)
Increase (Decrease) in payable to Sponsor		876,923			637,842
Increase (Decrease) in brokerage commissions and futures account fees payable		112,745			397,470
Increase (Decrease) in payable on futures contracts		5,526,212			17,409,669
Increase (Decrease) in securities purchased payable		0			38,977,944

Net cash provided by (used in) operating activities		410,919,467			(1,709,976,090	)

Cash flow from financing activities
Proceeds from addition of shares		3,059,813,655			3,079,449,757
Payment on shares redeemed		(2,796,612,911	)		(2,105,182,292	)

Net cash provided by (used in) financing activities		263,200,744			974,267,465

Net increase (decrease) in cash		674,120,211			(735,708,625	)
Cash, beginning of period		1,408,701,238			3,256,463,457

Cash, end of period	$	2,082,821,449		$	2,520,754,832

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

March 31, ~~2021~~2022

(unaudited)

NOTE 1 - ORGANIZATION

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 March 31, ~~2021,~~2022, the following 18 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”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, 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”); and (iv) ProShares Short Euro (the “Short Euro Fund”). 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, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

On March 15, 2020, ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.

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 14 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.

Groups of Funds are collectively referred to 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.

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.

The Geared Funds do not seek to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g.,

-0.5x,

-1x,

-2x,

1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly.

~~Table of Contents~~

Share Splits and Reverse Share Splits

The table below includes reverse Share splits for the Funds during the three months ~~ended~~

March 31,

~~2021~~

, 2022, and during the year ended December 31, ~~2020.~~2021. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.

Table of Contents


Fund	Execution Date ~~(Prior~~ (Prior to Opening of Trading)	Type of Split	Date Trading Resumed at Post- Split Price
ProShares Ultra VIX Short-Term Futures ETF	May 25, 2021	1-for-10 reverse Share split	May 26, 2021
ProShares UltraShort Bloomberg Crude Oil	~~April 20, 2020~~May 25, 2021	~~1-for-25~~1-for-4 reverse Share split	~~April 21, 2020~~May 26, 2021
ProShares ~~Ultra~~UltraShort Silver	May 25, 2021	1-for-4 reverse Share split	May 26, 2021
ProShares VIX Short-Term Futures ETF	May 25, 2021	1-for-4 reverse Share split	May 26, 2021
ProShares UltraShort Bloomberg Natural Gas	~~April 20, 2020~~January 13, 2022	~~1-for-10~~1-for-5 reverse Share split	~~April 21, 2020~~January 14, 2022

The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form

10-Q

and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form

10-K

for the year ended December 31, ~~2020,~~2021, as filed with the SEC on February ~~19, 2021.~~25, 2022.

Use of Estimates & Indemnifications

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant loss to be remote.

Basis of Presentation

Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund.

~~Table of Contents~~

Statements of Cash Flows

The cash ~~amount~~amounts shown in the Statements of Cash Flows isare the ~~amount~~amounts reported as cash in the Statements of Financial Condition dated March 31, ~~2021~~2022 and ~~2020,~~2021, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

100

Table of Contents

Final Net Asset Value for Fiscal Period

The

cut-off

times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, ~~2021~~2022 were typically as follows. All times are Eastern Standard Time:


Fund	Create/Redeem Cut-off*	NAV Calculation Time	NAV ~~NAV~~ Calculation Date
Ultra Silver and UltraShort Silver	1:00 p.m.	1:25 p.m.	March 31, ~~2021~~2022

Ultra Gold and UltraShort Gold	1:00 p.m.	1:30 p.m.	March 31, ~~2021~~2022
Ultra Bloomberg Crude Oil,
~~Ultra Bloomberg Crude Oil,~~
Ultra Bloomberg Natural Gas,
UltraShort Bloomberg Crude Oil and
UltraShort Bloomberg Natural Gas	2:00 p.m.	2:30 p.m.	March 31, ~~2021~~2022
Short Euro,
~~Short~~Ultra Euro,
Ultra ~~Euro,~~ Yen,
~~Ultra Yen,~~ UltraShort Australian Dollar,
UltraShort ~~Australian Dollar,~~ Euro and
~~UltraShort Euro and~~
UltraShort Yen	3:00 p.m.	4:00 p.m.	March 31, ~~2021~~2022
Short VIX Short-Term Futures ETF,
~~Short VIX Short-Term Futures ETF**,~~
Ultra VIX Short-Term Futures ~~ETF**,~~ ETF,
VIX Mid-Term Futures ETF**ETF and
VIX Short-Term Futures ETF** ETF	2:00 p.m.	4:00 p.m.	March 31, ~~2021~~
			2022

*	Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, ~~2021.~~ 2022.

**	On Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Please see Note 8 in these Notes to Financial Statements for more information.

Market value per Share is determined at the close of the applicable primary listing exchange and may be ~~later than~~from when the Funds’ NAV per Share is calculated.

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended March 31, ~~2021.~~2022.

Investment Valuation

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.

~~100~~

~~Table of Contents~~

Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity

101

Table of Contents

and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

Fair Value of Financial Instruments

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:

Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).

Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.

In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.

Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.

The following table summarizes the valuation of investments at March 31, 2022 using the fair value hierarchy:


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
Fund	Short-Term U.S. Government and Agencies		Futures Contracts *			Foreign Currency Forward Contracts			Swap Agreements			Total
ProShares Short Euro	$	—	$	2,656		$	—		$	—		$	2,656
ProShares Short VIX Short-Term Futures ETF		180,357,257		35,984,462			—			—			216,341,719
ProShares Ultra Bloomberg Crude Oil		1,016,050,654		245,591,163			—			(128,285,274	)		1,133,356,543
ProShares Ultra Bloomberg Natural Gas		95,749,617		76,824,603			—			—			172,574,220
ProShares Ultra Euro		4,685,054		—			(50,318	)		—			4,634,736
ProShares Ultra Gold		298,473,849		(7,245,013	)		—			(8,110,556	)		283,118,280
ProShares Ultra Silver		465,290,460		9,192,378			—			(23,850,730	)		450,632,108

~~101~~

102

Table of Contents

~~The following table~~


ProShares Ultra VIX Short-Term Futures ETF	$	193,118,875	$	(161,212,660	)	$	—		$	—		$	31,906,215
ProShares Ultra Yen		993,910		—			(231,651	)		—			762,259
ProShares UltraShort Australian Dollar		—		(96,657	)		—			—			(96,657	)
ProShares UltraShort Bloomberg Crude Oil		172,675,022		(6,293,470	)		—			—			166,381,552
ProShares UltraShort Bloomberg Natural Gas		109,627,801		(74,095,907	)		—			—			35,531,894
ProShares UltraShort Euro		41,892,032		—			134,035			—			42,026,067
ProShares UltraShort Gold		21,937,571		325,987			—			908,323			23,171,881
ProShares UltraShort Silver		13,910,829		267,147			—			273,094			14,451,070
ProShares UltraShort Yen		20,954,357		—			2,335,982			—			23,290,339
ProShares VIX Mid-Term Futures ETF		63,802,455		(959,563	)		—			—			62,842,892
ProShares VIX Short-Term Futures ETF		169,589,079		(43,304,937	)		—			—			126,284,142

Combined Trust:	$	2,869,108,822	$	74,980,189		$	2,188,048		$	(159,065,143	)	$	2,787,211,916

~~summarizes the valuation of investments at March 31, 2021 using the fair value hierarchy:~~

Level I - Quoted Prices

Level II - Other Significant
Observable Inputs

Fund

    Short-Term U.S.

Government and
Agencies

Futures
Contracts
*

Foreign
Currency
Forward
Contracts

Swap
Agreements

Total

ProShares Short Euro
   $ 999,973    $ 33,928 $ —   $ —   $ 1,033,901
ProShares Short VIX Short-Term Futures ETF
   91,998,460    50,470,675 —   —   142,469,135
ProShares Ultra Bloomberg Crude Oil
   689,976,589    238,548,911 —   (40,748,594 ) 887,776,906
ProShares Ultra Bloomberg Natural Gas
   33,999,110    (11,300,062 ) —   —   22,699,048
ProShares Ultra Euro
   999,973    —   (222,404 ) —   777,569
ProShares Ultra Gold
   86,998,893    393,125 —   6,160,430 93,552,448
ProShares Ultra Silver
   419,985,837    (15,401,821 ) —   (28,421,003 ) 376,163,013
ProShares Ultra VIX Short-Term Futures ETF
   376,985,173    (332,928,249 ) —   —   44,056,924
ProShares Ultra Yen
   499,986    —   (189,002 ) —   310,984
ProShares UltraShort Australian Dollar
   —      67,102 —   —   67,102
ProShares UltraShort Bloomberg Crude Oil
   34,999,082    (9,000,179 ) —   —   25,998,903
ProShares UltraShort Bloomberg Natural Gas
   43,998,801    16,272,857 —   —   60,271,658
ProShares UltraShort Euro
   17,999,536    —   3,254,693 —   21,254,229
ProShares UltraShort Gold
   12,999,597    39,145 —   (685,467 ) 12,353,275
ProShares UltraShort Silver
   14,999,620    3,276,894 —   771,233 19,047,747
ProShares UltraShort Yen
   14,499,635    —   2,335,922 —   16,835,557
ProShares VIX
Mid-Term
Futures ETF
   31,999,153    (9,410,288 ) —   —   22,588,865
ProShares VIX Short-Term Futures ETF
   152,996,232    (59,803,004 ) —   —   93,193,228

Total Trust

$
2,026,935,650


$
(128,740,966
)

$
5,179,209

$
(62,923,401
)

$
1,840,450,492

*	Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes the valuation of investments at December 31, ~~2020~~2021 using the fair value hierarchy:


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs									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			Short-Term U.S. Government and Agencies		Futures Contracts *			Foreign Currency Forward Contracts			Swap Agreements			Total
ProShares Short Euro	$	—	$	(44,626	)	$	—		$	—		$	(44,626	)	$	—	$	(5,400	)	$	—		$	—		$	(5,400	)
ProShares Short VIX Short-Term Futures ETF		69,999,639		8,348,783			—			—			78,348,422			147,815,719		31,275,278			—			—			179,090,997
ProShares Ultra Bloomberg Crude Oil		219,998,394		144,564,039			—			18,242,195			382,804,628			848,757,567		147,455,525			—			63,928,293			1,060,141,385
ProShares Ultra Bloomberg Natural Gas		29,999,889		6,500,721			—			—			36,500,610			90,922,438		(8,206,161	)		—			—			82,716,277
ProShares Ultra Euro		—		—			88,736			—			88,736			997,678		—			82,652			—			1,080,330
ProShares Ultra Gold		74,999,467		2,646,874			—			5,140,980			82,787,321			207,956,320		654,894			—			8,639,188			217,250,402
ProShares Ultra Silver		244,993,989		37,190,212			—			56,752,666			338,936,867			451,872,982		2,506,545			—			40,591,699			494,971,226
ProShares Ultra VIX Short-Term Futures ETF		244,995,969		(48,524,666	)		—			(24,807	)		196,446,496			221,660,593		(126,356,757	)		—			(477,437	)		94,826,399
ProShares Ultra Yen		—		—			67,087			—			67,087			—		—			(93,112	)		—			(93,112	)
ProShares UltraShort Australian Dollar		—		(138,950	)		—			—			(138,950	)		1,999,875		(65,155	)		—			—			1,934,720
ProShares UltraShort Bloomberg Crude Oil		—		(14,636,813	)		—			—			(14,636,813	)		55,916,023		(8,409,462	)		—			—			47,506,561
ProShares UltraShort Bloomberg Natural Gas		9,999,861		379,310			—			—			10,379,171			123,821,548		13,436,251			—			—			137,257,799
ProShares UltraShort Euro		9,999,861		—			(1,136,704	)		—			8,863,157			46,961,125		—			(208,041	)		—			46,753,084
ProShares UltraShort Gold		—		(196,930	)		—			(268,728	)		(465,658	)		25,980,516		158,079			—			(993,117	)		25,145,478
ProShares UltraShort Silver		—		(220,076	)		—			(3,197,561	)		(3,417,637	)		22,994,261		652,493			—			(1,921,414	)		21,725,340
ProShares UltraShort Yen		—		—			(564,966	)		—			(564,966	)		20,987,825		—			869,580			—			21,857,405
ProShares VIX Mid-Term Futures ETF		44,999,732		(1,133,616	)		—			—			43,866,116			85,922,969		(624,388	)		—			—			85,298,581
ProShares VIX Short-Term Futures ETF		84,999,583		(6,364,090	)		—			—			78,635,493			150,861,898		(30,130,619	)		—			—			120,731,279

Total Trust	$	1,034,986,384	$	128,370,172		$	(1,545,847	)	$	76,644,745		$	1,238,455,454
Combined Trust:															$	2,505,429,337	$	22,341,123		$	651,079		$	109,767,212		$	2,638,188,751

~~102~~

~~Table of Contents~~

*	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.

There were no transfers into or out of Level 3 for the fiscal year end.

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The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

Investment Transactions and Related Income

Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations.

Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.

Brokerage Commissions and Futures Account Fees

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees,

give-up

fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

Federal Income Tax

Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.

Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to,

on-going

analysis of tax law, regulation, and interpretations thereof.

~~New Accounting Pronouncement~~

~~In March 2020, the FASB issued Accounting Standards Update~~

~~No. 2020-04~~

~~(“ASU~~

~~2020-04”),~~

~~“Reference Rate Reform (Topic 840): Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. ASU~~

~~2020-04~~

~~provides entities with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., LIBOR) that are expected to be discontinued. ASU~~

~~2020-04~~

allows, among other things, certain contract modifications to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Funds will consider this optional guidance prospectively, if applicable.

~~103~~

NOTE 3 – INVESTMENTS

Short-Term Investments

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

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Accounting for Derivative Instruments

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

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

Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

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

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

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

Option Contracts

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

~~104~~

two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that

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may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.

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

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

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

Over-the-counter

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

over-the-counter

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

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

Swap Agreements

Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position. Swap agreements are

two-party

contracts that have traditionally been entered into primarily with institutional investors in

over-the-counter

~~105~~

(“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments.

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Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.

The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.

Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at March 31, ~~2021~~2022

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

The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated

tri-party

account at the Custodian to protect the counterparty against

non-payment

by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

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~~Table of Contents~~

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag

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between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, ~~2021,~~2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

marking-to-market

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

Forward Contracts

Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.

Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates

non-deliverable

forwards (including deliverable forwards where the parties do not take delivery). Certain

non-deliverable

forward contracts, such as

non-deliverable

foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.

The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated

tri-party

account at a third party custodian to protect the counterparty against

non-payment

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, ~~2021,~~2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

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~~Table of Contents~~

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

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performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily

marking-to-market

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

The following tables indicate the location of derivative related items on the Statements of Financial Condition as

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

Fair Value of Derivative Instruments as of March 31, 2022

Fair Value of Derivative Instruments as of March 31, 2021


Asset Derivatives

Liability Derivatives

Derivatives Not Accounted for
as Hedging Instruments

Fund

Statements of
Financial Condition
Location

Unrealized
Appreciation

Statements of
Financial Condition
Location

Unrealized
Depreciation

VIX Futures Contracts
      Receivables on open futures contracts, unrealized appreciation on swap agreements    Payable on open futures contracts, unrealized depreciation on swap agreements
   ProShares Short VIX Short-Term Futures ETF       $ 50,470,675 *    $ —
   ProShares Ultra VIX Short-Term Futures ETF       —      332,928,249 *
   ProShares VIX
Mid-Term
Futures ETF       —      9,410,288 *
   ProShares VIX Short-Term Futures ETF       —      59,803,004 *
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       238,887,300 *    41,086,983 *
   ProShares Ultra Bloomberg Natural Gas       —      11,300,062 *
   ProShares Ultra Gold       6,553,555 *    —
   ProShares Ultra Silver       —      43,822,824 *
   ProShares UltraShort Bloomberg Crude Oil       469,128 *    9,469,307 *
   ProShares UltraShort Bloomberg Natural Gas       16,272,857 *    —
   ProShares UltraShort Gold       39,145 *    685,467 *
   ProShares UltraShort Silver       4,048,127 *    —
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       33,928 *    —
   ProShares Ultra Euro       4,330    226,734
   ProShares Ultra Yen       3,041    192,043

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~~Table of Contents~~


		Asset Derivatives				Liability Derivatives
Derivatives Not Accounted for as Hedging Instruments	Fund	Statements of Financial Condition Location	Unrealized Appreciation			Statements of Financial Condition Location	Unrealized Depreciation
VIX Futures Contracts		Receivables on open futures contracts, unrealized appreciation on swap agreements				Payable on open futures contracts, unrealized depreciation on swap agreements
	ProShares Short VIX Short-Term Futures ETF		$	35,984,462	*		$	—
	ProShares Ultra VIX Short-Term Futures ETF			—				161,212,660	*
	ProShares VIX Mid-Term Futures ETF			269,090	*			1,228,653	*
	ProShares VIX Short-Term Futures ETF			—				43,304,937	*
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			245,591,163	*			128,285,274	*
	ProShares Ultra Bloomberg Natural Gas			76,824,603	*			—
	ProShares Ultra Gold			—				15,355,569	*
	ProShares Ultra Silver			9,192,378	*			23,850,730	*
	ProShares UltraShort Bloomberg Crude Oil			116,312	*			6,409,782	*
	ProShares UltraShort Bloomberg Natural Gas			—				74,095,907	*
	ProShares UltraShort Gold			1,234,310	*			—
	ProShares UltraShort Silver			733,630	*			193,389	*
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			2,656	*			—
	ProShares Ultra Euro			—				50,318
	ProShares Ultra Yen			7,119				238,770
	ProShares UltraShort Australian Dollar			—				96,657	*
	ProShares UltraShort Euro			134,035				—
	ProShares UltraShort Yen			2,372,690				36,708

		Combined Trust:	$	372,462,448	*		$	454,359,354	*

*	Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

Fair Value of Derivative Instruments as of December 31, 2020


Asset Derivatives

Liability Derivatives

Derivatives Not Accounted for
as Hedging Instruments

Fund

Statements of
Financial Condition
Location

Unrealized
Appreciation

Statements of
Financial Condition
Location

Unrealized
Depreciation

VIX Futures Contracts
   Receivables on open futures contracts, unrealized appreciation on swap agreements    Payable on open futures contracts, unrealized depreciation on swap agreements
ProShares Short VIX Short-Term Futures ETF       $ 8,348,783
*

   $ —
ProShares Ultra VIX Short-Term Futures ETF       —      48,549,473
*

ProShares VIX

Mid-Term

Futures ETF
      147,915
*

   1,281,531
*

ProShares VIX Short-Term Futures ETF       —      6,364,090
*

Commodities Contracts
   Receivables on open futures contracts and/or unrealized appreciation on swap agreements    Payable on open futures contracts and/or unrealized depreciation on swap agreements
ProShares Ultra Bloomberg Crude Oil       162,806,234
*

   —
ProShares Ultra Bloomberg Natural Gas       6,500,721
*

   —
ProShares Ultra Gold       7,787,854
*

   —
ProShares Ultra Silver       93,942,878
*

   —
ProShares UltraShort Bloomberg Crude Oil       —      14,636,813
*

ProShares UltraShort Bloomberg Natural Gas       379,310
*

   —
ProShares UltraShort Gold       —      465,658
*

ProShares UltraShort Silver       —      3,417,637
*

Foreign Exchange Contracts
   Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts    Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
ProShares Short Euro       —      44,626
*

ProShares Ultra Euro       89,103    367
ProShares Ultra Yen       67,235    148
ProShares UltraShort Australian Dollar       —      138,950
*

109

Table of Contents


Fair Value of Derivative Instruments as of December 31, 2021
		Asset Derivatives				Liability Derivatives
Derivatives Not Accounted for as Hedging Instruments	Fund	Statements of Financial Condition Location	Unrealized Appreciation			Statements of Financial Condition Location	Unrealized Depreciation
VIX Futures Contracts		Receivables on open futures contracts, unrealized appreciation on swap agreements				Payable on open futures contracts, unrealized depreciation on swap agreements
	ProShares Short VIX Short-Term Futures ETF		$	31,275,278	*		$	—
	ProShares Ultra VIX Short-Term Futures ETF			—				126,834,194	*
	ProShares VIX Mid-Term Futures ETF			642,035	*			1,266,423	*
	ProShares VIX Short-Term Futures ETF			—				30,130,619	*
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			211,383,818	*			—
	ProShares Ultra Bloomberg Natural Gas			—				8,206,161	*
	ProShares Ultra Gold			9,294,082	*			—
	ProShares Ultra Silver			43,098,244	*			—
	ProShares UltraShort Bloomberg Crude Oil			549,283	*			8,958,745	*
	ProShares UltraShort Bloomberg Natural Gas			13,436,251	*			—
	ProShares UltraShort Gold			158,079	*			993,117	*
	ProShares UltraShort Silver			652,493	*			1,921,414	*
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			—				5,400	*
	ProShares Ultra Euro			84,150				1,498
	ProShares Ultra Yen			821				93,933
	ProShares UltraShort Australian Dollar			—				65,155	*
	ProShares UltraShort Euro			135,118				343,159
	ProShares UltraShort Yen			1,237,168				367,588

		Combined Trust:	$	311,946,820	*		$	179,187,406	*

*	Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/~~pay~~ a ~~ble~~payable on open futures.

110

~~Table of Contents~~

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 202
1

Derivatives Not Accounted
for as Hedging Instruments

Location of Gain
(Loss) on Derivatives
Recognized in Income

Fund

Realized Gain
(Loss) on
Derivatives
Recognized in
Income

Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income

Foreign Exchange Contracts
   Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
      ProShares Short Euro    $ 69,393 $ 78,554
      ProShares Ultra Euro    (27,342 ) (311,140 )
      ProShares Ultra Yen    (139,467 ) (256,089 )
      ProShares UltraShort Australian Dollar    (164,544 ) 206,052
      ProShares UltraShort Euro    70,527 4,391,397
      ProShares UltraShort Yen    1,259,573 2,900,888


Total Trust

$
(477,206,032
)

$
(389,954,228
)

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 2020

Derivatives Not Accounted
for as Hedging Instruments

Location of Gain
(Loss) on Derivatives
Recognized in Income

Fund

Realized Gain
(Loss) on
Derivatives
Recognized in
Income

Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income

VIX Futures Contracts
   Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
      ProShares Short VIX Short-Term Futures ETF    $ (244,300,604 ) $ 20,973,802
      ProShares Ultra VIX Short-Term Futures ETF    726,085,231 176,381,861
      ProShares VIX
Mid-Term
Futures ETF    7,756,525 15,963,130
      ProShares VIX Short-Term Futures ETF    325,737,788 67,783,030
Commodities Contracts
   Net realized gain (loss) on futures
contracts
, options
and swap
agreements/ changes in unrealized
appreciation (depreciation) on
futures contracts and swap
agreements
      ProShares Ultra Bloomberg Crude
Oil    (505,591,266 ) (322,776,550 )
      ProShares Ultra Bloomberg Natural Gas    (22,819,605 ) (4,466,823 )
      ProShares Ultra Gold    21,498,056 (19,153,296 )
      ProShares Ultra Silver    (3,697,654 ) (85,172,612 )
      ProShares UltraPro 3x Crude Oil ETF*    (414,693,599 ) (7,266,550 )

~~111~~

Table of Contents

The

Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 2020

Derivatives Not Accounted
for as Hedging Instruments

Location of Gain
(Loss) on Derivatives
Recognized in Income

Fund

Realized Gain
(Loss) on
Derivatives
Recognized in
Income

Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income

      ProShares UltraPro 3x Short Crude Oil ETF*    $ 83,293,001 $ 8,358,056
      ProShares UltraShort Bloomberg Crude Oil    51,674,022 76,578,230
      ProShares UltraShort Bloomberg Natural Gas    5,626,177 3,334,986
      ProShares UltraShort Gold    (5,930,882 ) 2,675,796
      ProShares UltraShort Silver    842,240 4,190,271
Foreign Exchange Contracts
   Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
      ProShares Short Euro    (18,638 ) 67,324
      ProShares Ultra Euro    (53,268 ) (221,334 )
      ProShares Ultra Yen    (8,483 ) (19,239 )
      ProShares UltraShort Australian Dollar    670,950 947,586
      ProShares UltraShort Euro    1,047,283 3,137,931
      ProShares UltraShort Yen    (506,520 ) (699,345 )


Total Trust

$
26,610,754

$
(59,383,746
)


* The operations include the activity through March 27, 2020, the date liquidation was determined to be imminent.

The Effect of Derivative Instruments on the Statement of Operations

For the three months ended March 31, 2022


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	$	(41,100,614	)	$	4,709,184
		ProShares Ultra VIX Short-Term Futures ETF		280,994,684			(34,378,466	)
		ProShares VIX Mid-Term Futures ETF		4,791,833			(335,175	)
		ProShares VIX Short-Term Futures ETF		53,734,127			(13,174,318	)
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		799,423,070			(94,077,929	)
		ProShares Ultra Bloomberg Natural Gas		76,220,688			85,030,764
		ProShares Ultra Gold		57,818,596			(24,649,651	)
		ProShares Ultra Silver		116,637,027			(57,756,596	)
		ProShares UltraShort Bloomberg Crude Oil		(106,482,101	)		2,115,992
		ProShares UltraShort Bloomberg Natural Gas		(114,665,698	)		(87,532,158	)
		ProShares UltraShort Gold		(6,308,673	)		2,069,348
		ProShares UltraShort Silver		(7,373,746	)		1,809,162
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		59,419			8,056
		ProShares Ultra Euro		(441,030	)		(132,970	)
		ProShares Ultra Yen		(118,771	)		(138,539	)
		ProShares UltraShort Australian Dollar		(116,848	)		(31,502	)
		ProShares UltraShort Euro		2,542,134			342,076
		ProShares UltraShort Yen		1,080,173			1,466,402

		Combined Trust:	$	1,116,694,270		$	(214,656,320	)

111

Table of Contents

The Effect of Derivative Instruments on the Statement of Operations

For the three months ended March 31, 2021


Derivatives Not Accounted for as Hedging Instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
		ProShares Short VIX Short-Term Futures ETF	$	24,209,417		$	42,121,892
		ProShares Ultra VIX Short-Term Futures ETF		(704,518,024	)		(284,378,776	)
		ProShares VIX Mid-Term Futures ETF		3,539,316			(8,276,672	)
		ProShares VIX Short-Term Futures ETF		(76,634,593	)		(53,438,914	)
Commodities Contracts	Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
		ProShares Ultra Bloomberg Crude Oil		334,351,228			34,994,083
		ProShares Ultra Bloomberg Natural Gas		41,582,385			(17,800,783	)
		ProShares Ultra Gold		(51,248,132	)		(1,234,299	)
		ProShares Ultra Silver		4,910,551			(137,765,702	)
		ProShares UltraShort Bloomberg Crude Oil		(49,177,765	)		5,636,634
		ProShares UltraShort Bloomberg Natural Gas		(6,359,394	)		15,893,547
		ProShares UltraShort Gold		4,003,190			(180,664	)
		ProShares UltraShort Silver		(2,932,351	)		7,465,764
Foreign Exchange Contracts	Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
		ProShares Short Euro		69,393			78,554
		ProShares Ultra Euro		(27,342	)		(311,140	)
		ProShares Ultra Yen		(139,467	)		(256,089	)
		ProShares UltraShort Australian Dollar		(164,544	)		206,052
		ProShares UltraShort Euro		70,527			4,391,397
		ProShares UltraShort Yen		1,259,573			2,900,888

		Combined Trust:	$	(477,206,032	)	$	(389,954,228	)

112

Table of Contents

Offsetting Assets and Liabilities

Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of March 31, ~~2021.~~2022.

~~112~~

113

Table of Contents

~~Fair Values of Derivative Instruments as of March 31, 2021~~

Assets

Liabilities

Fund

Gross Amounts of
Recognized Assets
presented in the
Statements of
Financial
Condition

Gross Amounts
Offset in the
Statements of
Financial
Condition

Net Amounts of
Assets presented
in the
Statements of
Financial
Condition

Gross Amounts of
Recognized Liabilities
presented in the
Statements of
Financial
Condition

Gross Amounts
Offset in the
Statements of
Financial
Condition

Net Amounts of
Liabilities presented
in the
Statements of
Financial
Condition

ProShares Ultra Bloomberg Crude Oil

Swap agreements
   $ 0

   $ 0      $ 0

   $ 40,748,594    $ 0      $ 40,748,594
ProShares Ultra Euro

Foreign currency forward contracts
   4,330    0

   4,330    226,734    0

   226,734
ProShares Ultra Gold

Swap agreements
   6,160,430    0

   6,160,430    0

   0

   0


ProShares Ultra Silver

Swap agreements
   0

   0

   0

   28,421,003    0

   28,421,003
ProShares Ultra Yen

Foreign currency forward contracts
   3,041    0

   3,041    192,043    0

   192,043
ProShares UltraShort Euro

Foreign currency forward contracts
   3,436,568    0

   3,436,568    181,875    0

   181,875
ProShares UltraShort Gold

Swap agreements
   0

   0

   0

   685,467    0

   685,467
ProShares UltraShort Silver

Swap agreements
   771,233    0

   771,233    0

   0

   0


ProShares UltraShort Yen

Foreign currency forward contracts
   2,366,090    0

   2,366,090    30,168    0

   30,168


Fair Values of Derivative Instruments as of March 31, 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	$	0	$	0	$	0	$	128,285,274	$	0	$	128,285,274
ProShares Ultra Euro Foreign currency forward contracts		0		0		0		50,318		0		50,318
ProShares Ultra Gold Swap agreements		0		0		0		8,110,556		0		8,110,556
ProShares Ultra Silver Swap agreements		0		0		0		23,850,730		0		23,850,730
ProShares Ultra Yen Foreign currency forward contracts		7,119		0		7,119		238,770		0		238,770
ProShares UltraShort Euro Foreign currency forward contracts		134,035		0		134,035		0		0		0
ProShares UltraShort Gold Swap agreements		908,323		0		908,323		0		0		0
ProShares UltraShort Silver Swap agreements		273,094		0		273,094		0		0		0
ProShares UltraShort Yen Foreign currency forward contracts		2,372,690		0		2,372,690		36,708		0		36,708

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2022. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be

un-collateralized

due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

114

Table of Contents


Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 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.	$	(18,119,250	)	$	0		$	18,119,250		$	0
Goldman Sachs International		(36,248,743	)		28,534,743			7,714,000			0
Morgan Stanley & Co. International PLC		(31,383,289	)		31,383,289			0			0
Societe Generale		(17,086,634	)		17,086,634			0			0
UBS AG		(25,447,358	)		0			25,447,358			0
ProShares Ultra Euro
Goldman Sachs International		(7,961	)		7,961			0			0
UBS AG		(42,357	)		42,357			0			0
ProShares Ultra Gold
Citibank, N.A.		(2,792,482	)		0			2,792,482			0
Goldman Sachs International		(2,413,156	)		625,156			1,788,000			0
UBS AG		(2,904,918	)		2,904,918			0			0
ProShares Ultra Silver
Citibank, N.A.		(7,141,286	)		0			7,141,286			0
Goldman Sachs International		(5,875,157	)		0			5,875,157			0
Morgan Stanley & Co. International PLC		(5,474,180	)		5,474,180			0			0
UBS AG		(5,360,107	)		0			5,360,107			0
ProShares Ultra Yen
Goldman Sachs International		(140,970	)		140,970			0			0
UBS AG		(90,861	)		0			0			(90,861	)
ProShares UltraShort Euro
Goldman Sachs International		83,304			0			0			83,304
UBS AG		50,731			0			0			50,731
ProShares UltraShort Gold
Citibank, N.A.		372,654			0			0			372,654
Goldman Sachs International		244,146			(244,146	)		0			0
UBS AG		291,523			0			(291,523	)		0
ProShares UltraShort Silver
Citibank, N.A.		(193,389	)		193,389			0			0
Goldman Sachs International		259,041			(259,041	)		0			0
Morgan Stanley & Co. International PLC		204,525			0			(204,525	)		0
UBS AG		2,917			0			0			2,917
ProShares UltraShort Yen
Goldman Sachs International		748,238			(748,238	)		0			0
UBS AG		1,587,744			0			(1,587,744	)		0

115

Table of Contents

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2021:


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	$	63,928,293	$	0	$	63,928,293	$	0	$	0	$	0
ProShares Ultra Euro
Foreign currency forward contracts		84,150		0		84,150		1,498		0		1,498
ProShares Ultra Gold
Swap agreements		8,639,188		0		8,639,188		0		0		0
ProShares Ultra Silver
Swap agreements		40,591,699		0		40,591,699		0		0		0
ProShares Ultra VIX Short-Term Futures ETF
Swap agreements		0		0		0		477,437		0		477,437
ProShares Ultra Yen
Foreign currency forward contracts		821		0		821		93,933		0		93,933
ProShares UltraShort Euro
Foreign currency forward contracts		135,118		0		135,118		343,159		0		343,159
ProShares UltraShort Gold
Swap agreements		0		0		0		993,117		0		993,117
ProShares UltraShort Silver
Swap agreements		0		0		0		1,921,414		0		1,921,414
ProShares UltraShort Yen
Foreign currency forward contracts		1,237,168		0		1,237,168		367,588		0		367,588

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2021. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be

un-collateralized

due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2021

Fund

Amounts of Recognized Assets /
(Liabilities) presented in the
Statements of Financial
Condition

Financial Instruments for
the Benefit of (the Funds)
/ the Counterparties

Cash Collateral for the
Benefit of (the Funds)
/ the Counterparties

Net Amount

ProShares Ultra Bloomberg Crude Oil

Goldman Sachs International
   $ (7,714,941 ) $ 0

$ 7,714,941 $ 0


Morgan Stanley & Co.
International PLC
   (14,480,061 ) 14,480,061 0

0


Societe Generale
   (7,452,971 ) 0

7,452,971 0


UBS AG
   (11,100,621 ) 0

11,100,621 0


ProShares Ultra Euro

Goldman Sachs International
   (78,549 ) 0

78,549 0


UBS AG
   (143,855 ) 0

143,855 0


ProShares Ultra Gold

Citibank, N.A.
   2,121,049 0

(310,000 ) 1,811,049
Goldman Sachs International
   1,832,931 (259,558 ) 0

1,573,373
UBS AG
   2,206,451 0

(330,000 ) 1,876,451
ProShares Ultra Silver

Citibank, N.A.
   (8,800,436 ) 8,800,436 0

0


Goldman Sachs International
   (6,616,052 ) 0

6,616,052 0


Morgan Stanley & Co.
International PLC
   (6,918,147 ) 6,918,147 0

0


UBS AG
   (6,086,368 ) 0

6,086,368 0


ProShares Ultra VIX Short-Term
Futures ETF

~~113~~116

Table of Contents

Gross Amounts

Not Offset in the Statements of Financial Condition as of March 31, 2021

Fund

Amounts of Recognized Assets /
(Liabilities) presented in the
Statements of Financial
Condition

Financial Instruments for
the Benefit of (the Funds)
/ the Counterparties

Cash Collateral for the
Benefit of (the Funds)
/ the Counterparties

Net Amount

Goldman Sachs & Co.
   $ 0   $ 0   $ 0   $ 0
ProShares Ultra Yen

Goldman Sachs
International
   (106,904 ) 0   106,904 0
UBS AG
   (82,098 ) 0   82,098 0
ProShares UltraShort Euro

Goldman Sachs
International
   1,328,784 (1,154,554 ) 0   174,230
UBS AG
   1,925,909 0   (1,700,000 ) 225,909
ProShares UltraShort Gold

Citibank, N.A.
   (291,552 ) 156,152 135,400 0
Goldman Sachs
International
   (301,800 ) 0   301,800 0
UBS AG
   (92,116 ) 0   92,116 0
ProShares UltraShort Silver

Citibank, N.A.
   248,259 0   (248,259 ) 0
Goldman Sachs
International
   135,199 (135,199 ) 0   0
Morgan Stanley & Co. International PLC
   259,594 0   (259,594 ) 0
UBS AG
   128,181 0   (128,181 ) 0
ProShares UltraShort Yen

Goldman Sachs
International
   645,892 (597,669 ) 0   48,223
UBS AG
   1,690,031 0   (1,510,000 ) 180,031

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

~~ailable for offset~~

~~under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2020:~~

~~114~~

~~Table of Contents~~

Fair Values of Derivative Instruments as of December 31, 2020


Assets

Liabilities

Fund

Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition

Gross Amounts
Offset in the
Statements of
Financial
Condition

Net Amounts of
Assets presented
in the
Statements of
Financial
Condition

Gross Amounts of
Recognized
Liabilities presented
in the
Statements of
Financial
Condition

Gross Amounts
Offset in the
Statements of
Financial
Condition

Net Amounts of
Liabilities presented
in the
Statements of
Financial
Condition

ProShares Ultra Bloomberg Crude Oil

Swap agreements
   $ 18,242,195    $ 0      $ 18,242,195    $ 0      $ 0      $ 0
ProShares Ultra Euro

Foreign currency forward contracts
   89,103    0      89,103    367    0      367
ProShares Ultra Gold

Swap agreements
   5,140,980    0      5,140,980    0      0      0
ProShares Ultra Silver

Swap agreements
   56,752,666    0      56,752,666    0      0      0
ProShares Ultra VIX Short-Term Futures ETF

Swap agreements
   0      0      0      24,807    0      24,807
ProShares Ultra Yen

Foreign currency forward contracts
   67,235    0      67,235    148    0      148
ProShares UltraShort Euro

Foreign currency forward contracts
   5,705    0      5,705    1,142,409    0      1,142,409
ProShares UltraShort Gold

Swap agreements
   0      0      0      268,728    0      268,728
ProShares UltraShort Silver

Swap agreements
   0      0      0      3,197,561    0      3,197,561
ProShares UltraShort Yen

Foreign currency forward contracts
   7,008    0      7,008    571,974    0      571,974

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2020. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be

~~un-collateralized~~

~~due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.~~

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020


Amounts of Recognized
Assets / (Liabilities)
presented in the
Statements of Financial
Condition

Financial Instruments
for the Benefit of (the
Funds) / the
Counterparties

Cash Collateral for the
Benefit of (the Funds) /
the Counterparties

Net Amount

ProShares Ultra Bloomberg Crude Oil

Goldman Sachs International
   $ 1,377,243    $ (1,281,309 ) $ 0   $ 95,934
Morgan Stanley & Co. International PLC
   10,959,227    0   (10,629,000 ) 330,227
Societe Generale
   1,679,334    (1,679,334 ) 0   0
UBS AG
   4,226,391    (4,151,442 ) (6,270 ) 68,679
ProShares Ultra Euro

Goldman Sachs International
   22,950    0   0   22,950
UBS AG
   65,786    0   0   65,786
ProShares Ultra Gold

Citibank, N.A.
   1,770,050    0   (1,670,000 ) 100,050
Goldman Sachs International
   1,529,612    (1,497,203 ) 0   32,409
UBS AG
   1,841,318    0   0   1,841,318
ProShares Ultra Silver

Citibank, N.A.
   18,010,776    0   (18,010,776 ) 0

~~115~~

~~Table of Contents~~


Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2021												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
	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.													$	9,839,441		$	0		$	(9,839,441	)	$	0
Goldman Sachs International														13,920,431			(13,889,225	)		(31,206	)		0
Morgan Stanley & Co. International PLC														17,042,319			0			(17,042,319	)		0
Societe Generale														9,295,046			(9,292,398	)		(2,648	)		0
UBS AG														13,831,056			0			(13,831,056	)		0
ProShares Ultra Euro
Goldman Sachs International														10,301			0			0			10,301
UBS AG														72,351			0			0			72,351
ProShares Ultra Gold
Citibank, N.A.														2,974,490			0			(2,100,000	)		874,490
Goldman Sachs International														2,570,443			(1,877,749	)		(250	)		692,444
UBS AG														3,094,255			0			(2,180,000	)		914,255
ProShares Ultra Silver
Citibank, N.A.														10,785,304			0			(7,890,000	)		2,895,304
Goldman Sachs International	$	12,930,574		$	(12,930,574	)	$	0		$	0			10,781,897			(8,181,572	)		(5,925	)		2,594,400
Morgan Stanley & Co. International PLC		12,353,706			0			(12,353,706	)		0			10,046,034			0			(7,306,000	)		2,740,034
UBS AG		13,457,610			(4,126,610	)		(9,331,000	)		0			8,978,464			0			(6,570,000	)		2,408,464
ProShares Ultra VIX Short-Term Futures ETF
Goldman Sachs & Co.		(24,807	)		0			24,807			0			(477,437	)		0			0			(477,437	)
ProShares Ultra Yen
Goldman Sachs International		34,265			0			0			34,265			(54,919	)		0			54,919			0
UBS AG		32,822			0			0			32,822			(38,193	)		0			0			(38,193	)
ProShares UltraShort Euro
Goldman Sachs International		(388,233	)		0			388,233			0			(83,325	)		83,325			0			0
UBS AG		(748,471	)		748,471			0			0			(124,716	)		124,716			0			0
ProShares UltraShort Gold
Citibank, N.A.		(80,068	)		0			80,068			0			(407,735	)		407,735			0			0
Goldman Sachs International		(82,645	)		0			82,645			0			(266,413	)		266,413			0			0
UBS AG		(106,015	)		0			106,015			0			(318,969	)		318,969			0			0
ProShares UltraShort Silver
Citibank, N.A.		(1,208,988	)		0			1,208,988			0			(367,632	)		367,632			0			0
Goldman Sachs International		(927,829	)		0			927,829			0			(486,710	)		368,710			118,000			0
Morgan Stanley & Co. International PLC		(579,421	)		0			579,421			0			(385,104	)		0			385,104			0
UBS AG		(481,323	)		0			481,323			0			(681,968	)		681,968			0			0
ProShares UltraShort Yen
Goldman Sachs International		(207,021	)		0			207,021			0			312,169			(302,523	)		0			9,646
UBS AG		(357,945	)		0			357,945			0			557,411			0			(520,000	)		37,411

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a M

~~nagement~~Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund.

The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to, (i) the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, accounting and auditing fees and expenses, (ii) any Index licensors for the Funds; and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations. Fees associated with a Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule

K-1

preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses.

Non-Recurring

Fees and Expenses

Each Fund pays all its

non-recurring

and unusual fees and expenses, if any, as determined by the Sponsor.

Non-recurring

and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.

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The Administrator

BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds. The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting

~~116~~

agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.

The Custodian

BNY Mellon serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.

The Transfer Agent

BNY Mellon serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor.

The Distributor

SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds.

NOTE 5 ~~– OFFERING COSTS~~

Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.

~~NOTE 6~~ – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.

~~117~~

Authorized Participants may pay a fixed transaction fee (typically $250) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for

118

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services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

Transaction fees for the three months ended March 31, ~~2021~~2022 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:


~~Fund~~	~~Three Months Ended~~ ~~March 31, 2021~~
~~ProShares Short Euro~~	$	0
~~ProShares Short VIX Short-Term Futures ETF~~		~~42,067~~
~~ProShares Ultra Bloomberg Crude Oil~~		0
~~ProShares Ultra Bloomberg Natural Gas~~		0
~~ProShares Ultra Euro~~		0
~~ProShares Ultra Gold~~		0
~~ProShares Ultra Silver~~		0
~~ProShares Ultra VIX Short-Term Futures ETF~~		~~977,320~~
~~ProShares Ultra Yen~~		0
~~ProShares UltraShort Australian Dollar~~		0
~~ProShares UltraShort Bloomberg Crude Oil~~		0
~~ProShares UltraShort Bloomberg Natural Gas~~		0
~~ProShares UltraShort Euro~~		0
~~ProShares UltraShort Gold~~		0
~~ProShares UltraShort Silver~~		0
~~ProShares UltraShort Yen~~		0
~~ProShares VIX~~ ~~Mid-Term~~ ~~Futures ETF~~		~~7,122~~
~~ProShares VIX Short-Term Futures ETF~~		~~153,236~~

~~Total Trust~~	$	~~1,179,745~~


Fund	Three Months Ended March 31, 2022
ProShares Short Euro	$	0
ProShares Short VIX Short-Term Futures ETF		60,144
ProShares Ultra Bloomberg Crude Oil		0
ProShares Ultra Bloomberg Natural Gas		0
ProShares Ultra Euro		0
ProShares Ultra Gold		0
ProShares Ultra Silver		0
ProShares Ultra VIX Short-Term Futures ETF		1,226,762
ProShares Ultra Yen		0
ProShares UltraShort Australian Dollar		0
ProShares UltraShort Bloomberg Crude Oil		0
ProShares UltraShort Bloomberg Natural Gas		0
ProShares UltraShort Euro		0
ProShares UltraShort Gold		0
ProShares UltraShort Silver		0
ProShares UltraShort Yen		0
ProShares VIX Mid-Term Futures ETF		18,967
ProShares VIX Short-Term Futures ETF		100,970

Combined Trust:	$	1,406,843

~~118~~

119

Table of Contents

NOTE 7 – FINANCIAL HIGHLIGHTS

120

Table of Contents

Selected ~~data~~Data for a Share ~~outstanding throughout~~Outstanding Throughout the ~~three months ended~~Three Months Ended March 31, ~~2021~~

2022

For the Three Months Ended March 31, ~~2021~~2022 (unaudited)


Per Share Operating Performance	Short Euro			Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold
Net asset value, at December 31, 2021	$	44.91		$	61.56		$	86.16		$	25.55		$	13.32		$	59.69
Net investment income (loss)		(0.11	)		(0.17	)		(0.31	)		(0.11	)		(0.02	)		(0.14	)
Net realized and unrealized gain (loss)#		1.43			(6.84	)		65.89			30.62			(0.83	)		7.44
Change in net asset value from operations		1.32			(7.01	)		65.58			30.51			(0.85	)		7.30
Net asset value, at March 31, 2022	$	46.23		$	54.55		$	151.74		$	56.06		$	12.47		$	66.99
Market value per share, at December 31, 2021 †	$	44.92		$	61.55		$	86.78		$	26.09		$	13.33		$	59.81
Market value per share, at March 31, 2022 †	$	46.18		$	54.56		$	153.30		$	56.31		$	12.46		$	66.14
Total Return, at net asset value^		2.9	%		(11.4	)%		76.1	%		119.4	%		(6.4	)%		12.2	%
Total Return, at market value^		2.8	%		(11.4	)%		76.7	%		115.8	%		(6.5	)%		10.6	%
Ratios to Average Net Assets**
Expense ratio^^		0.97	%		1.34	%		1.09	%		1.33	%		0.95	%		1.01	%
Net investment income gain (loss)		(0.98	)%		(1.25	)%		(0.99	)%		(1.23	)%		(0.74	)%		(0.87	)%

Per Share Operating Performance

Short Euro

Short VIX
Short-Term
Futures ETF

Ultra
Bloomberg
Crude Oil

Ultra
Bloomberg
Natural Gas

Ultra Euro

Ultra Gold

Net asset value, at December 31, 2020
   $ 41.92 $ 41.42 $ 36.38 $ 21.00 $ 15.79 $ 67.57
Net investment income (loss)
   (0.09 ) (0.14 ) (0.13 ) (0.09 ) (0.03 ) (0.14 )
Net realized and unrealized gain (loss)#
   1.86 5.85 16.31 0.40 (1.31 ) (13.11 )
Change in net asset value from operations
   1.77 5.71 16.18 0.31 (1.34 ) (13.25 )
Net asset value, at March 31, 2021
   $ 43.69 $ 47.13 $ 52.56 $ 21.31 $ 14.45 $ 54.32
Market value per share, at December 31, 2020
†
   $ 41.35 $ 41.44 $ 36.27 $ 21.07 $ 15.81 $ 68.20
Market value per share, at March 31, 2021
†
   $ 43.52 $ 47.10 $ 52.85 $ 21.20 $ 14.47 $ 53.91
Total Return, at net asset value^
   4.2 % 13.8 % 44.5 % 1.5 % (8.5 )% (19.6 )%
Total Return, at market value^
   5.2 % 13.7 % 45.7 % 0.6 % (8.5 )% (21.0 )%
Ratios to Average Net Assets**

Expense ratio
   0.97 % 1.35 % 1.10 % 1.60 % 0.95 % 1.03 %
Expense ratio, excluding brokerage commissions and fees
   0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 %
Net investment income gain (loss)
   (0.91 )% (1.31 )% (1.04 )% (1.55 )% (0.90 )% (0.97 )%

**	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 March 31, ~~2021.~~2022.

^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.

~~119~~

121

For the Three Months Ended March 31, ~~2021~~2022 (unaudited)


Per Share Operating Performance	Ultra Silver			Ultra VIX Short-Term Futures ETF *			Ultra Yen			UltraShort Australian Dollar			UltraShort Bloomberg Crude Oil *			UltraShort Bloomberg Natural Gas *
Net asset value, at December 31, 2021	$	34.84		$	12.41		$	47.29		$	48.25		$	12.85		$	61.85
Net investment income (loss)		(0.08	)		(0.07	)		(0.09	)		(0.12	)		(0.02	)		(0.11	)
Net realized and unrealized gain (loss)#		4.30			1.16			(5.18	)		(2.87	)		(7.00	)		(45.56	)
Change in net asset value from operations		4.22			1.09			(5.27	)		(2.99	)		(7.02	)		(45.67	)
Net asset value, at March 31, 2022	$	39.06		$	13.50		$	42.02		$	45.26		$	5.83		$	16.18
Market value per share, at December 31, 2021 †	$	34.74		$	12.43		$	47.29		$	48.41		$	12.75		$	60.55
Market value per share, at March 31, 2022 †	$	38.53		$	13.46		$	42.09		$	45.35		$	5.79		$	16.14
Total Return, at net asset value^		12.1	%		8.8	%		(11.1	)%		(6.2	)%		(54.6	)%		(73.9	)%
Total Return, at market value^		10.9	%		8.3	%		(11.0	)%		(6.3	)%		(54.6	)%		(73.4	)%
Ratios to Average Net Assets**
Expense ratio^^		0.99	%		1.78	%		0.95	%		1.03	%		1.24	%		1.56	%
Net investment income gain (loss)		(0.88	)%		(1.73	)%		(0.80	)%		(1.01	)%		(1.13	)%		(1.46	)%

Per Share Operating Performance

Ultra Silver

Ultra VIX
Short-Term
Futures ETF

Ultra Yen

UltraShort
Australian
Dollar

UltraShort
Bloomberg
Crude Oil

UltraShort
Bloomberg
Natural Gas

Net asset value, at December 31, 2020
   $ 50.71 $ 10.67 $ 59.83 $ 44.45 $ 11.61 $ 47.59
Net investment income (loss)
   (0.12 ) (0.04 ) (0.13 ) (0.11 ) (0.03 ) (0.14 )
Net realized and unrealized gain (loss)#
   (9.24 ) (5.00 ) (7.92 ) 0.84 (4.38 ) (8.31 )
Change in net asset value from operations
   (9.36 ) (5.04 ) (8.05 ) 0.73 (4.41 ) (8.45 )
Net asset value, at March 31, 2021
   $ 41.35 $ 5.63 $ 51.78 $ 45.18 $ 7.20 $ 39.14
Market value per share, at December 31, 2020
†
   $ 51.28 $ 10.65 $ 59.82 $ 43.89 $ 11.64 $ 47.38
Market value per share, at March 31, 2021
†
   $ 41.10 $ 5.65 $ 51.78 $ 45.19 $ 7.15 $ 39.32
Total Return, at net asset value^
   (18.5 )% (47.2 )% (13.4 )% 1.6 % (38.0 )% (17.8 )%
Total Return, at market value^
   (19.9 )% (47.0 )% (13.5 )% 3.0 % (38.6 )% (17.0 )%
Ratios to Average Net Assets**

Expense ratio
   1.07 % 1.77 % 0.95 % 1.02 % 1.34 % 1.60 %
Expense ratio, excluding brokerage commissions and fees
   0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 %
Net investment income gain (loss)
   (1.02 )% (1.75 )% (0.90 )% (0.97 )% (1.29 )% (1.55 )%

*	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 March 31, ~~2021.~~2022.

^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.

~~120~~122

For the Three Months Ended March 31, ~~2021~~2022 (unaudited)


Per Share Operating Performance	UltraShort Euro			UltraShort Gold			UltraShort Silver *			UltraShort Yen			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF *
Net asset value, at December 31, 2021	$	25.84		$	31.71		$	26.77		$	83.00		$	30.61		$	15.12
Net investment income (loss)		(0.05	)		(0.06	)		(0.06	)		(0.17	)		(0.08	)		(0.05	)
Net realized and unrealized gain (loss)#		1.51			(4.42	)		(5.26	)		9.81			0.92			1.54
Change in net asset value from operations		1.46			(4.48	)		(5.32	)		9.64			0.84			1.49
Net asset value, at March 31, 2022	$	27.30		$	27.23		$	21.45		$	92.64		$	31.45		$	16.61
Market value per share, at December 31, 2021 †	$	25.86		$	31.66		$	26.84		$	82.99		$	30.57		$	15.17
Market value per share, at March 31, 2022 †	$	27.31		$	27.61		$	21.78		$	92.73		$	31.50		$	16.57
Total Return, at net asset value^		5.6	%		(14.1	)%		(19.9	)%		11.6	%		2.7	%		9.9	%
Total Return, at market value^		5.6	%		(12.8	)%		(18.9	)%		11.7	%		3.0	%		9.2	%
Ratios to Average Net Assets**
Expense ratio^^		0.95	%		1.02	%		1.08	%		0.95	%		1.09	%		1.23	%
Net investment income gain (loss)		(0.83	)%		(0.88	)%		(0.94	)%		(0.80	)%		(0.99	)%		(1.15	)%

Per Share Operating Performance

UltraShort
Euro

UltraShort
Gold

UltraShort
Silver

UltraShort
Yen

VIX Mid-
Term Futures
ETF

VIX Short-
Term Futures
ETF

Net asset value, at December 31, 2020
   $ 22.53 $ 31.43 $ 6.93 $ 67.83 $ 36.73 $ 13.76
Net investment income (loss)
   (0.05 ) (0.09 ) (0.02 ) (0.16 ) (0.09 ) (0.04 )
Net realized and unrealized gain (loss)#
   1.93 6.26 0.07 10.06 (1.90 ) (4.40 )
Change in net asset value from operations
   1.88 6.17 0.05 9.90 (1.99 ) (4.44 )
Net asset value, at March 31, 2021
   $ 24.41 $ 37.60 $ 6.98 $ 77.73 $ 34.74 $ 9.32
Market value per share, at December 31, 2020
†
   $ 22.52 $ 31.14 $ 6.85 $ 67.81 $ 36.70 $ 13.74
Market value per share, at March 31, 2021
†
   $ 24.42 $ 37.89 $ 7.01 $ 77.75 $ 35.06 $ 9.35
Total Return, at net asset value^
   8.4 % 19.6 % 0.7 % 14.7 % (5.4 )% (32.3 )%
Total Return, at market value^
   8.4 % 21.7 % 2.3 % 14.6 % (4.5 )% (32.0 )%
Ratios to Average Net Assets**

Expense ratio
   0.95 % 1.07 % 1.15 % 0.95 % 1.03 % 1.30 %
Expense ratio, excluding brokerage commissions and fees
   0.95 % 0.95 % 0.95 % 0.95 % 0.85 % 0.85 %
Net investment income gain (loss)
   (0.90 )% (1.03 )% (1.11 )% (0.90 )% (0.98 )% (1.26 )%

*	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 March 31, ~~2021.~~2022.

^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.

~~121~~

123

Table of Contents

Selected ~~data~~Data for a Share ~~outstanding throughout~~Outstanding Throughout the ~~three months ended~~Three Months Ended March 31, ~~2020~~

2021

For the Three Months Ended March 31, ~~2020~~2021 (unaudited)


Per Share Operating Performance	Short Euro			Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold
Net asset value, at December 31, 2020	$	41.92		$	41.42		$	36.38		$	21.00		$	15.79		$	67.57
Net investment income (loss)		(0.09	)		(0.14	)		(0.13	)		(0.09	)		(0.03	)		(0.14	)
Net realized and unrealized gain (loss) #		1.86			5.85			16.31			0.40			(1.31	)		(13.11	)
Change in net asset value from operations		1.77			5.71			16.18			0.31			(1.34	)		(13.25	)
Net asset value, at March 31, 2021	$	43.69		$	47.13		$	52.56		$	21.31		$	14.45		$	54.32
Market value per share, at December 31, 2020 †	$	41.35		$	41.44		$	36.27		$	21.07		$	15.81		$	68.20
Market value per share, at March 31, 2021 †	$	43.52		$	47.10		$	52.85		$	21.20		$	14.47		$	53.91
Total Return, at net asset value^		4.2	%		13.8	%		44.5	%		1.5	%		(8.5	)%		(19.6	)%
Total Return, at market value^		5.2	%		13.7	%		45.7	%		0.6	%		(8.5	)%		(21.0	)%
Ratios to Average Net Assets**
Expense ratio^^		0.97	%		1.35	%		1.10	%		1.60	%		0.95	%		1.03	%
Net investment income gain (loss)		(0.91	)%		(1.31	)%		(1.04	)%		(1.55	)%		(0.90	)%		(0.97	)%

Per Share Operating Performance

Short Euro

Short VIX
Short-Term
Futures ETF

Ultra
Bloomberg
Crude Oil
*

Ultra
Bloomberg
Natural Gas
*

Ultra Euro

Ultra Gold

Net asset value, at December 31, 2019
   $ 45.64 $ 65.62 $ 509.23 $ 83.97 $ 13.79 $ 49.21
Net investment income (loss)
   0.04 (0.04 ) 0.20 0.00 + 0.01 0.05
Net realized and unrealized gain (loss)#
   0.98 (34.56 ) (469.28 ) (42.15 ) (0.64 ) 3.18
Change in net asset value from operations
   1.02 (34.60 ) (469.08 ) (42.15 ) (0.63 ) 3.23
Net asset value, at March 31, 2020
   $ 46.66 $ 31.02 $ 40.15 $ 41.82 $ 13.16 $ 52.44
Market value per share, at December 31, 2019
†
   $ 45.69 $ 65.23 $ 511.50 $ 83.40 $ 13.77 $ 49.05
Market value per share, at March 31, 2020
†
   $ 45.09 $ 31.01 $ 39.75 $ 42.60 $ 13.15 $ 52.00
Total Return, at net asset value^
   2.2 % (52.7 )% (92.1 )% (50.2 )% (4.6 )% 6.6 %
Total Return, at market value^
   (1.3 )% (52.5 )% (92.2 )% (48.9 )% (4.5 )% 6.0 %
Ratios to Average Net Assets**

Expense ratio
   0.97 % 1.19 % 1.09 % 1.39 % 0.95 % 0.98 %
Expense ratio, excluding brokerage
commissions and fees
   0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 %
Net investment income gain (loss)
   0.34 % (0.38 )% 0.44 % (0.02 )% 0.25 % 0.35 %

*	~~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 cha~~ n ~~ge 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 March 31, 2020.~~

+	~~Amount represents greater than $(~~ ~~0.005~~ ).

~~122~~

~~For the Three Months Ended March 31, 2020 (unaudited)~~

Per Share Operating Performance

Ultra Silver

Ultra VIX
Short-Term
Futures ETF

Ultra Yen

UltraPro 3x
Crude Oil
ETF
*

UltraPro 3x
Short
Crude Oil
ETF
*

UltraShort
Australian
Dollar

Net asset value, at December 31, 2019
   $ 31.70 $ 12.67 $ 55.83 $ 21.47 $ 10.66 $ 56.09
Net investment income (loss)
   0.04 (0.02 ) 0.03 0.00 + (0.01 ) 0.03
Net realized and unrealized gain (loss)#
   (13.32 ) 45.87 0.35 (21.26 ) 34.88 16.18
Change in net asset value from operations
   (13.28 ) 45.85 0.38 (21.26 ) 34.87 16.21
Net asset value, at March 31, 2020
   $ 18.42 $ 58.52 $ 56.21 $ 0.21 @ $ 45.53 @ $ 72.30
Market value per share, at December 31, 2019
†
   $ 31.65 $ 12.89 $ 55.83 $ 21.60 $ 10.58 $ 55.88
Market value per share, at March 31, 2020
†
   $ 18.44 $ 58.56 $ 56.19 $ 0.22 $ 45.32 $ 72.06
Total Return, at net asset value^
   (41.9 )% 361.9 % 0.7 % (99.0 )% 327.1 % 28.9 %
Total Return, at market value^
   (41.7 )% 354.3 % 0.6 % (99.0 )% 328.4 % 29.0 %
Ratios to Average Net Assets**

Expense ratio
   0.99 % 1.47 % 0.95 % 1.65 % 1.68 % 1.04 %
Expense ratio, excluding brokerage commissions and fees
   0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 %
Net investment income gain (loss)
   0.55 % (0.50 )% 0.21 % (0.49 )% (0.33 )% 0.22 %

*	~~The per share operating performance presented here is for the period ended March 27, 2020, the date liquidation was determined to be imminent. See Note 1.~~

**	~~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 March 31, ~~2020.~~2021.

^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

+	~~Amount greater than $(0.005)~~

@	~~NAV on March 27, 2020, the date liquidation was determined to be imminent. See Note 1.~~

~~123~~

124

For the Three Months Ended March 31, ~~2020~~2021 (unaudited)


Per Share Operating Performance	Ultra Silver			Ultra VIX Short-Term Futures ETF *			Ultra Yen			UltraShort Australian Dollar			UltraShort Bloomberg Crude Oil *			UltraShort Bloomberg Natural Gas *
Net asset value, at December 31, 2020	$	50.71		$	106.68		$	59.83		$	44.45		$	46.45		$	237.96
Net investment income (loss)		(0.12	)		(0.40	)		(0.13	)		(0.11	)		(0.10	)		(0.72	)
Net realized and unrealized gain (loss)#		(9.24	)		(49.96	)		(7.92	)		0.84			(17.55	)		(41.56	)
Change in net asset value from operations		(9.36	)		(50.36	)		(8.05	)		0.73			(17.65	)		(42.28	)
Net asset value, at March 31, 2021	$	41.35		$	56.32		$	51.78		$	45.18		$	28.80		$	195.68
Market value per share, at December 31, 2020 †	$	51.28		$	106.50		$	59.82		$	43.89		$	46.56		$	236.90
Market value per share, at March 31, 2021 †	$	41.10		$	56.50		$	51.78		$	45.19		$	28.60		$	196.60
Total Return, at net asset value^		(18.5	)%		(47.2	)%		(13.4	)%		1.6	%		(38.0	)%		(17.8	)%
Total Return, at market value^		(19.9	)%		(47.0	)%		(13.5	)%		3.0	%		(38.6	)%		(17.0	)%
Ratios to Average Net Assets**
Expense ratio^^		1.07	%		1.77	%		0.95	%		1.02	%		1.34	%		1.60	%
Net investment income gain (loss)		(1.02	)%		(1.75	)%		(0.90	)%		(0.97	)%		(1.29	)%		(1.55	)%

Per Share Operating Performance

UltraShort
Bloomberg
Crude Oil

UltraShort
Bloomberg
Natural Gas

UltraShort
Euro

UltraShort
Gold

UltraShort
Silver

UltraShort
Yen

Net asset value, at December 31, 2019
   $ 12.19 $ 38.53 $ 26.80 $ 53.02 $ 26.76 $ 76.37
Net investment income (loss)
   (0.01 ) (0.08 ) 0.03 0.04 0.01 0.09
Net realized and unrealized gain (loss)#
   36.89 24.93 0.99 (7.04 ) 9.77 (2.36 )
Change in net asset value from operations
   36.88 24.85 1.02 (7.00 ) 9.78 (2.27 )
Net asset value, at March 31, 2020
   $ 49.07 $ 63.38 $ 27.82 $ 46.02 $ 36.54 $ 74.10
Market value per share, at December 31, 2019
†
   $ 12.15 $ 38.82 $ 26.80 $ 53.21 $ 26.80 $ 76.35
Market value per share, at March 31, 2020
†
   $ 49.99 $ 62.02 $ 27.76 $ 46.28 $ 36.66 $ 74.11
Total Return, at net asset value^
   302.5 % 64.5 % 3.8 % (13.2 )% 36.5 % (3.0 )%
Total Return, at market value^
   311.4 % 59.8 % 3.6 % (13.0 )% 36.8 % (2.9 )%
Ratios to Average Net Assets**

Expense ratio
   1.31 % 1.90 % 0.95 % 1.00 % 1.05 % 0.95 %
Expense ratio, excluding brokerage commissions and fees
   0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 %
Net investment income gain (loss)
   (0.14 )% (0.65 )% 0.49 % 0.34 % 0.09 % 0.47 %

*	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 March 31, ~~2020.~~2021.

^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

~~124~~

125

Table of Contents

For the Three Months Ended March 31, ~~2020~~2021 (unaudited)


Per Share Operating Performance	UltraShort Euro			UltraShort Gold			UltraShort Silver *			UltraShort Yen			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF *
Net asset value, at December 31, 2020	$	22.53		$	31.43		$	27.73		$	67.83		$	36.73		$	55.03
Net investment income (loss)		(0.05	)		(0.09	)		(0.07	)		(0.16	)		(0.09	)		(0.16	)
Net realized and unrealized gain (loss)#		1.93			6.26			0.26			10.06			(1.90	)		(17.58	)
Change in net asset value from operations		1.88			6.17			0.19			9.90			(1.99	)		(17.74	)
Net asset value, at March 31, 2021	$	24.41		$	37.60		$	27.92		$	77.73		$	34.74		$	37.29
Market value per share, at December 31, 2020 †	$	22.52		$	31.14		$	27.40		$	67.81		$	36.70		$	54.96
Market value per share, at March 31, 2021 †	$	24.42		$	37.89		$	28.04		$	77.75		$	35.06		$	37.40
Total Return, at net asset value^		8.4	%		19.6	%		0.7	%		14.7	%		(5.4	)%		(32.3	)%
Total Return, at market value^		8.4	%		21.7	%		2.3	%		14.6	%		(4.5	)%		(32.0	)%
Ratios to Average Net Assets**
Expense ratio^^		0.95	%		1.07	%		1.15	%		0.95	%		1.03	%		1.30	%
Net investment income gain (loss)		(0.90	)%		(1.03	)%		(1.11	)%		(0.90	)%		(0.98	)%		(1.26	)%

Per Share Operating Performance

VIX Mid-
Term Futures
ETF

VIX Short-
Term Futures
ETF








Net asset value, at December 31, 2019
   $ 21.27 $ 12.30
Net investment income (loss)
   0.03 0.01
Net realized and unrealized gain (loss)#
   17.44 25.65
Change in net asset value from operations
   17.47 25.66
Net asset value, at March 31, 2020
   $ 38.74 $ 37.96
Market value per share, at December 31, 2019
†
   $ 21.29 $ 12.43
Market value per share, at March 31, 2020
†
   $ 38.44 $ 37.93
Total Return, at net asset value^
   82.1 % 208.6 %
Total Return, at market value^
   80.6 % 205.1 %
Ratios to Average Net Assets**

Expense ratio
   1.00 % 1.11 %
Expense ratio, excluding brokerage commissions and fees
   0.85 % 0.85 %
Net investment income gain (loss)
   0.43 % 0.20 %

*	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 March 31, ~~2020.~~2021.

^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

~~125~~126

NOTE 87 – RISK

Correlation and Compounding Risk

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time).

The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from

one-half

the inverse

(-0.5x),

the inverse

(-1x),

two times the inverse

(-2x),

one and

one-half

times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the period.

A Geared Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short or UltraShort), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Geared Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Geared Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective over time.

Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and

one-half

or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of an UltraShort Fund is designed to return two times the inverse

(-2x) of

the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark;

(3) bid-ask

spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e.,

-0.5x,

-1x,

-2x,

1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.

~~126~~

127

Table of Contents

Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.

Counterparty Risk

Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks.

Regulatory Treatment

Derivatives are generally traded in OTC markets and ~~have only recently become~~are subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).

Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.

As noted, the CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of ~~“the~~the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.

Counterparty Credit Risk

The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of OTC derivatives, the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.

The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.

OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the

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agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.

In addition, cleared derivatives benefit from daily

marking-to-market

and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.

The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com.

Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.

The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.

Leverage Risk

The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.

For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and

one-half

times multiplier) include a two times the inverse

(-2x),

or a two times (2x) multiplier, a

single-day

movement in the relevant benchmark approaching 50% at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward

single-day

or intraday movements in the underlying benchmark of an Ultra Fund or upward

single-day

or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.

Liquidity Risk

Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds 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 Instruments related to one benchmark, which in many cases is highly concentrated.

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“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2019 may specify a January 2020 expiration. As that contract nears expiration, it may be replaced by selling the January 2020 contract and purchasing the contract expiring in March 2020. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.

Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.

Gold and silver have historically exhibited persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly.

There have been times where WTI crude oil futures contracts experience “extraordinary contango or extraordinary backwardation”. For example, in April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. ~~If such event were to occur, and the price of the applicable futures contracts subsequently reversed,~~Conversely, investors in ~~the Short or~~ an UltraShort Fund could suffer significant losses or lose their entire ~~investment.~~investment if prices reversed or were subject to extraordinary backwardation. The effects of rolling futures contracts under extraordinary contango or backwardation market conditions generally are more exaggerated than rolling futures contracts under more typical contango or backwardation market ~~conditions and~~conditions. Either scenario may ~~cause~~result in significant losses.

Change to Investment Strategies

In anticipation of the benchmark’s upcoming roll, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, each Oil Fund adjusted its portfolio exposure as described below.

By the close of business on Tuesday, June 30, 2020, ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil Funds”), had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020.

In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020.

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Following this portfolio transition each Oil Fund ~~had~~has exposure to WTI crude oil futures contracts that are not included in the current benchmark. The performance of each Fund should not be expected to correspond to two times (2x), or two times the inverse

(-2x),

as applicable, of the daily performance of its current benchmark. Each Fund’s performance could differ significantly from its stated investment objective.

In addition, to the extent an Oil Fund has exposure to longer-dated crude oil futures contracts or other Financial Instruments, the performance of the Fund should be expected to deviate to a greater extent from the “spot” price of crude oil than if the Fund had exposure to shorter-dated futures contracts or Financial Instruments. For these and other reasons, the Oil Funds should be expected to perform very differently from the spot price of crude oil and may underperform investments that are linked to the “spot” price of crude oil.

Change to the Oil Funds Benchmark Index

~~Effective September 17, 2020, the Oil Funds changed their benchmark from the Bloomberg WTI Crude Oil Subindex~~

~~to the Bloomberg Commodity Balanced WTI Crude Oil Index~~

(the “New Benchmark”). The investment objective of each of these two funds is to seek daily investment results, before fees and expenses, that correspond either to two times (2x) or two times the inverse

~~(-2x),~~

~~as applicable, of the daily performance of the New Benchmark for a single day, not for any other period.~~

In order to have exposure to the WTI crude oil futures contracts included in the New Benchmark in a manner designed to achieve its respective investment objective by the beginning of business on September 17, 2020, each Oil Fund transitioned half of its then current exposure to the December 2020 WTI crude oil futures contract into exposure to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020. As a result of this transition, each Oil Fund had approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the June 2021 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020.

Description of the New Benchmark

The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,

one-third

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into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below

one-third

between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.

The methodology for determining the composition of the New Benchmark and for calculating its level may be changed at any time by Bloomberg without notice. The daily performance of the New Benchmark is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker symbol: BCBCLI Index.

Natural Disaster/Epidemic Risk

Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus

COVID-19),

have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, 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. 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 increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these

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circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. 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’ 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 substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis 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, resulting in losses to your investment.

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. ~~In March 2020,~~ U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial ~~markets.~~markets in March 2020. Contemporaneous with the onset of the

COVID-19

pandemic in the ~~US,~~U.S., crude oil markets experienced shocks to the supply of and demand ~~impacting~~for crude oil. This led to an oversupply of crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts. In April 2020, the market for crude oil futures contracts experienced a period of ~~oil.~~“extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango in the future. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and can result in significant losses. These and other global economic shocks ~~being experienced~~ as a result of the ~~date hereof~~

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, ~~or inaccurate,~~ resulting in significant and unexpected losses.

~~Change to the VIX Funds Benchmark Indices~~131

~~Change to VIX Futures Contracts Settlement Time \ Index Methodology.~~

Table of Contents

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500

~~VIX~~

~~Mid-Term~~

~~Futures Index, the benchmark for ProShares VIX~~

~~Mid-Term~~

~~Futures ETF, and the S&P 500~~

VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.

~~Change to the Fund’s Net Asset Value (“NAV”) Calculation Time.~~

As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information

~~about the calculation of NAV is included in each Fund’s Prospectus.~~

~~Change to the VIX Funds Exchange Listing.~~

~~On December 16, 2020, each Fund transferred its listing from NYSE Arca to the Cboe BZX Exchange.~~

NOTE 98 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.

On March 11, 2022, ProShare Capital Management LLC announced that it plans to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidating funds”. The last day the liquidating funds will accept creation and redemption orders is May 2, 2022. Trading in the liquidating funds will be halted prior to market open on May 3, 2022. Beginning on May 3, 2022, the funds will not be traded on their respective exchanges, and there will be no secondary market for fund shares. On or about May 3, 2022, the funds will begin the process of liquidating their portfolios and will no longer be managed in accordance with their investment objectives. Any shareholders remaining in the liquidating funds will have their shares redeemed at net asset value on or about May 12, 2022.

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Item 2. ~~Management’s Discussion and Analysis of Financial Condition and Results of Operations.~~

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 March 31, ~~2021,~~2022, the following eighteen 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”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, 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”); and (iv) ProShares Short Euro (the “Short Euro Fund”). 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, the Short Euro Fund 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”.

On March 15, 2020 ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on or about April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.

~~On April 3, 2020,~~May 11, 2021, the Trust announced a

~~1-for-25~~

~~reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Crude Oil (ticker symbol: UCO) and~~ a

1-for-10

reverse split of the shares of beneficial interest of ProShares Ultra ~~Bloomberg Natural Gas~~VIX Short-Term Futures ETF (ticker symbol: ~~BOIL)~~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 ~~April 21, 2020,~~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 ~~resulting~~resulted in a proportionate increase in the price per share and the per share information of ~~these~~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.

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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.

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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.

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

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

133

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.

~~133~~

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.

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 months ended March 31, ~~2021~~2022 and ~~2020,~~2021, each of the Funds earned interest income as follows:


Fund	Interest Income Three Months Ended March 31, 2022			Interest Income Three Months Ended March 31, 2021
ProShares Short Euro	$	(93	)	$	596
ProShares Short VIX Short-Term Futures ETF		94,343			33,890
ProShares Ultra Bloomberg Crude Oil		308,880			168,075
ProShares Ultra Bloomberg Natural Gas		39,581			13,815
ProShares Ultra Euro		4,587			584
ProShares Ultra Gold		95,113			35,827
ProShares Ultra Silver		140,449			98,129
ProShares Ultra VIX Short-Term Futures ETF		95,261			113,969
ProShares Ultra Yen		873			356
ProShares UltraShort Australian Dollar		115			258
ProShares UltraShort Bloomberg Crude Oil		53,907			10,835
ProShares UltraShort Bloomberg Natural Gas		55,825			7,883
ProShares UltraShort Euro		15,405			7,166
ProShares UltraShort Gold		9,685			2,962
ProShares UltraShort Silver		8,920			3,117
ProShares UltraShort Yen		9,399			3,596
ProShares VIX Mid-Term Futures ETF		23,923			10,224
ProShares VIX Short-Term Futures ETF		70,709			38,460

134

Table of Contents

Interest Income
Three Months
Ended
March 31, 2021

Interest Income
Three Months
Ended
March 31, 2020

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 UltraPro 3x Crude Oil ETF*

ProShares UltraPro 3x Short Crude Oil ETF*

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

~~The operations presented here are through March 27, 2020, the date of their liquidation. See Note 1 of the Notes to Financial Statements.~~

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.

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.

135

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 May ~~7, 2021,~~9, 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).

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 March 31, ~~2021.~~2022.

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

136

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.

~~136~~

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 ~~brokerage~~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.

137

Results of Operations for the Three Months Ended March 31, ~~2021~~2022 Compared to the Three Months Ended March 31, ~~2020~~2021

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	4,191,955		$	2,282,195		$	2,245,421		$	4,191,955
NAV end of period	$	2,184,540		$	2,332,843		$	4,623,400		$	2,184,540
Percentage change in NAV		(47.9	)%		2.2	%		105.9	%		(47.9	)%
Shares outstanding beginning of period		100,000			50,000			50,000			100,000
Shares outstanding end of period		50,000			50,000			100,000			50,000
Percentage change in shares outstanding		(50.0	)%		—	%		100.0	%		(50.0	)%
Shares created		—			—			50,000			—
Shares redeemed		50,000			—			—			50,000
Per share NAV beginning of period	$	41.92		$	45.64		$	44.91		$	41.92
Per share NAV end of period	$	43.69		$	46.66		$	46.23		$	43.69
Percentage change in per share NAV		4.2	%		2.2	%		2.9	%		4.2	%
Percentage change in benchmark		(4.0	)%		(1.7	)%		(2.8	)%		(4.0	)%
Benchmark annualized volatility		6.2	%		9.8	%		8.6	%		6.2	%

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 50,000 outstanding Shares at December 31, 2021 to 100,000 outstanding Shares at March 31, 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 inverse

(-1x)

of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 100,000 outstanding Shares at December 31, 2020 to 50,000 outstanding Shares at March 31, 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 the inverse

(-1x)

of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2020, 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 the inverse

~~(-1x)~~

~~of 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 December 31, 2019 to March 31, 2020.~~

For the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of ~~4.2%~~2.9% for the three months ended March 31, ~~2021,~~2022, as compared to the Fund’s per Share NAV increase of ~~2.2%~~4.2% for the three months ended March 31, ~~2020,~~2021, was primarily due to ~~greater~~lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2021.~~2022.

The benchmark’s decline of 2.8% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 4.0% for the three months ended March 31, 2021, ~~as compared to the benchmark’s decline of 1.7% for the three months ended March 31, 2020,~~ can be attributed to a ~~greater~~lesser decrease in the value of the euro versus the U.S. dollar during the period ended March 31, ~~2021.~~2022.

138

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:

~~138~~


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(8,638	)	$	1,992		$	(6,909	)	$	(8,638	)
Management fee		9,053			5,503			6,672			9,053
Brokerage commission		181			100			144			181
Net realized gain (loss)		69,393			(18,638	)		63,871			69,393
Change in net unrealized appreciation (depreciation)		78,642			67,294			8,056			78,642
Net Income (loss)	$	139,397		$	50,648		$	65,018		$	139,397

The Fund’s net income ~~increased~~decreased for the three months ended March 31, ~~2021~~2022 as compared to the three months ended March 31, ~~2020,~~2021, primarily due to a ~~greater~~lesser decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, ~~2021.~~2022.

139

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	409,371,468		$	284,437,179		$	423,812,594		$	409,371,468
NAV end of period	$	527,130,851		$	809,257,658		$	495,588,849		$	527,130,851
Percentage change in NAV		28.8	%		184.5	%		16.9	%		28.8	%
Shares outstanding beginning of period		9,884,307			4,334,307			6,884,307			9,884,307
Shares outstanding end of period		11,184,307			26,084,307			9,084,307			11,184,307
Percentage change in shares outstanding		13.2	%		501.8	%		32.0	%		13.2	%
Shares created		2,400,000			24,850,000			3,000,000			2,400,000
Shares redeemed		1,100,000			3,100,000			800,000			1,100,000
Per share NAV beginning of period	$	41.42		$	65.62		$	61.56		$	41.42
Per share NAV end of period	$	47.13		$	31.02		$	54.55		$	47.13
Percentage change in per share NAV		13.8	%		(52.7	)%		(11.4	)%		13.8	%
Percentage change in benchmark		(32.0	)%		209.3	%		10.2	%		(32.0	)%
Benchmark annualized volatility		81.9	%		140.6	%		86.4	%		81.9	%

~~On Monday, October 26, 2020,~~During the ~~Chicago Futures Exchange (a subsidiary~~three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 6,884,307 outstanding Shares at December 31, 2021 to 9,084,307 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the ~~Chicago Board Options Exchange) changed~~ Fund seeking daily investment results, before fees and expenses, that correspond to

one-half

the ~~settlement time for~~inverse

(-0.5x)

of the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology fordaily performance of the S&P 500

VIX Short-Term Futures ~~Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.~~

As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.

~~139~~

~~During~~Index. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 9,884,307 outstanding Shares at December 31, 2020 to 11,184,307 outstanding Shares at March 31, 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

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 March 31, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,334,307 outstanding Shares at December 31, 2019 to 26,084,307 outstanding Shares at March 31, 2020. 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-half~~

~~the inverse~~

~~(-0.5x)~~

~~of the daily performance of the S&P 500 VIX Short-Term Futures Index.~~

For the three months ended March 31, ~~2021~~2022 and ~~2020,~~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 11.4% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 13.8% for the three months ended March 31, 2021, ~~as compared to the Fund’s per Share NAV decrease of 52.7% for the three months ended March 31, 2020,~~ was primarily due to ~~appreciation~~depreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2021.~~2022.

The benchmark’s rise of 10.2% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 32.0% for the three months ended March 31, 2021, ~~as compared to the benchmark’s rise of 209.3% for the three months ended March 31, 2020,~~ can be attributed to ~~a decrease~~an increase in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, ~~2021.~~2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


		Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)		$	(1,442,366	)	$	(355,596	)	$	(1,296,922	)	$	(1,442,366	)
Management fee			1,042,569			886,197			986,537			1,042,569
Brokerage commission			175,910			189,532			187,698			175,910
Futures account fees									217,030			257,777
Net realized gain (loss)			24,209,417			(244,300,604	)		(41,111,108	)		24,209,417
Change in net unrealized appreciation (depreciation)	��		42,125,118			21,055,658			4,297,907			42,125,118
Net Income (loss)		$	64,892,169		$	(223,600,542	)	$	(38,110,123	)	$	64,892,169

140

The Fund’s net income ~~increased~~decreased for the three months ended March 31, ~~2021~~2022 as compared to the three months ended March 31, ~~2020,~~2021, primarily due to a ~~decrease~~increase in the value of futures prices during the three months ended March 31, ~~2021.~~2022.

~~140~~141

ProShares Ultra Bloomberg Crude Oil*Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	902,739,250		$	309,844,582		$	1,103,783,570		$	902,739,250
NAV end of period	$	1,088,579,093		$	435,593,381		$	1,336,980,685		$	1,088,579,093
Percentage change in NAV		20.6	%		40.6	%		21.2	%		20.6	%
Shares outstanding beginning of period		24,810,774			608,453			12,810,774			24,810,774
Shares outstanding end of period		20,710,774			10,848,453			8,810,774			20,710,774
Percentage change in shares outstanding		(16.5	)%		1,683.0	%		(31.2	)%		(16.5	)%
Shares created		2,350,000			10,680,000			2,150,000			2,350,000
Shares redeemed		6,450,000			440,000			6,150,000			6,450,000
Per share NAV beginning of period	$	36.38		$	509.23		$	86.16		$	36.38
Per share NAV end of period	$	52.56		$	40.15		$	151.74		$	52.56
Percentage change in per share NAV		44.5	%		(92.1	)%		76.1	%		44.5	%
Percentage change in benchmark		22.0	%		(66.5	)%		36.7	%		22.0	%
Benchmark annualized volatility		32.3	%		59.5	%		46.0	%		32.3	%

~~On June 25, 2020,~~During the ~~Trust announced that~~three months ended March 31, 2022, the ~~ProShares Ultra Bloomberg Crude Oil~~increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index

~~(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex~~

~~. The investment objective of Fund is to seek~~seeking daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the ~~New Benchmark.~~

~~The New Benchmark aims to track the performance of three separate contract schedules for~~Bloomberg Commodity Balance WTI Crude Oil ~~futures traded on NYMEX.~~Index

. The ~~contract schedules are equally-weighted~~increase in the ~~New Benchmark (1/3 each)~~Fund’s NAV was offset by a decrease from 12,810,774 outstanding Shares at ~~each semi-annual reset in~~December 31, 2021 to 8,810,774 outstanding Shares at March ~~and September. At each reset date,~~

~~one-third~~

of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below

~~one-third~~

~~During~~31, 2022. By comparison, during the three months ended March 31, 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 Index

. The increase in the Fund’s NAV was offset by a decrease from 24,810,774 outstanding Shares at December 31, 2020 to 20,710,774 outstanding Shares at March 31, 2021. ~~By comparison,~~

For the three months ended March 31, 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 76.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 44.5% for the three months ended March 31, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2020,~~2022.

The benchmark’s rise of 36.7% for the three months ended March 31, 2022, as compared to the benchmark’s rise of 22.0% for the three months ended March 31, 2021, can be attributed to an greater increase in the value of WTI Crude Oil during the period ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(3,224,160	)	$	(2,759,147	)
Management fee		3,084,812			2,535,085
Brokerage commission		195,541			293,200
Futures account fees		252,687			98,937
Net realized gain (loss)		799,419,934			334,351,228
Change in net unrealized appreciation (depreciation)		(94,663,987	)		35,035,656
Net Income (loss)	$	701,531,787		$	366,627,737

The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an greater increase in the value of WTI Crude Oil during the three months ended March 31, 2022.

142

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	193,892,178		$	169,800,371
NAV end of period	$	145,069,486		$	74,307,070
Percentage change in NAV		(25.2	)%		(56.2	)%
Shares outstanding beginning of period		7,587,527			8,087,527
Shares outstanding end of period		2,587,527			3,487,527
Percentage change in shares outstanding		(65.9	)%		(56.9	)%
Shares created		2,600,000			3,400,000
Shares redeemed		7,600,000			8,000,000
Per share NAV beginning of period	$	25.55		$	21.00
Per share NAV end of period	$	56.06		$	21.31
Percentage change in per share NAV		119.4	%		1.5	%
Percentage change in benchmark		58.4	%		3.0	%
Benchmark annualized volatility		72.9	%		42.1	%

143

During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from ~~an increase~~a decrease from ~~608,453~~7,587,527 outstanding Shares at December 31, ~~2019~~2021 to ~~10,848,453~~2,587,527 outstanding Shares at March 31, ~~2020.~~2022. The ~~increase~~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 ~~WTI Crude Oil~~Natural Gas Subindex

For the three months ended March 31, 2021 and 2020, 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 44.5% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 92.1% for the three months ended March 31, 2020, was primarily due to appreciation in the value of the assets held by the Fund By comparison, during ~~the three months ended March 31, 2021.~~

~~141~~

~~The new benchmark’s rise of 22.0% for the three months ended March 31, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex~~

~~benchmark’s decline of 66.5% for the three months ended March 31, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended March 31, 2021.~~

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020:~~

Three Months Ended
March 31, 2021

Three Months Ended
March 31, 2020

Net investment income (loss)
   $ (2,759,147 )    $ 404,884
Management fee
   2,535,085    870,239
Brokerage commission
   293,200    126,337
Net realized gain (loss)
   334,351,228    (505,553,797 )
Change in net unrealized appreciation (depreciation)
   35,035,656    (322,421,661 )
Net Income (loss)
   $ 366,627,737    $ (827,570,574 )

The Fund’s net income increased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to an increase in the value of WTI Crude Oil during the three months ended March 31, 2021.

* 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.~~

~~ProShares Ultra Bloomberg Natural Gas~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:~~

Three Months Ended
March 31, 2021

Three Months Ended
March 31, 2020

NAV beginning of period
   $ 169,800,371 $ 45,160,205
NAV end of period
   $ 74,307,070 $ 26,671,617
Percentage change in NAV
   (56.2 )% (40.9 )%
Shares outstanding beginning of period
   8,087,527 537,815
Shares outstanding end of period
   3,487,527 637,815
Percentage change in shares outstanding
   (56.9 )% 18.6 %
Shares created
   3,400,000 225,000
Shares redeemed
   8,000,000 125,000
Per share NAV beginning of period
   $ 21.00 $ 83.97
Per share NAV end of period
   $ 21.31 $ 41.82
Percentage change in per share NAV
   1.5 % (50.2 )%
Percentage change in benchmark
   3.0 % (27.5 )%
Benchmark annualized volatility
   42.1 % 44.0 %

~~142~~

~~During~~ the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 3,487,527 outstanding Shares at March 31, 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 Subindex

. By comparison, during the three months ended March 31, 2020, 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 Natural Gas Subindex

. ~~The decrease in the Fund’s NAV was offset by an increase from 537,815 outstanding Shares at December 31, 2019 to 637,815 outstanding Shares at March 31, 2020.~~

For the three months ended March 31, ~~2021~~2022 and ~~2020,~~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 119.4% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 1.5% for the three months ended March 31, 2021, ~~as compared to the Fund’s per Share NAV decrease of 50.2% for the three months ended March 31, 2020,~~ was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2021.~~2022.

The benchmark’s rise of 58.4% for the three months ended March 31, 2022, as compared to the benchmark’s rise of 3.0% for the three months ended March 31, 2021, ~~as compared to the benchmark’s decline of 27.5% for the three months ended March 31, 2020,~~ can be attributed to ana greater increase in the value of Henry Hub Natural Gas during the period ended March 31, ~~2021.~~2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(415,145	)	$	(2,351	)	$	(516,598	)	$	(415,145	)
Management fee		254,815			97,108			396,610			254,815
Brokerage commission		92,297			44,582			88,452			92,297
Futures account fees								71,117			81,848
Net realized gain (loss)		41,582,936			(22,818,551	)		76,217,236			41,582,936
Change in net unrealized appreciation (depreciation)		(17,798,868	)		(4,437,037	)		84,867,744			(17,798,868	)
Net Income (loss)	$	23,368,923		$	(27,257,939	)	$	160,568,382		$	23,368,923

The Fund’s net income increased for the three months ended March 31, ~~2021~~2022 as compared to the three months ended March 31, ~~2020,~~2021, primarily due to ana greater increase in the value of Henry Hub Natural Gas during the three months ended March 31, ~~2021.~~2022.

* See Note 1

144

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:

~~143~~


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	4,737,350		$	6,204,424		$	8,659,095		$	4,737,350
NAV end of period	$	3,611,724		$	3,949,142		$	6,236,982		$	3,611,724
Percentage change in NAV		(23.8	)%		(36.3	)%		(28.0	)%		(23.8	)%
Shares outstanding beginning of period		300,000			450,000			650,000			300,000
Shares outstanding end of period		250,000			300,000			500,000			250,000
Percentage change in shares outstanding		(16.7	)%		(33.3	)%		(23.1	)%		(16.7	)%
Shares created		—			50,000			100,000			—
Shares redeemed		50,000			200,000			250,000			50,000
Per share NAV beginning of period	$	15.79		$	13.79		$	13.32		$	15.79
Per share NAV end of period	$	14.45		$	13.16		$	12.47		$	14.45
Percentage change in per share NAV		(8.5	)%		(4.5	)%		(6.4	)%		(8.5	)%
Percentage change in benchmark		(4.0	)%		(1.7	)%		(2.8	)%		(4.0	)%
Benchmark annualized volatility		6.2	%		9.8	%		8.6	%		6.2	%

During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 650,000 outstanding Shares at December 31, 2021 to 500,000 outstanding Shares at March 31, 2022. 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. By comparison, during the three months ended March 31, 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 March 31, 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. ~~By comparison,~~

145

For the three months ended March 31, 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 6.4% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 8.5% for the three months ended March 31, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2020,~~2022.

The benchmark’s decline of 2.8% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 4.0% for the three months ended March 31, 2021, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(15,691	)	$	(9,494	)
Management fee		20,278			10,078
Net realized gain (loss)		(446,979	)		(27,342	)
Change in net unrealized appreciation (depreciation)		(138,425	)		(311,052	)
Net Income (loss)	$	(601,095	)	$	(347,888	)

The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a lesser decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2022.

146

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	232,780,534		$	263,540,473
NAV end of period	$	355,029,822		$	214,548,056
Percentage change in NAV		52.5	%		(18.6	)%
Shares outstanding beginning of period		3,900,000			3,900,000
Shares outstanding end of period		5,300,000			3,950,000
Percentage change in shares outstanding		35.9	%		1.3	%
Shares created		1,500,000			600,000
Shares redeemed		100,000			550,000
Per share NAV beginning of period	$	59.69		$	67.57
Per share NAV end of period	$	66.99		$	54.32
Percentage change in per share NAV		12.2	%		(19.6	)%
Percentage change in benchmark		6.6	%		(9.8	)%
Benchmark annualized volatility		17.3	%		18.4	%

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from ~~a decrease~~an increase from ~~450,000~~3,900,000 outstanding Shares at December 31, ~~2019~~2021 to ~~300,000~~5,300,000 outstanding Shares at March 31, ~~2020.~~2022. The ~~decrease~~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 (2x) the daily performance of the ~~spot price of the euro versus the U.S. dollar.~~Bloomberg Gold Subindex

For the three months ended March 31, 2021 and 2020, 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 8.5% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 4.5% for the three months ended March 31, 2020, was primarily due to a greater depreciation in the value of the assets held by the Fund. By comparison, during ~~the three months ended March 31, 2021.~~

The benchmark’s decline of 4.0% for the three months ended March 31, 2021, as compared to the benchmark’s decline of 1.7% for the three months ended March 31, 2020, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2021.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020:~~

Three Months Ended
March 31, 2021

Three Months Ended
March 31, 2020

Net investment income (loss)
   $ (9,494 ) $ 3,247
Management fee
   10,078 12,554
Net realized gain (loss)
   (27,342 ) (53,268 )
Change in net unrealized appreciation (depreciation)
   (311,052 ) (221,542 )
Net Income (loss)
   $ (347,888 ) $ (271,563 )

~~144~~

~~Table of Contents~~

The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2021.

~~ProShares Ultra Gold~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:~~

Three Months Ended
March 31, 2021

Three Months Ended
March 31, 2020

NAV beginning of period
   $ 263,540,473 $ 110,726,032
NAV end of period
   $ 214,548,056 $ 128,481,796
Percentage change in NAV
   (18.6 )% 16.0 %
Shares outstanding beginning of period
   3,900,000 2,250,000
Shares outstanding end of period
   3,950,000 2,450,000
Percentage change in shares outstanding
   1.3 % 8.9 %
Shares created
   600,000 1,150,000
Shares redeemed
   550,000 950,000
Per share NAV beginning of period
   $ 67.57 $ 49.21
Per share NAV end of period
   $ 54.32 $ 52.44
Percentage change in per share NAV
   (19.6 )% 6.6 %
Percentage change in benchmark
   (9.8 )% 4.5 %
Benchmark annualized volatility
   18.4 % 28.2 %

. The decrease in the Fund’s NAV was offset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 3,950,000 outstanding Shares at March 31, 2021. ~~By comparison,~~

For the three months ended March 31, 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 12.2% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 19.6% for the three months ended March 31, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2020,~~2022.

The benchmark’s rise of 6.6% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 9.8% for the three months ended March 31, 2021, can be attributed to an increase in the value of gold futures contracts during the period ended March 31, 2022.

147

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(617,466	)	$	(579,670	)
Management fee		671,415			568,207
Brokerage commission		21,659			14,888
Futures account fees		19,505			32,402
Net realized gain (loss)		57,818,596			(51,247,887	)
Change in net unrealized appreciation (depreciation)		(24,820,511	)		(1,232,503	)
Net Income (loss)	$	32,380,619		$	(53,060,060	)

The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of futures prices during the three months ended March 31, 2022.

148

Table of Contents

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	515,453,594		$	745,304,028
NAV end of period	$	558,375,842		$	572,501,249
Percentage change in NAV		8.3	%		(23.2	)%
Shares outstanding beginning of period		14,796,526			14,696,526
Shares outstanding end of period		14,296,526			13,846,526
Percentage change in shares outstanding		(3.4	)%		(5.8	)%
Shares created		1,000,000			2,400,000
Shares redeemed		1,500,000			3,250,000
Per share NAV beginning of period	$	34.84		$	50.71
Per share NAV end of period	$	39.06		$	41.35
Percentage change in per share NAV		12.1	%		(18.5	)%
Percentage change in benchmark		7.5	%		(7.2	)%
Benchmark annualized volatility		31.9	%		44.4	%

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily ~~from an increase from 2,250,000 outstanding Shares at December 31, 2019 to 2,450,000 outstanding Shares at March 31, 2020. 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 (2x) the daily performance of the Bloomberg ~~Gold~~Silver Subindex

~~For~~. The increase in the ~~three months ended~~Fund’s NAV was offset by a decrease from 14,796,526 outstanding Shares at December 31, 2021 to 14,296,526 outstanding Shares at March 31, 2021 and 2020, 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 19.6% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 6.6% for the three months ended March 31, 2020, was primarily due to depreciation in the value of the assets held by the Fund2022. By comparison, during ~~the three months ended March 31, 2021.~~

The benchmark’s decline of 9.8% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 4.5% for the three months ended March 31, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended March 31, 2021.

~~145~~

~~Table of Contents~~

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020:~~

Three Months Ended
March 31, 2021

Three Months Ended
March 31, 2020

Net investment income (loss)
   $ (579,670 )    $ 108,908
Management fee
   568,207    295,411
Brokerage commission
   14,888    10,365
Net realized gain (loss)
   (51,247,887 )    21,498,056
Change in net unrealized appreciation (depreciation)
   (1,232,503 )    (19,097,360 )
Net Income (loss)
   $ (53,060,060 )    $ 2,509,604

The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a decrease in the value of futures prices during the three months ended March 31, 2021.

~~ProShares Ultra Silver~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:~~

Three Months Ended
March 31, 2021

Three Months Ended
March 31, 2020

NAV beginning of period
   $ 745,304,028 $ 239,254,842
NAV end of period
   $ 572,501,249 $ 129,785,536
Percentage change in NAV
   (23.2 )% (45.8 )%
Shares outstanding beginning of period
   14,696,526 7,546,526
Shares outstanding end of period
   13,846,526 7,046,526
Percentage change in shares outstanding
   (5.8 )% (6.6 )%
Shares created
   2,400,000 750,000
Shares redeemed
   3,250,000 1,250,000
Per share NAV beginning of period
   $ 50.71 $ 31.70
Per share NAV end of period
   $ 41.35 $ 18.42
Percentage change in per share NAV
   (18.5 )% (41.9 )%
Percentage change in benchmark
   (7.2 )% (21.1 )%
Benchmark annualized volatility
   44.4 % 48.3 %

. The decrease in the Fund’s NAV also resulted in part from a decrease from 14,696,526 outstanding Shares at December 31, 2020 to 13,846,526 outstanding Shares at March 31, 2021. By comparison, during the three months ended March 31, 2020, 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 Subindex

~~. The decrease in the Fund’s NAV also resulted in part from a decrease from 7,546,526 outstanding Shares at December 31, 2019 to 7,046,526 outstanding Shares at March 31, 2020.~~

~~146~~

~~Table of Contents~~

For the three months ended March 31, ~~2021~~2022 and ~~2020,~~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 12.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 18.5% for the three months ended March 31, 2021, ~~as compared to the Fund’s per Share NAV decrease of 41.9% for the three months ended March 31, 2020,~~ was primarily due to ~~lesser depreciation~~appreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2021.~~2022.

The benchmark’s rise of 7.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 7.2% for the three months ended March 31, 2021, ~~as compared to the benchmark’s decline of 21.1% for the three months ended March 31, 2020,~~ can be attributed to ~~a lesser decrease~~an increase in the value of silver futures contracts during the period ended March 31, ~~2021.~~2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(1,741,775	)	$	276,832		$	(1,128,206	)	$	(1,741,775	)
Management fee		1,631,135			481,247			1,217,599			1,631,135
Brokerage commission		46,582			18,208			30,551			46,582
Futures account fees								20,505			162,187
Net realized gain (loss)		4,910,742			(3,697,654	)		116,637,037			4,910,742
Change in net unrealized appreciation (depreciation)		(137,743,781	)		(85,061,831	)		(58,036,245	)		(137,743,781	)
Net Income (loss)	$	(134,574,814	)	$	(88,482,653	)	$	57,472,586		$	(134,574,814	)

The Fund’s net income ~~decreased~~increased for the three months ended March 31, ~~2021~~2022 as compared to the three months ended March 31, ~~2020,~~2021, primarily due to ~~a lesser decrease~~an increase in the value of futures prices during the three months ended March 31, ~~2021.~~2022.

149

Table of Contents

ProShares Ultra VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	1,356,204,199		$	527,636,003		$	816,679,636		$	1,356,204,199
NAV end of period	$	1,284,373,170		$	592,820,492		$	1,127,608,641		$	1,284,373,170
Percentage change in NAV		(5.3	)%		12.4	%		38.1	%		(5.3	)%
Shares outstanding beginning of period		127,130,912			41,630,912			65,828,420			12,713,091
Shares outstanding end of period		228,030,912			10,130,912			83,528,420			22,803,091
Percentage change in shares outstanding		79.4	%		(75.7	)%		26.9	%		79.4	%
Shares created		196,300,000			9,900,000			83,100,000			19,630,000
Shares redeemed		95,400,000			41,400,000			65,400,000			9,540,000
Per share NAV beginning of period	$	10.67		$	12.67		$	12.41		$	106.68
Per share NAV end of period	$	5.63		$	58.52		$	13.50		$	56.32
Percentage change in per share NAV		(47.2	)%		361.9	%		8.8	%		(47.2	)%
Percentage change in benchmark		—	%		209.3	%		10.2	%		(32.0	)%
Benchmark annualized volatility		—	%		140.6	%		86.4	%		81.9	%

~~147~~

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~~On Monday, October 26, 2020,~~During the ~~Chicago Futures Exchange (a subsidiary~~three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 65,828,420 outstanding Shares at December 31, 2021 to 83,528,420 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the ~~Chicago Board Options Exchange) changed~~Fund seeking daily investment results, before fees and expenses, that correspond to one and

one-half

times (1.5x) the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology fordaily performance of the S&P 500

VIX Short-Term Futures ~~Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.~~

~~During~~Index. By comparison, during the three months ended March 31, 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 ~~127,130,912~~12,713,091 outstanding Shares at December 31, 2020 to ~~228,030,912~~22,803,091 outstanding Shares at March 31, 2021. ~~By comparison,~~

For the three months ended March 31, 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 8.8% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 47.2% for the three months ended March 31, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2020,~~2022.

The benchmark’s rise of 10.2% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 32.0% for the three months ended March 31, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(3,585,362	)	$	(8,069,549	)
Management fee		1,961,177			4,383,077
Brokerage commission		936,758			1,956,628
Futures account fees		782,688			1,843,813
Net realized gain (loss)		280,979,531			(704,499,504	)
Change in net unrealized appreciation (depreciation)		(35,000,884	)		(284,359,331	)
Net Income (loss)	$	242,393,285		$	(996,928,384	)

*	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 VIX Short-Term Futures ETF.

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ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	2,362,849		$	2,989,499
NAV end of period	$	2,099,705		$	2,587,694
Percentage change in NAV		(11.1	)%		(13.4	)%
Shares outstanding beginning of period		49,970			49,970
Shares outstanding end of period		49,970			49,970
Percentage change in shares outstanding		—	%		—	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	47.29		$	59.83
Per share NAV end of period	$	42.02		$	51.78
Percentage change in per share NAV		(11.1	)%		(13.4	)%
Percentage change in benchmark		(5.5	)%		(6.8	)%
Benchmark annualized volatility		7.1	%		5.1	%

During the three months ended March 31, 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 and~~

~~one-half~~

two times ~~(1.5x)~~(2x) the daily performance of the ~~S&P 500 VIX Short-Term Futures Index. The increase~~spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s ~~NAV was offset by a decrease from 41,630,912~~ outstanding Shares atfrom December 31, ~~2019~~2021 to ~~10,130,912 outstanding Shares at~~ March 31, ~~2020.~~

For the three months ended March 31, 2021 and 2020, 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 decrease of 47.2% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 361.9% for the three months ended March 31, 2020, was primarily due to depreciation in the value of the assets held by the Fund2022. By comparison, during ~~the three months ended March 31, 2021.~~

The benchmark’s decline of 32.0% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 209.3% for the three months ended March 31, 2020, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2021.

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020:~~

Three Months Ended
March 31, 2021

Three Months Ended
March 31, 2020

Net investment income (loss)
   $ (8,069,549 )    $ (729,265 )
Management fee
   4,383,077    1,383,275
Brokerage commission
   1,956,628    741,009
Net realized gain (loss)
   (704,499,504 )    726,085,231
Change in net unrealized appreciation (depreciation)
   (284,359,331 )    176,516,915
Net Income (loss)
   $ (996,928,384 )    $ 901,872,881

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~~ProShares Ultra Yen~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:~~

Three Months Ended
March 31, 2021

Three Months Ended
March 31, 2020

NAV beginning of period
   $ 2,989,499 $ 5,580,964
NAV end of period
   $ 2,587,694 $ 2,808,780
Percentage change in NAV
   (13.4 )% (49.7 )%
Shares outstanding beginning of period
   49,970 99,970
Shares outstanding end of period
   49,970 49,970
Percentage change in shares outstanding
   — % (50.0 )%
Shares created
   —   —
Shares redeemed
   —   50,000
Per share NAV beginning of period
   $ 59.83 $ 55.83
Per share NAV end of period
   $ 51.78 $ 56.21
Percentage change in per share NAV
   (13.4 )% 0.6 %
Percentage change in benchmark
   — % 1.1 %
Benchmark annualized volatility
   — % 15.6 %

~~During~~ the three months ended March 31, 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 March 31, 2021. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 99,970 outstanding Shares at December 31, 2019 to 49,970 outstanding Shares at March 31, 2020. 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 spot price of the Japanese yen versus the U.S. dollar.

For the three months ended March 31, ~~2021~~2022 and ~~2020,~~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 11.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 13.4% for the three months ended March 31, 2021, ~~as compared to the Fund’s per Share NAV increase of 0.6% for the three months ended March 31, 2020,~~ was primarily due to ~~[greater/lesser] [appreciation/depreciation]~~lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2021.~~2022.

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The benchmark’s ~~rise~~decline of –%5.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 6.8% for the three months ended March 31, 2021, ~~as compared to the benchmark’s rise of 1.1% for the three months ended March 31, 2020,~~ can be attributed to a ~~[greater/lesser] [increase/decrease]~~lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, ~~2021.~~2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:

~~149~~

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	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(6,293	)	$	1,626		$	(4,556	)	$	(6,293	)
Management fee		6,649			7,241			5,429			6,649
Net realized gain (loss)		(139,467	)		(8,483	)		(117,223	)		(139,467	)
Change in net unrealized appreciation (depreciation)		(256,045	)		(19,313	)		(141,365	)		(256,045	)
Net Income (loss)	$	(401,805	)	$	(26,170	)	$	(263,144	)	$	(401,805	)

The Fund’s net income ~~decreased~~increased for the three months ended March 31, ~~2021~~2022 as compared to the three months ended March 31, ~~2020,~~2021, primarily due to a ~~[greater/lesser] [increase/decrease]~~lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, ~~2021.~~2022.

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ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	2,222,639		$	5,608,612		$	2,412,623		$	2,222,639
NAV end of period	$	2,258,880		$	7,230,367		$	2,263,025		$	2,258,880
Percentage change in NAV		1.6	%		28.9	%		(6.2	)%		1.6	%
Shares outstanding beginning of period		50,000			100,000			50,000			50,000
Shares outstanding end of period		50,000			100,000			50,000			50,000
Percentage change in shares outstanding		—	%		—	%		—	%		—	%
Shares created		—			—			—			—
Shares redeemed		—			—			—			—
Per share NAV beginning of period	$	44.45		$	56.09		$	48.25		$	44.45
Per share NAV end of period	$	45.18		$	72.30		$	45.26		$	45.18
Percentage change in per share NAV		1.6	%		28.9	%		(6.2	)%		1.6	%
Percentage change in benchmark		—	%		(12.4	)%		3.0	%		(1.5	)%
Benchmark annualized volatility		—	%		14.4	%		9.8	%		10.9	%

(-2x)

of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2021 to March 31, 2022. By comparison, during the three months ended March 31, 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 spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to March 31, 2021. By comparison, during the three months ended March 31, 2020, 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 Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to March 31, 2020.~~

For the three months ended March 31, ~~2021~~2022 and ~~2020,~~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 6.2% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 1.6% for the three months ended March 31, 2021, ~~as compared to the Fund’s per Share NAV increase of 28.9% for the three months ended March 31, 2020,~~ was primarily due to ~~[greater/lesser] [appreciation/depreciation]~~depreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2021.~~2022.

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The benchmark’s rise of –%3.0% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 1.5% for the three months ended March 31, 2021, ~~as compared to the benchmark’s decline of 12.4% for the three months ended March 31, 2020,~~ can be attributed to an ~~a [greater/lesser] [increase/decrease]~~increase in the value of the Australian dollar versus the U.S. dollar during the period ended March 31, ~~2021.~~2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020		Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(5,267	)	$	3,425	$	(6,081	)	$	(5,267	)
Management fee		5,139			15,130		5,696			5,139
Brokerage commission		386			1,499		500			386
Net realized gain (loss)		(164,544	)		670,950		(112,009	)		(164,544	)
Change in net unrealized appreciation (depreciation)		206,052			947,380		(31,508	)		206,052
Net Income (loss)	$	36,241		$	1,621,755	$	(149,598	)	$	36,241

The Fund’s net income decreased for the three months ended March 31, ~~2021~~2022 as compared to the three months ended March 31, ~~2020,~~2021, primarily due to ~~a [greater/lesser] [increase/decrease]~~an increase in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, ~~2021.~~2022.

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ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	96,839,233		$	125,451,681		$	114,167,602		$	96,839,233
NAV end of period	$	91,718,390		$	100,094,023		$	416,799,231		$	91,718,390
Percentage change in NAV		(5.3	)%		(20.2	)%		265.1	%		(5.3	)%
Shares outstanding beginning of period		8,339,884			10,289,884			8,883,799			2,084,971
Shares outstanding end of period		12,739,884			2,039,884			71,433,799			3,184,971
Percentage change in shares outstanding		52.8	%		(80.2	)%		704.1	%		52.8	%
Shares created		7,800,000			3,350,000			77,850,000			1,950,000
Shares redeemed		3,400,000			11,600,000			15,300,000			850,000
Per share NAV beginning of period	$	11.61		$	12.19		$	12.85		$	46.45
Per share NAV end of period	$	7.20		$	49.07		$	5.83		$	28.80
Percentage change in per share NAV		(38.0	)%		302.5	%		(54.6	)%		(38.0	)%
Percentage change in benchmark		—	%		(66.5	)%		36.6	%		22.0	%
Benchmark annualized volatility		—	%		100.9	%		46.0	%		32.3	%

~~On June 25, 2020,~~

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During the ~~Trust announced that~~three months ended March 31, 2022, the ~~ProShares UltraShort Bloomberg Crude Oil~~increase in the Fund’s NAV resulted primarily from an increase from 8,883,799 outstanding Shares at December 31, 2021 to 71,433,799 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund would change its benchmark. The ProShares UltraShort Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund is the Bloomberg Commodity Balanced WTI Crude Oil Index

~~(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex~~

~~. The investment objective of Fund is to seek~~seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the ~~New Benchmark.~~

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~~The New Benchmark aims to track the performance of three separate contract schedules for~~Bloomberg Commodity Balance WTI Crude Oil ~~futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date,~~Index

~~one-third~~

. The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below

~~one-third~~

~~During~~By comparison, during the three months ended March 31, 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 Index

. The decrease in the Fund’s NAV was offset by an increase from ~~8,339,884~~2,804,971 outstanding Shares at December 31, 2020 to ~~12,739,884~~3,184,971 outstanding Shares at March 31, 2021. ~~By comparison,~~

For the three months ended March 31, 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 54.6% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 38.0% for the three months ended March 31, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2020,~~2022.

The benchmark’s rise of 36.6% for the ~~decrease~~three months ended March 31, 2022, as compared to the benchmark’s rise of 22.0% for the three months ended March 31, 2021, can be attributed to a greater increase in the value of WTI Crude Oil during the period ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(585,973	)	$	(301,184	)
Management fee		492,647			221,263
Brokerage commission		77,056			43,044
Futures account fees		70,177			47,712
Net realized gain (loss)		(106,482,101	)		(49,177,765	)
Change in net unrealized appreciation (depreciation)		1,929,042			5,638,844
Net Income (loss)	$	(105,139,032	)	$	(43,840,105	)

The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a greater increase in the value of WTI Crude Oil during the three months ended March 31, 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.

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ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	242,145,130		$	24,977,745
NAV end of period	$	250,340,837		$	69,459,275
Percentage change in NAV		3.4	%		178.1	%
Shares outstanding beginning of period		3,914,966			104,966
Shares outstanding end of period		15,474,477			354,966
Percentage change in shares outstanding		295.3	%		238.2	%
Shares created		18,560,000			820,000
Shares redeemed		7,000,489			570,000
Per share NAV beginning of period	$	61.85		$	237.96
Per share NAV end of period	$	16.18		$	195.68
Percentage change in per share NAV		(73.9	)%		(17.8	)%
Percentage change in benchmark		58.4	%		3.0	%
Benchmark annualized volatility		72.9	%		42.1	%

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from ~~a decrease~~an increase from ~~10,289,884~~3,914,966 outstanding Shares at December 31, ~~2019~~2021 to ~~2,039,884~~15,474,477 outstanding Shares at March 31, ~~2020.~~2022. The ~~decrease~~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 ~~WTI Crude Oil~~Natural Gas Subindex

For the three months ended March 31, 2021 and 2020, 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 38.0% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 302.5% for the three months ended March 31, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.

~~The new benchmark’s rise of 22.0% for the three months ended March 31, 2021, as compared to the former Bloomberg WTI Crude Oil Subindex~~

~~benchmark’s decline of 66.5% for the three months ended March 31, 2020, can be attributed to an increase in the value of WTI Crude Oil~~. By comparison, during ~~the period ended March 31, 2021.~~

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~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020:~~

Three Months Ended
March 31, 2021

Three Months Ended
March 31, 2020

Net investment income (loss)
   $ (301,184 )    $ (30,713 )
Management fee
   221,263    202,369
Brokerage commission
   43,044    77,053
Net realized gain (loss)
   (49,177,765 )    51,674,002
Change in net unrealized appreciation (depreciation)
   5,638,844    76,581,357
Net Income (loss)
   $ (43,840,105 )    $ 128,224,646

The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to an increase in the value of WTI Crude Oil during the three months ended March 31, 2021.

~~ProShares UltraShort Bloomberg Natural Gas~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:~~

Three Months Ended
March 31, 2021

Three Months Ended
March 31, 2020

NAV beginning of period
   $ 24,977,745 $ 12,515,603
NAV end of period
   $ 69,459,275 $ 17,419,933
Percentage change in NAV
   178.1 % 39.2 %
Shares outstanding beginning of period
   524,832 324,832
Shares outstanding end of period
   1,774,832 274,832
Percentage change in shares outstanding
   238.2 % (15.4 )%
Shares created
   4,100,000 550,000
Shares redeemed
   2,850,000 600,000
Per share NAV beginning of period
   $ 47.59 $ 38.53
Per share NAV end of period
   $ 39.14 $ 63.38
Percentage change in per share NAV
   (17.8 )% 64.5 %
Percentage change in benchmark
   3.0 % (27.5 )%
Benchmark annualized volatility
   42.1 % 44.0 %

~~During~~ the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from ~~524,832~~104,966 outstanding Shares at December 31, 2020 to ~~1,774,832~~354,966 outstanding Shares at March 31, 2021. 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 two times the inverse

(-2x)

of the daily performance of the Bloomberg Natural Gas Subindex

. By comparison, during the three months ended March 31, 2020, 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 Natural Gas Subindex~~

~~. The increase in the Fund’s NAV was offset by a decrease from 324,832 outstanding Shares at December 31, 2019 to 274,832 outstanding Shares at March 31, 2020.~~

For the three months ended March 31, ~~2021~~2022 and ~~2020,~~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 73.9% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 17.8% for the three months ended March 31, 2021, ~~as compared to the Fund’s per Share NAV increase of 64.5% for the three months ended March 31, 2020,~~ was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2021.~~2022.

~~153~~157

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(260,407	)	$	(22,279	)	$	(837,419	)	$	(260,407	)
Management fee		159,337			32,430			542,364			159,337
Brokerage commission		85,680			32,281			220,951			85,680
Futures account fees								129,929			23,273
Net realized gain (loss)		(6,359,394	)		5,626,177			(114,724,308	)		(6,359,394	)
Change in net unrealized appreciation (depreciation)		15,895,064			3,335,611			(87,787,071	)		15,895,064
Net Income (loss)	$	9,275,263		$	8,939,509		$	(203,348,798	)	$	9,275,263

The Fund’s net income ~~increased~~decreased for the three months ended March 31, ~~2021~~2022 as compared to the three months ended March 31, ~~2020,~~2021, primarily due to ana greater increase in the value of Henry Hub Natural Gas, ~~in conjunction with the timing of shareholders activity,~~ during the three months ended March 31, ~~2021.~~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.

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ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	52,953,339		$	120,581,173		$	54,263,045		$	52,953,339
NAV end of period	$	54,932,137		$	93,194,599		$	50,498,084		$	54,932,137
Percentage change in NAV		3.7	%		(22.7	)%		(6.9	)%		3.7	%
Shares outstanding beginning of period		2,350,000			4,500,000			2,100,000			2,350,000
Shares outstanding end of period		2,250,000			3,350,000			1,850,000			2,250,000
Percentage change in shares outstanding		(4.3	)%		(25.6	)%		(11.9	)%		(4.3	)%
Shares created		200,000			200,000			50,000			200,000
Shares redeemed		300,000			1,350,000			300,000			300,000
Per share NAV beginning of period	$	22.53		$	26.80		$	25.84		$	22.53
Per share NAV end of period	$	24.41		$	27.82		$	27.30		$	24.41
Percentage change in per share NAV		8.4	%		3.8	%		5.6	%		8.4	%
Percentage change in benchmark		(4.0	)%		(1.7	)%		(2.8	)%		(4.0	)%
Benchmark annualized volatility		6.2	%		9.8	%		8.6	%		6.2	%

~~154~~

~~Table~~During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 1,850,000 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of ~~Contents~~the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

~~During~~of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 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 spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 2,250,000 outstanding Shares at March 31, 2021. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,500,000 outstanding Shares at December 31, 2019 to 3,350,000 outstanding Shares at March 31, 2020. 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 March 31, ~~2021~~2022 and ~~2020,~~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 ~~8.4%,~~5.6% for the three months ended March 31, ~~2021,~~2022, as compared to the Fund’s per Share NAV increase of ~~3.8%~~8.4% for the three months ended March 31, ~~2020,~~2021, was primarily due to ~~greater~~lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2021.~~2022.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020		Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(116,872	)	$	136,215	$	(102,051	)	$	(116,872	)
Management fee		124,038			263,442		117,456			124,038
Net realized gain (loss)		70,527			1,047,283		2,753,108			70,527
Change in net unrealized appreciation (depreciation)		4,392,237			3,190,251		268,741			4,392,237
Net Income (loss)	$	4,345,892		$	4,373,749	$	2,919,798		$	4,345,892

The Fund’s net income decreased for the three months ended March 31, ~~2021~~2022 as compared to the three months ended March 31, ~~2020,~~2021, primarily due to a ~~greater~~lesser decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, ~~2021.~~2022.

~~155~~160

Table of Contents

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	20,337,376		$	21,047,560		$	26,859,844		$	20,337,376
NAV end of period	$	41,243,515		$	20,569,044		$	32,598,451		$	41,243,515
Percentage change in NAV		102.8	%		(2.3	)%		21.4	%		102.8	%
Shares outstanding beginning of period		646,977			396,977			846,977			646,977
Shares outstanding end of period		1,096,977			446,977			1,196,977			1,096,977
Percentage change in shares outstanding		69.6	%		12.6	%		41.3	%		69.6	%
Shares created		750,000			200,000			450,000			750,000
Shares redeemed		300,000			150,000			100,000			300,000
Per share NAV beginning of period	$	31.43		$	53.02		$	31.71		$	31.43
Per share NAV end of period	$	37.60		$	46.02		$	27.23		$	37.60
Percentage change in per share NAV		19.6	%		(13.2	)%		(14.1	)%		19.6	%
Percentage change in benchmark		(9.8	)%		4.5	%		6.6	%		(9.8	)%
Benchmark annualized volatility		18.4	%		28.2	%		17.3	%		18.4	%

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 846,977 outstanding Shares at December 31, 2021 to 1,196,977 outstanding Shares at March 31, 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 Gold Subindex

. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at December 31, 2020 to 1,096,977 outstanding Shares at March 31, 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 Subindex

. ~~By comparison,~~

For the three months ended March 31, 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 14.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 19.6% for the three months ended March 31, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2020,~~2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(61,130	)	$	(69,041	)
Management fee		66,138			63,727
Brokerage commission		2,811			3,590
Futures account fees		1,866			4,686
Net realized gain (loss)		(6,308,669	)		4,003,359
Change in net unrealized appreciation (depreciation)		2,028,779			(179,853	)
Net Income (loss)	$	(4,341,020	)	$	3,754,465

The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of the futures prices during the three months ended March 31, 2022.

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ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	26,537,000		$	28,885,775
NAV end of period	$	23,406,516		$	45,144,664
Percentage change in NAV		(11.8	)%		56.3	%
Shares outstanding beginning of period		991,329			1,041,744
Shares outstanding end of period		1,091,329			1,616,744
Percentage change in shares outstanding		10.1	%		55.2	%
Shares created		1,100,000			2,450,000
Shares redeemed		1,000,000			1,875,000
Per share NAV beginning of period	$	26.77		$	27.73
Per share NAV end of period	$	21.45		$	27.92
Percentage change in per share NAV		(19.9	)%		0.7	%
Percentage change in benchmark		7.5	%		(7.2	)%
Benchmark annualized volatility		31.9	%		44.4	%

(-2x)

of the daily performance of the Bloomberg ~~Gold~~Silver Subindex

. The decrease in the Fund’s NAV was offset by an increase from ~~396,977~~991,329 outstanding Shares at December 31, ~~2019~~2021 to ~~446,977~~1,091,329 outstanding Shares at March 31, ~~2020.~~

For the three months ended March 31, 2021 and 2020, 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 19.6% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV decrease of 13.2% for the three months ended March 31, 2020, was primarily due to appreciation in the value of the assets held by the Fund2022. By comparison, during ~~the three months ended March 31, 2021.~~

~~156~~

~~Table of Contents~~

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020:~~

Three Months Ended
March 31, 2021

Three Months Ended
March 31, 2020

Net investment income (loss)
   $ (69,041 )    $ 15,678
Management fee
   63,727    43,239
Brokerage commission
   3,590    2,104
Net realized gain (loss)
   4,003,359    (5,930,882 )
Change in net unrealized appreciation (depreciation)
   (179,853 )    2,676,974
Net Income (loss)
   $ 3,754,465    $ (3,238,230 )

The Fund’s net income increased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a decrease in the value of the futures prices during the three months ended March 31, 2021.

~~ProShares UltraShort Silver~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:~~

Three Months Ended
March 31, 2021

Three Months Ended
March 31, 2020

NAV beginning of period
   $ 28,885,775 $ 13,834,163
NAV end of period
   $ 45,144,664 $ 18,887,831
Percentage change in NAV
   56.3 % 36.5 %
Shares outstanding beginning of period
   4,166,976 516,976
Shares outstanding end of period
   6,466,976 516,976
Percentage change in shares outstanding
   55.2 % — %
Shares created
   9,800,000 200,000
Shares redeemed
   7,500,000 200,000
Per share NAV beginning of period
   $ 6.93 $ 26.76
Per share NAV end of period
   $ 6.98 $ 36.54
Percentage change in per share NAV
   0.7 % 36.5 %
Percentage change in benchmark
   (7.2 )% (21.1 )%
Benchmark annualized volatility
   44.4 % 48.3 %

~~During~~ the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from ~~4,166,976~~1,041,744 outstanding Shares at December 31, 2020 to ~~6,466,976~~1,616,744 outstanding Shares at March 31, 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 Subindex

~~(-2x)~~

~~of the daily performance of the Bloomberg Silver Subindex~~

~~. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to March 31, 2020.~~

For the three months ended March 31, ~~2021~~2022 and ~~2020,~~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 19.9% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 0.7% for the three months ended March 31, 2021, ~~as compared to the Fund’s per Share NAV increase of 36.5% for the three months ended March 31, 2020,~~ was primarily due to ~~lesser appreciation~~depreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2021.~~2022.

~~157~~

~~Table~~The benchmark’s rise of ~~Contents~~

~~The~~7.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 7.2% for the three months ended March 31, 2021, ~~as compared to the benchmark’s decline of 21.1% for the three months ended March 31, 2020,~~ can be attributed to ~~a lesser decrease~~an increase in the value of the silver futures contracts during the period ended March 31, ~~2021.~~2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020		Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(99,063	)	$	3,419	$	(60,608	)	$	(99,063	)
Management fee		84,745			37,136		60,953			84,745
Brokerage commission		7,444			3,981		5,301			7,444
Futures account fees							3,274			9,991
Net realized gain (loss)		(2,932,266	)		842,240		(7,373,936	)		(2,932,266	)
Change in net unrealized appreciation (depreciation)		7,466,511			4,190,456		1,789,652			7,466,511
Net Income (loss)	$	4,435,182		$	5,036,115	$	(5,644,892	)	$	4,435,182

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Table of Contents

The Fund’s net income decreased for the three months ended March 31, ~~2021~~2022 as compared to the three months ended March 31, ~~2020,~~2021, primarily due to ~~a lesser decrease~~an increase in the value of futures prices during the three months ended March 31, ~~2021.~~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 Silver.

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ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	23,691,070		$	38,132,320		$	24,840,784		$	23,691,070
NAV end of period	$	34,921,840		$	29,586,170		$	27,726,701		$	34,921,840
Percentage change in NAV		47.4	%		(22.4	)%		11.6	%		47.4	%
Shares outstanding beginning of period		349,290			499,290			299,290			349,290
Shares outstanding end of period		449,290			399,290			299,290			449,290
Percentage change in shares outstanding		28.6	%		(20.0	)%		—	%		28.6	%
Shares created		100,000			50,000			100,000			100,000
Shares redeemed		—			150,000			100,000			—
Per share NAV beginning of period	$	67.83		$	76.37		$	83.00		$	67.83
Per share NAV end of period	$	77.73		$	74.10		$	92.64		$	77.73
Percentage change in per share NAV		14.7	%		(3.0	)%		11.6	%		14.7	%
Percentage change in benchmark		(6.8	)%		1.1	%		(5.5	)%		(6.8	)%
Benchmark annualized volatility		5.1	%		15.6	%		7.1	%		5.1	%

During the three months ended March 31, ~~2021,~~2022, the increase in the Fund’s NAV resulted primarily ~~from an increase from 349,290 outstanding Shares at December 31, 2020 to 449,290 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also~~

~~158~~

~~Table of Contents~~

~~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. There was no net change in the Fund’s outstanding Shares from December 31, 2021 to March 31, 2022. By comparison, during the three months ended March 31, ~~2020,~~2021, the ~~decrease~~increase in the Fund’s NAV resulted primarily from ~~a decrease~~an increase from ~~499,290~~349,290 outstanding Shares at December 31, ~~2019~~2020 to ~~399,290~~449,290 outstanding Shares at March 31, ~~2020.~~2021. The ~~decrease~~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 Japanese yen versus the U.S. dollar.

For the three months ended March 31, ~~2021~~2022 and ~~2020,~~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 11.6% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 14.7% for the three months ended March 31, 2021, ~~as compared to the Fund’s per Share NAV decrease of 3.0% for the three months ended March 31, 2020,~~ was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2021.~~2022.

The benchmark’s decline of 5.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 6.8% for the three months ended March 31, 2021, ~~as compared to the benchmark’s rise of 1.1% for the three months ended March 31, 2020,~~ can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, ~~2021.~~2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(62,957	)	$	41,746		$	(50,421	)	$	(62,957	)
Management fee		66,553			84,437			59,820			66,553
Net realized gain (loss)		1,259,573			(506,520	)		1,183,144			1,259,573
Change in net unrealized appreciation (depreciation)		2,901,742			(697,069	)		1,438,464			2,901,742
Net Income (loss)	$	4,098,358		$	(1,161,843	)	$	2,571,187		$	4,098,358

The Fund’s net income ~~increased~~decreased for the three months ended March 31, ~~2021~~2022 as compared to the three months ended March 31, ~~2020,~~2021, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, ~~2021.~~2022.

~~159~~164

Table of Contents

ProShares VIX

Mid-Term

Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020			Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	72,075,095		$	45,986,584		$	112,875,680		$	72,075,095
NAV end of period	$	75,122,747		$	45,034,386		$	97,869,914		$	75,122,747
Percentage change in NAV		4.2	%		(2.1	)%		(13.4	)%		4.2	%
Shares outstanding beginning of period		1,962,403			2,162,403			3,687,403			1,962,403
Shares outstanding end of period		2,162,403			1,162,403			3,112,403			2,162,403
Percentage change in shares outstanding		10.2	%		(46.2	)%		(15.6	)%		10.2	%
Shares created		400,000			375,000			700,000			400,000
Shares redeemed		200,000			1,375,000			1,275,000			200,000
Per share NAV beginning of period	$	36.73		$	21.27		$	30.61		$	36.73
Per share NAV end of period	$	34.74		$	38.74		$	31.45		$	34.74
Percentage change in per share NAV		(5.4	)%		82.1	%		2.7	%		(5.4	)%
Percentage change in benchmark		(5.1	)%		82.5	%		3.3	%		(5.1	)%
Benchmark annualized volatility		30.6	%		86.7	%		32.8	%		30.6	%

~~On Monday, October 26, 2020,~~

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During the ~~Chicago Futures Exchange (a subsidiary~~three months ended March 31, 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 March 31, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the ~~Chicago Board Options Exchange) changed~~Fund seeking daily investment results, before fees and expenses, that correspond to the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology fordaily performance of the S&P 500

~~VIX Short-Term Futures Index, the benchmark for ProShares~~ VIX

Mid-Term

Futures ~~ETF, to reflect the new settlement time.~~

~~During~~Index. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 2,162,403 outstanding Shares at March 31, 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. ~~By comparison,~~

For the three months ended March 31, 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 2.7% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 5.4% for the three months ended March 31, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2020,~~2022.

The benchmark’s rise of 3.3% for the ~~decrease~~three months ended March 31, 2022, as compared to the benchmark’s decline of 5.1% for the three months ended March 31, 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 March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(252,097	)	$	(204,800	)
Management fee		215,663			178,080
Brokerage commission		24,869			11,312
Futures account fees		35,488			25,632
Net realized gain (loss)		4,791,497			3,539,316
Change in net unrealized appreciation (depreciation)		(473,835	)		(8,275,522	)
Net Income (loss)	$	4,065,565		$	(4,941,006	)

The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of the futures prices during the three months ended March 31, 2022.

166

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ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:


	Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
NAV beginning of period	$	269,703,164		$	293,390,549
NAV end of period	$	404,950,400		$	349,578,758
Percentage change in NAV		50.1	%		19.2	%
Shares outstanding beginning of period		17,832,826			5,331,579
Shares outstanding end of period		24,382,826			9,375,329
Percentage change in shares outstanding		36.7	%		75.8	%
Shares created		9,950,000			6,331,250
Shares redeemed		3,400,000			2,287,500
Per share NAV beginning of period	$	15.12		$	55.03
Per share NAV end of period	$	16.61		$	37.29
Percentage change in per share NAV		9.9	%		(32.3	)%
Percentage change in benchmark		10.2	%		(32.0	)%
Benchmark annualized volatility		86.4	%		81.9	%

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from ~~a decrease~~an increase from ~~2,162,403~~17,832,826 outstanding Shares at December 31, ~~2019~~2021 to ~~1,162,403~~24,382,826 outstanding Shares at March 31, ~~2020.~~2022. The ~~decrease~~increase in the Fund’s NAV ~~was offset by~~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.~~

For the three months ended March 31, 2021 and 2020, 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 5.4% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 82.1% for the three months ended March 31, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.

The benchmark’s decline of 5.1% for the three months ended March 31, 2021, as compared to the benchmark’s rise of 82.5% for the three months ended March 31, 2020, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX

~~Mid-Term~~

~~Futures Index during the period ended March 31, 2021.~~

~~160~~

~~Table of Contents~~

~~Net Income/Loss~~

~~The following table provides summary income information for the Fund for the three months ended March 31, 2021 and 2020:~~

Three Months Ended
March 31, 2021

Three Months Ended
March 31, 2020

Net investment income (loss)
   $ (204,800 )    $ 47,920
Management fee
   178,080    94,284
Brokerage commission
   11,312    15,939
Net realized gain (loss)
   3,539,316    7,756,525
Change in net unrealized appreciation (depreciation)
   (8,275,522 )    15,982,870
Net Income (loss)
   $ (4,941,006 )    $ 23,787,315

The Fund’s net income decreased for the three months ended March 31, 2021 as compared to the three months ended March 31, 2020, primarily due to a decrease in the value of the futures prices during the three months ended March 31, 2021.

~~ProShares VIX~~ Short-Term Futures ~~ETF~~

~~Fund Performance~~

~~The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:~~

Three Months Ended
March 31, 2021

Three Months Ended
March 31, 2020

NAV beginning of period
   $ 293,390,549 $ 279,792,503
NAV end of period
   $ 349,578,758 $ 223,055,354
Percentage change in NAV
   19.2 % (20.3 )%
Shares outstanding beginning of period
   21,326,317 22,751,317
Shares outstanding end of period
   37,501,317 5,876,317
Percentage change in shares outstanding
   75.8 % (74.2 )%
Shares created
   25,325,000 6,800,000
Shares redeemed
   9,150,000 23,675,000
Per share NAV beginning of period
   $ 13.76 $ 12.30
Per share NAV end of period
   $ 9.32 $ 37.96
Percentage change in per share NAV
   (32.3 )% 208.6 %
Percentage change in benchmark
   (32.0 )% 209.3 %
Benchmark annualized volatility
   81.9 % 89.7 %

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500

~~VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.~~

~~During~~Index. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from ~~21,326,317~~5,331,579 outstanding Shares at December 31, 2020 to ~~37,501,317~~9,375,329 outstanding Shares at March 31, 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~~

~~161~~

~~Table of Contents~~

performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 22,751,317 outstanding Shares at December 31, 2019 to 5,876,317 outstanding Shares at March 31, 2020. 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 Short-Term Futures Index.

For the three months ended March 31, ~~2021~~2022 and ~~2020,~~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 9.9% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of ~~32.0%~~32.3% for the three months ended March 31, 2021, ~~as compared to the Fund’s per Share NAV increase of 208.6% for the three months ended March 31, 2020,~~ was primarily due to ~~a depreciation~~appreciation in the value of the assets held by the Fund during the three months ended March 31, ~~2021.~~2022.

167

Table of Contents

The benchmark’s rise of 10.2% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 32.0% for the three months ended March 31, 2021, ~~as compared to the benchmark’s rise of 209.3% for the three months ended March 31, 2020,~~ can be attributed to ~~a decrease~~an increase in the value of the near-term futures contracts on the VIX futures curve during the period ended March 31, ~~2021.~~2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, ~~2021~~2022 and ~~2020:~~2021:


	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020		Three Months Ended March 31, 2022			Three Months Ended March 31, 2021
Net investment income (loss)	$	(1,224,804	)	$	144,025	$	(952,113	)	$	(1,224,804	)
Management fee		825,460			626,516		705,691			825,460
Brokerage commission		172,658			184,760		116,474			172,658
Futures account fees							200,657			265,146
Net realized gain (loss)		(76,634,593	)		325,737,788		53,734,224			(76,634,593	)
Change in net unrealized appreciation (depreciation)		(53,430,854	)		67,902,244		(13,448,381	)		(53,430,854	)
Net Income (loss)	$	(131,290,251	)	$	393,784,057	$	39,333,730		$	(131,290,251	)

The Fund’s net income ~~decreased~~increased for the three months ended March 31, ~~2021~~2022 as compared to the three months ended March 31, ~~2020,~~2021, primarily due to ~~a decrease~~an increase in the value of the futures prices during the three months ended March 31, ~~2021.~~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 VIX Short-Term Futures ETF.

~~162~~168

Table of Contents

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~~2022 and ~~2020,~~2021, each of the Fund’s positions were as follows:

ProShares Short Euro

As of March 31, ~~2021~~2022 and ~~2020,~~2021, 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~~2022 and ~~2020,~~2021, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Euro Fx Currency Futures (CME)

Short

June 2022

1.11

125,000

(4,578,338

)

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 )

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

1.17

125,000

(2,201,625

)

The March 31, ~~2021~~2022 and ~~2020~~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 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~~2022 and ~~2020,~~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 March 31, ~~2021~~2022 and ~~2020,~~2021, 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 )


Futures Positions as of March 31, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Short	April 2022		4,910	$	23.47		1,000	$	(115,232,790	)
VIX Futures (Cboe)	Short	May 2022		5,324		24.99		1,000		(133,034,515	)

~~163~~

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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 )


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	)

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~~2022 and ~~2020,~~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 Index

and Bloomberg WTI Crude Oil Subindex

, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, ~~2021~~2022 and ~~2020,~~2021, 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


Futures Positions as of March 31, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	June 2022		4,115	$	98.52		1,000	$	405,409,800
WTI Crude Oil (NYMEX)	Long	December 2022		4,724		89.60		1,000		423,270,400
WTI Crude Oil (NYMEX)	Long	June 2023		5,012		84.61		1,000		424,065,320

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

Swap Agreements as of March 31, 2022

Reference Index

Counterparty

Long or
Short

Index
Close

Notional Amount

at Value

Bloomberg Commodity Balanced WTI Crude Oil Index

Citibank, N.A.

Long

89.7299

202,256,578

Bloomberg Commodity Balanced WTI Crude Oil Index

Goldman Sachs International

Long

89.7299

394,073,711

Bloomberg Commodity Balanced WTI Crude Oil Index

Morgan Stanley & Co. International PLC

Long

89.7299

350,316,746

Bloomberg Commodity Balanced WTI Crude Oil Index

Societe Generale

Long

89.7299

190,882,596

Bloomberg Commodity Balanced WTI Crude Oil Index

UBS AG

Long

89.7299

284,170,376

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~~

170

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


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

The March 31, ~~2021~~2022 and ~~2020~~2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, ~~2021~~2022 and ~~2020~~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 March 31, ~~2021~~2022 and ~~2020,~~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 March 31, ~~2021~~2022 and ~~2020,~~2021, 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, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Natural Gas (NYMEX)

Long

May 2022

5,149

5.64

10,000

290,506,580

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

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

The March 31, ~~2021~~2022 and ~~2020~~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.

171

Table of Contents

ProShares Ultra Euro:

As of March 31, ~~2021~~2022 and ~~2020,~~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 March 31, ~~2021~~2022 and ~~2020,~~2021, 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, 2022

Reference

Currency

Counterparty

Long or

Short

Settlement

Date

Local Currency

Forward Rate

Market Value

USD

Euro

Goldman Sachs International

Long

04/08/22

4,422,921

1.1082

4,901,569

Euro

UBS AG

Long

04/08/22

11,991,502

1.1091

13,299,566

Euro

UBS AG

Short

04/08/22

(5,127,000

)

1.1044

(5,662,186

)

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 )

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

)

The March 31, ~~2021~~2022 and ~~2020~~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 March 31, ~~2021~~2022 and ~~2020~~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 Subindex

. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, ~~2021~~2022 and ~~2020,~~2021, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Gold Futures (COMEX)

Long

June 2022

1,871

1,954.00

100

365,593,400

Swap Agreements as of March 31, 2022

Reference Index

Counterparty

Long or

Short

Index Close

Notional Amount

at Value

Bloomberg Gold Subindex

Citibank, N.A.

Long

214.4125

118,728,333

Bloomberg Gold Subindex

Goldman Sachs International

Long

214.4125

102,600,526

Bloomberg Gold Subindex

UBS AG

Long

214.4125

123,508,801

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~~

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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

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

The March 31, ~~2021~~2022 and ~~2020~~2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, ~~2021~~2022 and ~~2020~~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 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~~2022 and ~~2020~~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 Subindex

. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, ~~2021~~2022 and ~~2020,~~2021, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Silver Futures (COMEX)

Long

May 2022

1,351

25.13

5,000

169,773,415

Swap Agreements as of March 31, 2022

Reference Index

Counterparty

Long or

Short

Index Close

Notional Amount

at Value

Bloomberg Silver Subindex

Citibank, N.A.

Long

227.4218

237,998,246

Bloomberg Silver Subindex

Goldman Sachs International

Long

227.4218

249,395,557

Bloomberg Silver Subindex

Morgan Stanley & Co.
International PLC

Long

227.4218

232,374,365

Bloomberg Silver Subindex

UBS AG

Long

227.4218

227,857,585

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~~

173

Table of Contents

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

The March 31, ~~2021~~2022 and ~~2020~~2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, ~~2021~~2022 and ~~2020~~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

tri-party

accounts at the Fund’s third-party custodian.

ProShares Ultra VIX Short-Term Futures ETF

As of March 31, ~~2021~~2022 and ~~2020,~~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 March 31, ~~2021~~2022 and ~~2020,~~2021, which were sensitive to equity market volatility risk.


Futures Positions as of March 31, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	April 2022		33,482	$	23.47		1,000	$	785,789,058
VIX Futures (Cboe)	Long	May 2022		36,263		24.99		1,000		906,128,965


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

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 & Co.

Long

11.4000

120,270,000

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Table of Contents

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

tri-party

accounts at the Fund’s third-party custodian.

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~~Table of Contents~~

ProShares Ultra Yen:

As of March 31, ~~2021~~2022 and ~~2020,~~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 March 31, ~~2021~~2022 and ~~2020,~~2021, 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, 2022
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		04/08/22		321,397,517			0.008653	$	2,781,048
Yen	UBS AG	Long		04/08/22		234,765,856			0.008634		2,027,006
Yen	Goldman Sachs International	Short		04/08/22		(6,529,000	)		0.008177		(53,386	)
Yen	UBS AG	Short		04/08/22		(37,680,000	)		0.008411		(316,941	)

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 )

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

)

The March 31, ~~2021~~2022 and ~~2020~~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

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Australian Dollar:

As of March 31, ~~2021~~2022 and ~~2020,~~2021, 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~~2022 and ~~2020,~~2021, 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~~175

Table of Contents


Futures Positions as of March 31, 2020

Futures Positions as of March 31, 2022												Futures Positions as of March 31, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value				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	)		Short	June 2022		60	$	74.92		1,000	$	(4,497,900	)

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

75.98

1,000

(4,560,900

)

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~~2022 and ~~2020,~~2021, 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

and Bloomberg WTI Crude Oil Subindex


Futures Positions as of March 31, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	June 2022		2,737	$	98.52		1,000	$	(269,649,240	)
WTI Crude Oil (NYMEX)	Short	December 2022		3,147		89.60		1,000		(281,971,200	)
WTI Crude Oil (NYMEX)	Short	June 2023		3,339		84.61		1,000		(282,512,790	)


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	)

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Table of Contents

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 )

~~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

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Natural Gas:

As of March 31, ~~2021~~2022 and ~~2020,~~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 March 31, ~~2021~~2022 and ~~2020,~~2021, 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, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Natural Gas (NYMEX)

Short

May 2022

8,883

5.64

10,000

(501,178,860

)

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 )

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

)

The March 31, ~~2021~~2022 and ~~2020~~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 March 31, ~~2021~~2022 and ~~2020,~~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 March 31, ~~2021~~2022 and ~~2020,~~2021, 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 )


Foreign Currency Forward Contracts as of March 31, 2022
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	UBS AG	Long		04/08/22		13,916,000			1.1059	$	15,390,379
Euro	Goldman Sachs International	Short		04/08/22		(46,280,263	)		1.1082		(51,288,713	)
Euro	UBS AG	Short		04/08/22		(58,998,199	)		1.1072		(65,320,957	)

~~171~~

177

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 )


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	)

The March 31, ~~2021~~2022 and ~~2020~~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 March 31, ~~2021~~2022 and ~~2020~~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 Subindex

. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, ~~2021~~2022 and ~~2020,~~2021, 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 )

Futures Positions as of March 31, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Gold Futures (COMEX)

Short

June 2022

134

1,954.00

100

(26,183,600

)

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 )


Swap Agreements as of March 31, 2022
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Short	$	214.4125	$	(16,074,140	)
Bloomberg Gold Subindex	Goldman Sachs International	Short		214.4125		(10,515,819	)
Bloomberg Gold Subindex	UBS AG	Short		214.4125		(12,574,684	)

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 )

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, 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 )


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	)

~~172~~

178

Table of Contents

The March 31, ~~2021~~2022 and ~~2020~~2021 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~~2022 and ~~2020~~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

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Silver:

As of March 31, ~~2021~~2022 and ~~2020~~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 Subindex

. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, ~~2021~~2022 and ~~2020,~~2021, 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 )

Futures Positions as of March 31, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Silver Futures (COMEX)

Short

May 2022

167

25.13

5,000

(20,986,055

)

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 )


Swap Agreements as of March 31, 2022
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Short	$	227.4218	$	(3,066,720	)
Bloomberg Silver Subindex	Goldman Sachs International	Short		227.4218		(11,171,645	)
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Short		227.4218		(8,833,290	)
Bloomberg Silver Subindex	UBS AG	Short		227.4218		(2,824,603	)

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 )

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, 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 )


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	)

The March 31, ~~2021~~2022 and ~~2020~~2021 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~~2022 and ~~2020~~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

179

Table of Contents

(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

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Yen:

As of March 31, ~~2021~~2022 and ~~2020,~~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 March 31, ~~2021~~2022 and ~~2020,~~2021, 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, 2022
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	UBS AG	Long		04/08/22		2,874,020,000			0.008228	$	23,648,854
Yen	Goldman Sachs International	Short		04/08/22		(1,973,114,165	)		0.008595		(16,958,793	)
Yen	UBS AG	Short		04/08/22		(7,652,928,574	)		0.008428		(64,498,778	)

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 )


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	)

The March 31, ~~2021~~2022 and ~~2020~~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

tri-party

accounts at the Fund’s third-party custodian.

ProShares VIX

Mid-Term

Futures ETF

As of March 31, ~~2021~~2022 and ~~2020,~~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 March 31, ~~2021~~2022 and ~~2020,~~2021, which were sensitive to equity market volatility risk.

~~174~~

180

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, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	July 2022		593	$	26.11		1,000	$	15,480,562
VIX Futures (Cboe)	Long	August 2022		1,235		26.25		1,000		32,424,802
VIX Futures (Cboe)	Long	September 2022		1,235		26.60		1,000		32,852,729
VIX Futures (Cboe)	Long	October 2022		642		26.86		1,000		17,245,083

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


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

The March 31, ~~2021~~2022 and ~~2020~~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 March 31, ~~2021~~2022 and ~~2020,~~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 March 31, ~~2021~~2022 and ~~2020,~~2021, 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


Futures Positions as of March 31, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	April 2022		8,017	$	23.47		1,000	$	188,150,973
VIX Futures (Cboe)	Long	May 2022		8,681		24.99		1,000		216,918,224

~~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


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

The March 31, ~~2021~~2022 and ~~2020~~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

10-K

for additional information regarding performance for periods longer than a single day.

~~175~~

181

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~~

182

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.

(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, ~~2020,~~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

~~177~~

183

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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 March 31, ~~2021~~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.

~~178~~

184

Table of Contents

Part II. OTHER INFORMATION

Item 1.

Legal Proceedings.

~~The Sponsor and~~

As of March 31, 2022, the Trust are named as defendants in the following purported class action lawsuits filed in the United States District Court for the Southern District of New York on the following dates: (i) on January 29, 2019 and captioned Ford v. ProShares Trust II et al.; (ii) on February 27, 2019 and captioned Bittner v. ProShares Trust II, et al.; and (iii) on March 1, 2019 and captioned Mareno v. ProShares Trust II, et al. The allegations in the complaints are substantially the same, namely that the defendants violated Sections 11 and 15 of the 1933 Act, Sections 10(b) and 20(a) and Rule

~~10b-5~~

~~of the 1934 Act, and Items 303 and 105 of Regulation~~

~~S-K,~~

~~17 C.F.R. Section 229.303(a)(3)(ii), 229.105 by issuing untrue statements of~~is not a party to any material fact and omitting material facts in the prospectus for ProShares Short VIX Short-Term Futures ETF, and allegedly failing to state other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and Officers of the Trust are also defendants in the actions, along with a number of others. The District Court consolidated the three actions and appointed lead plaintiffs and lead counsel. On January 3, 2020, the District Court granted defendants’ motion to dismiss the consolidated class action in its entirety and ordered the case closed. On January 31, 2020, the plaintiffs filed a notice of appeal to the Second Circuit Court of Appeals. On March 4, 2021, the Second Circuit Court of Appeals heard oral argument. On March 15, 2021, the Second Circuit Court of Appeals found the plaintiffs’ arguments to be without merit and affirmed the District Court’s judgement.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.

~~179~~185

Table of Contents

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.

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. ~~In April~~During much of 2020 and the first quarter of 2021, the unemployment rate in the U.S. ~~was~~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

186

Table of Contents

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.

~~180~~

~~Table of Contents~~

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

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.

Not applicable.

~~181~~187

Table of Contents


Title of Securities Registered *	Shares Sold For the Three Months Ended March 31, 2022		Sale Price of Shares Sold For the Three Months Ended March 31, 2022
ProShares Short Euro
Common Units of Beneficial Interest		50,000	$	2,312,961
ProShares Short VIX Short-Term Futures ETF
Common Units of Beneficial Interest		3,000,000	$	156,515,471
ProShares Ultra Bloomberg Crude Oil
Common Units of Beneficial Interest		2,150,000	$	330,317,033
ProShares Ultra Bloomberg Natural Gas
Common Units of Beneficial Interest		2,600,000	$	87,880,355
ProShares Ultra Euro
Common Units of Beneficial Interest		100,000	$	1,316,267
ProShares Ultra Gold
Common Units of Beneficial Interest		1,500,000	$	95,684,676
ProShares Ultra Silver
Common Units of Beneficial Interest		1,000,000	$	39,033,941
ProShares Ultra VIX Short-Term Futures ETF
Common Units of Beneficial Interest		83,100,000	$	1,171,715,867
ProShares Ultra Yen
Common Units of Beneficial Interest		—	$	—
ProShares UltraShort Australian Dollar
Common Units of Beneficial Interest		—	$	—
ProShares UltraShort Bloomberg Crude Oil
Common Units of Beneficial Interest		77,850,000	$	510,028,879
ProShares UltraShort Bloomberg Natural Gas
Common Units of Beneficial Interest		18,560,000	$	454,959,241
ProShares UltraShort Euro
Common Units of Beneficial Interest		50,000	$	1,371,662
ProShares UltraShort Gold
Common Units of Beneficial Interest		450,000	$	13,189,949
ProShares UltraShort Silver
Common Units of Beneficial Interest		1,100,000	$	25,560,144
ProShares UltraShort Yen
Common Units of Beneficial Interest		100,000	$	9,605,322
ProShares VIX Mid-Term Futures ETF
Common Units of Beneficial Interest		700,000	$	22,135,602
ProShares VIX Short-Term Futures ETF
Common Units of Beneficial Interest		9,950,000	$	161,172,915

Total Trust:		202,260,000	$	3,082,800,286

Title of Securities Registered

Amount Registered As of
March 31, 2021

Shares Sold For the
Three Months Ended
March 31, 2021

Sale Price of Shares
Sold For the Three
Months Ended
March 31, 2021

ProShares Short Euro

Common Units of Beneficial Interest
   $ 203,055,627    —      $ —
ProShares Short VIX Short-Term Futures ETF

Common Units of Beneficial Interest
   $ 1,418,967,805    2,400,000    $ 98,109,468
ProShares Ultra Bloomberg Crude Oil

Common Units of Beneficial Interest
   $ 2,698,414,797    2,350,000    $ 117,044,190
ProShares Ultra Bloomberg Natural Gas

Common Units of Beneficial Interest
   $ 386,032,584    3,400,000    $ 76,480,823
ProShares Ultra Euro

Common Units of Beneficial Interest
   $ 186,681,873    —      $ —
ProShares Ultra Gold

Common Units of Beneficial Interest
   $ 594,079,932    600,000    $ 37,062,261
ProShares Ultra Silver

Common Units of Beneficial Interest
   $ 817,900,286    2,400,000    $ 120,399,635
ProShares Ultra VIX Short-Term Futures ETF

Common Units of Beneficial Interest
   $ 6,066,240,184    196,300,000    $ 1,939,143,031
ProShares Ultra Yen

Common Units of Beneficial Interest
   $ 201,792,144    —      $ —
ProShares UltraShort Australian Dollar

Common Units of Beneficial Interest
   $ 159,935,804    —      $ —
ProShares UltraShort Bloomberg Crude Oil

Common Units of Beneficial Interest
   $ 1,124,471,841    7,800,000    $ 64,302,979
ProShares UltraShort Bloomberg Natural Gas

Common Units of Beneficial Interest
   $ 478,890,865    4,100,000    $ 142,050,186
ProShares UltraShort Euro

Common Units of Beneficial Interest
   $ 486,592,151    200,000    $ 4,613,244
ProShares UltraShort Gold

Common Units of Beneficial Interest
   $ 178,478,592    750,000    $ 27,291,216
ProShares UltraShort Silver

Common Units of Beneficial Interest
   $ 454,916,081    9,800,000    $ 58,095,647
ProShares UltraShort Yen

Common Units of Beneficial Interest
   $ 484,084,957    100,000    $ 7,132,412
ProShares VIX
Mid-Term
Futures ETF

Common Units of Beneficial Interest
   $ 332,636,785    400,000    $ 15,879,994
ProShares VIX Short-Term Futures ETF

Common Units of Beneficial Interest
   $ 1,128,860,082    25,325,000    $ 326,892,710




Total Trust:


255,925,000


$
3,034,497,796

*	The registration statement covers an indeterminate amount of securities to be offered or sold.

Item 3.

Defaults Upon Senior Securities.

None.

Item 4.

Mine Safety Disclosures.

Not applicable.

188

Table of Contents

Item 5.

Other Information.

None.

~~182~~189

Table of Contents

Item 6.

Exhibits.


Exhibit No.		Description of Document

31.1		Certification by Principal Executive Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)

31.2		Certification by Principal Financial Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)

32.1*		Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)

32.2*		Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)

101.INS		Inline XBRL Instance Document (1)

101.SCH		Inline XBRL Taxonomy Extension Schema (1)

101.CAL		Inline XBRL Taxonomy Extension Calculation Linkbase (1)

101.DEF		Inline XBRL Taxonomy Extension Definition Linkbase (1)

101.LAB		Inline XBRL Taxonomy Extension Label Linkbase (1)

101.PRE		Inline XBRL Taxonomy Extension Presentation Linkbase (1)

104.1		Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL

~~104.1~~		tags are embedded within the inline XBRL document.

(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.

~~183~~190

Table of Contents

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

~~PROSHARES TRUST II~~

/s/ Todd Johnson

By: Todd Johnson

Principal Executive Officer

Date: May ~~7, 2021~~9, 2022

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial and Accounting Officer

Date: May ~~7, 2021~~9, 2022

~~184~~191


	March 31, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $999,885 and $–, respectively)	$	999,973	$	—
Cash		1,155,210		4,105,781
Segregated cash balances with brokers for futures contracts		33,000		68,310
Receivable on open futures contracts		—		21,094
Interest receivable		67		175

Total assets		2,188,250		4,195,360

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		1,125		—
Payable to Sponsor		2,571		3,391
Non-recurring fees and expenses payable		14		14

Total liabilities		3,710		3,405

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		2,184,540		4,191,955

Total liabilities and shareholders’ equity	$	2,188,250	$	4,195,360

Shares outstanding		50,000		100,000

Net asset value per share	$	43.69	$	41.92

Market value per share (Note 2)	$	43.52	$	41.35


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Euro Fx Currency Futures - CME, expires June 2021		15	$	2,201,625	$	33,928


	Three Months Ended March 31,
	2021			2020
Investment Income
Interest	$	596		$	7,595

Expenses
Management fee		9,053			5,503
Brokerage commissions		181			100

Total expenses		9,234			5,603

Net investment income (loss)		(8,638	)		1,992

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		69,393			(18,638	)

Net realized gain (loss)		69,393			(18,638	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		78,554			67,324
Short-term U.S. government and agency obligations		88			(30	)

Change in net unrealized appreciation (depreciation)		78,642			67,294

Net realized and unrealized gain (loss)		148,035			48,656

Net income (loss)	$	139,397		$	50,648


	Principal Amount		Value
Short-term U.S. government and agency obligations
(17% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.075% due 04/15/21	$	50,000,000	$	49,999,710
0.086% due 05/20/21		20,000,000		19,999,456
0.041% due 06/17/21		22,000,000		21,999,294

Total short-term U.S. government and agency obligations (cost $91,994,322)			$	91,998,460


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires April 2021		6,607	$	136,989,538	$	42,996,259
VIX Futures - Cboe, expires May 2021		5,590		126,757,722		7,474,416

					$	50,470,675


Total Return Swap Agreements ^
	Rate Paid (Received) *			Termination Date		Notional Amount at Value **		Unrealized Appreciation (Depreciation)/Value
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35	%		04/06/21	$	108,014,255	$	(7,714,940	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			04/06/21		202,730,402		(14,480,063	)
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.25			04/06/21		104,445,210		(7,452,971	)
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.30			04/06/21		155,489,475		(11,100,620	)

						Total Unrealized Depreciation		$(40,748,594)


	March 31, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $33,996,891 and $29,999,585, respectively)	$	33,999,110	$	29,999,889
Cash		31,161,434		92,972,312
Segregated cash balances with brokers for futures contracts		13,254,222		44,320,410
Receivable on open futures contracts		—		13,775,851
Interest receivable		768		4,326

Total assets		78,415,534		181,072,788

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		3,233,023		11,132,546
Payable on open futures contracts		798,217		—
Brokerage commissions and fees payable		13,490		—
Payable to Sponsor		63,318		139,455
Non-recurring fees and expenses payable		416		416

Total liabilities		4,108,464		11,272,417

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		74,307,070		169,800,371

Total liabilities and shareholders’ equity	$	78,415,534	$	181,072,788

Shares outstanding (Note 1)		3,487,527		8,087,527

Net asset value per share (Note 1)	$	21.31	$	21.00

Market value per share (Note 1) (Note 2)	$	21.20	$	21.07


Foreign Currency Forward Contracts ^
	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		04/09/21		2,210,921		$	2,592,686		$	(78,549	)
Euro with UBS AG		04/09/21		4,249,502			4,983,274			(148,185	)

						Total Unrealized Depreciation			$(226,734)

Contracts to Sell
Euro with UBS AG		04/09/21		(276,000	)	$	(323,658	)	$	4,330

						Total Unrealized Appreciation			$4,330


	Three Months Ended March 31,
	2021			2020
Investment Income
Interest	$	35,827		$	414,684

Expenses
Management fee		568,207			295,411
Brokerage commissions		14,888			10,365
Brokerage fees		32,402			—

Total expenses		615,497			305,776

Net investment income (loss)		(579,670	)		108,908

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(16,805,897	)		(68,161	)
Swap agreements		(34,442,235	)		21,566,217
Short-term U.S. government and agency obligations		245			—

Net realized gain (loss)		(51,247,887	)		21,498,056

Change in net unrealized appreciation (depreciation) on
Futures contracts		(2,253,749	)		(3,638,236	)
Swap agreements		1,019,450			(15,515,060	)
Short-term U.S. government and agency obligations		1,796			55,936

Change in net unrealized appreciation (depreciation)		(1,232,503	)		(19,097,360	)

Net realized and unrealized gain (loss)		(52,480,390	)		2,400,696

Net income (loss)	$	(53,060,060	)	$	2,509,604


	March 31, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $34,996,872 and $–, respectively)	$	34,999,082	$	—
Cash		33,474,775		74,317,150
Segregated cash balances with brokers for futures contracts		21,014,545		22,608,223
Segregated cash balances with brokers for swap agreements		—		188,000
Receivable on open futures contracts		2,751,890		60,902
Interest receivable		1,200		3,299

Total assets		92,241,492		97,177,574

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		423,827		257,410
Brokerage commissions and fees payable		25,647		—
Payable to Sponsor		73,277		80,580
Non-recurring fees and expenses payable		351		351

Total liabilities		523,102		338,341

Commitments and Contingencies (Note 2)		0		0
Shareholders’ equity
Shareholders’ equity		91,718,390		96,839,233

Total liabilities and shareholders’ equity	$	92,241,492	$	97,177,574

Shares outstanding		12,739,884		8,339,884

Net asset value per share	$	7.20	$	11.61

Market value per share (Note 2)	$	7.15	$	11.64


	Settlement Date		Contract Amount in Local Currency			Contract Amount in U.S. Dollars			Unrealized Appreciation (Depreciation)/ Value
Contracts to Purchase
Euro with UBS AG		04/09/21		12,078,000		$	14,163,535		$	(181,875	)

							Total Unrealized Depreciation		$	(181,875	)

Contracts to Sell
Euro with Goldman Sachs International		04/09/21		(37,401,263	)	$	(43,859,422	)	$	1,328,784
Euro with UBS AG		04/09/21		(68,453,199	)		(80,273,164	)		2,107,784

							Total Unrealized Appreciation		$	3,436,568


	Three Months Ended March 31,
	2021			2020*
Investment Income
Interest	$	549,742		$	7,499,714

Expenses
Management fee		12,169,010			5,838,804
Brokerage commissions		2,903,800			1,746,456
Brokerage fees		2,853,404			51,378

Total expenses		17,926,214			7,636,638

Net investment income (loss)		(17,376,472	)		(136,924	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(534,133,804	)		315,177,827
Swap agreements		55,764,481			(279,339,085	)
Options		—			(9,707,000	)
Foreign currency forward contracts		1,163,291			479,012
Short-term U.S. government and agency obligations		19,761			176,434

Net realized gain (loss)		(477,186,271	)		26,787,188

Change in net unrealized appreciation (depreciation) on
Futures contracts		(257,111,138	)		279,530,155
Swap agreements		(139,568,146	)		(341,111,914	)
Foreign currency forward contracts		6,725,056			2,198,013
Short-term U.S. government and agency obligations		106,285			961,117

Change in net unrealized appreciation (depreciation)		(389,847,943	)		(58,422,629	)

Net realized and unrealized gain (loss)		(867,034,214	)		(31,635,441	)

Net income (loss)	$	(884,410,686	)	$	(31,772,365	)

Fair Value of Derivative Instruments as of December 31, 2020

		Asset Derivatives				Liability Derivatives
Derivatives Not Accounted for as Hedging Instruments	Fund	Statements of Financial Condition Location	Unrealized Appreciation			Statements of Financial Condition Location	Unrealized Depreciation
	ProShares UltraShort Euro		$	5,705			$	1,142,409
	ProShares UltraShort Yen			7,008				571,974

		Total Trust	$	280,082,746	*		$	76,613,676	*


Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2021
Fund	Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds) / the Counterparties			Net Amount
ProShares Ultra Bloomberg Crude Oil
Goldman Sachs International	$	(7,714,941	)	$	0		$	7,714,941		$	0
Morgan Stanley & Co. International PLC		(14,480,061	)		14,480,061			0			0
Societe Generale		(7,452,971	)		0			7,452,971			0
UBS AG		(11,100,621	)		0			11,100,621			0
ProShares Ultra Euro
Goldman Sachs International		(78,549	)		0			78,549			0
UBS AG		(143,855	)		0			143,855			0
ProShares Ultra Gold
Citibank, N.A.		2,121,049			0			(310,000	)		1,811,049
Goldman Sachs International		1,832,931			(259,558	)		0			1,573,373
UBS AG		2,206,451			0			(330,000	)		1,876,451
ProShares Ultra Silver
Citibank, N.A.		(8,800,436	)		8,800,436			0			0
Goldman Sachs International		(6,616,052	)		0			6,616,052			0
Morgan Stanley & Co. International PLC		(6,918,147	)		6,918,147			0			0
UBS AG		(6,086,368	)		0			6,086,368			0
ProShares Ultra VIX Short-Term Futures ETF


Per Share Operating Performance	Short Euro			Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold
Net asset value, at December 31, 2020	$	41.92		$	41.42		$	36.38		$	21.00		$	15.79		$	67.57
Net investment income (loss)		(0.09	)		(0.14	)		(0.13	)		(0.09	)		(0.03	)		(0.14	)
Net realized and unrealized gain (loss)#		1.86			5.85			16.31			0.40			(1.31	)		(13.11	)
Change in net asset value from operations		1.77			5.71			16.18			0.31			(1.34	)		(13.25	)
Net asset value, at March 31, 2021	$	43.69		$	47.13		$	52.56		$	21.31		$	14.45		$	54.32
Market value per share, at December 31, 2020 †	$	41.35		$	41.44		$	36.27		$	21.07		$	15.81		$	68.20
Market value per share, at March 31, 2021 †	$	43.52		$	47.10		$	52.85		$	21.20		$	14.47		$	53.91
Total Return, at net asset value^		4.2	%		13.8	%		44.5	%		1.5	%		(8.5	)%		(19.6	)%
Total Return, at market value^		5.2	%		13.7	%		45.7	%		0.6	%		(8.5	)%		(21.0	)%
Ratios to Average Net Assets**
Expense ratio		0.97	%		1.35	%		1.10	%		1.60	%		0.95	%		1.03	%
Expense ratio, excluding brokerage commissions and fees		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income gain (loss)		(0.91	)%		(1.31	)%		(1.04	)%		(1.55	)%		(0.90	)%		(0.97	)%


Per Share Operating Performance	Ultra Silver			Ultra VIX Short-Term Futures ETF			Ultra Yen			UltraShort Australian Dollar			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas
Net asset value, at December 31, 2020	$	50.71		$	10.67		$	59.83		$	44.45		$	11.61		$	47.59
Net investment income (loss)		(0.12	)		(0.04	)		(0.13	)		(0.11	)		(0.03	)		(0.14	)
Net realized and unrealized gain (loss)#		(9.24	)		(5.00	)		(7.92	)		0.84			(4.38	)		(8.31	)
Change in net asset value from operations		(9.36	)		(5.04	)		(8.05	)		0.73			(4.41	)		(8.45	)
Net asset value, at March 31, 2021	$	41.35		$	5.63		$	51.78		$	45.18		$	7.20		$	39.14
Market value per share, at December 31, 2020 †	$	51.28		$	10.65		$	59.82		$	43.89		$	11.64		$	47.38
Market value per share, at March 31, 2021 †	$	41.10		$	5.65		$	51.78		$	45.19		$	7.15		$	39.32
Total Return, at net asset value^		(18.5	)%		(47.2	)%		(13.4	)%		1.6	%		(38.0	)%		(17.8	)%
Total Return, at market value^		(19.9	)%		(47.0	)%		(13.5	)%		3.0	%		(38.6	)%		(17.0	)%
Ratios to Average Net Assets**
Expense ratio		1.07	%		1.77	%		0.95	%		1.02	%		1.34	%		1.60	%
Expense ratio, excluding brokerage commissions and fees		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income gain (loss)		(1.02	)%		(1.75	)%		(0.90	)%		(0.97	)%		(1.29	)%		(1.55	)%


Per Share Operating Performance	VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF
Net asset value, at December 31, 2019	$	21.27		$	12.30
Net investment income (loss)		0.03			0.01
Net realized and unrealized gain (loss)#		17.44			25.65
Change in net asset value from operations		17.47			25.66
Net asset value, at March 31, 2020	$	38.74		$	37.96
Market value per share, at December 31, 2019 †	$	21.29		$	12.43
Market value per share, at March 31, 2020 †	$	38.44		$	37.93
Total Return, at net asset value^		82.1	%		208.6	%
Total Return, at market value^		80.6	%		205.1	%
Ratios to Average Net Assets**
Expense ratio		1.00	%		1.11	%
Expense ratio, excluding brokerage commissions and fees		0.85	%		0.85	%
Net investment income gain (loss)		0.43	%		0.20	%


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	)


Title of Securities Registered	Amount Registered As of March 31, 2021		Shares Sold For the Three Months Ended March 31, 2021		Sale Price of Shares Sold For the Three Months Ended March 31, 2021
ProShares Short Euro
Common Units of Beneficial Interest	$	203,055,627		—	$	—
ProShares Short VIX Short-Term Futures ETF
Common Units of Beneficial Interest	$	1,418,967,805		2,400,000	$	98,109,468
ProShares Ultra Bloomberg Crude Oil
Common Units of Beneficial Interest	$	2,698,414,797		2,350,000	$	117,044,190
ProShares Ultra Bloomberg Natural Gas
Common Units of Beneficial Interest	$	386,032,584		3,400,000	$	76,480,823
ProShares Ultra Euro
Common Units of Beneficial Interest	$	186,681,873		—	$	—
ProShares Ultra Gold
Common Units of Beneficial Interest	$	594,079,932		600,000	$	37,062,261
ProShares Ultra Silver
Common Units of Beneficial Interest	$	817,900,286		2,400,000	$	120,399,635
ProShares Ultra VIX Short-Term Futures ETF
Common Units of Beneficial Interest	$	6,066,240,184		196,300,000	$	1,939,143,031
ProShares Ultra Yen
Common Units of Beneficial Interest	$	201,792,144		—	$	—
ProShares UltraShort Australian Dollar
Common Units of Beneficial Interest	$	159,935,804		—	$	—
ProShares UltraShort Bloomberg Crude Oil
Common Units of Beneficial Interest	$	1,124,471,841		7,800,000	$	64,302,979
ProShares UltraShort Bloomberg Natural Gas
Common Units of Beneficial Interest	$	478,890,865		4,100,000	$	142,050,186
ProShares UltraShort Euro
Common Units of Beneficial Interest	$	486,592,151		200,000	$	4,613,244
ProShares UltraShort Gold
Common Units of Beneficial Interest	$	178,478,592		750,000	$	27,291,216
ProShares UltraShort Silver
Common Units of Beneficial Interest	$	454,916,081		9,800,000	$	58,095,647
ProShares UltraShort Yen
Common Units of Beneficial Interest	$	484,084,957		100,000	$	7,132,412
ProShares VIX Mid-Term Futures ETF
Common Units of Beneficial Interest	$	332,636,785		400,000	$	15,879,994
ProShares VIX Short-Term Futures ETF
Common Units of Beneficial Interest	$	1,128,860,082		25,325,000	$	326,892,710

Total Trust:				255,925,000	$	3,034,497,796

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