ProShares Ultra Gold (UGL) 10-Q 2021 Q1 Quarterly report

0001415311 us-gaap:SwapMember ck0001415311:ProsharesUltraSilverMember ck0001415311:BloombergMember ck0001415311:SilverSubindexMember ck0001415311:CitibankNaMember 2021-01-01 2021-03-31

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.

or

☐ Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from                      to                      .

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 Wisconsin Avenue, Suite 1000

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 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.

Large Accelerated Filer	☒	Accelerated Filer	☐
Non-Accelerated Filer	☐	Smaller Reporting Company	☐
Emerging Growth Company	☐

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

, the registrant had

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

PROSHARES TRUST II

Table of Contents

	Page
Part I. FINANCIAL INFORMATION
Item 1. Financial Statements.		3
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.		132
Item 3. Quantitative and Qualitative Disclosures About Market Risk.		163
Item 4. Controls and Procedures.		177
Part II. OTHER INFORMATION
Item 1. Legal Proceedings.		179
Item 1A. Risk Factors.		179
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		181
Item 3. Defaults Upon Senior Securities.		182
Item 4. Mine Safety Disclosures.		182
Item 5. Other Information.		182
Item 6. Exhibits.		183

2

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		19
ProShares Ultra Euro		24
ProShares Ultra Gold		29
ProShares Ultra Silver		34
ProShares Ultra VIX Short-Term Futures ETF		39
ProShares Ultra Yen		44
ProShares UltraShort Australian Dollar		49
ProShares UltraShort Bloomberg Crude Oil		54
ProShares UltraShort Bloomberg Natural Gas		59
ProShares UltraShort Euro		64
ProShares UltraShort Gold		69
ProShares UltraShort Silver		74
ProShares UltraShort Yen		79
ProShares VIX Mid-Term Futures ETF		84
ProShares VIX Short-Term Futures ETF		89
ProShares Trust II		94
Notes to Financial Statements		98

3

PROSHARES SHORT 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		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

See accompanying notes to financial statements.

4

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

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.

See accompanying notes to financial statements.

5

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

(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

See accompanying notes to financial statements.

6

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.

7

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.

8

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

See accompanying notes to financial statements.

9

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

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% due04/15/21	$	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.

See accompanying notes to financial statements.

10

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(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	)

See accompanying notes to financial statements.

11

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(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

See accompanying notes to financial statements.

12

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.

13

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.

14

PROSHARES ULTRA BLOOMBERG CRUDE OIL

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 ^^ :
0.060% 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. 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.

15

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	)

See accompanying notes to financial statements.

16

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(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

See accompanying notes to financial statements.

17

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(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

See accompanying notes to financial statements.

18

PROSHARES ULTRA 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 $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

See accompanying notes to financial statements.

19

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

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.

See accompanying notes to financial statements.

20

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(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	)

See accompanying notes to financial statements.

21

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(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

See accompanying notes to financial statements.

22

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.

23

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.

24

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2021

(unaudited)

	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

^ 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.

25

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	)

See accompanying notes to financial statements.

26

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

See accompanying notes to financial statements.

27

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

See accompanying notes to financial statements.

28

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

See accompanying notes to financial statements.

29

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2021

(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

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

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

† 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, 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.

30

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

See accompanying notes to financial statements.

31

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

See accompanying notes to financial statements.

32

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

See accompanying notes to financial statements.

33

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

See accompanying notes to financial statements.

34

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2021

(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

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	)

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	$	291,359,450	$	(8,800,436	)
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.30			04/06/21		218,805,087		(6,616,052	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30			04/06/21		228,795,897		(6,918,147	)
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25			04/06/21		201,503,724		(6,086,368	)
							Total Unrealized Depreciation	$	(28,421,003	)

† 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, 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.

35

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	)

See accompanying notes to financial statements.

36

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

See accompanying notes to financial statements.

37

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

See accompanying notes to financial statements.

38

PROSHARES ULTRA 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 $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

See accompanying notes to financial statements.

39

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2021

(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

	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

^

	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—

^ 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, 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.

40

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

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

See accompanying notes to financial statements.

41

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

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

See accompanying notes to financial statements.

42

PROSHARES ULTRA 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)	$	(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

See accompanying notes to financial statements.

43

PROSHARES ULTRA YEN

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

See accompanying notes to financial statements.

44

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2021

(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

^

	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

^ 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.

45

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.

46

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.

47

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.

48

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.

49

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.

50

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.

51

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.

52

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.

53

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.

54

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.

55

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.

56

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.

57

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.

58

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.

59

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.

60

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.

61

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.

62

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.

63

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.

64

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.

65

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.

66

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.

67

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.

68

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.

69

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, 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.

70

PROSHARES ULTRASHORT GOLD

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	)

See accompanying notes to financial statements.

71

PROSHARES ULTRASHORT GOLD

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

See accompanying notes to financial statements.

72

PROSHARES ULTRASHORT GOLD

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

See accompanying notes to financial statements.

73

PROSHARES 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 $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

See accompanying notes to financial statements.

74

PROSHARES ULTRASHORT SILVER

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 †	$	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.

^  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, 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.

75

PROSHARES ULTRASHORT SILVER

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

See accompanying notes to financial statements.

76

PROSHARES ULTRASHORT SILVER

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

See accompanying notes to financial statements.

77

PROSHARES ULTRASHORT SILVER

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

See accompanying notes to financial statements.

78

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2021 (unaudited)		December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $14,498,781 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

See accompanying notes to financial statements.

79

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2021

(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

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 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.

80

PROSHARES ULTRASHORT YEN

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	)

See accompanying notes to financial statements.

81

PROSHARES ULTRASHORT YEN

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

See accompanying notes to financial statements.

82

PROSHARES ULTRASHORT YEN

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

See accompanying notes to financial statements.

83

PROSHARES 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 $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

See accompanying notes to financial statements.

84

PROSHARES VIX

MID-TERM

FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2021

(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

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)

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

See accompanying notes to financial statements.

85

PROSHARES VIX

MID-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

See accompanying notes to financial statements.

86

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.

87

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.

88

PROSHARES 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 $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

See accompanying notes to financial statements.

89

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

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% due04/15/21	$	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.

See accompanying notes to financial statements.

90

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(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

See accompanying notes to financial statements.

91

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.

92

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.

93

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.

94

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.

See accompanying notes to financial statements.

95

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.

See accompanying notes to financial statements.

96

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.

See accompanying notes to financial statements.

97

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

March 31, 2021

(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, 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.

98

Share Splits and Reverse Share Splits

The table below includes reverse Share splits for the Funds during the three months ended 

March 31

,

2021

, and during the year ended December 31, 2020. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.

Fund	Execution Date (Prior to Opening of Trading)	Type of Split	Date Trading Resumed at Post- Split Price
ProShares Ultra Bloomberg Crude Oil	April 20, 2020	1-for-25 reverse Share split	April 21, 2020
ProShares Ultra Bloomberg Natural Gas	April 20, 2020	1-for-10 reverse Share split	April 21, 2020

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, as filed with the SEC on February 19, 2021.

Use of Estimates & Indemnifications

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.

Basis of Presentation

Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund.

99

Statements of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated March 31, 2021 and 2020, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

Final Net Asset Value for Fiscal Period

The

cut-off

times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 2021 were typically as follows. All times are Eastern Standard Time:

Fund	Create/Redeem Cut-off*	NAV Calculation Time	NAV Calculation Date
Ultra Silver and UltraShort Silver	1:00 p.m.	1:25 p.m.	March 31, 2021
Ultra Gold and UltraShort Gold	1:00 p.m.	1:30 p.m.	March 31, 2021
Ultra Bloomberg Crude Oil,
Ultra Bloomberg Natural Gas,
UltraShort Bloomberg Crude Oil and
UltraShort Bloomberg Natural Gas	2:00 p.m.	2:30 p.m.	March 31, 2021
Short Euro,
Ultra Euro,
Ultra Yen,
UltraShort Australian Dollar,
UltraShort Euro and
UltraShort Yen	3:00 p.m.	4:00 p.m.	March 31, 2021
Short VIX Short-Term Futures ETF**,
Ultra VIX Short-Term Futures ETF**,
VIX Mid-Term Futures ETF** and
VIX Short-Term Futures ETF**	2:00 p.m.	4:00 p.m.	March 31, 2021

* Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 2021.

** On Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Please see Note 8 in these Notes to Financial Statements for more information.

Market value per Share is determined at the close of the applicable primary listing exchange and may be later than when the Funds’ NAV per Share is calculated.

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended March 31, 2021.

Investment Valuation

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.

Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor.

100

Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

Fair Value of Financial Instruments

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:

Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).

Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.

In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.

Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.

101

The following tablesummarizes the valuation of investments at March 31, 2021 using the fair value hierarchy:

	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
Fund	Short-Term U.S. Government and Agencies		Futures Contracts *			Foreign Currency Forward Contracts			Swap Agreements			Total
ProShares Short Euro	$	999,973	$	33,928		$	—		$	—		$	1,033,901
ProShares Short VIX Short-Term Futures ETF		91,998,460		50,470,675			—			—			142,469,135
ProShares Ultra Bloomberg Crude Oil		689,976,589		238,548,911			—			(40,748,594	)		887,776,906
ProShares Ultra Bloomberg Natural Gas		33,999,110		(11,300,062	)		—			—			22,699,048
ProShares Ultra Euro		999,973		—			(222,404	)		—			777,569
ProShares Ultra Gold		86,998,893		393,125			—			6,160,430			93,552,448
ProShares Ultra Silver		419,985,837		(15,401,821	)		—			(28,421,003	)		376,163,013
ProShares Ultra VIX Short-Term Futures ETF		376,985,173		(332,928,249	)		—			—			44,056,924
ProShares Ultra Yen		499,986		—			(189,002	)		—			310,984
ProShares UltraShort Australian Dollar		—		67,102			—			—			67,102
ProShares UltraShort Bloomberg Crude Oil		34,999,082		(9,000,179	)		—			—			25,998,903
ProShares UltraShort Bloomberg Natural Gas		43,998,801		16,272,857			—			—			60,271,658
ProShares UltraShort Euro		17,999,536		—			3,254,693			—			21,254,229
ProShares UltraShort Gold		12,999,597		39,145			—			(685,467	)		12,353,275
ProShares UltraShort Silver		14,999,620		3,276,894			—			771,233			19,047,747
ProShares UltraShort Yen		14,499,635		—			2,335,922			—			16,835,557
ProShares VIX Mid-Term Futures ETF		31,999,153		(9,410,288	)		—			—			22,588,865
ProShares VIX Short-Term Futures ETF		152,996,232		(59,803,004	)		—			—			93,193,228
Total Trust	$	2,026,935,650	$	(128,740,966	)	$	5,179,209		$	(62,923,401	)	$	1,840,450,492

* Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes the valuation of investments at December 31, 2020 using the fair value hierarchy:

	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
Fund	Short-Term U.S. Government and Agencies		Futures Contracts *			Foreign Currency Forward Contracts			Swap Agreements			Total
ProShares Short Euro	$	—	$	(44,626	)	$	—		$	—		$	(44,626	)
ProShares Short VIX Short-Term Futures ETF		69,999,639		8,348,783			—			—			78,348,422
ProShares Ultra Bloomberg Crude Oil		219,998,394		144,564,039			—			18,242,195			382,804,628
ProShares Ultra Bloomberg Natural Gas		29,999,889		6,500,721			—			—			36,500,610
ProShares Ultra Euro		—		—			88,736			—			88,736
ProShares Ultra Gold		74,999,467		2,646,874			—			5,140,980			82,787,321
ProShares Ultra Silver		244,993,989		37,190,212			—			56,752,666			338,936,867
ProShares Ultra VIX Short-Term Futures ETF		244,995,969		(48,524,666	)		—			(24,807	)		196,446,496
ProShares Ultra Yen		—		—			67,087			—			67,087
ProShares UltraShort Australian Dollar		—		(138,950	)		—			—			(138,950	)
ProShares UltraShort Bloomberg Crude Oil		—		(14,636,813	)		—			—			(14,636,813	)
ProShares UltraShort Bloomberg Natural Gas		9,999,861		379,310			—			—			10,379,171
ProShares UltraShort Euro		9,999,861		—			(1,136,704	)		—			8,863,157
ProShares UltraShort Gold		—		(196,930	)		—			(268,728	)		(465,658	)
ProShares UltraShort Silver		—		(220,076	)		—			(3,197,561	)		(3,417,637	)
ProShares UltraShort Yen		—		—			(564,966	)		—			(564,966	)
ProShares VIX Mid-Term Futures ETF		44,999,732		(1,133,616	)		—			—			43,866,116
ProShares VIX Short-Term Futures ETF		84,999,583		(6,364,090	)		—			—			78,635,493
Total Trust	$	1,034,986,384	$	128,370,172		$	(1,545,847	)	$	76,644,745		$	1,238,455,454

102

* Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

Investment Transactions and Related Income

Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations.

Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.

Brokerage Commissions and Fees

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees,

give-up

fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

Federal Income Tax

Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.

Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to,

on-going

analysis of tax law, regulation, and interpretations thereof.

New Accounting Pronouncement

In March 2020, the FASB issued Accounting Standards Update

No. 2020-04

(“ASU

2020-04”),

“Reference Rate Reform (Topic 840): Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. ASU

2020-04

provides entities with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., LIBOR) that are expected to be discontinued. ASU

2020-04

allows, among other things, certain contract modifications to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Funds will consider this optional guidance prospectively, if applicable.

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.

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 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 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.

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, 2021contractually 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.

106

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 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, 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

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.

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, 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.

107

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.

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.

The following tables indicate the location of derivative related items on the Statements of Financial Condition as

w

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

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

108

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
	ProShares UltraShort Australian Dollar		$	67,102	*		$	—
	ProShares UltraShort Euro			3,436,568				181,875
	ProShares UltraShort Yen			2,366,090				30,168
		Total Trust	$	322,651,846	*		$	509,137,004	*

* 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

Fair Valueof 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	*

* 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 on open futures.

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

110

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

TheEffect 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.

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.

112

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

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 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

Gross AmountsNot 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

v

ailable for offset

under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2020:

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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

GrossAmounts 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
Goldman Sachs International	$	12,930,574		$	(12,930,574	)	$	0		$	0
Morgan Stanley & Co. International PLC		12,353,706			0			(12,353,706	)		0
UBS AG		13,457,610			(4,126,610	)		(9,331,000	)		0
ProShares Ultra VIX Short-Term Futures ETF
Goldman Sachs & Co.		(24,807	)		0			24,807			0
ProShares Ultra Yen
Goldman Sachs International		34,265			0			0			34,265
UBS AG		32,822			0			0			32,822
ProShares UltraShort Euro
Goldman Sachs International		(388,233	)		0			388,233			0
UBS AG		(748,471	)		748,471			0			0
ProShares UltraShort Gold
Citibank, N.A.		(80,068	)		0			80,068			0
Goldman Sachs International		(82,645	)		0			82,645			0
UBS AG		(106,015	)		0			106,015			0
ProShares UltraShort Silver
Citibank, N.A.		(1,208,988	)		0			1,208,988			0
Goldman Sachs International		(927,829	)		0			927,829			0
Morgan Stanley & Co. International PLC		(579,421	)		0			579,421			0
UBS AG		(481,323	)		0			481,323			0
ProShares UltraShort Yen
Goldman Sachs International		(207,021	)		0			207,021			0
UBS AG		(357,945	)		0			357,945			0

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a M

a

nagement 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.

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 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 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

118

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended March 31, 2021

For the Three Months Ended March 31, 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	%
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.

119

For the Three Months Ended March 31, 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		$	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	)%

** 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.

120

For the Three Months Ended March 31, 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		$	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	)%

** 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.

121

Selected data for a Share outstanding throughout the three months ended March 31, 2020

For the Three Months Ended March 31, 2020 (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, 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.

+ Amount greater than $(0.005)

@ NAV on March 27, 2020, the date liquidation was determined to be imminent. See Note 1.

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For the Three Months Ended March 31, 2020 (unaudited)

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	%

** 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.

124

For the Three Months Ended March 31, 2020 (unaudited)

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	%

** 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.

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NOTE 8 – 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

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 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 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

127

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.

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 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, investors in the Short or an UltraShort Fund could suffer significant losses or lose their entire investment. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and may cause 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 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

SM

to the Bloomberg Commodity Balanced WTI Crude Oil Index

SM

(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

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

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 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. Contemporaneous with the onset of the

COVID-19

pandemic in the US, oil experienced shocks to supply and demand, impacting the price and volatility of oil. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses.

Change to the VIX Funds Benchmark Indices

Change to VIX Futures Contracts Settlement Time \ Index Methodology.

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 9 – 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.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form

10-Q.

The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.

Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements.

Introduction

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2021, 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, 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 (ticker symbol: BOIL). The reverse splits were effective prior to market open on April 21, 2020, 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 in a proportionate increase in the price per share and per share information of these 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.

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.

132

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

times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation.

Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from

-0.5x,

-1x,

-2x,

1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily.

Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX

Mid-Term

Futures Index (the

“Mid-Term

VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”).

ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.

Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a

per-Share

market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

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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 and 2020, each of the Funds earned interest income as follows:

Fund	Interest Income Three Months Ended March 31, 2021		Interest Income Three Months Ended March 31, 2020
ProShares Short Euro	$	596	$	7,595
ProShares Short VIX Short-Term Futures ETF		33,890		749,861
ProShares Ultra Bloomberg Crude Oil		168,075		1,401,460
ProShares Ultra Bloomberg Natural Gas		13,815		139,339
ProShares Ultra Euro		584		15,801
ProShares Ultra Gold		35,827		414,684
ProShares Ultra Silver		98,129		776,287
ProShares Ultra VIX Short-Term Futures ETF		113,969		1,411,740
ProShares Ultra Yen		356		8,867
ProShares UltraPro 3x Crude Oil ETF*		—		346,326
ProShares UltraPro 3x Short Crude Oil ETF*		—		166,789
ProShares UltraShort Australian Dollar		258		20,054
ProShares UltraShort Bloomberg Crude Oil		10,835		248,709
ProShares UltraShort Bloomberg Natural Gas		7,883		42,432
ProShares UltraShort Euro		7,166		399,657
ProShares UltraShort Gold		2,962		61,021
ProShares UltraShort Silver		3,117		44,536
ProShares UltraShort Yen		3,596		126,183
ProShares VIX Mid-Term Futures ETF		10,224		158,298
ProShares VIX Short-Term Futures ETF		38,460		960,075

* 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

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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, 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.

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations.

Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

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 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 Compared to the Three Months Ended March 31, 2020

ProShares Short Euro

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	$	4,191,955		$	2,282,195
NAV end of period	$	2,184,540		$	2,332,843
Percentage change in NAV		(47.9	)%		2.2	%
Shares outstanding beginning of period		100,000			50,000
Shares outstanding end of period		50,000			50,000
Percentage change in shares outstanding		(50.0	)%		—	%
Shares created		—			—
Shares redeemed		50,000			—
Per share NAV beginning of period	$	41.92		$	45.64
Per share NAV end of period	$	43.69		$	46.66
Percentage change in per share NAV		4.2	%		2.2	%
Percentage change in benchmark		(4.0	)%		(1.7	)%
Benchmark annualized volatility		6.2	%		9.8	%

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 and 2020, 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% for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 2.2% 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.

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:

138

	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020
Net investment income (loss)	$	(8,638	)	$	1,992
Management fee		9,053			5,503
Brokerage commission		181			100
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

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 greater decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2021.

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:

	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020
NAV beginning of period	$	409,371,468		$	284,437,179
NAV end of period	$	527,130,851		$	809,257,658
Percentage change in NAV		28.8	%		184.5	%
Shares outstanding beginning of period		9,884,307			4,334,307
Shares outstanding end of period		11,184,307			26,084,307
Percentage change in shares outstanding		13.2	%		501.8	%
Shares created		2,400,000			24,850,000
Shares redeemed		1,100,000			3,100,000
Per share NAV beginning of period	$	41.42		$	65.62
Per share NAV end of period	$	47.13		$	31.02
Percentage change in per share NAV		13.8	%		(52.7	)%
Percentage change in benchmark		(32.0	)%		209.3	%
Benchmark annualized volatility		81.9	%		140.6	%

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 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 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 and 2020, 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 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 in the value of the assets held by the Fund 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)		$	(1,442,366	)	$	(355,596	)
Management fee			1,042,569			886,197
Brokerage commission			175,910			189,532
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	)

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 futures prices during the three months ended March 31, 2021.

140

ProShares Ultra Bloomberg Crude Oil*

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	$	902,739,250		$	309,844,582
NAV end of period	$	1,088,579,093		$	435,593,381
Percentage change in NAV		20.6	%		40.6	%
Shares outstanding beginning of period		24,810,774			608,453
Shares outstanding end of period		20,710,774			10,848,453
Percentage change in shares outstanding		(16.5	)%		1,683.0	%
Shares created		2,350,000			10,680,000
Shares redeemed		6,450,000			440,000
Per share NAV beginning of period	$	36.38		$	509.23
Per share NAV end of period	$	52.56		$	40.15
Percentage change in per share NAV		44.5	%		(92.1	)%
Percentage change in benchmark		22.0	%		(66.5	)%
Benchmark annualized volatility		32.3	%		59.5	%

On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil 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

SM

(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

SM

. The investment objective of Fund is to seek 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 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

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

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.

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

SM

. 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, during the three months ended March 31, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 608,453 outstanding Shares at December 31, 2019 to 10,848,453 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 two times (2x) the daily performance of the Bloomberg WTI Crude Oil Subindex

SM

.

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 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

SM

 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

SM

. 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

SM

. 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 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 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 appreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.

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 an increase in the value of Henry Hub Natural Gas 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)	$	(415,145	)	$	(2,351	)
Management fee		254,815			97,108
Brokerage commission		92,297			44,582
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	)

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 Henry Hub Natural Gas 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 Natural Gas.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2021 and 2020:

143

	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020
NAV beginning of period	$	4,737,350		$	6,204,424
NAV end of period	$	3,611,724		$	3,949,142
Percentage change in NAV		(23.8	)%		(36.3	)%
Shares outstanding beginning of period		300,000			450,000
Shares outstanding end of period		250,000			300,000
Percentage change in shares outstanding		(16.7	)%		(33.3	)%
Shares created		—			50,000
Shares redeemed		50,000			200,000
Per share NAV beginning of period	$	15.79		$	13.79
Per share NAV end of period	$	14.45		$	13.16
Percentage change in per share NAV		(8.5	)%		(4.5	)%
Percentage change in benchmark		(4.0	)%		(1.7	)%
Benchmark annualized volatility		6.2	%		9.8	%

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, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 450,000 outstanding Shares at December 31, 2019 to 300,000 outstanding Shares at March 31, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.

For the 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 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

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	%

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 Bloomberg Gold Subindex

SM

. 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, during the three months ended March 31, 2020, 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 Subindex

SM

.

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 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 Fund 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

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	%

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 Bloomberg Silver Subindex

SM

. 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

SM

. 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

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 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 in the value of the assets held by the Fund during the three months ended March 31, 2021.

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 in the value of silver futures contracts 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)	$	(1,741,775	)	$	276,832
Management fee		1,631,135			481,247
Brokerage commission		46,582			18,208
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	)

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 lesser decrease in the value of futures prices during the three months ended March 31, 2021.

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 and 2020:

	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020
NAV beginning of period	$	1,356,204,199		$	527,636,003
NAV end of period	$	1,284,373,170		$	592,820,492
Percentage change in NAV		(5.3	)%		12.4	%
Shares outstanding beginning of period		127,130,912			41,630,912
Shares outstanding end of period		228,030,912			10,130,912
Percentage change in shares outstanding		79.4	%		(75.7	)%
Shares created		196,300,000			9,900,000
Shares redeemed		95,400,000			41,400,000
Per share NAV beginning of period	$	10.67		$	12.67
Per share NAV end of period	$	5.63		$	58.52
Percentage change in per share NAV		(47.2	)%		361.9	%
Percentage change in benchmark		—	%		209.3	%
Benchmark annualized volatility		—	%		140.6	%

147

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 Ultra 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.

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 outstanding Shares at December 31, 2020 to 228,030,912 outstanding Shares at 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 one and

one-half

times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 41,630,912 outstanding Shares at December 31, 2019 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 Fund 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

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.

148

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 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 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] in the value of the assets held by the Fund during the three months ended March 31, 2021.

The benchmark’s rise of –% 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] in the value of the Japanese yen 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:

149

	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020
Net investment income (loss)	$	(6,293	)	$	1,626
Management fee		6,649			7,241
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	)

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/lesser] [increase/decrease] in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2021.

ProShares UltraShort Australian Dollar

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	$	2,222,639		$	5,608,612
NAV end of period	$	2,258,880		$	7,230,367
Percentage change in NAV		1.6	%		28.9	%
Shares outstanding beginning of period		50,000			100,000
Shares outstanding end of period		50,000			100,000
Percentage change in shares outstanding		—	%		—	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	44.45		$	56.09
Per share NAV end of period	$	45.18		$	72.30
Percentage change in per share NAV		1.6	%		28.9	%
Percentage change in benchmark		—	%		(12.4	)%
Benchmark annualized volatility		—	%		14.4	%

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 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x the inverse of the daily performance of its benchmark. 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] in the value of the assets held by the Fund during the three months ended March 31, 2021.

150

The benchmark’s rise of –% 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] in the value of the Australian dollar 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)	$	(5,267	)	$	3,425
Management fee		5,139			15,130
Brokerage commission		386			1,499
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

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/lesser] [increase/decrease] in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2021.

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 and 2020:

	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020
NAV beginning of period	$	96,839,233		$	125,451,681
NAV end of period	$	91,718,390		$	100,094,023
Percentage change in NAV		(5.3	)%		(20.2	)%
Shares outstanding beginning of period		8,339,884			10,289,884
Shares outstanding end of period		12,739,884			2,039,884
Percentage change in shares outstanding		52.8	%		(80.2	)%
Shares created		7,800,000			3,350,000
Shares redeemed		3,400,000			11,600,000
Per share NAV beginning of period	$	11.61		$	12.19
Per share NAV end of period	$	7.20		$	49.07
Percentage change in per share NAV		(38.0	)%		302.5	%
Percentage change in benchmark		—	%		(66.5	)%
Benchmark annualized volatility		—	%		100.9	%

On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil 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

SM

(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

SM

. The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the New Benchmark.

151

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

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

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.

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

SM

. The decrease in the Fund’s NAV was offset by an increase from 8,339,884 outstanding Shares at December 31, 2020 to 12,739,884 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 10,289,884 outstanding Shares at December 31, 2019 to 2,039,884 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 Bloomberg WTI Crude Oil Subindex

SM

.

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

SM

 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.

152

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 outstanding Shares at December 31, 2020 to 1,774,832 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

SM

. 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

SM

. 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 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 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 depreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.

153

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 an increase in the value of Henry Hub Natural Gas 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)	$	(260,407	)	$	(22,279	)
Management fee		159,337			32,430
Brokerage commission		85,680			32,281
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

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 Henry Hub Natural Gas, in conjunction with the timing of shareholders activity, during the three months ended March 31, 2021.

ProShares UltraShort Euro

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	$	52,953,339		$	120,581,173
NAV end of period	$	54,932,137		$	93,194,599
Percentage change in NAV		3.7	%		(22.7	)%
Shares outstanding beginning of period		2,350,000			4,500,000
Shares outstanding end of period		2,250,000			3,350,000
Percentage change in shares outstanding		(4.3	)%		(25.6	)%
Shares created		200,000			200,000
Shares redeemed		300,000			1,350,000
Per share NAV beginning of period	$	22.53		$	26.80
Per share NAV end of period	$	24.41		$	27.82
Percentage change in per share NAV		8.4	%		3.8	%
Percentage change in benchmark		(4.0	)%		(1.7	)%
Benchmark annualized volatility		6.2	%		9.8	%

154

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 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 8.4%, for the three months ended March 31, 2021, as compared to the Fund’s per Share NAV increase of 3.8% 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.

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)	$	(116,872	)	$	136,215
Management fee		124,038			263,442
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

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.

155

ProShares UltraShort 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	$	20,337,376		$	21,047,560
NAV end of period	$	41,243,515		$	20,569,044
Percentage change in NAV		102.8	%		(2.3	)%
Shares outstanding beginning of period		646,977			396,977
Shares outstanding end of period		1,096,977			446,977
Percentage change in shares outstanding		69.6	%		12.6	%
Shares created		750,000			200,000
Shares redeemed		300,000			150,000
Per share NAV beginning of period	$	31.43		$	53.02
Per share NAV end of period	$	37.60		$	46.02
Percentage change in per share NAV		19.6	%		(13.2	)%
Percentage change in benchmark		(9.8	)%		4.5	%
Benchmark annualized volatility		18.4	%		28.2	%

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

SM

. 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 the inverse

(-2x)

of the daily performance of the Bloomberg Gold Subindex

SM

. The decrease in the Fund’s NAV was offset by an increase from 396,977 outstanding Shares at December 31, 2019 to 446,977 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 Fund 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.

156

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 outstanding Shares at December 31, 2020 to 6,466,976 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

SM

. 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 Silver Subindex

SM

. 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 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 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 in the value of the assets held by the Fund during the three months ended March 31, 2021.

157

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 in the value of the silver futures contracts 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)	$	(99,063	)	$	3,419
Management fee		84,745			37,136
Brokerage commission		7,444			3,981
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

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 lesser decrease in the value of futures prices during the three months ended March 31, 2021.

ProShares UltraShort 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	$	23,691,070		$	38,132,320
NAV end of period	$	34,921,840		$	29,586,170
Percentage change in NAV		47.4	%		(22.4	)%
Shares outstanding beginning of period		349,290			499,290
Shares outstanding end of period		449,290			399,290
Percentage change in shares outstanding		28.6	%		(20.0	)%
Shares created		100,000			50,000
Shares redeemed		—			150,000
Per share NAV beginning of period	$	67.83		$	76.37
Per share NAV end of period	$	77.73		$	74.10
Percentage change in per share NAV		14.7	%		(3.0	)%
Percentage change in benchmark		(6.8	)%		1.1	%
Benchmark annualized volatility		5.1	%		15.6	%

During the three months ended March 31, 2021, 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

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. By comparison, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 499,290 outstanding Shares at December 31, 2019 to 399,290 outstanding Shares at March 31, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse

(-2x)

of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended 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 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 appreciation in the value of the assets held by the Fund during the three months ended March 31, 2021.

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 decrease in the value of the Japanese yen 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)	$	(62,957	)	$	41,746
Management fee		66,553			84,437
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	)

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 Japanese yen versus the U.S. dollar during the three months ended March 31, 2021.

159

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 and 2020:

	Three Months Ended March 31, 2021			Three Months Ended March 31, 2020
NAV beginning of period	$	72,075,095		$	45,986,584
NAV end of period	$	75,122,747		$	45,034,386
Percentage change in NAV		4.2	%		(2.1	)%
Shares outstanding beginning of period		1,962,403			2,162,403
Shares outstanding end of period		2,162,403			1,162,403
Percentage change in shares outstanding		10.2	%		(46.2	)%
Shares created		400,000			375,000
Shares redeemed		200,000			1,375,000
Per share NAV beginning of period	$	36.73		$	21.27
Per share NAV end of period	$	34.74		$	38.74
Percentage change in per share NAV		(5.4	)%		82.1	%
Percentage change in benchmark		(5.1	)%		82.5	%
Benchmark annualized volatility		30.6	%		86.7	%

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

Mid-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.

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, during the three months ended March 31, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,162,403 outstanding Shares at December 31, 2019 to 1,162,403 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

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

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.

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.

During the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 21,326,317 outstanding Shares at December 31, 2020 to 37,501,317 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

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 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 32.0% 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 in the value of the assets held by the Fund 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 the 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)	$	(1,224,804	)	$	144,025
Management fee		825,460			626,516
Brokerage commission		172,658			184,760
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

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.

162

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity

Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments.

The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of March 31, 2021 and 2020, each of the Fund’s positions were as follows:

ProShares Short Euro

:

As of March 31, 2021 and 2020, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2021

Contract

Long or Short

Expiration

Contracts

Valuation Price

Contract Multiplier

Notional Amount at Value

Euro Fx Currency Futures (CME)

Short

June 2021

15

$

1.17

125,000

$

(2,201,625

)

Futures Positions as of March 31, 2020

Contract

Long or Short

Expiration

Contracts

Valuation Price

Contract Multiplier

Notional Amount at Value

Euro Fx Currency Futures (CME)

Short

June 2020

17

$

1.11

125,000

$

(2,348,019

)

The March 31, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $1.00 of short exposure to the euro for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day.

ProShares Short VIX Short-Term Futures ETF

As of March 31, 2021 and 2020, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2021 and 2020, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2021
Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)		Short		April 2021		6,607	$	20.73		1,000	$	(136,989,538	)
VIX Futures (Cboe)		Short		May 2021		5,590		22.68		1,000		(126,757,722	)

163

Futures Positions as of March 31, 2020
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Short	April 2020		4,392	$	46.78		1,000	$	(205,435,800	)
VIX Futures (Cboe)	Short	May 2020		4,878		40.93		1,000		(199,632,150	)

The March 31, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative

one-half.

See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day.

ProShares Ultra Bloomberg Crude Oil:

As of March 31, 2021 and 2020, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index

SM

and Bloomberg WTI Crude Oil Subindex

SM

, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2021
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	June 2021		8,933	$	59.18		1,000	$	528,654,940
WTI Crude Oil (NYMEX)	Long	December 2021		9,478		56.85		1,000		538,824,300
WTI Crude Oil (NYMEX)	Long	June 2022		9,857		54.72		1,000		539,375,040

Swap Agreements as of March 31, 2021
Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Bloomberg Commodity Balanced WTI Crude Oil Index	Goldman Sachs International	Long	$49.0975	$108,014,255
Bloomberg Commodity Balanced WTI Crude Oil Index	Morgan Stanley & Co. International PLC	Long	49.0975	202,730,402
Bloomberg Commodity Balanced WTI Crude Oil Index	Societe Generale	Long	49.0975	104,445,210
Bloomberg Commodity Balanced WTI Crude Oil Index	UBS AG	Long	49.0975	155,489,475

Futures Positions as of March 31, 2020
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	May 2020		15,735	$	20.48		1,000	$	322,252,800

164

Swap Agreements as of March 31, 2020
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Citibank, N.A.	Long	$	30.1606	$	103,616,044
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Long		30.1606		129,822,430
Bloomberg WTI Crude Oil Subindex	Royal Bank of Canada	Long		30.1606		144,648,067
Bloomberg WTI Crude Oil Subindex	Societe Generale	Long		30.1606		32,149,931
Bloomberg WTI Crude Oil Subindex	UBS AG	Long		30.1606		137,973,564

The March 31, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2021 and 2020 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of exposure to the Index for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party

accounts at the Fund’s third-party custodian.

ProShares Ultra Bloomberg Natural Gas:

As of March 31, 2021 and 2020, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2021
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Long	May 2021		5,698	$	2.61		10,000	$	148,603,840

Futures Positions as of March 31, 2020
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Long	May 2020		3,249	$	1.64		10,000	$	53,283,600

The March 31, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of exposure to the Index for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day.

ProShares Ultra Euro:

As of March 31, 2021 and 2020, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to exchange rate price risk.

165

Foreign Currency Forward Contracts as of March 31, 2021

Reference Currency

Counterparty

Long or Short

Settlement Date

Local Currency

Forward Rate

Market Value USD

Euro

Goldman Sachs International

Long

04/09/21

2,210,921

1.2082

$

2,671,235

Euro

UBS AG

Long

04/09/21

4,249,502

1.2075

5,131,458

Euro

UBS AG

Short

04/09/21

(276,000

)

1.1884

(327,986

)

Foreign Currency Forward Contracts as of March 31, 2020
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		04/03/20		5,798,921			1.1140	$	6,459,710
Euro	UBS AG	Long		04/03/20		5,578,220			1.1120		6,202,913
Euro	Goldman Sachs International	Short		04/03/20		(1,190,000	)		1.1446		(1,362,084	)
Euro	UBS AG	Short		04/03/20		(3,030,918	)		1.0879		(3,297,458	)

The March 31, 2021 and 2020 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of exposure to the euro for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party

accounts at the Fund’s third-party custodian.

ProShares Ultra Gold:

As of March 31, 2021 and 2020 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex

SM

. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2021
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Long	June 2021		722	$	1,715.60		100	$	123,866,320

Swap Agreements as of March 31, 2021
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Long	$	189.7346	$	105,063,244
Bloomberg Gold Subindex	Goldman Sachs International	Long		189.7346		90,791,674
Bloomberg Gold Subindex	UBS AG	Long		189.7346		109,293,502

Futures Positions as of March 31, 2020
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Long	June 2020		482	$	1,596.60		100	$	76,956,120

166

Swap Agreements as of March 31, 2020
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Long	$	181.9712	$	62,978,399
Bloomberg Gold Subindex	Goldman Sachs International	Long		181.9712		62,167,791
Bloomberg Gold Subindex	UBS AG	Long		181.9712		54,777,259

The March 31, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2021 and 2020 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of exposure to the Index for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party

accounts at the Fund’s third-party custodian.

ProShares Ultra Silver:

As of March 31, 2021 and 2020 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex

SM

. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2021
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Long	May 2021		1,667	$	24.53		5,000	$	204,474,220

Swap Agreements as of March 31, 2021
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Long	$	223.9196	$	291,359,450
Bloomberg Silver Subindex	Goldman Sachs International	Long		223.9196		218,805,087
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Long		223.9196		228,795,897
Bloomberg Silver Subindex	UBS AG	Long		223.9196		201,503,724

Futures Positions as of March 31, 2020
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Long	May 2020		906	$	14.16		5,000	$	64,126,680

Swap Agreements as of March 31, 2020
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Long	$	133.7523	$	62,269,702
Bloomberg Silver Subindex	Goldman Sachs International	Long		133.7523		68,893,289
Bloomberg Silver Subindex	UBS AG	Long		133.7523		64,040,895

167

The March 31, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2021 and 2020 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of exposure to the Index for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party

accounts at the Fund’s third-party custodian.

ProShares Ultra VIX Short-Term Futures ETF

As of March 31, 2021 and 2020, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2021
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	April 2021		45,234	$	20.73		1,000	$	937,881,756
VIX Futures (Cboe)	Long	May 2021		38,279		22.68		1,000		868,006,948

Swap Agreements as of March 31, 2021
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index	Goldman Sachs International	Long	$	11.4000	$	120,270,000

Futures Positions as of March 31, 2020
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	April 2020		8,867	$	46.78		1,000	$	414,753,925
VIX Futures (Cboe)	Long	May 2020		9,852		40.93		1,000		403,193,100

Swap Agreements as of March 31, 2020
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index	Goldman Sachs International	Long	$	46.1923	$	71,236,931

The March 31, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2021 and 2020 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and

one-half.

See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party

accounts at the Fund’s third-party custodian.

168

ProShares Ultra Yen:

As of March 31, 2021 and 2020, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2021

Reference Currency

Counterparty

Long or Short

Settlement Date

Local Currency

Forward Rate

Market Value USD

Yen

Goldman Sachs International

Long

04/09/21

332,532,517

0.009354

$

3,110,368

Yen

UBS AG

Long

04/09/21

263,662,756

0.009355

2,466,565

Yen

UBS AG

Short

04/09/21

(21,110,000

)

0.009176

(193,709

)

Foreign Currency Forward Contracts as of March 31, 2020
Reference Currency	Counterparty		Long or Short		Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen		Goldman Sachs International		Long		04/03/20		374,903,256			0.009352	$	3,506,173
Yen		UBS AG		Long		04/03/20		297,882,756			0.009332		2,779,768
Yen		Goldman Sachs International		Short		04/03/20		(35,997,739	)		0.009386		(337,883	)
Yen		UBS AG		Short		04/03/20		(34,490,000	)		0.009184		(316,747	)

The March 31, 2021 and 2020 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of exposure to the yen for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Australian Dollar:

As of March 31, 2021 and 2020, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2021
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Short	June 2021		60	$	75.98		1,000	$	(4,560,900	)

169

Futures Positions as of March 31, 2020
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Short	June 2020		234	$	61.53		1,000	$	(14,374,620	)

The March 31, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Bloomberg Crude Oil:

As of March 31, 2021 and 2020, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index

SM

and Bloomberg WTI Crude Oil Subindex

SM

, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2021
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	June 2021		1,020	$	59.18		1,000	$	(60,363,600	)
WTI Crude Oil (NYMEX)	Short	December 2021		1,082		56.85		1,000		(61,511,700	)
WTI Crude Oil (NYMEX)	Short	June 2022		1,125		54.72		1,000		(61,560,000	)

Futures Positions as of March 31, 2020
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	May 2020		3,923	$	20.48		1,000	$	(80,343,040	)

Swap Agreements as of March 31, 2020
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Citibank N.A.	Short	$	30.1606	$	(23,689,605	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		30.1606		(37,283,308	)
Bloomberg WTI Crude Oil Subindex	Royal Bank of Canada	Short		30.1606		(35,979,891	)
Bloomberg WTI Crude Oil Subindex	Societe Generale	Short		30.1606		(1,886,919	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		30.1606		(21,000,790	)

The March 31, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. March 31, 2021 and 2020 short swap notional values are calculated by multiplying the

170

number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Natural Gas:

As of March 31, 2021 and 2020, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2021
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	May 2021		5,327	$	2.61		10,000	$	(138,928,160	)

Futures Positions as of March 31, 2020
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	May 2020		2,125	$	1.64		10,000	$	(34,850,000	)

The March 31, 2021 and 2020 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of March 31, 2021 and 2020, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2021
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	UBS AG	Long		04/09/21		12,078,000			1.1877	$	14,345,411
Euro	Goldman Sachs International	Short		04/09/21		(37,401,263	)		1.2082		(45,188,206	)
Euro	UBS AG	Short		04/09/21		(68,453,199	)		1.2035		(82,380,948	)

171

Foreign Currency Forward Contracts as of March 31, 2020
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		04/03/20		33,335,051			1.1208	$	37,363,018
Euro	UBS AG	Long		04/03/20		33,759,900			1.1016		37,188,671
Euro	Goldman Sachs International	Short		04/03/20		(76,098,314	)		1.1136		(84,743,082	)
Euro	UBS AG	Short		04/03/20		(160,480,099	)		1.1067		(177,599,175	)

The March 31, 2021 and 2020 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Gold:

As of March 31, 2021 and 2020 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex

SM

. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2021

Contract

Long or Short

Expiration

Contracts

Valuation Price

Contract Multiplier

Notional Amount at Value

Gold Futures (COMEX)

Short

June 2021

247

$

1,715.60

100

$

(42,375,320

)

Swap Agreements as of March 31, 2021
Reference Index	Counterparty	Long or Short		Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.		Short	$	189.7346	$	(14,224,080	)
Bloomberg Gold Subindex	Goldman Sachs International		Short		189.7346		(14,746,325	)
Bloomberg Gold Subindex	UBS AG		Short		189.7346		(11,127,395	)

Futures Positions as of March 31, 2020

Contract

Long or Short

Expiration

Contracts

Valuation Price

Contract Multiplier

Notional Amount at Value

Gold Futures (COMEX)

Short

June 2020

127

$

1,596.60

100

$

(20,276,820

)

Swap Agreements as of March 31, 2020
Reference Index	Counterparty	Long or Short		Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.		Short	$	181.9712	$	(9,571,739	)
Bloomberg Gold Subindex	Goldman Sachs International		Short		181.9712		(7,173,997	)
Bloomberg Gold Subindex	UBS AG		Short		181.9712		(4,175,904	)

172

The March 31, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2021 and 2020 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Silver:

As of March 31, 2021 and 2020 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex

SM

. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2021

Contract

Long or Short

Expiration

Contracts

Valuation Price

Contract Multiplier

Notional Amount at Value

Silver Futures (COMEX)

Short

May 2021

347

$

24.53

5,000

$

(42,563,020

)

Swap Agreements as of March 31, 2021
Reference Index	Counterparty	Long or Short		Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.		Short	$	223.9196	$	(8,308,475	)
Bloomberg Silver Subindex	Goldman Sachs International		Short		223.9196		(15,457,845	)
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC		Short		223.9196		(8,697,261	)
Bloomberg Silver Subindex	UBS AG		Short		223.9196		(15,222,974	)

Futures Positions as of March 31, 2020

Contract

Long or Short

Expiration

Contracts

Valuation Price

Contract Multiplier

Notional Amount at Value

Silver Futures (COMEX)

Short

May 2020

155

$

14.16

5,000

$

(10,970,900

)

Swap Agreements as of March 31, 2020
Reference Index	Counterparty	Long or Short		Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.		Short	$	133.7523	$	(12,296,080	)
Bloomberg Silver Subindex	Goldman Sachs International		Short		133.7523		(7,543,899	)
Bloomberg Silver Subindex	UBS AG		Short		133.7523		(6,961,822	)

The March 31, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2021 and 2020 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future

173

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party

accounts at the Fund’s third-party custodian.

ProShares UltraShort Yen:

As of March 31, 2021 and 2020, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2021 and 2020, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2021
Reference Currency	Counterparty	Long or Short		Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	UBS AG		Long		04/09/21		167,310,000			0.009212	$	1,541,327
Yen	Goldman Sachs International		Short		04/09/21		(2,009,085,165	)		0.009354		(18,792,128	)
Yen	UBS AG		Short		04/09/21		(5,895,178,875	)		0.009324		(54,965,979	)

Foreign Currency Forward Contracts as of March 31, 2020
Reference Currency	Counterparty	Long or Short		Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	Goldman Sachs International		Long		04/03/20		1,519,059,504			0.009552	$	14,509,954
Yen	UBS AG		Long		04/03/20		1,225,973,077			0.009320		11,425,593
Yen	Goldman Sachs International		Short		04/03/20		(3,356,532,669	)		0.009327		(31,305,097	)
Yen	UBS AG		Short		04/03/20		(5,767,995,952	)		0.009251		(53,358,109	)

The March 31, 2021 and 2020 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated

tri-party

accounts at the Fund’s third-party custodian.

ProShares VIX

Mid-Term

Futures ETF

As of March 31, 2021 and 2020, the ProShares VIX

Mid-Term

Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2021 and 2020, which were sensitive to equity market volatility risk.

174

Futures Positions as of March 31, 2021
Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)		Long	July 2021		550	$	24.30		1,000	$	13,365,000
VIX Futures (Cboe)		Long	August 2021		1,016		24.45		1,000		24,842,318
VIX Futures (Cboe)		Long	September 2021		1,016		24.85		1,000		25,249,530
VIX Futures (Cboe)		Long	October 2021		466		25.01		1,000		11,653,868

Futures Positions as of March 31, 2020
Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)		Long	July 2020		228	$	33.93		1,000	$	7,734,900
VIX Futures (Cboe)		Long	August 2020		481		31.68		1,000		15,235,675
VIX Futures (Cboe)		Long	September 2020		481		30.10		1,000		14,478,100
VIX Futures (Cboe)		Long	October 2020		253		29.93		1,000		7,571,025

The March 31, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day.

ProShares VIX Short-Term Futures ETF

As of March 31, 2021 and 2020, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of March 31, 2021 and 2020, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2021
Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)		Long	April 2021		8,754	$	20.73		1,000	$	181,505,436
VIX Futures (Cboe)		Long	May 2021		7,407		22.68		1,000		167,959,651

Share

Futures Positions as of March 31, 2020
Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)		Long	April 2020		2,417	$	46.78		1,000	$	113,055,175
VIX Futures (Cboe)		Long	May 2020		2,684		40.93		1,000		109,842,700

The March 31, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form

10-K

for additional information regarding performance for periods longer than a single day.

175

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

the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a

(1.1*0.9)-1

=

-1%

period benchmark return, the

two-day

period return for a theoretical

two-times

fund would be equal to a (1.2

*0.8)-1

=

-4%

period Fund return (rather than simply two times the period return of the benchmark).

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form

10-K,

the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective

(-0.5x,

-1x,

-2x,

1.5x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described in Item 7 of the Annual Report on Form

10-K,

these adjustments are done through the use of various Financial Instruments. Factors common to all Funds that may require portfolio

re-positioning

are create/redeem activity and index rebalances.

For Geared Funds, the impact of the index’s movements each day also affects whether the Fund’s portfolio needs to be rebalanced. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds and UltraShort Funds will generally decrease when the Index rises on a given day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day. As a result, the Fund’s short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in both

non-interest

bearing and interest bearing demand deposit accounts. The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

Item 4. Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules

13a-15(e)

and

15d-15(e)

under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of December 31, 2020, 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

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 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

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

The Sponsor and 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 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.

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

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 2020, the unemployment rate in the U.S. was extremely high by historical standards. Further, the global slowdown in the economy contributed to a significant oversupply in the crude oil market, resulting in historic shocks to, and extreme volatility in, the price of oil and related derivatives contracts. It is not possible to predict when unemployment and market conditions will return to more normal levels.

Market downturns, disruptions or illiquidity as a result of, or related to, the

COVID-19

pandemic can have a significant negative impact on the value of Fund portfolio investments, the operations of each Fund, the markets in which the Funds invest and the trading of Fund Shares in the secondary market. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margin and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transact on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure consistent with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.

180

Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks

The onset of the novel coronavirus

(COVID-19)

has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of

COVID-19.

These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. These and other global economic shocks as a result of the

COVID-19

pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.

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

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

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

182

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	XBRL Instance Document (1)
101.SCH	XBRL Taxonomy Extension Schema (1)
101.CAL	XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF	XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB	XBRL Taxonomy Extension Label Linkbase (1)
101.PRE	XBRL Taxonomy Extension Presentation Linkbase (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

Signatures

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

PROSHARES TRUST II

/s/ Todd Johnson

By: Todd Johnson

Principal Executive Officer

Date: May 7, 2021

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial and Accounting Officer

Date: May 7, 2021

184