ProShares Ultra Gold (UGL) 10-Q 2022 Q3 Quarterly report

0001415311 ck0001415311:ProsharesUltraShortSilverMember us-gaap:PrivatePlacementMember 2022-01-01 2022-09-30

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 September 30, 2022.

or

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

for the transition period fromto.

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

7272 Wisconsin Avenue, 21

st

Floor

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(240)

497-6400

(Registrant’s telephone number, including area code)

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

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
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 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

October 31

, 2022, the registrant had 183,944,037 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.		1
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.		125
Item 3. Quantitative and Qualitative Disclosures About Market Risk.		173
Item 4. Controls and Procedures.		187
Part II. OTHER INFORMATION
Item 1. Legal Proceedings.		189
Item 1A. Risk Factors.		189
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		191
Item 3. Defaults Upon Senior Securities.		193
Item 4. Mine Safety Disclosures.		193
Item 5. Other Information.		193
Item 6. Exhibits.		194

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 VIX Short-Term Futures ETF		2
ProShares Ultra Bloomberg Crude Oil		7
ProShares Ultra Bloomberg Natural Gas		12
ProShares Ultra Euro		17
ProShares Ultra Gold		22
ProShares Ultra Silver		27
ProShares Ultra VIX Short-Term Futures ETF		32
ProShares Ultra Yen		37
ProShares UltraShort Bloomberg Crude Oil		42
ProShares UltraShort Bloomberg Natural Gas		47
ProShares UltraShort Euro		52
ProShares UltraShort Gold		57
ProShares UltraShort Silver		62
ProShares UltraShort Yen		67
ProShares VIX Mid-Term Futures ETF		72
ProShares VIX Short-Term Futures ETF		77
ProShares Trust II		82
Notes to Financial Statements		86

1

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $136,764,766 and $147,851,244, respectively)	$	136,590,474	$	147,815,719
Cash		20,797,038		44,359,519
Segregated cash balances with brokers for futures contracts		89,792,144		138,651,465
Receivable on open futures contracts		77,902,927		99,544,338
Interest receivable		234,601		2,868
Total assets		325,317,184		430,373,909
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		6,125,130
Payable on open futures contracts		2,882,905		—
Brokerage commissions and futures account fees payable		8,444		104,312
Payable to Sponsor		588,662		331,873
Non-recurring fees and expenses payable		6,122		—
Total liabilities		3,486,133		6,561,315
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		321,831,051		423,812,594
Total liabilities and shareholders’ equity	$	325,317,184	$	430,373,909
Shares outstanding		6,634,307		6,884,307
Net asset value per share	$	48.51	$	61.56
Market value per share (Note 2)	$	48.59	$	61.55

See accompanying notes to financial statements.

2

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(42% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.223% due 11/03/22	$	77,000,000	$	76,818,657
2.682% due 11/17/22		50,000,000		49,820,000
3.026% due 12/01/22		10,000,000		9,951,817
Total short-term U.S. government and agency obligations (cost $136,764,766)			$	136,590,474

Futures Contracts Sold

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires October 2022		3,083	$	97,163,828	$	(12,969,545	)
VIX Futures - Cboe, expires November 2022		2,052		63,759,128		(3,296,473	)
					$	(16,266,018	)

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

See accompanying notes to financial statements.

3

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	1,006,499		$	8,152		$	1,325,976		$	75,729
Expenses
Management fee		914,054			1,055,823			2,934,952			3,415,545
Brokerage commissions		152,661			208,885			517,911			638,744
Futures account fees		23,966			209,717			348,217			795,836
Non-recurring fees and expenses		6,122			—			6,122			—
Total expenses		1,096,803			1,474,425			3,807,202			4,850,125
Net investment income (loss)		(90,304	)		(1,466,273	)		(2,481,226	)		(4,774,396	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		27,694,574			34,573,906			(26,435,234	)		168,120,340
Short-term U.S. government and agency obligations		—			(1,303	)		(86,512	)		(1,303	)
Net realized gain (loss)		27,694,574			34,572,603			(26,521,746	)		168,119,037
Change in net unrealized appreciation (depreciation) on
Futures contracts		(17,783,632	)		(43,362,244	)		(47,541,296	)		(14,530,761	)
Short-term U.S. government and agency obligations		313,442			12,400			(138,767	)		(2,095	)
Change in net unrealized appreciation (depreciation)		(17,470,190	)		(43,349,844	)		(47,680,063	)		(14,532,856	)
Net realized and unrealized gain (loss)		10,224,384			(8,777,241	)		(74,201,809	)		153,586,181
Net income (loss)	$	10,134,080		$	(10,243,514	)	$	(76,683,035	)	$	148,811,785

See accompanying notes to financial statements.

4

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	403,644,956		$	588,615,946		$	423,812,594		$	409,371,468
Addition of 450,000, 550,000, 5,050,000 and 3,400,000 shares, respectively		23,538,063			30,777,084			255,975,394			150,390,026
Redemption of 2,200,000, 4,000,000, 5,300,000 and 6,150,000 shares, respectively		(115,486,048	)		(220,625,671	)		(281,273,902	)		(320,049,434	)
Net addition (redemption) of (1,750,000), (3,450,000), (250,000) and (2,750,000) shares, respectively		(91,947,985	)		(189,848,587	)		(25,298,508	)		(169,659,408	)
Net investment income (loss)		(90,304	)		(1,466,273	)		(2,481,226	)		(4,774,396	)
Net realized gain (loss)		27,694,574			34,572,603			(26,521,746	)		168,119,037
Change in net unrealized appreciation (depreciation)		(17,470,190	)		(43,349,844	)		(47,680,063	)		(14,532,856	)
Net income (loss)		10,134,080			(10,243,514	)		(76,683,035	)		148,811,785
Shareholders’ equity, end of period	$	321,831,051		$	388,523,845		$	321,831,051		$	388,523,845

See accompanying notes to financial statements.

5

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(76,683,035	)	$	148,811,785
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		(1,119,341,677	)		(411,950,977	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,130,832,801			351,997,423
Net amortization and accretion on short-term U.S. government and agency obligations		(491,158	)		(42,672	)
Net realized (gain) loss on investments		86,512			1,303
Change in unrealized (appreciation) depreciation on investments		138,767			2,095
Decrease (Increase) in receivable on open futures contracts		21,641,411			3,053,471
Decrease (Increase) in interest receivable		(231,733	)		2,611
Increase (Decrease) in payable to Sponsor		256,789			(22,522	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(95,868	)		(28,666	)
Increase (Decrease) in payable on open futures contracts		2,882,905			(996,159	)
Increase (Decrease) in non-recurring fees and expenses payable		6,122			—
Net cash provided by (used in) operating activities		(40,998,164	)		90,827,692
Cash flow from financing activities
Proceeds from addition of shares		255,975,394			150,390,026
Payment on shares redeemed		(287,399,032	)		(320,049,434	)
Net cash provided by (used in) financing activities		(31,423,638	)		(169,659,408	)
Net increase (decrease) in cash		(72,421,802	)		(78,831,716	)
Cash, beginning of period		183,010,984			266,579,220
Cash, end of period	$	110,589,182		$	187,747,504

See accompanying notes to financial statements.

6

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $535,375,763 and $848,800,309, respectively)	$	535,064,695	$	848,757,567
Cash		130,593,006		86,582,912
Segregated cash balances with brokers for futures contracts		55,730,479		130,704,477
Segregated cash balances with brokers for swap agreements		146,636,745		—
Unrealized appreciation on swap agreements		—		63,928,293
Receivable on open futures contracts		891,736		—
Interest receivable		320,767		3,523
Total assets		869,237,428		1,129,976,772
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		16,409,207		—
Payable on open futures contracts		2,911,771		25,317,560
Brokerage commissions and futures account fees payable		6,468		24,677
Payable to Sponsor		1,344,783		850,965
Unrealized depreciation on swap agreements		123,956,198		—
Non-recurring fees and expenses payable		13,739		—
Total liabilities		144,642,166		26,193,202
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		724,595,262		1,103,783,570
Total liabilities and shareholders’ equity	$	869,237,428	$	1,129,976,772
Shares outstanding (Note 1)		27,643,096		51,243,096
Net asset value per share (Note 1)	$	26.21	$	21.54
Market value per share (Note 1) (Note 2)	$	26.26	$	21.70

See accompanying notes to financial statements.

7

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(74% of shareholders’ equity)
Federal Home Loan Discount Notes ^^ :
3.900% due 10/03/22	$	200,000,000	$	199,971,110
U.S. Treasury Bills ^^ :
2.253% due 10/06/22 †		50,000,000		49,989,230
0.637% due 11/03/22 †		181,000,000		180,573,727
2.682% due 11/17/22 †		30,000,000		29,892,000
3.026% due 12/01/22 †		75,000,000		74,638,628
Total short-term U.S. government and agency obligations (cost $535,375,763)			$	535,064,695

Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires December 2022		1,450	$	114,144,000	$	14,409,192
WTI Crude Oil - NYMEX, expires June 2023		1,535		112,055,000		(9,187,751	)
WTI Crude Oil - NYMEX, expires December 2023		1,610		112,152,600		(9,069,369	)
					$	(3,847,928	)

Total Return Swap Agreements

^

	Rate Paid (Received) *			Termination Date		Notional Amount at Value **		Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35	%		10/06/22	$	175,709,387	$	(19,603,867	)
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			10/06/22		218,463,160		(24,373,900	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			10/06/22		304,335,914		(33,954,709	)
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.25			10/06/22		165,828,296		(18,489,319	)
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.30			10/06/22		246,871,587		(27,534,403	)
							Total Unrealized Depreciation	$	(123,956,198	)

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

^ The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

* Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

8

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	2,391,191		$	86,370		$	3,964,082		$	365,778
Expenses
Management fee		2,118,088			2,775,351			8,301,804			8,104,728
Brokerage commissions		85,906			198,498			421,657			701,710
Futures account fees		19,466			215,514			381,754			632,199
Non-recurring fees and expenses		13,739			27,500			13,739			27,500
Total expenses		2,237,199			3,216,863			9,118,954			9,466,137
Net investment income (loss)		153,992			(3,130,493	)		(5,154,872	)		(9,100,359	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(58,028,223	)		92,637,432			452,879,319			539,758,995
Swap agreements		(286,550,709	)		13,693,131			365,260,911			221,428,455
Short-term U.S. government and agency obligations		—			(4,742	)		(7,789	)		(4,742	)
Net realized gain (loss)		(344,578,932	)		106,325,821			818,132,441			761,182,708
Change in net unrealized appreciation (depreciation) on
Futures contracts		(62,302,727	)		(48,048,297	)		(151,303,453	)		123,440,274
Swap agreements		28,330,957			31,138,258			(187,884,491	)		52,643,567
Short-term U.S. government and agency obligations		723,596			31,451			(268,326	)		(7,634	)
Change in net unrealized appreciation (depreciation)		(33,248,174	)		(16,878,588	)		(339,456,270	)		176,076,207
Net realized and unrealized gain (loss)		(377,827,106	)		89,447,233			478,676,171			937,258,915
Net income (loss)	$	(377,673,114	)	$	86,316,740		$	473,521,299		$	928,158,556

See accompanying notes to financial statements.

9

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	1,060,867,238		$	1,303,530,902		$	1,103,783,570		$	902,739,250
Addition of 10,400,000, 3,800,000, 20,700,000 and 17,400,000 shares, respectively (Note 1)		335,779,871			62,865,806			738,516,557			240,118,659
Redemption of 8,250,000, 18,800,000, 44,300,000 and 65,000,000 shares, respectively (Note 1)		(294,378,733	)		(362,099,732	)		(1,591,226,164	)		(980,402,749	)
Net addition (redemption) of 2,150,000, (15,000,000), (23,600,000) and (47,600,000) shares, respectively (Note 1)		41,401,138			(299,233,926	)		(852,709,607	)		(740,284,090	)
Net investment income (loss)		153,992			(3,130,493	)		(5,154,872	)		(9,100,359	)
Net realized gain (loss)		(344,578,932	)		106,325,821			818,132,441			761,182,708
Change in net unrealized appreciation (depreciation)		(33,248,174	)		(16,878,588	)		(339,456,270	)		176,076,207
Net income (loss)		(377,673,114	)		86,316,740			473,521,299			928,158,556
Shareholders’ equity, end of period	$	724,595,262		$	1,090,613,716		$	724,595,262		$	1,090,613,716

See accompanying notes to financial statements.

10

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	473,521,299		$	928,158,556
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		(13,891,053,120	)		(2,012,720,434	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		14,207,412,141			1,397,994,503
Net amortization and accretion on short-term U.S. government and agency obligations		(2,942,264	)		(230,377	)
Net realized (gain) loss on investments		7,789			4,742
Change in unrealized (appreciation) depreciation on investments		188,152,817			(52,635,933	)
Decrease (Increase) in receivable on open futures contracts		(891,736	)		(1,163,751	)
Decrease (Increase) in interest receivable		(317,244	)		6,625
Increase (Decrease) in payable to Sponsor		493,818			127,586
Increase (Decrease) in brokerage commissions and futures account fees payable		(18,209	)		21,834
Increase (Decrease) in payable on open futures contracts		(22,405,789	)		—
Increase (Decrease) in non-recurring fees and expenses payable		13,739			27,500
Net cash provided by (used in) operating activities		951,973,241			259,590,851
Cash flow from financing activities
Proceeds from addition of shares		738,516,557			240,118,659
Payment on shares redeemed		(1,574,816,957	)		(967,135,937	)
Net cash provided by (used in) financing activities		(836,300,400	)		(727,017,278	)
Net increase (decrease) in cash		115,672,841			(467,426,427	)
Cash, beginning of period		217,287,389			667,259,596
Cash, end of period	$	332,960,230		$	199,833,169

See accompanying notes to financial statements.

11

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $106,619,159 and $90,936,719, respectively)	$	106,563,264	$	90,922,438
Cash		22,701,853		6,846,634
Segregated cash balances with brokers for futures contracts		99,662,520		47,289,091
Receivable from capital shares sold		—		20,448,741
Receivable on open futures contracts		70,013,901		33,998,620
Interest receivable		158,525		1,130
Total assets		299,100,063		199,506,654
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		2,661,693		—
Payable on open futures contracts		6,590,160		5,403,658
Brokerage commissions and futures account fees payable		15,382		63,628
Payable to Sponsor		441,940		147,190
Non-recurring fees and expenses payable		4,791		—
Total liabilities		9,713,966		5,614,476
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		289,386,097		193,892,178
Total liabilities and shareholders’ equity	$	299,100,063	$	199,506,654
Shares outstanding		5,437,527		7,587,527
Net asset value per share	$	53.22	$	25.55
Market value per share (Note 2)	$	53.66	$	26.09

See accompanying notes to financial statements.

12

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(37% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.223% due 11/03/22	$	32,000,000	$	31,924,637
3.026% due 12/01/22		75,000,000		74,638,627
Total short-term U.S. government and agency obligations (cost $106,619,159)			$	106,563,264

Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Natural Gas - NYMEX, expires November 2022		8,556	$	578,898,960	$	(97,363,745	)

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

See accompanying notes to financial statements.

13

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	909,204		$	7,355		$	1,095,255		$	32,714
Expenses
Management fee		658,525			161,130			1,589,759			568,903
Brokerage commissions		97,589			40,472			300,747			195,831
Futures account fees		43,620			18,263			177,950			112,998
Non-recurring fees and expenses		4,791			—			4,791			—
Total expenses		804,525			219,865			2,073,247			877,732
Net investment income (loss)		104,679			(212,510	)		(977,992	)		(845,018	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(5,889,116	)		33,925,711			235,322,266			80,409,384
Short-term U.S. government and agency obligations		(4,181	)		12			(7,633	)		563
Net realized gain (loss)		(5,893,297	)		33,925,723			235,314,633			80,409,947
Change in net unrealized appreciation (depreciation) on
Futures contracts		97,063,212			25,134,988			(89,157,584	)		35,685,009
Short-term U.S. government and agency obligations		158,315			720			(41,614	)		(252	)
Change in net unrealized appreciation (depreciation)		97,221,527			25,135,708			(89,199,198	)		35,684,757
Net realized and unrealized gain (loss)		91,328,230			59,061,431			146,115,435			116,094,704
Net income (loss)	$	91,432,909		$	58,848,921		$	145,137,443		$	115,249,686

See accompanying notes to financial statements.

14

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	187,297,842		$	70,213,227		$	193,892,178		$	169,800,371
Addition of 6,000,000, 1,150,000, 15,100,000 and 5,200,000 shares, respectively		425,638,048			79,122,213			1,063,004,747			169,309,627
Redemption of 5,300,000, 1,400,000, 17,250,000 and 11,550,000 shares, respectively		(414,982,702	)		(63,145,980	)		(1,112,648,271	)		(309,321,303	)
Net addition (redemption) of 700,000, (250,000), (2,150,000) and (6,350,000) shares, respectively		10,655,346			15,976,233			(49,643,524	)		(140,011,676	)
Net investment income (loss)		104,679			(212,510	)		(977,992	)		(845,018	)
Net realized gain (loss)		(5,893,297	)		33,925,723			235,314,633			80,409,947
Change in net unrealized appreciation (depreciation)		97,221,527			25,135,708			(89,199,198	)		35,684,757
Net income (loss)		91,432,909			58,848,921			145,137,443			115,249,686
Shareholders’ equity, end of period	$	289,386,097		$	145,038,381		$	289,386,097		$	145,038,381

See accompanying

notes

to

financial

statements.

15

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	145,137,443		$	115,249,686
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(750,045,262	)		(143,979,838	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		734,916,266			140,999,619
Net amortization and accretion on short-term U.S. government and agency obligations		(561,077	)		(16,708	)
Net realized (gain) loss on investments		7,633			(563	)
Change in unrealized (appreciation) depreciation on investments		41,614			252
Decrease (Increase) in receivable on open futures contracts		(36,015,281	)		1,271,737
Decrease (Increase) in interest receivable		(157,395	)		3,261
Increase (Decrease) in payable to Sponsor		294,750			(86,599	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(48,246	)		145
Increase (Decrease) in payable on open futures contracts		1,186,502			—
Increase (Decrease) in non-recurring fees and expenses payable		4,791			—
Net cash provided by (used in) operating activities		94,761,738			113,440,992
Cash flow from financing activities
Proceeds from addition of shares		1,083,453,488			156,788,492
Payment on shares redeemed		(1,109,986,578	)		(320,453,849	)
Net cash provided by (used in) financing activities		(26,533,090	)		(163,665,357	)
Net increase (decrease) in cash		68,228,648			(50,224,365	)
Cash, beginning of period		54,135,725			137,292,722
Cash, end of period	$	122,364,373		$	87,068,357

See accompanying notes to financial statements.

16

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $697,652 and $998,130, respectively)	$	696,356	$	997,678
Cash		11,775,775		6,891,458
Segregated cash balances with brokers for foreign currency forward contracts		1,359,000		691,000	��
Unrealized appreciation on foreign currency forward contracts		—		84,150
Receivable from capital shares sold		478,304		—
Interest receivable		13,338		153
Total assets		14,322,773		8,664,439
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		21,934		3,846
Unrealized depreciation on foreign currency forward contracts		431,231		1,498
Non-recurring fees and expenses payable		237		—
Total liabilities		453,402		5,344
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		13,869,371		8,659,095
Total liabilities and shareholders’ equity	$	14,322,773	$	8,664,439
Shares outstanding		1,450,000		650,000
Net asset value per share	$	9.57	$	13.32
Market value per share (Note 2)	$	9.57	$	13.33

See accompanying notes to financial statements.

17

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(5% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.554% due 11/03/22 †	$	698,000	$	696,356
Total short-term U.S. government and agency obligations (cost $697,652)			$	696,356

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		10/07/22		12,276,921		$	12,037,961		$	(194,303	)
Euro with UBS AG		10/07/22		17,572,502			17,230,469			(236,275	)
							Total Unrealized Depreciation		$	(430,578	)
Contracts to Sell
Euro with UBS AG		10/07/22		(1,566,000	)	$	(1,535,519	)	$	(653	)
							Total Unrealized Depreciation		$	(653	)

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

^ The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

See accompanying notes to financial statements.

18

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	36,856		$	393		$	47,965		$	1,415
Expenses
Management fee		31,331			8,664			66,646			28,158
Non-recurring fees and expenses		237			—			237			—
Total expenses		31,568			8,664			66,883			28,158
Net investment income (loss)		5,288			(8,271	)		(18,918	)		(26,743	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(1,618,381	)		(254,219	)		(2,505,776	)		(186,149	)
Short-term U.S. government and agency obligations		—			—			(5,949	)		—
Net realized gain (loss)		(1,618,381	)		(254,219	)		(2,511,725	)		(186,149	)
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(98,836	)		72,810			(513,883	)		(251,422	)
Short-term U.S. government and agency obligations		3,824			43			(844	)		4
Change in net unrealized appreciation (depreciation)		(95,012	)		72,853			(514,727	)		(251,418	)
Net realized and unrealized gain (loss)		(1,713,393	)		(181,366	)		(3,026,452	)		(437,567	)
Net income (loss)	$	(1,708,105	)	$	(189,637	)	$	(3,045,370	)	$	(464,310	)

See accompanying notes to financial statements.

19

PROSHARES ULTRA EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	9,415,626		$	3,668,741		$	8,659,095		$	4,737,350
Addition of 700,000, –, 1,250,000 and 100,000 shares, respectively		7,168,239			—			13,537,061			1,488,793
Redemption of 100,000, –, 450,000 and 150,000 shares, respectively		(1,006,389	)		—			(5,281,415	)		(2,282,729	)
Net addition (redemption) of 600,000, –, 800,000 and (50,000) shares, respectively		6,161,850			—			8,255,646			(793,936	)
Net investment income (loss)		5,288			(8,271	)		(18,918	)		(26,743	)
Net realized gain (loss)		(1,618,381	)		(254,219	)		(2,511,725	)		(186,149	)
Change in net unrealized appreciation (depreciation)		(95,012	)		72,853			(514,727	)		(251,418	)
Net income (loss)		(1,708,105	)		(189,637	)		(3,045,370	)		(464,310	)
Shareholders’ equity, end of period	$	13,869,371		$	3,479,104		$	13,869,371		$	3,479,104

See accompanying notes to financial statements.

20

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(3,045,370	)	$	(464,310	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(5,984,290	)		(3,999,381	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		6,290,250			3,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(11,431	)		(531	)
Net realized (gain) loss on investments		5,949			—
Change in unrealized (appreciation) depreciation on investments		514,727			251,418
Decrease (Increase) in interest receivable		(13,185	)		62
Increase (Decrease) in payable to Sponsor		18,088			(812	)
Increase (Decrease) in non-recurring fees and expenses payable		237			—
Net cash provided by (used in) operating activities		(2,225,025	)		(1,213,554	)
Cash flow from financing activities
Proceeds from addition of shares		13,058,757			1,488,793
Payment on shares redeemed		(5,281,415	)		(2,282,729	)
Net cash provided by (used in) financing activities		7,777,342			(793,936	)
Net increase (decrease) in cash		5,552,317			(2,007,490	)
Cash, beginning of period		7,582,458			4,652,092
Cash, end of period	$	13,134,775		$	2,644,602

See accompanying notes to financial statements.

21

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $143,646,462 and $207,964,168, respectively)	$	143,619,527	$	207,956,320
Cash		8,231,351		9,328,332
Segregated cash balances with brokers for futures contracts		2,374,050		6,093,750
Segregated cash balances with brokers for swap agreements		12,629,200		—
Unrealized appreciation on swap agreements		—		8,639,188
Receivable on open futures contracts		120,937		944,644
Interest receivable		40,392		690
Total assets		167,015,457		232,962,924
Liabilities and shareholders’ equity
Liabilities
Brokerage commissions and futures account fees payable		—		4,034
Payable to Sponsor		303,801		178,356
Unrealized depreciation on swap agreements		6,686,424		—
Non-recurring fees and expenses payable		2,940		—
Total liabilities		6,993,165		182,390
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		160,022,292		232,780,534
Total liabilities and shareholders’ equity	$	167,015,457	$	232,962,924
Shares outstanding		3,400,000		3,900,000
Net asset value per share	$	47.07	$	59.69
Market value per share (Note 2)	$	46.93	$	59.81

See accompanying notes to financial statements.

22

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(90% of shareholders’ equity)
U.S. Treasury Bills ^^ :
2.253% due 10/06/22 †	$	50,000,000	$	49,989,230
0.223% due 11/03/22 †		14,000,000		13,967,029
2.682% due 11/17/22 †		40,000,000		39,856,000
3.026% due 12/01/22 †		40,000,000		39,807,268
Total short-term U.S. government and agency obligations (cost $143,646,462)			$	143,619,527

Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Gold Futures - COMEX, expires December 2022		409	$	68,384,800	$	(1,627,042	)

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	%		10/06/22	$	100,068,860	$	(2,464,705	)
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex		0.25			10/06/22		47,529,603		(1,657,776	)
Swap agreement with UBS AG based on Bloomberg Gold Subindex		0.25			10/06/22		104,098,025		(2,563,943	)
							Total Unrealized Depreciation	$	(6,686,424	)

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

^ The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

* Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

23

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	678,282		$	14,338		$	1,092,549		$	70,259
Expenses
Management fee		475,457			582,103			1,863,020			1,718,350
Brokerage commissions		8,176			9,421			43,899			32,974
Futures account fees		—			19,008			28,169			64,764
Non-recurring fees and expenses		2,940			—			2,940			—
Total expenses		486,573			610,532			1,938,028			1,816,088
Net investment income (loss)		191,709			(596,194	)		(845,479	)		(1,745,829	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(13,871,427	)		(3,125,004	)		(22,577,746	)		(12,636,331	)
Swap agreements		(25,954,159	)		(18,733,085	)		(17,330,327	)		(14,963,523	)
Short-term U.S. government and agency obligations		(708	)		—			(708	)		245
Net realized gain (loss)		(39,826,294	)		(21,858,089	)		(39,908,781	)		(27,599,609	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		2,305,467			319,305			(2,281,936	)		(6,583,282	)
Swap agreements		(234,566	)		15,245,013			(15,325,612	)		(12,547,844	)
Short-term U.S. government and agency obligations		151,932			9,966			(19,087	)		(5,396	)
Change in net unrealized appreciation (depreciation)		2,222,833			15,574,284			(17,626,635	)		(19,136,522	)
Net realized and unrealized gain (loss)		(37,603,461	)		(6,283,805	)		(57,535,416	)		(46,736,131	)
Net income (loss)	$	(37,411,752	)	$	(6,879,999	)	$	(58,380,895	)	$	(48,481,960	)

See accompanying notes to financial statements.

24

PROSHARES ULTRA GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	239,938,853		$	243,456,703		$	232,780,534		$	263,540,473
Addition of 50,000, 250,000, 1,650,000 and 1,250,000 shares, respectively		2,645,499			14,836,141			104,903,214			75,112,671
Redemption of 900,000, 350,000, 2,150,000 and 1,000,000 shares, respectively		(45,150,308	)		(20,494,998	)		(119,280,561	)		(59,253,337	)
Net addition (redemption) of (850,000), (100,000), (500,000) and 250,000 shares, respectively		(42,504,809	)		(5,658,857	)		(14,377,347	)		15,859,334
Net investment income (loss)		191,709			(596,194	)		(845,479	)		(1,745,829	)
Net realized gain (loss)		(39,826,294	)		(21,858,089	)		(39,908,781	)		(27,599,609	)
Change in net unrealized appreciation (depreciation)		2,222,833			15,574,284			(17,626,635	)		(19,136,522	)
Net income (loss)		(37,411,752	)		(6,879,999	)		(58,380,895	)		(48,481,960	)
Shareholders’ equity, end of period	$	160,022,292		$	230,917,847		$	160,022,292		$	230,917,847

See accompanying notes to financial statements.

25

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(58,380,895	)	$	(48,481,960	)
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		(913,776,847	)		(502,945,919	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		978,997,411			391,999,771
Net amortization and accretion on short-term U.S. government and agency obligations		(903,566	)		(45,150	)
Net realized (gain) loss on investments		708			(245	)
Change in unrealized (appreciation) depreciation on investments		15,344,699			12,553,240
Decrease (Increase) in receivable on open futures contracts		823,707			(2,562,837	)
Decrease (Increase) in interest receivable		(39,702	)		3,902
Increase (Decrease) in payable to Sponsor		125,445			(42,591	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(4,034	)		5,068
Increase (Decrease) in non-recurring fees and expenses payable		2,940			—
Net cash provided by (used in) operating activities		22,189,866			(149,516,721	)
Cash flow from financing activities
Proceeds from addition of shares		104,903,214			75,112,671
Payment on shares redeemed		(119,280,561	)		(56,471,438	)
Net cash provided by (used in) financing activities		(14,377,347	)		18,641,233
Net increase (decrease) in cash		7,812,519			(130,875,488	)
Cash, beginning of period		15,422,082			183,452,109
Cash, end of period	$	23,234,601		$	52,576,621

See accompanying notes to financial statements.

26

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $162,706,493 and $451,896,236, respectively)	$	162,611,595	$	451,872,982
Cash		42,840,235		10,985,565
Segregated cash balances with brokers for futures contracts		16,278,750		14,502,938
Segregated cash balances with brokers for swap agreements		70,036,000		—
Unrealized appreciation on swap agreements		26,804,548		40,591,699
Receivable from capital shares sold		4,168,994		—
Receivable on open futures contracts		1,699,398		1,384,919
Interest receivable		73,633		1,582
Total assets		324,513,153		519,339,685
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		3,483,770
Brokerage commissions and futures account fees payable		—		9,833
Payable to Sponsor		536,368		392,488
Non-recurring fees and expenses payable		5,922		—
Total liabilities		542,290		3,886,091
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		323,970,863		515,453,594
Total liabilities and shareholders’ equity	$	324,513,153	$	519,339,685
Shares outstanding		15,546,526		14,796,526
Net asset value per share	$	20.84	$	34.84
Market value per share (Note 2)	$	20.76	$	34.74

See accompanying notes to financial statements.

27

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(50% of shareholders’ equity)
U.S. Treasury Bills ^^ :
2.253% due 10/06/22 †	$	50,000,000	$	49,989,230
0.223% due 11/03/22 †		43,000,000		42,898,731
2.682% due 11/17/22 †		50,000,000		49,820,000
3.026% due 12/01/22		20,000,000		19,903,634
Total short-term U.S. government and agency obligations (cost $162,706,493)			$	162,611,595

Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Silver Futures - COMEX, expires December 2022		2,163	$	205,906,785	$	(329,232	)

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	%		10/06/22	$	142,330,643	$	8,433,031
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.30			10/06/22		18,803,260		1,725,874
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30			10/06/22		156,302,767		9,256,039
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25			10/06/22		124,719,934		7,389,604
							Total Unrealized Appreciation	$	26,804,548

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

^ The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

* Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

28

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	824,171		$	44,511		$	1,386,134		$	208,169
Expenses
Management fee		798,802			1,394,627			3,098,741			4,640,919
Brokerage commissions		34,796			27,419			94,079			114,716
Futures account fees		—			47,170			26,693			258,250
Non-recurring fees and expenses		5,922			—			5,922			—
Total expenses		839,520			1,469,216			3,225,435			5,013,885
Net investment income (loss)		(15,349	)		(1,424,705	)		(1,839,301	)		(4,805,716	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(13,577,109	)		(49,762,947	)		(30,191,493	)		(32,273,408	)
Swap agreements		(133,807,652	)		(151,552,363	)		(156,750,416	)		(47,760,872	)
Short-term U.S. government and agency obligations		(6,553	)		(4,720	)		(7,717	)		(4,529	)
Net realized gain (loss)		(147,391,314	)		(201,320,030	)		(186,949,626	)		(80,038,809	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		3,988,709			9,589,898			(2,835,777	)		(42,630,013	)
Swap agreements		87,216,478			(15,630,674	)		(13,787,151	)		(149,513,235	)
Short-term U.S. government and agency obligations		272,285			22,486			(71,644	)		(13,068	)
Change in net unrealized appreciation (depreciation)		91,477,472			(6,018,290	)		(16,694,572	)		(192,156,316	)
Net realized and unrealized gain (loss)		(55,913,842	)		(207,338,320	)		(203,644,198	)		(272,195,125	)
Net income (loss)	$	(55,929,191	)	$	(208,763,025	)	$	(205,483,499	)	$	(277,000,841	)

See accompanying notes to financial statements.

29

PROSHARES ULTRA SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	355,577,515		$	661,778,727		$	515,453,594		$	745,304,028
Addition of 2,450,000, 1,050,000, 4,250,000 and 4,450,000 shares, respectively		52,469,935			38,538,861			118,129,234			205,312,655
Redemption of 1,250,000, 300,000, 3,500,000 and 4,000,000 shares, respectively		(28,147,396	)		(11,245,087	)		(104,128,466	)		(193,306,366	)
Net addition (redemption) of 1,200,000, 750,000, 750,000 and 450,000 shares, respectively		24,322,539			27,293,774			14,000,768			12,006,289
Net investment income (loss)		(15,349	)		(1,424,705	)		(1,839,301	)		(4,805,716	)
Net realized gain (loss)		(147,391,314	)		(201,320,030	)		(186,949,626	)		(80,038,809	)
Change in net unrealized appreciation (depreciation)		91,477,472			(6,018,290	)		(16,694,572	)		(192,156,316	)
Net income (loss)		(55,929,191	)		(208,763,025	)		(205,483,499	)		(277,000,841	)
Shareholders’ equity, end of period	$	323,970,863		$	480,309,476		$	323,970,863		$	480,309,476

See accompanying notes to financial statements.

30

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(205,483,499	)	$	(277,000,841	)
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		(2,619,720,954	)		(1,369,823,802	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		2,909,963,011			1,119,994,333
Net amortization and accretion on short-term U.S. government and agency obligations		(1,060,031	)		(160,958	)
Net realized (gain) loss on investments		7,717			4,529
Change in unrealized (appreciation) depreciation on investments		13,858,795			149,526,303
Decrease (Increase) in receivable on open futures contracts		(314,479	)		(421,500	)
Decrease (Increase) in interest receivable		(72,051	)		6,942
Increase (Decrease) in payable to Sponsor		143,880			(90,946	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(9,833	)		9,969
Increase (Decrease) in payable on open futures contracts		—			(2,038,135	)
Increase (Decrease) in non-recurring fees and expenses payable		5,922			—
Net cash provided by (used in) operating activities		97,318,478			(379,994,106	)
Cash flow from financing activities
Proceeds from addition of shares		113,960,240			205,312,655
Payment on shares redeemed		(107,612,236	)		(193,306,366	)
Net cash provided by (used in) financing activities		6,348,004			12,006,289
Net increase (decrease) in cash		103,666,482			(367,987,817	)
Cash, beginning of period		25,488,503			446,401,960
Cash, end of period	$	129,154,985		$	78,414,143

See accompanying notes to financial statements.

31

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $273,396,698 and $221,725,609, respectively)	$	273,202,387	$	221,660,593
Cash		134,170,524		108,688,034
Segregated cash balances with brokers for futures contracts		363,142,800		463,432,845
Receivable on open futures contracts		262,520,415		33,597,688
Interest receivable		1,050,905		5,060
Total assets		1,034,087,031		827,384,220
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		36,597,293		—
Payable on open futures contracts		—		9,447,456
Brokerage commissions and futures account fees payable		66,068		167,855
Payable to Sponsor		1,913,775		611,836
Unrealized depreciation on swap agreements		—		477,437
Non-recurring fees and expenses payable		20,117		—
Total liabilities		38,597,253		10,704,584
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		995,489,778		816,679,636
Total liabilities and shareholders’ equity	$	1,034,087,031	$	827,384,220
Shares outstanding		77,328,420		65,828,420
Net asset value per share	$	12.87	$	12.41
Market value per share (Note 2)	$	12.85	$	12.43

See accompanying notes to financial statements.

32

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(27% of shareholders’ equity)
U.S. Treasury Bills ^^ :
2.253% due 10/06/22	$	50,000,000	$	49,989,230
0.223% due 11/03/22		94,000,000		93,778,621
2.682% due 11/17/22		50,000,000		49,820,000
3.026% due 12/01/22		80,000,000		79,614,536
Total short-term U.S. government and agency obligations (cost $273,396,698)			$	273,202,387

Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires October 2022		28,597	$	901,263,052	$	167,070,593
VIX Futures - Cboe, expires November 2022		19,065		592,381,961		29,704,256
					$	196,774,849

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

See accompanying notes to financial statements.

33

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	3,945,136		$	11,979		$	4,471,067		$	328,504
Expenses
Management fee		2,831,005			2,221,755			7,085,920			8,897,953
Brokerage commissions		1,276,819			1,095,975			3,183,788			4,225,879
Futures account fees		219,828			688,048			1,446,639			3,243,304
Non-recurring fees and expenses		20,117			—			20,117			—
Total expenses		4,347,769			4,005,778			11,736,464			16,367,136
Net investment income (loss)		(402,633	)		(3,993,799	)		(7,265,397	)		(16,038,632	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(289,871,717	)		(185,968,398	)		59,605,816			(1,650,738,359	)
Swap agreements		—			(12,412,592	)		22,556,586			(106,689,716	)
Short-term U.S. government and agency obligations		(2,037	)		—			(355,124	)		20,657
Net realized gain (loss)		(289,873,754	)		(198,380,990	)		81,807,278			(1,757,407,418	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		161,330,331			178,803,476			323,131,606			138,543,548
Swap agreements		—			7,933,765			477,437			7,958,572
Short-term U.S. government and agency obligations		414,952			4,980			(129,295	)		(3,982	)
Change in net unrealized appreciation (depreciation)		161,745,283			186,742,221			323,479,748			146,498,138
Net realized and unrealized gain (loss)		(128,128,471	)		(11,638,769	)		405,287,026			(1,610,909,280	)
Net income (loss)	$	(128,531,104	)	$	(15,632,568	)	$	398,021,629		$	(1,626,947,912	)

See accompanying notes to financial statements.

34

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	975,683,533		$	840,870,703		$	816,679,636		$	1,356,204,199
Addition of 93,400,000, 37,800,000, 234,900,000 and 70,385,000 shares, respectively		1,064,364,417			923,628,398			3,035,837,360			3,297,406,475
Redemption of 83,300,000, 26,150,000, 223,400,000 and 41,319,671 shares, respectively		(916,027,068	)		(728,020,660	)		(3,255,048,847	)		(2,005,816,889	)
Net addition (redemption) of 10,100,000, 11,650,000, 11,500,000 and 29,065,329 shares, respectively		148,337,349			195,607,738			(219,211,487	)		1,291,589,586
Net investment income (loss)		(402,633	)		(3,993,799	)		(7,265,397	)		(16,038,632	)
Net realized gain (loss)		(289,873,754	)		(198,380,990	)		81,807,278			(1,757,407,418	)
Change in net unrealized appreciation (depreciation)		161,745,283			186,742,221			323,479,748			146,498,138
Net income (loss)		(128,531,104	)		(15,632,568	)		398,021,629			(1,626,947,912	)
Shareholders’ equity, end of period	$	995,489,778		$	1,020,845,873		$	995,489,778		$	1,020,845,873

See accompanying notes to financial statements.

35

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	398,021,629		$	(1,626,947,912	)
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		(4,540,406,696	)		(1,136,829,195	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		4,489,474,762			1,106,989,987
Net amortization and accretion on short-term U.S. government and agency obligations		(1,094,279	)		(132,855	)
Net realized (gain) loss on investments		355,124			(20,657	)
Change in unrealized (appreciation) depreciation on investments		(348,142	)		(7,954,590	)
Decrease (Increase) in receivable on open futures contracts		(228,922,727	)		(47,960,346	)
Decrease (Increase) in interest receivable		(1,045,845	)		1,723
Increase (Decrease) in payable to Sponsor		1,301,939			(244,979	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(101,787	)		(240,141	)
Increase (Decrease) in payable on open futures contracts		(9,447,456	)		(16,496,871	)
Increase (Decrease) in non-recurring fees and expenses payable		20,117			—
Net cash provided by (used in) operating activities		107,806,639			(1,729,835,836	)
Cash flow from financing activities
Proceeds from addition of shares		3,035,837,360			3,346,492,863
Payment on shares redeemed		(3,218,451,554	)		(1,978,946,702	)
Net cash provided by (used in) financing activities		(182,614,194	)		1,367,546,161
Net increase (decrease) in cash		(74,807,555	)		(362,289,675	)
Cash, beginning of period		572,120,879			1,069,671,996
Cash, end of period	$	497,313,324		$	707,382,321

See accompanying notes to financial statements.

36

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $999,501 and $–, respectively)	$	997,645	$	—
Cash		8,613,130		2,232,820
Segregated cash balances with brokers for foreign currency forward contracts		650,000		225,000
Unrealized appreciation on foreign currency forward contracts		6,055		821
Interest receivable		9,981		95
Total assets		10,276,811		2,458,736
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		16,256		1,954
Unrealized depreciation on foreign currency forward contracts		101,172		93,933
Non-recurring fees and expenses payable		194		—
Total liabilities		117,622		95,887
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		10,159,189		2,362,849
Total liabilities and shareholders’ equity	$	10,276,811	$	2,458,736
Shares outstanding		349,970		49,970
Net asset value per share	$	29.03	$	47.29
Market value per share (Note 2)	$	29.06	$	47.29

See accompanying notes to financial statements.

37

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(10% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.554% due 11/03/22 †	$	1,000,000	$	997,645
Total short-term U.S. government and agency obligations (cost $999,501)			$	997,645

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		10/07/22		1,186,245,517		$	8,201,765		$	(41,852	)
Yen with UBS AG		10/07/22		1,919,545,856			13,271,845			(59,320	)
							Total Unrealized Depreciation		$	(101,172	)
Contracts to Sell
Yen with Goldman Sachs International		10/07/22		(33,368,000	)	$	(230,708	)	$	1,998
Yen with UBS AG		10/07/22		(133,030,000	)		(919,774	)		4,057
							Total Unrealized Appreciation		$	6,055

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

^ The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

See accompanying notes to financial statements.

38

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	25,362		$	260		$	29,299		$	923
Expenses
Management fee		21,245			6,233			34,710			19,144
Non-recurring fees and expenses		194			—			194			—
Total expenses		21,439			6,233			34,904			19,144
Net investment income (loss)		3,923			(5,973	)		(5,605	)		(18,221	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(1,652,590	)		(25,554	)		(2,532,839	)		(305,028	)
Short-term U.S. government and agency obligations		—			—			1,548			—
Net realized gain (loss)		(1,652,590	)		(25,554	)		(2,531,291	)		(305,028	)
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(17,967	)		10,988			(2,005	)		(126,353	)
Short-term U.S. government and agency obligations		3,286			71			(1,856	)		(17	)
Change in net unrealized appreciation (depreciation)		(14,681	)		11,059			(3,861	)		(126,370	)
Net realized and unrealized gain (loss)		(1,667,271	)		(14,495	)		(2,535,152	)		(431,398	)
Net income (loss)	$	(1,663,348	)	$	(20,468	)	$	(2,540,757	)	$	(449,619	)

See accompanying notes to financial statements.

39

PROSHARES ULTRA YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	5,024,773		$	2,560,348		$	2,362,849		$	2,989,499
Addition of 250,000, –, 350,000 and – shares, respectively		8,285,325			—			11,824,658			—
Redemption of 50,000, –, 50,000 and – shares, respectively		(1,487,561	)		—			(1,487,561	)		—
Net addition (redemption) of 200,000, –, 300,000 and – shares, respectively		6,797,764			—			10,337,097			—
Net investment income (loss)		3,923			(5,973	)		(5,605	)		(18,221	)
Net realized gain (loss)		(1,652,590	)		(25,554	)		(2,531,291	)		(305,028	)
Change in net unrealized appreciation (depreciation)		(14,681	)		11,059			(3,861	)		(126,370	)
Net income (loss)		(1,663,348	)		(20,468	)		(2,540,757	)		(449,619	)
Shareholders’ equity, end of period	$	10,159,189		$	2,539,880		$	10,159,189		$	2,539,880

See accompanying notes to financial statements.

40

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(2,540,757	)	$	(449,619	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(995,769	)		(1,499,740	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,548			500,000
Net amortization and accretion on short-term U.S. government and agency obligations		(3,732	)		(230	)
Net realized (gain) loss on investments		(1,548	)		—
Change in unrealized (appreciation) depreciation on investments		3,861			126,370
Decrease (Increase) in interest receivable		(9,886	)		45
Increase (Decrease) in payable to Sponsor		14,302			(355	)
Increase (Decrease) in non-recurring fees and expenses payable		194			—
Net cash provided by (used in) operating activities		(3,531,787	)		(1,323,529	)
Cash flow from financing activities
Proceeds from addition of shares		11,824,658			—
Payment on shares redeemed		(1,487,561	)		—
Net cash provided by (used in) financing activities		10,337,097			—
Net increase (decrease) in cash		6,805,310			(1,323,529	)
Cash, beginning of period		2,457,820			2,924,696
Cash, end of period	$	9,263,130		$	1,601,167

See accompanying notes to financial statements.

41

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $120,732,500 and $55,932,300, respectively)	$	120,666,762	$	55,916,023
Cash		124,862,617		29,602,412
Segregated cash balances with brokers for futures contracts		125,179,826		24,841,141
Receivable on open futures contracts		7,457,604		4,064,439
Interest receivable		330,847		1,359
Total assets		378,497,656		114,425,374
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		8,744,403		—
Payable on open futures contracts		229,660		175,557
Brokerage commissions and futures account fees payable		11,258		7,944
Payable to Sponsor		713,698		74,271
Non-recurring fees and expenses payable		7,548		—
Total liabilities		9,706,567		257,772
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		368,791,089		114,167,602
Total liabilities and shareholders’ equity	$	378,497,656	$	114,425,374
Shares outstanding (Note 1)		12,155,220		1,776,760
Net asset value per share (Note 1)	$	30.34	$	64.26
Market value per share (Note 1) (Note 2)	$	30.28	$	63.75

See accompanying notes to financial statements.

42

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(33% of shareholders’ equity)
U.S. Treasury Bills ^^ :
2.253% due 10/06/22	$	35,000,000	$	34,992,461
0.223% due 11/03/22		36,000,000		35,915,216
3.026% due 12/01/22		50,000,000		49,759,085
Total short-term U.S. government and agency obligations (cost $120,732,500)			$	120,666,762

Futures Contracts Sold

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires December 2022		3,174	$	249,857,280	$	38,891,587
WTI Crude Oil - NYMEX, expires June 2023		3,344		244,112,000		41,214,314
WTI Crude Oil - NYMEX, expires December 2023		3,500		243,810,000		25,208,203
					$	105,314,104

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

See accompanying notes to financial statements.

43

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,					Nine Months Ended September 30,
	2022		2021			2022			2021
Investment Income
Interest	$	1,748,548	$	6,891		$	2,091,754		$	36,069
Expenses
Management fee		1,160,746		201,146			2,599,503			603,444
Brokerage commissions		148,121		29,277			332,256			100,902
Futures account fees		39,563		18,193			195,542			83,373
Non-recurring fees and expenses		7,548		—			7,548			—
Total expenses		1,355,978		248,616			3,134,849			787,719
Net investment income (loss)		392,570		(241,725	)		(1,043,095	)		(751,650	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		66,444,885		(11,449,562	)		(142,631,216	)		(86,637,748	)
Net realized gain (loss)		66,444,885		(11,449,562	)		(142,631,216	)		(86,637,748	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		76,797,273		(1,521,543	)		113,723,566			(5,829,347	)
Short-term U.S. government and agency obligations		190,676		650			(49,461	)		(134	)
Change in net unrealized appreciation (depreciation)		76,987,949		(1,520,893	)		113,674,105			(5,829,481	)
Net realized and unrealized gain (loss)		143,432,834		(12,970,455	)		(28,957,111	)		(92,467,229	)
Net income (loss)	$	143,825,404	$	(13,212,180	)	$	(30,000,206	)	$	(93,218,879	)

See accompanying notes to financial statements.

44

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	501,157,304		$	79,400,059		$	114,167,602		$	96,839,233
Addition of 11,050,000, 670,000, 38,940,000 and 1,447,500 shares, respectively (Note 1)		263,018,131			56,590,239			1,051,908,930			164,074,678
Redemption of 20,650,000, 310,000, 28,561,540 and 627,734 shares, respectively (Note 1)		(539,209,750	)		(29,202,905	)		(767,285,237	)		(74,119,819	)
Net addition (redemption) of (9,600,000), 360,000, 10,378,460 and 819,766 shares, respectively (Note 1)		(276,191,619	)		27,387,334			284,623,693			89,954,859
Net investment income (loss)		392,570			(241,725	)		(1,043,095	)		(751,650	)
Net realized gain (loss)		66,444,885			(11,449,562	)		(142,631,216	)		(86,637,748	)
Change in net unrealized appreciation (depreciation)		76,987,949			(1,520,893	)		113,674,105			(5,829,481	)
Net income (loss)		143,825,404			(13,212,180	)		(30,000,206	)		(93,218,879	)
Shareholders’ equity, end of period	$	368,791,089		$	93,575,213		$	368,791,089		$	93,575,213

See accompanying notes to financial statements.

45

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(30,000,206	)	$	(93,218,879	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(5,037,566,739	)		(117,984,270	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		4,974,000,000			85,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(1,233,461	)		(12,980	)
Change in unrealized (appreciation) depreciation on investments		49,461			134
Decrease (Increase) in receivable on open futures contracts		(3,393,165	)		60,902
Decrease (Increase) in interest receivable		(329,488	)		1,916
Increase (Decrease) in payable to Sponsor		639,427			(13,396	)
Increase (Decrease) in brokerage commissions and futures account fees payable		3,314			12,910
Increase (Decrease) in payable on open futures contracts		54,103			(113,895	)
Increase (Decrease) in non-recurring fees and expenses payable		7,548			—
Net cash provided by (used in) operating activities		(97,769,206	)		(126,267,558	)
Cash flow from financing activities
Proceeds from addition of shares		1,051,908,930			164,074,678
Payment on shares redeemed		(758,540,834	)		(74,119,819	)
Net cash provided by (used in) financing activities		293,368,096			89,954,859
Net increase (decrease) in cash		195,598,890			(36,312,699	)
Cash, beginning of period		54,443,553			97,113,373
Cash, end of period	$	250,042,443		$	60,800,674

See accompanying notes to financial statements.

46

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $84,743,350 and $123,855,553, respectively)	$	84,676,656	$	123,821,548
Cash		33,650,436		53,547,476
Segregated cash balances with brokers for futures contracts		88,384,720		59,453,451
Receivable on open futures contracts		47,756,152		30,090,351
Interest receivable		280,451		1,749
Total assets		254,748,415		266,914,575
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		11,781,470		15,986,002
Payable on open futures contracts		—		8,542,438
Brokerage commissions and futures account fees payable		23,356		46,867
Payable to Sponsor		548,217		194,138
Non-recurring fees and expenses payable		5,374		—
Total liabilities		12,358,417		24,769,445
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		242,389,998		242,145,130
Total liabilities and shareholders’ equity	$	254,748,415	$	266,914,575
Shares outstanding (Note 1)		13,966,856		978,742
Net asset value per share (Note 1)	$	17.35	$	247.40
Market value per share (Note 1) (Note 2)	$	17.21	$	242.20

See accompanying notes to financial statements.

47

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(35% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.223% due 11/03/22	$	35,000,000	$	34,917,571
3.026% due 12/01/22		50,000,000		49,759,085
Total short-term U.S. government and agency obligations (cost $84,743,350)			$	84,676,656

Futures Contracts Sold

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Natural Gas - NYMEX, expires November 2022		7,167	$	484,919,220	$	130,293,612

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

See accompanying notes to financial statements.

48

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	953,050		$	9,879		$	1,131,063		$	25,512
Expenses
Management fee		730,949			258,824			1,784,017			609,472
Brokerage commissions		173,386			67,808			539,244			249,831
Futures account fees		48,485			42,064			255,370			99,190
Non-recurring fees and expenses		5,374			—			5,374			—
Total expenses		958,194			368,696			2,584,005			958,493
Net investment income (loss)		(5,144	)		(358,817	)		(1,452,942	)		(932,981	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		8,173,631			(95,609,878	)		(389,138,752	)		(112,274,576	)
Short-term U.S. government and agency obligations		(57,864	)		—			(116,673	)		—
Net realized gain (loss)		8,115,767			(95,609,878	)		(389,255,425	)		(112,274,576	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		(23,776,729	)		(17,870,697	)		116,857,361			(35,668,153	)
Short-term U.S. government and agency obligations		309,345			(839	)		(32,689	)		(2,080	)
Change in net unrealized appreciation (depreciation)		(23,467,384	)		(17,871,536	)		116,824,672			(35,670,233	)
Net realized and unrealized gain (loss)		(15,351,617	)		(113,481,414	)		(272,430,753	)		(147,944,809	)
Net income (loss)	$	(15,356,761	)	$	(113,840,231	)	$	(273,883,695	)	$	(148,877,790	)

See accompanying notes to financial statements.

49

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	211,823,446		$	97,525,300		$	242,145,130		$	24,977,745
Addition of 58,900,000, 1,025,000, 82,240,000 and 1,402,500 shares, respectively (Note 1)		790,506,039			210,189,776			1,734,541,781			446,153,207
Redemption of 49,900,000, 265,000, 69,251,886 and 442,500 shares, respectively (Note 1)		(744,582,726	)		(55,406,168	)		(1,460,413,218	)		(183,784,485	)
Net addition (redemption) of 9,000,000, 760,000, 12,988,114 and 960,000 shares, respectively (Note 1)		45,923,313			154,783,608			274,128,563			262,368,722
Net investment income (loss)		(5,144	)		(358,817	)		(1,452,942	)		(932,981	)
Net realized gain (loss)		8,115,767			(95,609,878	)		(389,255,425	)		(112,274,576	)
Change in net unrealized appreciation (depreciation)		(23,467,384	)		(17,871,536	)		116,824,672			(35,670,233	)
Net income (loss)		(15,356,761	)		(113,840,231	)		(273,883,695	)		(148,877,790	)
Shareholders’ equity, end of period	$	242,389,998		$	138,468,677		$	242,389,998		$	138,468,677

See accompanying notes to financial statements.

50

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(273,883,695	)	$	(148,877,790	)
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		(641,286,804	)		(144,983,115	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		680,730,195			98,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(447,861	)		(12,252	)
Net realized (gain) loss on investments		116,673			–
Change in unrealized (appreciation) depreciation on investments		32,689			2,080
Decrease (Increase) in receivable on open futures contracts		(17,665,801	)		–
Decrease (Increase) in interest receivable		(278,702	)		(2,114	)
Increase (Decrease) in payable to Sponsor		354,079			85,465
Increase (Decrease) in brokerage commissions and futures account fees payable		(23,511	)		27,103
Increase (Decrease) in payable on open futures contracts		(8,542,438	)		14,455,099
Increase (Decrease) in non-recurring fees and expenses payable		5,374			–
Net cash provided by (used in) operating activities		(260,889,802	)		(181,305,524	)
Cash flow from financing activities
Proceeds from addition of shares		1,734,541,781			446,153,207
Payment on shares redeemed		(1,464,617,750	)		(170,017,033	)
Net cash provided by (used in) financing activities		269,924,031			276,136,174
Net increase (decrease) in cash		9,034,229			94,830,650
Cash, beginning of period		113,000,927			19,147,382
Cash, end of period	$	122,035,156		$	113,978,032

See accompanying notes to financial statements.

51

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $45,894,901 and $46,968,288, respectively)	$	45,854,318	$	46,961,125
Cash		42,105,160		7,554,065
Segregated cash balances with brokers for foreign currency forward contracts		3,350,000		—
Unrealized appreciation on foreign currency forward contracts		3,108,883		135,118
Receivable from capital shares sold		549		—
Interest receivable		62,104		603
Total assets		94,481,014		54,650,911
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		3,484,180		—
Payable to Sponsor		142,878		44,707
Unrealized depreciation on foreign currency forward contracts		267,843		343,159
Non-recurring fees and expenses payable		1,835		—
Total liabilities		3,896,736		387,866
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		90,584,278		54,263,045
Total liabilities and shareholders’ equity	$	94,481,014	$	54,650,911
Shares outstanding		2,600,000		2,100,000
Net asset value per share	$	34.84	$	25.84
Market value per share (Note 2)	$	34.88	$	25.86

See accompanying notes to financial statements.

52

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(51% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.223% due 11/03/22 †	$	16,000,000	$	15,962,318
2.682% due 11/17/22		30,000,000		29,892,000
Total short-term U.S. government and agency obligations (cost $45,894,901)			$	45,854,318

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		10/07/22		38,000,000		$	37,260,363		$	(267,843	)
							Total Unrealized Depreciation		$	(267,843	)
Contracts to Sell
Euro with Goldman Sachs International		10/07/22		(78,612,263	)	$	(77,082,144	)	$	1,292,731
Euro with UBS AG		10/07/22		(144,189,199	)		(141,382,682	)		1,816,152
							Total Unrealized Appreciation		$	3,108,883

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

^ The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

See accompanying notes to financial statements.

53

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	230,824		$	5,008		$	285,240		$	17,814
Expenses
Management fee		203,036			116,733			467,426			355,451
Non-recurring fees and expenses		1,835			—			1,835			—
Total expenses		204,871			116,733			469,261			355,451
Net investment income (loss)		25,953			(111,725	)		(184,021	)		(337,637	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		11,086,708			2,974,466			16,693,971			2,249,236
Short-term U.S. government and agency obligations		—			—			210,974			—
Net realized gain (loss)		11,086,708			2,974,466			16,904,945			2,249,236
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(354,043	)		(618,447	)		3,049,081			3,263,507
Short-term U.S. government and agency obligations		61,225			489			(33,420	)		(398	)
Change in net unrealized appreciation (depreciation)		(292,818	)		(617,958	)		3,015,661			3,263,109
Net realized and unrealized gain (loss)		10,793,890			2,356,508			19,920,606			5,512,345
Net income (loss)	$	10,819,843		$	2,244,783		$	19,736,585		$	5,174,708

See accompanying notes to financial statements.

54

PROSHARES ULTRASHORT EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	62,270,097		$	48,820,440		$	54,263,045		$	52,953,339
Addition of 1,100,000, 100,000, 1,650,000 and 300,000 shares, respectively		36,183,635			2,387,142			52,211,698			7,000,386
Redemption of 550,000, 200,000, 1,150,000 and 700,000 shares, respectively		(18,689,297	)		(4,811,548	)		(35,627,050	)		(16,487,616	)
Net addition (redemption) of 550,000, (100,000), 500,000 and (400,000) shares, respectively		17,494,338			(2,424,406	)		16,584,648			(9,487,230	)
Net investment income (loss)		25,953			(111,725	)		(184,021	)		(337,637	)
Net realized gain (loss)		11,086,708			2,974,466			16,904,945			2,249,236
Change in net unrealized appreciation (depreciation)		(292,818	)		(617,958	)		3,015,661			3,263,109
Net income (loss)		10,819,843			2,244,783			19,736,585			5,174,708
Shareholders’ equity, end of period	$	90,584,278		$	48,640,817		$	90,584,278		$	48,640,817

See accompanying notes to financial statements.

55

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	19,736,585		$	5,174,708
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		(74,843,167	)		(89,988,404	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		76,210,974			65,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(83,446	)		(9,950	)
Net realized (gain) loss on investments		(210,974	)		—
Change in unrealized (appreciation) depreciation on investments		(3,015,661	)		(3,263,109	)
Decrease (Increase) in interest receivable		(61,501	)		1,752
Increase (Decrease) in payable to Sponsor		98,171			(7,152	)
Increase (Decrease) in non-recurring fees and expenses payable		1,835			—
Net cash provided by (used in) operating activities		17,832,816			(23,092,155	)
Cash flow from financing activities
Proceeds from addition of shares		52,211,149			7,000,386
Payment on shares redeemed		(32,142,870	)		(16,487,616	)
Net cash provided by (used in) financing activities		20,068,279			(9,487,230	)
Net increase (decrease) in cash		37,901,095			(32,579,385	)
Cash, beginning of period		7,554,065			44,132,228
Cash, end of period	$	45,455,160		$	11,552,843

See accompanying notes to financial statements.

56

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $7,998,387 and $25,984,097, respectively)	$	7,981,159	$	25,980,516
Cash		18,844,336		1,287,229
Segregated cash balances with brokers for futures contracts		905,588		703,125
Segregated cash balances with brokers for swap agreements		1,167,000		—
Unrealized appreciation on swap agreements		802,204		—
Interest receivable		26,029		434
Total assets		29,726,316		27,971,304
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		42,662		92,537
Brokerage commissions and futures account fees payable		—		294
Payable to Sponsor		48,290		25,512
Unrealized depreciation on swap agreements		—		993,117
Non-recurring fees and expenses payable		639		—
Total liabilities		91,591		1,111,460
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		29,634,725		26,859,844
Total liabilities and shareholders’ equity	$	29,726,316	$	27,971,304
Shares outstanding		796,977		846,977
Net asset value per share	$	37.18	$	31.71
Market value per share (Note 2)	$	37.30	$	31.66

See accompanying notes to financial statements.

57

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(27% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.223% due 11/03/22 †	$	8,000,000	$	7,981,159
Total short-term U.S. government and agency obligations (cost $7,998,387)			$	7,981,159

Futures Contracts Sold

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Gold Futures - COMEX, expires December 2022		157	$	26,250,400	$	1,536,681

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	%		10/06/22	$	(13,547,911	)	$	329,122
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex		0.20			10/06/22		(8,863,141	)		215,613
Swap agreement with UBS AG based on Bloomberg Gold Subindex		0.25			10/06/22		(10,598,433	)		257,469
							Total Unrealized Appreciation		$	802,204

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

^ The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

* Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

58

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	72,261		$	3,075		$	101,921		$	9,213
Expenses
Management fee		76,652			66,304			218,466			199,999
Brokerage commissions		3,565			3,301			9,361			9,174
Futures account fees		—			1,856			2,446			8,344
Non-recurring fees and expenses		639			—			639			—
Total expenses		80,856			71,461			230,912			217,517
Net investment income (loss)		(8,595	)		(68,386	)		(128,991	)		(208,304	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		2,017,269			(883,113	)		1,336,740			(1,598,368	)
Swap agreements		2,970,959			2,096,834			1,900,685			(169,268	)
Short-term U.S. government and agency obligations		—			—			4			169
Net realized gain (loss)		4,988,228			1,213,721			3,237,429			(1,767,467	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		725,119			(153,889	)		1,378,602			628,980
Swap agreements		81,220			(1,744,696	)		1,795,321			1,098,851
Short-term U.S. government and agency obligations		35,207			166			(13,647	)		(50	)
Change in net unrealized appreciation (depreciation)		841,546			(1,898,419	)		3,160,276			1,727,781
Net realized and unrealized gain (loss)		5,829,774			(684,698	)		6,397,705			(39,686	)
Net income (loss)	$	5,821,179		$	(753,084	)	$	6,268,714		$	(247,990	)

See accompanying notes to financial statements.

59

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	34,611,284		$	32,835,014		$	26,859,844		$	20,337,376
Addition of 350,000, 650,000, 1,500,000 and 1,700,000 shares, respectively		12,520,359			21,916,482			46,264,925			59,279,388
Redemption of 650,000, 800,000, 1,550,000 and 1,550,000 shares, respectively		(23,318,097	)		(26,267,390	)		(49,758,758	)		(51,637,752	)
Net addition (redemption) of (300,000), (150,000), (50,000) and 150,000 shares, respectively		(10,797,738	)		(4,350,908	)		(3,493,833	)		7,641,636
Net investment income (loss)		(8,595	)		(68,386	)		(128,991	)		(208,304	)
Net realized gain (loss)		4,988,228			1,213,721			3,237,429			(1,767,467	)
Change in net unrealized appreciation (depreciation)		841,546			(1,898,419	)		3,160,276			1,727,781
Net income (loss)		5,821,179			(753,084	)		6,268,714			(247,990	)
Shareholders’ equity, end of period	$	29,634,725		$	27,731,022		$	29,634,725		$	27,731,022

See accompanying notes to financial statements.

60

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	6,268,714		$	(247,990	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(17,987,492	)		(40,994,386	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		35,999,990			22,999,935
Net amortization and accretion on short-term U.S. government and agency obligations		(26,784	)		(4,402	)
Net realized (gain) loss on investments		(4	)		(169	)
Change in unrealized (appreciation) depreciation on investments		(1,781,674	)		(1,098,801	)
Decrease (Increase) in receivable on open futures contracts		—			1,317
Decrease (Increase) in interest receivable		(25,595	)		443
Increase (Decrease) in payable to Sponsor		22,778			3,016
Increase (Decrease) in brokerage commissions and futures account fees payable		(294	)		211
Increase (Decrease) in payable on open futures contracts		(49,875	)		294,581
Increase (Decrease) in non-recurring fees and expenses payable		639			—
Net cash provided by (used in) operating activities		22,420,403			(19,046,245	)
Cash flow from financing activities
Proceeds from addition of shares		46,264,925			59,279,388
Payment on shares redeemed		(49,758,758	)		(51,637,752	)
Net cash provided by (used in) financing activities		(3,493,833	)		7,641,636
Net increase (decrease) in cash		18,926,570			(11,404,609	)
Cash, beginning of period		1,990,354			20,633,371
Cash, end of period	$	20,916,924		$	9,228,762

See accompanying notes to financial statements.

61

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $1,999,597 and $22,995,121, respectively)	$	1,995,290	$	22,994,261
Cash		24,898,921		1,829,901
Segregated cash balances with brokers for futures contracts		3,809,063		1,081,575
Segregated cash balances with brokers for swap agreements		4,826,000		2,572,000
Receivable on open futures contracts		—		15,446
Interest receivable		25,398		378
Total assets		35,554,672		28,493,561
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		598,764		5,840
Brokerage commissions and futures account fees payable		—		747
Payable to Sponsor		40,841		28,560
Unrealized depreciation on swap agreements		1,151,403		1,921,414
Non-recurring fees and expenses payable		612		—
Total liabilities		1,791,620		1,956,561
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		33,763,052		26,537,000
Total liabilities and shareholders’ equity	$	35,554,672	$	28,493,561
Shares outstanding		991,329		991,329
Net asset value per share	$	34.06	$	26.77
Market value per share (Note 2)	$	34.15	$	26.84

See accompanying notes to financial statements.

62

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(6% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.223% due 11/03/22 †	$	2,000,000	$	1,995,290
Total short-term U.S. government and agency obligations (cost $1,999,597)			$	1,995,290

Futures Contracts Sold

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Silver Futures - COMEX, expires December 2022		506	$	48,168,670	$	1,453,369

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	%		10/06/22	$	(2,288,972	)	$	(136,329	)
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.25			10/06/22		(8,338,415	)		(496,626	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30			10/06/22		(6,593,089	)		(392,881	)
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25			10/06/22		(2,108,259	)		(125,567	)
							Total Unrealized Depreciation		$	(1,151,403	)

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

^ The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

* Reflects the floating financing rate, as of September 30, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

63

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	63,222		$	3,100		$	90,885		$	8,895
Expenses
Management fee		67,215			90,963			190,549			248,539
Brokerage commissions		8,699			8,141			20,677			19,409
Futures account fees		—			6,528			4,443			20,726
Non-recurring fees and expenses		612			—			612			—
Total expenses		76,526			105,632			216,281			288,674
Net investment income (loss)		(13,304	)		(102,532	)		(125,396	)		(279,779	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		1,719,839			523,159			6,370,119			(929,991	)
Swap agreements		4,495,568			6,138,986			1,882,774			(1,216,671	)
Short-term U.S. government and agency obligations		—			—			(190	)		85
Net realized gain (loss)		6,215,407			6,662,145			8,252,703			(2,146,577	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		(1,063,521	)		2,684,085			800,876			3,176,052
Swap agreements		(3,024,441	)		1,237,760			770,011			7,288,071
Short-term U.S. government and agency obligations		12,438			751			(3,447	)		(336	)
Change in net unrealized appreciation (depreciation)		(4,075,524	)		3,922,596			1,567,440			10,463,787
Net realized and unrealized gain (loss)		2,139,883			10,584,741			9,820,143			8,317,210
Net income (loss)	$	2,126,579		$	10,482,209		$	9,694,747		$	8,037,431

See accompanying notes to financial statements.

64

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	33,052,840		$	34,859,763		$	26,537,000		$	28,885,775
Addition of 1,000,000, 1,000,000, 2,800,000 and 3,750,000 shares, respectively		34,082,044			26,169,229			77,349,605			91,351,542
Redemption of 1,050,000, 1,200,000, 2,800,000 and 3,500,415 shares, respectively		(35,498,411	)		(31,137,324	)		(79,818,300	)		(87,900,871	)
Net addition (redemption) of (50,000), (200,000), – and 249,585 shares, respectively		(1,416,367	)		(4,968,095	)		(2,468,695	)		3,450,671
Net investment income (loss)		(13,304	)		(102,532	)		(125,396	)		(279,779	)
Net realized gain (loss)		6,215,407			6,662,145			8,252,703			(2,146,577	)
Change in net unrealized appreciation (depreciation)		(4,075,524	)		3,922,596			1,567,440			10,463,787
Net income (loss)		2,126,579			10,482,209			9,694,747			8,037,431
Shareholders’ equity, end of period	$	33,763,052		$	40,373,877		$	33,763,052		$	40,373,877

See accompanying notes to financial statements.

65

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	9,694,747		$	8,037,431
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(20,979,052	)		(49,994,362	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		41,999,081			27,999,988
Net amortization and accretion on short-term U.S. government and agency obligations		(24,695	)		(4,676	)
Net realized (gain) loss on investments		190			(85	)
Change in unrealized (appreciation) depreciation on investments		(766,564	)		(7,287,735	)
Decrease (Increase) in receivable on open futures contracts		15,446			39,445
Decrease (Increase) in interest receivable		(25,020	)		335
Increase (Decrease) in payable to Sponsor		12,281			3,356
Increase (Decrease) in brokerage commissions and futures account fees payable		(747	)		1,471
Increase (Decrease) in payable on open futures contracts		592,924			90,385
Increase (Decrease) in non-recurring fees and expenses payable		612			—
Net cash provided by (used in) operating activities		30,519,203			(21,114,447	)
Cash flow from financing activities
Proceeds from addition of shares		77,349,605			89,788,249
Payment on shares redeemed		(79,818,300	)		(84,774,285	)
Net cash provided by (used in) financing activities		(2,468,695	)		5,013,964
Net increase (decrease) in cash		28,050,508			(16,100,483	)
Cash, beginning of period		5,483,476			32,155,049
Cash, end of period	$	33,533,984		$	16,054,566

See accompanying notes to financial statements.

66

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $4,998,992 and $20,990,068, respectively)	$	4,988,225	$	20,987,825
Cash		44,231,706		3,003,251
Segregated cash balances with brokers for foreign currency forward contracts		2,320,000		—
Unrealized appreciation on foreign currency forward contracts		580,211		1,237,168
Interest receivable		42,493		339
Total assets		52,162,635		25,228,583
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		68,901		20,211
Unrealized depreciation on foreign currency forward contracts		155,443		367,588
Non-recurring fees and expenses payable		953		—
Total liabilities		225,297		387,799
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		51,937,338		24,840,784
Total liabilities and shareholders’ equity	$	52,162,635	$	25,228,583
Shares outstanding (Note 1)		798,580		598,580
Net asset value per share (Note 1)	$	65.04	$	41.50
Market value per share (Note 1) (Note 2)	$	65.02	$	41.50

See accompanying notes to financial statements.

67

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(10% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.223% due 11/03/22 †	$	5,000,000	$	4,988,225
Total short-term U.S. government and agency obligations (cost $4,998,992)			$	4,988,225

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		10/07/22		513,732,000		$	3,551,971		$	(61,321	)
Yen with UBS AG		10/07/22		1,169,990,000			8,089,375			(94,122	)
							Total Unrealized Depreciation		$	(155,443	)
Contracts to Sell
Yen with Goldman Sachs International		10/07/22		(4,358,922,165	)	$	(30,137,828	)	$	154,005
Yen with UBS AG		10/07/22		(12,349,528,574	)		(85,385,320	)		426,206
							Total Unrealized Appreciation		$	580,211

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

^ The positions and counterparties herein are as of September 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

See accompanying notes to financial statements.

68

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	115,191		$	2,392		$	151,503		$	9,558
Expenses
Management fee		106,598			57,037			259,599			196,036
Non-recurring fees and expenses		953			—			953			—
Total expenses		107,551			57,037			260,552			196,036
Net investment income (loss)		7,640			(54,645	)		(109,049	)		(186,478	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		5,879,873			197,444			14,877,216			3,055,103
Short-term U.S. government and agency obligations		—			—			102,971			—
Net realized gain (loss)		5,879,873			197,444			14,980,187			3,055,103
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(546,737	)		(190,261	)		(444,812	)		1,066,540
Short-term U.S. government and agency obligations		22,866			329			(8,524	)		(207	)
Change in net unrealized appreciation (depreciation)		(523,871	)		(189,932	)		(453,336	)		1,066,333
Net realized and unrealized gain (loss)		5,356,002			7,512			14,526,851			4,121,436
Net income (loss)	$	5,363,642		$	(47,133	)	$	14,417,802		$	3,934,958

See accompanying notes to financial statements.

69

PROSHARES ULTRASHORT YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	45,568,882		$	27,231,748		$	24,840,784		$	23,691,070
Addition of 250,000, –, 1,100,000 and 200,000 shares, respectively (Note 1)		15,352,183			—			59,472,902			7,132,412
Redemption of 250,000, 100,000, 900,000 and 300,000 shares, respectively (Note 1)		(14,347,369	)		(3,855,693	)		(46,794,150	)		(11,429,518	)
Net addition (redemption) of –, (100,000), 200,000 and (100,000) shares, respectively (Note 1)		1,004,814			(3,855,693	)		12,678,752			(4,297,106	)
Net investment income (loss)		7,640			(54,645	)		(109,049	)		(186,478	)
Net realized gain (loss)		5,879,873			197,444			14,980,187			3,055,103
Change in net unrealized appreciation (depreciation)		(523,871	)		(189,932	)		(453,336	)		1,066,333
Net income (loss)		5,363,642			(47,133	)		14,417,802			3,934,958
Shareholders’ equity, end of period	$	51,937,338		$	23,328,922		$	51,937,338		$	23,328,922

See accompanying notes to financial statements.

70

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	14,417,802		$	3,934,958
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(17,984,732	)		(43,494,229	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		34,102,971			26,500,000
Net amortization and accretion on short-term U.S. government and agency obligations		(24,192	)		(4,425	)
Net realized (gain) loss on investments		(102,971	)		—
Change in unrealized (appreciation) depreciation on investments		453,336			(1,066,333	)
Decrease (Increase) in interest receivable		(42,154	)		553
Increase (Decrease) in payable to Sponsor		48,690			(1,517	)
Increase (Decrease) in non-recurring fees and expenses payable		953			—
Net cash provided by (used in) operating activities		30,869,703			(14,130,993	)
Cash flow from financing activities
Proceeds from addition of shares		59,472,902			7,132,412
Payment on shares redeemed		(46,794,150	)		(11,429,518	)
Net cash provided by (used in) financing activities		12,678,752			(4,297,106	)
Net increase (decrease) in cash		43,548,455			(18,428,099	)
Cash, beginning of period		3,003,251			24,274,564
Cash, end of period	$	46,551,706		$	5,846,465

See accompanying notes to financial statements.

71

PROSHARES VIX

MID-TERM

FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $31,993,547 and $85,937,303, respectively)	$	31,924,637	$	85,922,969
Cash		63,807,096		8,130,069
Segregated cash balances with brokers for futures contracts		15,672,400		18,941,750
Receivable on open futures contracts		828,618		63,397
Interest receivable		85,354		1,097
Total assets		112,318,105		113,059,282
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		1,761,987		—
Payable on open futures contracts		—		94,495
Brokerage commissions and futures account fees payable		—		7,124
Payable to Sponsor		133,494		81,983
Non-recurring fees and expenses payable		2,050		—
Total liabilities		1,897,531		183,602
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		110,420,574		112,875,680
Total liabilities and shareholders’ equity	$	112,318,105	$	113,059,282
Shares outstanding		3,112,403		3,687,403
Net asset value per share	$	35.48	$	30.61
Market value per share (Note 2)	$	35.50	$	30.57

See accompanying notes to financial statements.

72

PROSHARES VIX

MID-TERM

FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(29% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.223% due 11/03/22	$	32,000,000	$	31,924,637
Total short-term U.S. government and agency obligations (cost $31,993,547)			$	31,924,637

Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires January 2023		728	$	22,351,129	$	1,353,160
VIX Futures - Cboe, expires February 2023		1,214		36,796,340		2,580,598
VIX Futures - Cboe, expires March 2023		1,214		36,638,520		2,105,825
VIX Futures - Cboe, expires April 2023		486		14,700,868		277,649
					$	6,317,232

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

See accompanying notes to financial statements.

73

PROSHARES VIX

MID-TERM

FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	220,211		$	8,914		$	296,960		$	27,487
Expenses
Management fee		201,508			221,356			627,755			586,702
Brokerage commissions		17,922			20,803			58,291			48,211
Futures account fees		—			28,911			46,394			86,674
Non-recurring fees and expenses		2,050			—			2,050			—
Total expenses		221,480			271,070			734,490			721,587
Net investment income (loss)		(1,269	)		(262,156	)		(437,530	)		(694,100	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(1,349,272	)		(4,024,133	)		11,304,613			(14,890,359	)
Short-term U.S. government and agency obligations		—			—			(336	)		—
Net realized gain (loss)		(1,349,272	)		(4,024,133	)		11,304,277	��		(14,890,359	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		3,236,565			10,651,835			6,941,620			5,950,464
Short-term U.S. government and agency obligations		131,644			1,117			(54,576	)		(1,004	)
Change in net unrealized appreciation (depreciation)		3,368,209			10,652,952			6,887,044			5,949,460
Net realized and unrealized gain (loss)		2,018,937			6,628,819			18,191,321			(8,940,899	)
Net income (loss)	$	2,017,668		$	6,366,663		$	17,753,791		$	(9,634,999	)

See accompanying notes to financial statements.

74

PROSHARES VIX

MID-TERM

FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	95,721,271		$	92,662,734		$	112,875,680		$	72,075,095
Addition of 850,000, 1,200,000, 1,850,000 and 2,625,000 shares, respectively		28,312,142			37,425,551			60,491,195			87,035,790
Redemption of 450,000, 275,000, 2,425,000 and 625,000 shares, respectively		(15,630,507	)		(8,781,811	)		(80,700,092	)		(21,802,749	)
Net addition (redemption) of 400,000, 925,000, (575,000) and 2,000,000 shares, respectively		12,681,635			28,643,740			(20,208,897	)		65,233,041
Net investment income (loss)		(1,269	)		(262,156	)		(437,530	)		(694,100	)
Net realized gain (loss)		(1,349,272	)		(4,024,133	)		11,304,277			(14,890,359	)
Change in net unrealized appreciation (depreciation)		3,368,209			10,652,952			6,887,044			5,949,460
Net income (loss)		2,017,668			6,366,663			17,753,791			(9,634,999	)
Shareholders’ equity, end of period	$	110,420,574		$	127,673,137		$	110,420,574		$	127,673,137

See accompanying notes to financial statements.

75

PROSHARES VIX

MID-TERM

FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	17,753,791		$	(9,634,999	)
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		(66,991,148	)		(112,984,923	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		120,998,548			96,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(63,980	)		(11,385	)
Net realized (gain) loss on investments		336			—
Change in unrealized (appreciation) depreciation on investments		54,576			1,004
Decrease (Increase) in receivable on open futures contracts		(765,221	)		(304,739	)
Decrease (Increase) in interest receivable		(84,257	)		(995	)
Increase (Decrease) in payable to Sponsor		51,511			25,800
Increase (Decrease) in brokerage commissions and futures account fees payable		(7,124	)		(1,377	)
Increase (Decrease) in payable on open futures contracts		(94,495	)		—
Increase (Decrease) in non-recurring fees and expenses payable		2,050			—
Net cash provided by (used in) operating activities		70,854,587			(26,911,614	)
Cash flow from financing activities
Proceeds from addition of shares		60,491,195			87,035,790
Payment on shares redeemed		(78,938,105	)		(22,718,536	)
Net cash provided by (used in) financing activities		(18,446,910	)		64,317,254
Net increase (decrease) in cash		52,407,677			37,405,640
Cash, beginning of period		27,071,819			27,802,834
Cash, end of period	$	79,479,496		$	65,208,474

See accompanying notes to financial statements.

76

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $157,803,304 and $150,887,871, respectively)	$	157,672,634	$	150,861,898
Cash		118,894,245		11,013,736
Segregated cash balances with brokers for futures contracts		104,019,800		104,947,080
Receivable from capital shares sold		—		3,026,614
Receivable on open futures contracts		69,873,535		2,115,232
Interest receivable		364,107		1,774
Total assets		450,824,321		271,966,334
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		12,701,023		—
Payable on open futures contracts		—		2,037,391
Brokerage commissions and futures account fees payable		18,250		38,926
Payable to Sponsor		559,720		186,853
Non-recurring fees and expenses payable		8,700		—
Total liabilities		13,287,693		2,263,170
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		437,536,628		269,703,164
Total liabilities and shareholders’ equity	$	450,824,321	$	271,966,334
Shares outstanding		25,582,826		17,832,826
Net asset value per share	$	17.10	$	15.12
Market value per share (Note 2)	$	17.10	$	15.17

See accompanying notes to financial statements.

77

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(36% of shareholders’ equity)
U.S. Treasury Bills ^^ :
2.253% due 10/06/22	$	50,000,000	$	49,989,230
0.223% due 11/03/22		58,000,000		57,863,404
2.682% due 11/17/22		50,000,000		49,820,000
Total short-term U.S. government and agency obligations (cost $157,803,304)			$	157,672,634

Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires October 2022		8,381	$	264,135,596	$	46,212,286
VIX Futures - Cboe, expires November 2022		5,587		173,597,588		8,613,135
					$	54,825,421

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

See accompanying notes to financial statements.

78

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	1,400,201		$	11,739		$	1,678,813		$	91,187
Expenses
Management fee		874,070			660,051			2,353,478			2,154,874
Brokerage commissions		203,095			97,516			490,751			365,013
Futures account fees		54,944			151,758			371,384			591,272
Non-recurring fees and expenses		8,700			—			8,700			—
Total expenses		1,140,809			909,325			3,224,313			3,111,159
Net investment income (loss)		259,392			(897,586	)		(1,545,500	)		(3,019,972	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(45,457,319	)		(51,868,433	)		31,935,990			(304,349,667	)
Short-term U.S. government and agency obligations		—			—			(300	)		—
Net realized gain (loss)		(45,457,319	)		(51,868,433	)		31,935,690			(304,349,667	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		51,449,994			42,164,263			84,956,040			27,731,186
Short-term U.S. government and agency obligations		248,953			4,034			(104,697	)		(1,396	)
Change in net unrealized appreciation (depreciation)		51,698,947			42,168,297			84,851,343			27,729,790
Net realized and unrealized gain (loss)		6,241,628			(9,700,136	)		116,787,033			(276,619,877	)
Net income (loss)	$	6,501,020		$	(10,597,722	)	$	115,241,533		$	(279,639,849	)

See accompanying notes to financial statements.

79

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	341,714,316		$	272,352,675		$	269,703,164		$	293,390,549
Addition of 17,775,000, 6,300,000, 35,900,000 and 16,556,250 shares, respectively		261,088,034			142,476,815			563,456,503			593,853,539
Redemption of 10,950,000, 1,350,000, 28,150,000 and 5,630,003 shares, respectively		(171,766,742	)		(35,454,435	)		(510,864,572	)		(238,826,906	)
Net addition (redemption) of 6,825,000, 4,950,000, 7,750,000 and 10,926,247 shares, respectively		89,321,292			107,022,380			52,591,931			355,026,633
Net investment income (loss)		259,392			(897,586	)		(1,545,500	)		(3,019,972	)
Net realized gain (loss)		(45,457,319	)		(51,868,433	)		31,935,690			(304,349,667	)
Change in net unrealized appreciation (depreciation)		51,698,947			42,168,297			84,851,343			27,729,790
Net income (loss)		6,501,020			(10,597,722	)		115,241,533			(279,639,849	)
Shareholders’ equity, end of period	$	437,536,628		$	368,777,333		$	437,536,628		$	368,777,333

See accompanying notes to financial statements.

80

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	115,241,533		$	(279,639,849	)
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		(2,462,189,566	)		(425,941,319	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		2,455,998,870			383,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(725,037	)		(50,698	)
Net realized (gain) loss on investments		300			—
Change in unrealized (appreciation) depreciation on investments		104,697			1,396
Decrease (Increase) in receivable on open futures contracts		(67,758,303	)		834,150
Decrease (Increase) in interest receivable		(362,333	)		(1,076	)
Increase (Decrease) in payable to Sponsor		372,867			17,527
Increase (Decrease) in brokerage commissions and futures account fees payable		(20,676	)		(28,852	)
Increase (Decrease) in payable on open futures contracts		(2,037,391	)		1,181,913
Increase (Decrease) in non-recurring fees and expenses payable		8,700			—
Net cash provided by (used in) operating activities		38,633,661			(320,626,808	)
Cash flow from financing activities
Proceeds from addition of shares		566,483,117			593,853,539
Payment on shares redeemed		(498,163,549	)		(238,826,906	)
Net cash provided by (used in) financing activities		68,319,568			355,026,633
Net increase (decrease) in cash		106,953,229			34,399,825
Cash, beginning of period		115,960,816			206,562,147
Cash, end of period	$	222,914,045		$	240,961,972

See accompanying notes to financial statements.

81

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

	September 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $1,816,371,072 and $2,505,722,885, respectively)	$	1,815,105,624	$	2,505,429,337
Cash		851,017,429		394,413,910
Segregated cash balances with brokers for futures contracts		964,952,140		1,010,799,328
Segregated cash balances with brokers for foreign currency forward contracts		7,679,000		916,000
Segregated cash balances with brokers for swap agreements		235,294,945		2,572,000
Unrealized appreciation on swap agreements		27,606,752		113,159,180
Unrealized appreciation on foreign currency forward contracts		3,695,149		1,457,257
Receivable from capital shares sold		4,647,847		23,475,355
Receivable on open futures contracts		539,065,223		205,819,074
Interest receivable		3,118,925		22,943
Total assets		4,452,183,034		4,258,064,384
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		94,141,256		25,594,902
Payable on open futures contracts		13,255,922		51,142,167
Brokerage commissions and futures account fees payable		149,226		476,241
Payable to Sponsor		7,423,558		3,178,585
Unrealized depreciation on swap agreements		131,794,025		3,391,968
Unrealized depreciation on foreign currency forward contracts		955,689		806,178
Non-recurring fees and expenses payable		81,773		—
Total liabilities		247,801,449		84,590,041
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		4,204,381,585		4,173,474,343
Total liabilities and shareholders’ equity	$	4,452,183,034	$	4,258,064,384
Shares outstanding (Note 9)		197,794,037		151,164,114

See accompanying notes to financial statements.

82

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS*

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Investment Income
Interest	$	14,620,209		$	225,068		$	19,240,564		$	1,311,362
Expenses
Management fee		11,269,281			9,892,153			33,494,289			32,386,686
Brokerage commissions		2,210,735			1,808,557			6,013,653			6,704,455
Futures account fees		449,872			1,447,030			3,285,001			5,996,930
Non-recurring fees and expenses		81,773			27,500			81,773			27,500
Total expenses		14,011,661			13,175,240			42,874,716			45,115,571
Net investment income (loss)		608,548			(12,950,172	)		(23,634,152	)		(43,804,209	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(321,993,985	)		(240,784,887	)		188,147,013			(1,427,934,171	)
Swap agreements		(438,845,993	)		(160,769,089	)		217,520,213			50,628,405
Foreign currency forward contracts		13,695,610			2,892,137			26,532,572			4,813,162
Short-term U.S. government and agency obligations		(71,343	)		(10,753	)		(264,143	)		11,145
Net realized gain (loss)		(747,215,711	)		(398,672,592	)		431,935,655			(1,372,481,459	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		291,970,061			158,443,180			354,740,180			230,326,477
Swap agreements		112,369,648			38,179,426			(213,954,485	)		(93,072,018	)
Foreign currency forward contracts		(1,017,583	)		(724,910	)		2,088,381			3,952,272
Short-term U.S. government and agency obligations		3,053,986			88,814			(971,900	)		(38,045	)
Change in net unrealized appreciation (depreciation)		406,376,112			195,986,510			141,902,176			141,168,686
Net realized and unrealized gain (loss)		(340,839,599	)		(202,686,082	)		573,837,831			(1,231,312,773	)
Net income (loss)	$	(340,231,051	)	$	(215,636,254	)	$	550,203,679		$	(1,275,116,982	)

* The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.

See accompanying notes to financial statements.

83

PROSHARES TRUST II

COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY*

(unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	4,563,369,776		$	4,404,846,864		$	4,173,474,343		$	4,474,251,414
Addition of 204,975,000, 55,595,000, 449,280,000 and 130,216,250 shares, respectively (Note 1)		3,360,951,964			1,649,296,999			8,989,738,725			5,597,393,110
Redemption of 185,800,000, 55,500,000, 431,338,426 and 142,595,323 shares, respectively (Note 1)		(3,379,709,104	)		(1,600,549,402	)		(9,509,035,162	)		(4,558,569,335	)
Net addition (redemption) of 19,175,000, 95,000, 17,941,574 and (12,379,073) shares, respectively (Note 1)		(18,757,140	)		48,747,597			(519,296,437	)		1,038,823,775
Net investment income (loss)		608,548			(12,950,172	)		(23,634,152	)		(43,804,209	)
Net realized gain (loss)		(747,215,711	)		(398,672,592	)		431,935,655			(1,372,481,459	)
Change in net unrealized appreciation (depreciation)		406,376,112			195,986,510			141,902,176			141,168,686
Net income (loss)		(340,231,051	)		(215,636,254	)		550,203,679			(1,275,116,982	)
Shareholders’ equity, end of period	$	4,204,381,585		$	4,237,958,207		$	4,204,381,585		$	4,237,958,207

* The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.

84

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS*

(unaudited)

	Nine Months Ended September 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	550,203,679		$	(1,275,116,982	)
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		(32,181,153,315	)		(6,612,113,856	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		32,879,938,110			5,319,975,559
Net amortization and accretion on short-term U.S. government and agency obligations		(9,697,124	)		(740,687	)
Net realized (gain) loss on investments		264,143			(11,145	)
Change in unrealized (appreciation) depreciation on investments		212,838,004			89,157,791
Decrease (Increase) in receivable on futures contracts		(333,246,149	)		(47,134,619	)
Decrease (Increase) in interest receivable		(3,095,982	)		26,005
Increase (Decrease) in payable to Sponsor		4,244,972			(248,437	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(327,015	)		(220,325	)
Increase (Decrease) in payable on futures contracts		(37,886,245	)		(3,570,592	)
Increase (Decrease) in non-recurring fees and expenses payable		81,773			27,500
Net cash provided by (used in) operating activities		1,082,164,851			(2,529,969,788	)
Cash flow from financing activities
Proceeds from addition of shares		9,008,566,233			5,632,395,070
Payment on shares redeemed		(9,440,488,808	)		(4,510,804,732	)
Net cash provided by (used in) financing activities		(431,922,575	)		1,121,590,338
Net increase (decrease) in cash		650,242,276			(1,408,379,450	)
Cash, beginning of period		1,408,701,238			3,256,463,457
Cash, end of period	$	2,058,943,514		$	1,848,084,007

* The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.

See accompanying notes to financial statements.

85

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

September 30, 2022

(unaudited)

NOTE 1 - ORGANIZATION

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2022, the following sixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX

Mid-Term

Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds and the Geared VIX Funds, are collectively referred to as the “Geared Funds” 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.

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.

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.

Share Splits and Reverse Share Splits

The table below includes reverse Share splits for the Funds during the nine months September 30, 2022, and during the year ended December 31, 2021. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.

86

Fund	Execution Date (Prior to Opening of Trading)	Type of Split	Date Trading Resumed at Post- Split Price
ProShares Ultra VIX Short-Term Futures ETF	May 25, 2021	1-for-10 reverse Share split	May 26, 2021
ProShares UltraShort Bloomberg Crude Oil	May 25, 2021	1-for-4 reverse Share split	May 26, 2021
ProShares UltraShort Silver	May 25, 2021	1-for-4 reverse Share split	May 26, 2021
ProShares VIX Short-Term Futures ETF	May 25, 2021	1-for-4 reverse Share split	May 26, 2021
ProShares UltraShort Bloomberg Natural Gas	January 13, 2022	1-for-5 reverse Share split	January 14, 2022
ProShares UltraShort Yen	May 25, 2022	2-for-1 forward Share split	May 26, 2022
ProShares Ultra Bloomberg Crude Oil	May 25, 2022	4-for-1 forward Share split	May 26, 2022
ProShares UltraShort Bloomberg Natural Gas	May 25, 2022	1-for-4 reverse Share split	May 26, 2022
ProShares UltraShort Bloomberg Crude Oil	May 25, 2022	1-for-5 reverse Share split	May 26, 2022

The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.

The forward splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund. Therefore, the forward splits did not change the aggregate net asset value of a shareholder’s investment at the time of the forward 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, 2021, as filed with the SEC on February 25, 2022.

Use of Estimates & Indemnifications

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

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

Basis of Presentation

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

87

Statements of Cash Flows

The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated September 30, 2022 and 2021, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

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 nine months ended September 30, 2022 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.	September 30, 2022
Ultra Gold and UltraShort Gold	1:00 p.m.	1:30 p.m.	September 30, 2022
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.	September 30, 2022
Ultra Euro,
Ultra Yen,
UltraShort Euro and
UltraShort Yen	3:00 p.m.	4:00 p.m.	September 30, 2022
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.	September 30, 2022

* Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, 2022.

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

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the nine months ended September 30, 2022.

Investment Valuation

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

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 and Ultra Short Euro Fund, 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 and Ultra Short Euro Fund 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

88

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.

89

The following table summarizes the valuation of investments at September 30, 2022 using the fair value hierarchy:

	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
Fund	Short-Term U.S. Government and Agencies		Futures Contracts *			Foreign Currency Forward Contracts			Swap Agreements			Total
ProShares Short VIX Short-Term Futures ETF	$	136,590,474	$	(16,266,018	)	$	—		$	—		$	120,324,456
ProShares Ultra Bloomberg Crude Oil		535,064,695		(3,847,928	)		—			(123,956,198	)		407,260,569
ProShares Ultra Bloomberg Natural Gas		106,563,264		(97,363,745	)		—			—			9,199,519
ProShares Ultra Euro		696,356		—			(431,231	)		—			265,125
ProShares Ultra Gold		143,619,527		(1,627,042	)		—			(6,686,424	)		135,306,061
ProShares Ultra Silver		162,611,595		(329,232	)		—			26,804,548			189,086,911
ProShares Ultra VIX Short-Term Futures ETF		273,202,387		196,774,849			—			—			469,977,236
ProShares Ultra Yen		997,645		—			(95,117	)		—			902,528
ProShares UltraShort Bloomberg Crude Oil		120,666,762		105,314,104			—			—			225,980,866
ProShares UltraShort Bloomberg Natural Gas		84,676,656		130,293,612			—			—			214,970,268
ProShares UltraShort Euro		45,854,318		—			2,841,040			—			48,695,358
ProShares UltraShort Gold		7,981,159		1,536,681			—			802,204			10,320,044
ProShares UltraShort Silver		1,995,290		1,453,369			—			(1,151,403	)		2,297,256
ProShares UltraShort Yen		4,988,225		—			424,768			—			5,412,993
ProShares VIX Mid-Term Futures ETF		31,924,637		6,317,232			—			—			38,241,869
ProShares VIX Short-Term Futures ETF		157,672,634		54,825,421			—			—			212,498,055
Combined Trust:	$	1,815,105,624	$	377,081,303		$	2,739,460		$	(104,187,273	)	$	2,090,739,114

* 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, 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	$	—	$	(5,400	)	$	—		$	—		$	(5,400	)
ProShares Short VIX Short-Term Futures ETF		147,815,719		31,275,278			—			—			179,090,997
ProShares Ultra Bloomberg Crude Oil		848,757,567		147,455,525			—			63,928,293			1,060,141,385
ProShares Ultra Bloomberg Natural Gas		90,922,438		(8,206,161	)		—			—			82,716,277
ProShares Ultra Euro		997,678		—			82,652			—			1,080,330
ProShares Ultra Gold		207,956,320		654,894			—			8,639,188			217,250,402
ProShares Ultra Silver		451,872,982		2,506,545			—			40,591,699			494,971,226
ProShares Ultra VIX Short-Term Futures ETF		221,660,593		(126,356,757	)		—			(477,437	)		94,826,399
ProShares Ultra Yen		—		—			(93,112	)		—			(93,112	)
ProShares UltraShort Australian Dollar		1,999,875		(65,155	)		—			—			1,934,720
ProShares UltraShort Bloomberg Crude Oil		55,916,023		(8,409,462	)		—			—			47,506,561
ProShares UltraShort Bloomberg Natural Gas		123,821,548		13,436,251			—			—			137,257,799
ProShares UltraShort Euro		46,961,125		—			(208,041	)		—			46,753,084
ProShares UltraShort Gold		25,980,516		158,079			—			(993,117	)		25,145,478
ProShares UltraShort Silver		22,994,261		652,493			—			(1,921,414	)		21,725,340
ProShares UltraShort Yen		20,987,825		—			869,580			—			21,857,405
ProShares VIX Mid-Term Futures ETF		85,922,969		(624,388	)		—			—			85,298,581
ProShares VIX Short-Term Futures ETF		150,861,898		(30,130,619	)		—			—			120,731,279
Combined Trust:	$	2,505,429,337	$	22,341,123		$	651,079		$	109,767,212		$	2,638,188,751

* 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.

90

There were no transfers into or out of Level 3 for the fiscal year end.

The inputs or methodology used for valuing investment

s

are not necessarily an indication of the risk associated with investing in those securities.

Investment Transactions and Related Income

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

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

Brokerage Commissions and Futures Account Fees

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

give-up

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

Federal Income Tax

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

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

on-going

analysis of tax law, regulation, and interpretations thereof.

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.

91

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.

From the beginning of the reporting period until the close of business on May 2, 2022, the volume of the derivative exposure for each liquidated fund relative to its net assets was generally representative to its investment objective.

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 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.

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When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).

When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.

Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless.

Over-the-counter

options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The

over-the-counter

market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.

Each Oil Fund (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance.

Swap Agreements

Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position. Swap agreements are

two-party

contracts that have traditionally been entered into primarily with institutional investors in

over-the-counter

(“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments.

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Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.

The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.

Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 2022contractually 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.

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 September 30, 2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

94

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 September 30, 2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.

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.

95

The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period.

Fair Value of Derivative Instruments as of September 30, 2022

		Asset Derivatives				Liability Derivatives
Derivatives Not Accounted for as Hedging Instruments	Fund	Statements of Financial Condition Location	Unrealized Appreciation			Statements of Financial Condition Location	Unrealized Depreciation
VIX Futures Contracts		Receivable on open futures contracts, unrealized appreciation on swap agreements				Payable on open futures contracts, unrealized depreciation on swap agreements
	ProShares Short VIX Short-Term Futures ETF		$	—			$	16,266,018	*
	ProShares Ultra VIX Short-Term Futures ETF			196,774,849	*			—
	ProShares VIX Mid-Term Futures ETF			6,317,232	*			—
	ProShares VIX Short-Term Futures ETF			54,825,421	*			—
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			14,409,192	*			142,213,318	*
	ProShares Ultra Bloomberg Natural Gas			—				97,363,745	*
	ProShares Ultra Gold			—				8,313,466	*
	ProShares Ultra Silver			26,804,548	*			329,232	*
	ProShares UltraShort Bloomberg Crude Oil			105,314,104	*			—
	ProShares UltraShort Bloomberg Natural Gas			130,293,612	*			—
	ProShares UltraShort Gold			2,338,885	*			—
	ProShares UltraShort Silver			1,453,369	*			1,151,403	*
Foreign Exchange Contracts		Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts				Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
	ProShares Ultra Euro			—				431,231
	ProShares Ultra Yen			6,055				101,172
	ProShares UltraShort Euro			3,108,883				267,843
	ProShares UltraShort Yen			580,211				155,443
		Combined Trust:	$	542,226,361	*		$	266,592,871	*

* 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.

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Fair Value of Derivative Instruments as of December 31, 2021

		Asset Derivatives				Liability Derivatives
Derivatives Not Accounted for as Hedging Instruments	Fund	Statements of Financial Condition Location	Unrealized Appreciation			Statements of Financial Condition Location	Unrealized Depreciation
VIX Futures Contracts		Receivable on open futures contracts, unrealized appreciation on swap agreements				Payable on open futures contracts, unrealized depreciation on swap agreements
	ProShares Short VIX Short-Term Futures ETF		$	31,275,278	*		$	—
	ProShares Ultra VIX Short-Term Futures ETF			—				126,834,194	*
	ProShares VIX Mid-Term Futures ETF			642,035	*			1,266,423	*
	ProShares VIX Short-Term Futures ETF			—				30,130,619	*
Commodities Contracts		Receivables on open futures contracts and/or unrealized appreciation on swap agreements				Payable on open futures contracts and/or unrealized depreciation on swap agreements
	ProShares Ultra Bloomberg Crude Oil			211,383,818	*			—
	ProShares Ultra Bloomberg Natural Gas			—				8,206,161	*
	ProShares Ultra Gold			9,294,082	*			—
	ProShares Ultra Silver			43,098,244	*			—
	ProShares UltraShort Bloomberg Crude Oil			549,283	*			8,958,745	*
	ProShares UltraShort Bloomberg Natural Gas			13,436,251	*			—
	ProShares UltraShort Gold			158,079	*			993,117	*
	ProShares UltraShort Silver			652,493	*			1,921,414	*
Foreign Exchange Contracts		Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts				Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
	ProShares Short Euro			—				5,400	*
	ProShares Ultra Euro			84,150				1,498
	ProShares Ultra Yen			821				93,933
	ProShares UltraShort Australian Dollar			—				65,155	*
	ProShares UltraShort Euro			135,118				343,159
	ProShares UltraShort Yen			1,237,168				367,588
		Combined Trust:	$	311,946,820	*		$	179,187,406	*

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The Effect of Derivative Instruments on the Statement of Operations

For the three months ended September 30, 2022

Derivatives Not Accounted for as Hedging Instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
		ProShares Short VIX Short-Term Futures ETF	$	27,694,574		$	(17,783,632	)
		ProShares Ultra VIX Short-Term Futures ETF		(289,871,717	)		161,330,331
		ProShares VIX Mid-Term Futures ETF		(1,349,272	)		3,236,565
		ProShares VIX Short-Term Futures ETF		(45,457,319	)		51,449,994
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		(344,578,932	)		(33,971,770	)
		ProShares Ultra Bloomberg Natural Gas		(5,889,116	)		97,063,212
		ProShares Ultra Gold		(39,825,586	)		2,070,901
		ProShares Ultra Silver		(147,384,761	)		91,205,187
		ProShares UltraShort Bloomberg Crude Oil		66,444,885			76,797,273
		ProShares UltraShort Bloomberg Natural Gas		8,173,631			(23,776,729	)
		ProShares UltraShort Gold		4,988,228			806,339
		ProShares UltraShort Silver		6,215,407			(4,087,962	)
Foreign Exchange Contracts	Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
		ProShares Ultra Euro		(1,618,381	)		(98,836	)
		ProShares Ultra Yen		(1,652,590	)		(17,967	)
		ProShares UltraShort Euro		11,086,708			(354,043	)
		ProShares UltraShort Yen		5,879,873			(546,737	)
		Combined Trust	$	(747,144,368	)	$	403,322,126

* 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.

98

The Effect of Derivative Instruments on the Statement of Operations

For the nine months ended September 30, 2022

Derivatives Not Accounted for as Hedging Instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
		ProShares Short VIX Short-Term Futures ETF	$	(26,435,234	)	$	(47,541,296	)
		ProShares Ultra VIX Short-Term Futures ETF		82,162,402			323,609,043
		ProShares VIX Mid-Term Futures ETF		11,304,613			6,941,620
		ProShares VIX Short-Term Futures ETF		31,935,990			84,956,040
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		818,140,230			(339,187,944	)
		ProShares Ultra Bloomberg Natural Gas		235,322,266			(89,157,584	)
		ProShares Ultra Gold		(39,908,073	)		(17,607,548	)
		ProShares Ultra Silver		(186,941,909	)		(16,622,928	)
		ProShares UltraShort Bloomberg Crude Oil		(142,631,216	)		113,723,566
		ProShares UltraShort Bloomberg Natural Gas		(389,138,752	)		116,857,361
		ProShares UltraShort Gold		3,237,425			3,173,923
		ProShares UltraShort Silver		8,252,893			1,570,887
Foreign Exchange Contracts	Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
		ProShares Ultra Euro		(2,505,776	)		(513,883	)
		ProShares Ultra Yen		(2,532,839	)		(2,005	)
		ProShares UltraShort Euro		16,693,971			3,049,081
		ProShares UltraShort Yen		14,877,216			(444,812	)
		Combined Trust:	$	431,833,207		$	142,803,521

99

The Effect of Derivative Instruments on the Statement of Operations For the three months ended September 30, 2021
Derivatives Not Accounted for as Hedging Instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
		ProShares Short VIX Short-Term Futures ETF	$	34,573,906		$	(43,362,244	)
		ProShares Ultra VIX Short-Term Futures ETF		(198,380,990	)		186,737,241
		ProShares VIX Mid-Term Futures ETF		(4,024,133	)		10,651,835
		ProShares VIX Short-Term Futures ETF		(51,868,433	)		42,164,263
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		106,330,563			(16,910,039	)
		ProShares Ultra Bloomberg Natural Gas		33,925,711			25,134,988
		ProShares Ultra Gold		(21,858,089	)		15,564,318
		ProShares Ultra Silver		(201,315,310	)		(6,040,776	)
		ProShares UltraShort Bloomberg Crude Oil		(11,449,562	)		(1,521,543	)
		ProShares UltraShort Bloomberg Natural Gas		(95,609,878	)		(17,870,697	)
		ProShares UltraShort Gold		1,213,721			(1,898,585	)
		ProShares UltraShort Silver		6,662,145			3,921,845
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		57,489			(4,770	)
		ProShares Ultra Euro		(254,219	)		72,810
		ProShares Ultra Yen		(25,554	)		10,988
		ProShares UltraShort Australian Dollar		188,884			56,770
		ProShares UltraShort Euro		2,974,466			(618,447	)
		ProShares UltraShort Yen		197,444			(190,261	)
		Combined Trust	$	(398,661,839	)	$	195,897,696

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The Effect of Derivative Instruments on the Statement of Operations

For the nine months ended September 30, 2021

Derivatives Not Accounted for as Hedging Instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
		ProShares Short VIX Short-Term Futures ETF	$	168,120,340		$	(14,530,761	)
		ProShares Ultra VIX Short-Term Futures ETF		(1,757,428,075	)		146,502,120
		ProShares VIX Mid-Term Futures ETF		(14,890,359	)		5,950,464
		ProShares VIX Short-Term Futures ETF		(304,349,667	)		27,731,186
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		761,187,450			176,083,841
		ProShares Ultra Bloomberg Natural Gas		80,409,384			35,685,009
		ProShares Ultra Gold		(27,599,854	)		(19,131,126	)
		ProShares Ultra Silver		(80,034,280	)		(192,143,248	)
		ProShares UltraShort Bloomberg Crude Oil		(86,637,748	)		(5,829,347	)
		ProShares UltraShort Bloomberg Natural Gas		(112,274,576	)		(35,668,153	)
		ProShares UltraShort Gold		(1,767,636	)		1,727,831
		ProShares UltraShort Silver		(2,146,662	)		10,464,123
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		88,710			91,407
		ProShares Ultra Euro		(186,149	)		(251,422	)
		ProShares Ultra Yen		(305,028	)		(126,353	)
		ProShares UltraShort Australian Dollar		17,207			321,113
		ProShares UltraShort Euro		2,249,236			3,263,507
		ProShares UltraShort Yen		3,055,103			1,066,540
		Combined Trust:	$	(1,372,492,604	)	$	141,206,731

101

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 September 30, 2022.​​​​​​​

Fair Values of Derivative Instruments as of September 30, 2022
	Assets						Liabilities
Fund	Gross Amounts of Recognized Assets presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Assets presented in the Statements of Financial Condition		Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Liabilities presented in the Statements of Financial Condition
ProShares Ultra Bloomberg Crude Oil
Swap agreements	$	—	$	—	$	—	$	123,956,198	$	—	$	123,956,198
ProShares Ultra Euro
Foreign currency forward contracts		—		—		—		431,231		—		431,231
ProShares Ultra Gold
Swap agreements		—		—		—		6,686,424		—		6,686,424
ProShares Ultra Silver
Swap agreements		26,804,548		—		26,804,548		—		—		—
ProShares Ultra Yen
Foreign currency forward contracts		6,055		—		6,055		101,172		—		101,172
ProShares UltraShort Euro
Foreign currency forward contracts		3,108,883		—		3,108,883		267,843		—		267,843
ProShares UltraShort Gold
Swap agreements		802,204		—		802,204		—		—		—
ProShares UltraShort Silver
Swap agreements		—		—		—		1,151,403		—		1,151,403
ProShares UltraShort Yen
Foreign currency forward contracts		580,211		—		580,211		155,443		—		155,443

102

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2022. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be

un-collateralized

due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2022
Fund	Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds) / the Counterparties			Net Amount
ProShares Ultra Bloomberg Crude Oil
Citibank, N.A.	$	(19,603,867	)	$	—		$	19,603,867		$	—
Goldman Sachs International		(24,373,900	)		—			24,373,900			—
Morgan Stanley & Co. International PLC		(33,954,709	)		—			33,954,709			—
Societe Generale		(18,489,319	)		17,977,319			512,000			—
UBS AG		(27,534,403	)		19,575,403			7,959,000			—
ProShares Ultra Euro
Goldman Sachs International		(194,303	)		—			194,303			—
UBS AG		(236,928	)		—			236,928			—
ProShares Ultra Gold
Citibank, N.A.		(2,464,705	)		—			2,464,705			—
Goldman Sachs International		(1,657,776	)		1,588,776			69,000			—
UBS AG		(2,563,943	)		—			2,563,943			—
ProShares Ultra Silver
Citibank, N.A.		8,433,031			—			—			8,433,031
Goldman Sachs International		1,725,874			(1,222,261	)		—			503,613
Morgan Stanley & Co. International PLC		9,256,039			—			(6,573,000	)		2,683,039
UBS AG		7,389,604			(2,828,730	)		—			4,560,874
ProShares Ultra Yen
Goldman Sachs International		(39,854	)		—			39,854			—
UBS AG		(55,263	)		—			55,263			—
ProShares UltraShort Euro
Goldman Sachs International		1,292,731			(1,292,731	)		—			—
UBS AG		1,548,309			(1,548,309	)		—			—
ProShares UltraShort Gold
Citibank, N.A.		329,122			—			—			329,122
Goldman Sachs International		215,613			(215,613	)		—			—
UBS AG		257,469			(257,469	)		—			—
ProShares UltraShort Silver
Citibank, N.A.		(136,329	)		—			136,329			—
Goldman Sachs International		(496,626	)		—			496,626			—
Morgan Stanley & Co. International PLC		(392,881	)		—			392,881			—
UBS AG		(125,567	)		—			125,567			—
ProShares UltraShort Yen
Goldman Sachs International		92,684			—			—			92,684
UBS AG		332,084			—			—			332,084

103

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2021:

Fair Values of Derivative Instruments as of December 31, 2021
	Assets						Liabilities
Fund	Gross Amounts of Recognized Assets presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Assets presented in the Statements of Financial Condition		Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Liabilities presented in the Statements of Financial Condition
ProShares Ultra Bloomberg Crude Oil
Swap agreements	$	63,928,293	$	—	$	63,928,293	$	—	$	—	$	—
ProShares Ultra Euro
Foreign currency forward contracts		84,150		—		84,150		1,498		—		1,498
ProShares Ultra Gold
Swap agreements		8,639,188		—		8,639,188		—		—		—
ProShares Ultra Silver
Swap agreements		40,591,699		—		40,591,699		—		—		—
ProShares Ultra VIX Short-Term Futures ETF
Swap agreements		—		—		—		477,437		—		477,437
ProShares Ultra Yen
Foreign currency forward contracts		821		—		821		93,933		—		93,933
ProShares UltraShort Euro
Foreign currency forward contracts		135,118		—		135,118		343,159		—		343,159
ProShares UltraShort Gold
Swap agreements		—		—		—		993,117		—		993,117
ProShares UltraShort Silver
Swap agreements		—		—		—		1,921,414		—		1,921,414
ProShares UltraShort Yen
Foreign currency forward contracts		1,237,168		—		1,237,168		367,588		—		367,588

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2021. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be

un-collateralized

due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

104

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2021
	Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds) / the Counterparties			Net Amount
ProShares Ultra Bloomberg Crude Oil
Citibank, N.A.	$	9,839,441		$	—		$	(9,839,441	)	$	—
Goldman Sachs International		13,920,431			(13,889,225	)		(31,206	)		—
Morgan Stanley & Co. International PLC		17,042,319			—			(17,042,319	)		—
Societe Generale		9,295,046			(9,292,398	)		(2,648	)		—
UBS AG		13,831,056			—			(13,831,056	)		—
ProShares Ultra Euro
Goldman Sachs International		10,301			—			—			10,301
UBS AG		72,351			—			—			72,351
ProShares Ultra Gold
Citibank, N.A.		2,974,490			—			(2,100,000	)		874,490
Goldman Sachs International		2,570,443			(1,877,749	)		(250	)		692,444
UBS AG		3,094,255			—			(2,180,000	)		914,255
ProShares Ultra Silver
Citibank, N.A.		10,785,304			—			(7,890,000	)		2,895,304
Goldman Sachs International		10,781,897			(8,181,572	)		(5,925	)		2,594,400
Morgan Stanley & Co. International PLC		10,046,034			—			(7,306,000	)		2,740,034
UBS AG		8,978,464			—			(6,570,000	)		2,408,464
ProShares Ultra VIX Short-Term Futures ETF
Goldman Sachs & Co.		(477,437	)		—			—			(477,437	)
ProShares Ultra Yen
Goldman Sachs International		(54,919	)		—			54,919			—
UBS AG		(38,193	)		—			—			(38,193	)
ProShares UltraShort Euro
Goldman Sachs International		(83,325	)		83,325			—			—
UBS AG		(124,716	)		124,716			—			—
ProShares UltraShort Gold
Citibank, N.A.		(407,735	)		407,735			—			—
Goldman Sachs International		(266,413	)		266,413			—			—
UBS AG		(318,969	)		318,969			—			—
ProShares UltraShort Silver
Citibank, N.A.		(367,632	)		367,632			—			—
Goldman Sachs International		(486,710	)		368,710			118,000			—
Morgan Stanley & Co. International PLC		(385,104	)		—			385,104			—
UBS AG		(681,968	)		681,968			—			—
ProShares UltraShort Yen
Goldman Sachs International		312,169			(302,523	)		—			9,646
UBS AG		557,411			—			(520,000	)		37,411

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund, pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund.

The Sponsor stopped charging the Management Fee to the liquidated funds on May 2, 2022, the date it was determined that liquidation was imminent.

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

105

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 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 – 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.

106

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.

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 and nine months ended September 30, 2022 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

	Three Months Ended		Nine Months Ended
Fund	September 30, 2022		September 30, 2022
ProShares Short VIX Short-Term Futures ETF	$	41,819	$	160,578
ProShares Ultra Bloomberg Crude Oil		—		—
ProShares Ultra Bloomberg Natural Gas		—		—
ProShares Ultra Euro		—		—
ProShares Ultra Gold		—		—
ProShares Ultra Silver		—		—
ProShares Ultra VIX Short-Term Futures ETF		1,075,047		3,257,919
ProShares Ultra Yen		—		—
ProShares UltraShort Bloomberg Crude Oil		—		—
ProShares UltraShort Bloomberg Natural Gas		—		—
ProShares UltraShort Euro		—		—
ProShares UltraShort Gold		—		—
ProShares UltraShort Silver		—		—
ProShares UltraShort Yen		—		—
ProShares VIX Mid-Term Futures ETF		13,179		42,404
ProShares VIX Short-Term Futures ETF		182,543		432,819
Combined Trust:	$	1,312,588	$	3,893,720

107

NOTE 6 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended September 30, 2022

For the Three Months Ended September 30, 2022 (unaudited)

Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil *			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold			Ultra Silver
Net asset value, at June 30, 2022	$	48.14		$	41.61		$	39.53		$	11.08		$	56.46		$	24.78
Net investment income (loss)		(0.01	)		0.01			0.03			0.00	(1)		0.05			0.00	(2)
Net realized and unrealized gain (loss)#		0.38			(15.41	)		13.66			(1.51	)		(9.44	)		(3.94	)
Change in net asset value from operations		0.37			(15.40	)		13.69			(1.51	)		(9.39	)		(3.94	)
Net asset value, at September 30, 2022	$	48.51		$	26.21		$	53.22		$	9.57		$	47.07		$	20.84
Market value per share, at June 30, 2022 †	$	48.21		$	41.86		$	42.10		$	11.11		$	56.50		$	24.47
Market value per share, at September 30, 2022 †	$	48.59		$	26.26		$	53.66		$	9.57		$	46.93		$	20.76
Total Return, at net asset value^		0.8	%		(37.0	)%		34.6	%		(13.7	)%		(16.6	)%		(15.9	)%
Total Return, at market value^		0.8	%		(37.3	)%		27.5	%		(13.9	)%		(16.9	)%		(15.2	)%
Ratios to Average Net Assets**
Expense ratio^^		1.14	%		1.01	%		1.16	%		0.96	%		0.97	%		1.00	%
Net investment income gain (loss)		(0.09	)%		0.07	%		0.15	%		0.16	%		0.38	%		(0.02	)%

* See Note 1 of these Notes to Financial Statements.

** Percentages are annualized.

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^ Percentages are not annualized for the period ended September 30, 2022.

^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.

(1) Amount represents less than $0.005.

(2) Amount represents greater than $(0.005).

108

For the Three Months Ended September 30, 2022 (unaudited)

Per Share Operating Performance	Ultra VIX Short-Term Futures ETF			Ultra Yen			UltraShort Bloomberg Crude Oil *			UltraShort Bloomberg Natural Gas *			UltraShort Euro			UltraShort Gold
Net asset value, at June 30, 2022	$	14.51		$	33.51		$	23.04		$	42.65		$	30.38		$	31.55
Net investment income (loss)		0.00	(1)		0.01			0.02			0.00	(1)		0.01			(0.01	)
Net realized and unrealized gain (loss)#		(1.64	)		(4.49	)		7.28			(25.30	)		4.45			5.64
Change in net asset value from operations		(1.64	)		(4.48	)		7.30			(25.30	)		4.46			5.63
Net asset value, at September 30, 2022	$	12.87		$	29.03		$	30.34		$	17.35		$	34.84		$	37.18
Market value per share, at June 30, 2022 †	$	14.53		$	33.49		$	22.93		$	40.02		$	30.41		$	31.59
Market value per share, at September 30, 2022 †	$	12.85		$	29.06		$	30.28		$	17.21		$	34.88		$	37.30
Total Return, at net asset value^		(11.3	)%		(13.3	)%		31.7	%		(59.3	)%		14.7	%		17.9	%
Total Return, at market value^		(11.6	)%		(13.2	)%		32.1	%		(57.0	)%		14.7	%		18.1	%
Ratios to Average Net Assets**
Expense ratio^^		1.46	%		0.96	%		1.11	%		1.25	%		0.96	%		1.00	%
Net investment income gain (loss)		(0.14	)%		0.18	%		0.32	%		(0.01	)%		0.12	%		(0.11	)%

* See Note 1 of these Notes to Financial Statements.

** Percentages are annualized.

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^ Percentages are not annualized for the period ended September 30, 2022.

^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.

(1) Amount represents greater than $(0.005).

109

For the Three Months Ended September 30, 2022 (unaudited)

Per Share Operating Performance	UltraShort Silver			UltraShort Yen *			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF
Net asset value, at June 30, 2022	$	31.74		$	57.06		$	35.29		$	18.22
Net investment income (loss)		(0.02	)		0.01			0.00	(1)		0.01
Net realized and unrealized gain (loss)#		2.34			7.97			0.19			(1.13	)
Change in net asset value from operations		2.32			7.98			0.19			(1.12	)
Net asset value, at September 30, 2022	$	34.06		$	65.04		$	35.48		$	17.10
Market value per share, at June 30, 2022 †	$	32.19		$	57.13		$	35.38		$	18.25
Market value per share, at September 30, 2022 †	$	34.15		$	65.02		$	35.50		$	17.10
Total Return, at net asset value^		7.3	%		14.0	%		0.6	%		(6.1	)%
Total Return, at market value^		6.1	%		13.8	%		0.3	%		(6.3	)%
Ratios to Average Net Assets**
Expense ratio^^		1.08	%		0.96	%		0.93	%		1.11	%
Net investment income gain (loss)		(0.19	)%		0.07	%		(0.01	)%		0.25	%

* See Note 1 of these Notes to Financial Statements.

** Percentages are annualized.

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^ Percentages are not annualized for the period ended September 30, 2022.

^^ The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.

(1) Amount represents greater than $(0.005).

110

Selected data for a Share outstanding throughout the three months ended September 30, 2021

For the Three Months Ended September 30, 2021 (unaudited)

Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil *			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold			Ultra Silver
Net asset value, at June 30, 2021	$	55.61		$	19.56		$	35.33		$	14.67		$	57.28		$	45.97
Net investment income (loss)		(0.19	)		(0.05	)		(0.14	)		(0.03	)		(0.14	)		(0.10	)
Net realized and unrealized gain (loss)#		(0.96	)		1.61			48.28			(0.72	)		(1.50	)		(14.16	)
Change in net asset value from operations		(1.15	)		1.56			48.14			(0.75	)		(1.64	)		(14.26	)
Net asset value, at September 30, 2021	$	54.46		$	21.12		$	83.47		$	13.92		$	55.64		$	31.71
Market value per share, at June 30, 2021 †	$	55.55		$	19.56		$	37.17		$	14.66		$	57.22		$	46.12
Market value per share, at September 30, 2021 †	$	54.39		$	21.06		$	82.30		$	13.92		$	55.59		$	31.99
Total Return, at net asset value^		(2.1	)%		8.0	%		136.3	%		(5.1	)%		(2.9	)%		(31.0	)%
Total Return, at market value^		(2.1	)%		7.7	%		121.4	%		(5.1	)%		(2.9	)%		(30.6	)%
Ratios to Average Net Assets**
Expense ratio^^		1.33	%		1.10	%		1.30	%		0.95	%		1.00	%		1.00	%
Net investment income gain (loss)		(1.32	)%		(1.07	)%		(1.25	)%		(0.91	)%		0.97	%		(0.97	)%

* See Note 1 of these Notes to Financial Statements.

** Percentages are annualized.

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^ Percentages are not annualized for the period ended September 30, 2021.

^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.

111

For the Three Months Ended September 30, 2021 (unaudited)

Per Share Operating Performance	Ultra VIX Short-Term Futures ETF			Ultra Yen			UltraShort Bloomberg Crude Oil *			UltraShort Bloomberg Natural Gas *			UltraShort Euro			UltraShort Gold
Net asset value, at June 30, 2021	$	27.91		$	51.24		$	90.56		$	431.07		$	23.81		$	34.67
Net investment income (loss)		(0.11	)		(0.12	)		(0.26	)		(0.91	)		(0.06	)		(0.08	)
Net realized and unrealized gain (loss)#		(3.37	)		(0.29	)		(14.64	)		(289.76	)		1.19			0.21
Change in net asset value from operations		(3.48	)		(0.41	)		(14.90	)		(290.67	)		1.13			0.13
Net asset value, at September 30, 2021	$	24.43		$	50.83		$	75.66		$	140.40		$	24.94		$	34.80
Market value per share, at June 30, 2021 †	$	27.98		$	51.26		$	90.55		$	408.80		$	23.82		$	34.69
Market value per share, at September 30, 2021 †	$	24.55		$	50.82		$	75.90		$	142.40		$	24.93		$	34.82
Total Return, at net asset value^		(12.5	)%		(0.8	)%		(16.5	)%		(67.4	)%		4.8	%		0.4	%
Total Return, at market value^		(12.3	)%		(0.9	)%		(16.2	)%		(65.2	)%		4.7	%		0.4	%
Ratios to Average Net Assets**
Expense ratio^^		1.71	%		0.95	%		1.17	%		1.35	%		0.95	%		1.02	%
Net investment income gain (loss)		(1.71	)%		(0.91	)%		(1.14	)%		(1.32	)%		(0.91	)%		(0.98	)%

* See Note 1 of these Notes to Financial Statements.

** Percentages are annualized.

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^ Percentages are not annualized for the period ended September 30, 2021.

^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.

112

For the Three Months Ended September 30, 2021 (unaudited)

Per Share Operating Performance	UltraShort Silver			UltraShort Yen *			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF
Net asset value, at June 30, 2021	$	23.37		$	38.98		$	30.51		$	24.09
Net investment income (loss)		(0.07	)		(0.09	)		(0.08	)		(0.07	)
Net realized and unrealized gain (loss)#		7.97			0.08			1.79			(1.34	)
Change in net asset value from operations		7.90			(0.01	)		1.71			(1.41	)
Net asset value, at September 30, 2021	$	31.27		$	38.97		$	32.22		$	22.68
Market value per share, at June 30, 2021 †	$	23.28		$	38.99		$	30.54		$	24.08
Market value per share, at September 30, 2021 †	$	30.97		$	38.98		$	32.31		$	22.80
Total Return, at net asset value^		33.8	%		(0.0	)% @		5.6	%		(5.8	)%
Total Return, at market value^		33.0	%		(0.0	)% @		5.8	%		(5.3	)%
Ratios to Average Net Assets**
Expense ratio^^		1.10	%		0.95	%		1.04	%		1.17	%
Net investment income gain (loss)		(1.07	)%		(0.91	)%		(1.01	)%		(1.16	)%

* See Note 1 of these Notes to Financial Statements.

** Percentages are annualized.

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^ Percentages are not annualized for the period ended September 30, 2021.

^^ The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.

@ Amount represents greater than (0.05)%.

113

Selected Data for a Share Outstanding Throughout the nine Months Ended September 30, 2022

For the Nine Months Ended September 30, 2022 (unaudited)

Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil *			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold			Ultra Silver
Net asset value, at December 31, 2021	$	61.56		$	21.54		$	25.55		$	13.32		$	59.69		$	34.84
Net investment income (loss)		(0.31	)		(0.16	)		(0.27	)		(0.02	)		(0.19	)		(0.13	)
Net realized and unrealized gain (loss)#		(12.74	)		4.83			27.94			(3.73	)		(12.43	)		(13.87	)
Change in net asset value from operations		(13.05	)		4.67			27.67			(3.75	)		(12.62	)		(14.00	)
Net asset value, at September 30, 2022	$	48.51		$	26.21		$	53.22		$	9.57		$	47.07		$	20.84
Market value per share, at December 31, 2021 †	$	61.55		$	21.70		$	26.09		$	13.33		$	59.81		$	34.74
Market value per share, at September 30, 2022 †	$	48.59		$	26.26		$	53.66		$	9.57		$	46.93		$	20.76
Total Return, at net asset value^		(21.2	)%		21.7	%		108.3	%		(28.2	)%		(21.1	)%		(40.2	)%
Total Return, at market value^		(21.1	)%		21.0	%		105.7	%		(28.2	)%		(21.5	)%		(40.2	)%
Ratios to Average Net Assets**
Expense ratio^^		1.23	%		1.04	%		1.24	%		0.95	%		0.99	%		0.99	%
Net investment income gain (loss)		(0.80	)%		(0.59	)%		(0.58	)%		(0.27	)%		(0.43	)%		(0.56	)%

* See Note 1 of these Notes to Financial Statements.

** Percentages are annualized.

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^ Percentages are not annualized for the period ended September 30, 2022.

^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.

114

For the Nine Months Ended September 30, 2022 (unaudited)

Per Share Operating Performance	Ultra VIX Short-Term Futures ETF			Ultra Yen			UltraShort Bloomberg Crude Oil *			UltraShort Bloomberg Natural Gas *			UltraShort Euro			UltraShort Gold
Net asset value, at December 31, 2021	$	12.41		$	47.29		$	64.26		$	247.40		$	25.84		$	31.71
Net investment income (loss)		(0.09	)		(0.04	)		(0.07	)		(0.14	)		(0.08	)		(0.13	)
Net realized and unrealized gain (loss)#		0.55			(18.22	)		(33.85	)		(229.91	)		9.08			5.60
Change in net asset value from operations		0.46			(18.26	)		(33.92	)		(230.05	)		9.00			5.47
Net asset value, at September 30, 2022	$	12.87		$	29.03		$	30.34		$	17.35		$	34.84		$	37.18
Market value per share, at December 31, 2021 †	$	12.43		$	47.29		$	63.75		$	242.20		$	25.86		$	31.66
Market value per share, at September 30, 2022 †	$	12.85		$	29.06		$	30.28		$	17.21		$	34.88		$	37.30
Total Return, at net asset value^		3.7	%		(38.6	)%		(52.8	)%		(93.0	)%		34.8	%		17.3	%
Total Return, at market value^		3.4	%		(38.6	)%		(52.5	)%		(92.9	)%		34.9	%		17.8	%
Ratios to Average Net Assets**
Expense ratio^^		1.57	%		0.96	%		1.15	%		1.38	%		0.95	%		1.00	%
Net investment income gain (loss)		(0.97	)%		(0.15	)%		(0.38	)%		(0.77	)%		(0.37	)%		(0.56	)%

* See Note 1 of these Notes to Financial Statements.

** Percentages are annualized.

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^ Percentages are not annualized for the period ended September 30, 2022.

^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.

115

For the Nine Months Ended September 30, 2022 (unaudited)

Per Share Operating Performance	UltraShort Silver			UltraShort Yen *			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF
Net asset value, at December 31, 2021	$	26.77		$	41.50		$	30.61		$	15.12
Net investment income (loss)		(0.13	)		(0.16	)		(0.15	)		(0.07	)
Net realized and unrealized gain (loss)#		7.42			23.70			5.02			2.05
Change in net asset value from operations		7.29			23.54			4.87			1.98
Net asset value, at September 30, 2022	$	34.06		$	65.04		$	35.48		$	17.10
Market value per share, at December 31, 2021 †	$	26.84		$	41.50		$	30.57		$	15.17
Market value per share, at September 30, 2022 †	$	34.15		$	65.02		$	35.50		$	17.10
Total Return, at net asset value^		27.2	%		56.7	%		15.9	%		13.1	%
Total Return, at market value^		27.2	%		56.7	%		16.1	%		12.7	%
Ratios to Average Net Assets**
Expense ratio^^		1.08	%		0.95	%		0.99	%		1.16	%
Net investment income gain (loss)		(0.63	)%		(0.40	)%		(0.59	)%		(0.56	)%

* See Note 1 of these Notes to Financial Statements.

** Percentages are annualized.

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^ Percentages are not annualized for the period ended September 30, 2022.

^^ The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.

116

Selected Data for a Share Outstanding Throughout the nine Months Ended September 30, 2021

For the Nine Months Ended September 30, 2021 (unaudited)

Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil *			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold			Ultra Silver
Net asset value, at December 31, 2020	$	41.42		$	9.10		$	21.00		$	15.79		$	67.57		$	50.71
Net investment income (loss)		(0.49	)		(0.12	)		(0.29	)		(0.10	)		(0.43	)		(0.33	)
Net realized and unrealized gain (loss)#		13.53			12.14			62.76			(1.77	)		(11.50	)		(18.67	)
Change in net asset value from operations		13.04			12.02			62.47			(1.87	)		(11.93	)		(19.00	)
Net asset value, at September 30, 2021	$	54.46		$	21.12		$	83.47		$	13.92		$	55.64		$	31.71
Market value per share, at December 31, 2020 †	$	41.44		$	9.07		$	21.07		$	15.81		$	68.20		$	51.28
Market value per share, at September 30, 2021 †	$	54.39		$	21.06		$	82.30		$	13.92		$	55.59		$	31.99
Total Return, at net asset value^		31.5	%		132.2	%		297.6	%		(11.9	)%		(17.7	)%		(37.5	)%
Total Return, at market value^		31.3	%		132.2	%		290.7	%		(11.9	)%		(18.5	)%		(37.6	)%
Ratios to Average Net Assets**
Expense ratio^^		1.35	%		1.11	%		1.47	%		0.95	%		1.00	%		1.03	%
Net investment income gain (loss)		(1.33	)%		(1.07	)%		(1.41	)%		(0.90	)%		(0.97	)%		(0.98	)%

* See Note 1 of these Notes to Financial Statements.

** Percentages are annualized.

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^ Percentages are not annualized for the period ended September 30, 2021.

^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

117

For the Nine Months Ended September 30, 2021 (unaudited)

Per Share Operating Performance	Ultra VIX Short-Term Futures ETF			Ultra Yen			UltraShort Bloomberg Crude Oil *			UltraShort Bloomberg Natural Gas *			UltraShort Euro			UltraShort Gold
Net asset value, at December 31, 2020	$	106.68		$	59.83		$	232.23		$	951.82		$	22.53		$	31.43
Net investment income (loss)		(0.59	)		(0.36	)		(1.03	)		(4.56	)		(0.16	)		(0.25	)
Net realized and unrealized gain (loss)#		(81.66	)		(8.64	)		(155.54	)		(806.86	)		2.57			3.62
Change in net asset value from operations		(82.25	)		(9.00	)		(156.57	)		(811.42	)		2.41			3.37
Net asset value, at September 30, 2021	$	24.43		$	50.83		$	75.66		$	140.40		$	24.94		$	34.80
Market value per share, at December 31, 2020 †	$	106.50		$	59.82		$	232.80		$	947.60		$	22.52		$	31.14
Market value per share, at September 30, 2021 †	$	24.55		$	50.82		$	75.90		$	142.40		$	24.93		$	34.82
Total Return, at net asset value^		(77.1	)%		(15.0	)%		(67.4	)%		(85.3	)%		10.7	%		10.7	%
Total Return, at market value^		(77.0	)%		(15.1	)%		(67.4	)%		(85.0	)%		10.7	%		11.8	%
Ratios to Average Net Assets**
Expense ratio^^		1.75	%		0.95	%		1.24	%		1.49	%		0.95	%		1.03	%
Net investment income gain (loss)		(1.71	)%		(0.90	)%		(1.18	)%		(1.45	)%		(0.90	)%		(0.99	)%

* See Note 1 of these Notes to Financial Statements.

** Percentages are annualized.

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^ Percentages are not annualized for the period ended September 30, 2021.

^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

118

For the Nine Months Ended September 30, 2021 (unaudited)

Per Share Operating Performance	UltraShort Silver			UltraShort Yen *			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF
Net asset value, at December 31, 2020	$	27.73		$	33.91		$	36.73		$	55.03
Net investment income (loss)		(0.20	)		(0.25	)		(0.25	)		(0.28	)
Net realized and unrealized gain (loss)#		3.74			5.31			(4.26	)		(32.07	)
Change in net asset value from operations		3.54			5.06			(4.51	)		(32.35	)
Net asset value, at September 30, 2021	$	31.27		$	38.97		$	32.22		$	22.68
Market value per share, at December 31, 2020 †	$	27.40		$	33.91		$	36.70		$	54.96
Market value per share, at September 30, 2021 †	$	30.97		$	38.98		$	32.31		$	22.80
Total Return, at net asset value^		12.8	%		14.9	%		(12.3	)%		(58.8	)%
Total Return, at market value^		13.0	%		15.0	%		(12.0	)%		(58.5	)%
Ratios to Average Net Assets**
Expense ratio^^		1.10	%		0.95	%		1.05	%		1.23	%
Net investment income gain (loss)		(1.07	)%		(0.90	)%		(1.01	)%		(1.19	)%

* See Note 1 of these Notes to Financial Statements.

** Percentages are annualized.

# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^ Percentages are not annualized for the period ended September 30, 2021.

^^ The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded.

119

NOTE 7 – 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.

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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 are subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).

Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.

As noted, the CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.

Counterparty Credit Risk

The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of OTC derivatives, the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.

The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.

OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the

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agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.

In addition, cleared derivatives benefit from daily

marking-to-market

and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.

The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com.

Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.

The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.

Leverage Risk

The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.

For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and

one-half

times multiplier) include a two times the inverse

(-2x),

or a two times (2x) multiplier, a

single-day

movement in the relevant benchmark approaching 50% at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward

single-day

or intraday movements in the underlying benchmark of an Ultra Fund or upward

single-day

or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.

Liquidity Risk

Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.

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“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2021 may specify a January 2022 expiration. As that contract nears expiration, it may be replaced by selling the January 2022 contract and purchasing the contract expiring in March 2022. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.

Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.

Gold and silver have historically exhibited persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly.

There have been times where WTI crude oil futures contracts experience “extraordinary contango or extraordinary backwardation”. For example, in April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. Conversely, investors in an UltraShort Fund could suffer significant losses or lose their entire investment if prices reversed or were subject to extraordinary backwardation. The effects of rolling futures contracts under extraordinary contango or backwardation market conditions generally are more exaggerated than rolling futures contracts under more typical contango or backwardation market conditions. Either scenario may result in significant losses.

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 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.

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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. Contemporaneous with the onset of the

COVID-19

pandemic in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil. This led to an oversupply of crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts. In April 20210, 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. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and can result in significant losses. These and other global economic shocks 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.

NOTE 8 – 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 September 30, 2022, the following sixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds and the Geared VIX Funds, are collectively referred to as the “Geared Funds”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”.

The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.

The Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.

Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

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As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. Financial Instruments also are used to produce economically “inverse”, “inverse leveraged” or “leveraged” investment results for the Geared Funds.

Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation.

Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from -0.5x, -1x, -2x, 1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily.

Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”).

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

Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.

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Forward and Reverse Split

On May 11, 2021, the Trust announced a 1-for-10 reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF (ticker symbol: UVXY), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Crude Oil (ticker symbol: SCO), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and a 1-for-4 reverse split of the shares of beneficial interest of ProShares VIX Short-Term Futures ETF (ticker symbol: VIXY). The reverse splits were effective prior to market open on May 26, 2021, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the 4 funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.

On December 22, 2021, the Trust announced a 1-for-5 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Natural Gas ETF (ticker symbol: KOLD). The reverse splits were effective prior to market open on January 14, 2022, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.

On May 11, 2022, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and ProShares Ultra Bloomberg Crude Oil and a reverse share split on ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Bloomberg Crude Oil. The Splits did not change the value of a shareholder’s investment.

ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. ProShares Ultra Bloomberg Crude Oil executed a 4:1 Forward Split of its shares. The Forward Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Forward Split prices. The ticker symbol for the Funds did not change. The Forward Split decreased the price per share of the Funds with a proportionate increase in the number of shares outstanding.

ProShares UltraShort Bloomberg Natural Gas executed a 1:4 Reverse Split of its shares. ProShares UltraShort Bloomberg Crude Oil executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y813 for KOLD and 74347Y797 for SCO). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding.

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2022 and 2021, each of the Funds earned interest income as follows:

Fund	Interest Income Three Months Ended September 30, 2022		Interest Income Three Months Ended September 30, 2021		Interest Income Nine Months Ended September 30, 2022		Interest Income Nine Months Ended September 30, 2021
ProShares Short VIX Short-Term Futures ETF		1,006,499		8,152		1,325,976		75,729
ProShares Ultra Bloomberg Crude Oil		2,391,191		86,370		3,964,082		365,778
ProShares Ultra Bloomberg Natural Gas		909,204		7,355		1,095,255		32,714
ProShares Ultra Euro		36,856		393		47,965		1,415
ProShares Ultra Gold		678,282		14,338		1,092,549		70,259
ProShares Ultra Silver		824,171		44,511		1,386,134		208,169
ProShares Ultra VIX Short-Term Futures ETF		3,945,136		11,979		4,471,067		328,504
ProShares Ultra Yen		25,362		260		29,299		923
ProShares UltraShort Bloomberg Crude Oil		1,748,548		6,891		2,091,754		36,069
ProShares UltraShort Bloomberg Natural Gas		953,050		9,879		1,131,063		25,512
ProShares UltraShort Euro		230,824		5,008		285,240		17,814
ProShares UltraShort Gold		72,261		3,075		101,921		9,213
ProShares UltraShort Silver		63,222		3,100		90,885		8,895
ProShares UltraShort Yen		115,191		2,392		151,503		9,558
ProShares VIX Mid-Term Futures ETF		220,211		8,914		296,960		27,487
ProShares VIX Short-Term Futures ETF		1,400,201		11,739		1,678,813		91,187

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Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.

Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.

Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.

For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q.

Credit Risk

When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.

The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.

128

Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.

Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

The Sponsor attempts to minimize certain of these market and credit risks by normally:

• executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

• limiting the outstanding amounts due from counterparties to the Funds;

• not posting margin directly with a counterparty;

• requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to

• market daily, subject to certain minimum thresholds;

• limiting the amount of margin or premium posted at a FCM; and

• ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.

Off-Balance Sheet Arrangements and Contractual Obligations

As of November 8, 2022, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.

Critical Accounting Policies

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.

Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.

The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

129

For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended September 30, 2022.

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

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

Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).

The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.

Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.

Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit futures account fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

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Results of Operations for the Three Months Ended September 30, 2022 Compared to the Three Months Ended September 30, 2021

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022				Three Months Ended September 30, 2021
NAV beginning of period	$	403,644,956			$	588,615,946
NAV end of period	$	321,831,051			$	388,523,845
Percentage change in NAV		(20.3	)%			(34.0	)%
Shares outstanding beginning of period		8,384,307				10,584,307
Shares outstanding end of period		6,634,307				7,134,307
Percentage change in shares outstanding		(20.9	)%			(32.6	)%
Shares created		450,000				550,000
Shares redeemed		2,200,000				4,000,000
Per share NAV beginning of period	$	48.14		��	$	55.61
Per share NAV end of period	$	48.51			$	54.46
Percentage change in per share NAV		0.8	%			(2.1	)%
Percentage change in benchmark		(5.7	)%			(5.6	)%
Benchmark annualized volatility		51.0	%			69.6	%

During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,384,307 outstanding Shares at June 30, 2022 to 6,634,307 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,584,307 outstanding Shares at June 30, 2021 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to one-half the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.8% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 2.1% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 5.6% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022.

131

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	(90,304	)	$	(1,466,273	)
Management fee		914,054			1,055,823
Brokerage commission		152,661			208,885
Futures account fees		23,966			209,717
Non-recurring fees and expenses		6,122			—
Net realized gain (loss)		27,694,574			34,572,603
Change in net unrealized appreciation (depreciation)		(17,470,190	)		(43,349,844	)
Net Income (loss)	$	10,134,080		$	(10,243,514	)

The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to greater decrease in the value of futures prices during the three months ended September 30, 2022.

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	1,060,867,238		$	1,303,530,902
NAV end of period	$	724,595,262		$	1,090,613,716
Percentage change in NAV		(31.7	)%		(16.3	)%
Shares outstanding beginning of period		25,493,096			66,643,096
Shares outstanding end of period		27,643,096			51,643,096
Percentage change in shares outstanding		8.4	%		(22.5	)%
Shares created		10,400,000			3,800,000
Shares redeemed		8,250,000			18,800,000
Per share NAV beginning of period	$	41.61		$	19.56
Per share NAV end of period	$	26.21		$	21.12
Percentage change in per share NAV		(37.0	)%		8.0	%
Percentage change in benchmark		(18.6	)%		5.4	%
Benchmark annualized volatility		42.8	%		30.9	%

During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index^SM. The decrease in the Fund’s NAV was offset by an increase from 25,493,096 outstanding Shares at June 30, 2022 to 27,643,096 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 66,643,096 outstanding Shares at June 30, 2021 to 51,643,096 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index^SM.

132

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 37.0% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 8.0% for the three months ended September 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 18.6% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2021, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	153,992		$	(3,130,493	)
Management fee		2,118,088			2,775,351
Brokerage commission		85,906			198,498
Futures account fees		19,466			215,514
Non-recurring fees and expenses		13,739			27,500
Net realized gain (loss)		(344,578,932	)		106,325,821
Change in net unrealized appreciation (depreciation)		(33,248,174	)		(16,878,588	)
Net Income (loss)	$	(377,673,114	)	$	86,316,740

The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a decrease in the value of WTI Crude Oil during the three months ended September 30, 2022.

* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil.

133

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	187,297,842		$	70,213,227
NAV end of period	$	289,386,097		$	145,038,381
Percentage change in NAV		54.5	%		106.6	%
Shares outstanding beginning of period		4,737,527			1,987,527
Shares outstanding end of period		5,437,527			1,737,527
Percentage change in shares outstanding		14.8	%		(12.6	)%
Shares created		6,000,000			1,150,000
Shares redeemed		5,300,000			1,400,000
Per share NAV beginning of period	$	39.53		$	35.33
Per share NAV end of period	$	53.22		$	83.47
Percentage change in per share NAV		34.6	%		136.3	%
Percentage change in benchmark		25.3	%		58.6	%
Benchmark annualized volatility		76.6	%		48.6	%

During the three months ended September 30, 2022, The increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex^SM. The increase in the Fund’s NAV also resulted in part from an increase from 4,737,527 outstanding Shares at June 30, 2022 to 5,437,527 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex^SM. The increase in the Fund’s NAV was offset by a decrease from 1,987,527 outstanding Shares at June 30, 2021 to 1,737,527 outstanding Shares at September 30, 2021.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 34.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 136.3% for the three months ended September 30, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s rise of 25.3% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 58.6% for the three months ended September 30, 2021, can be attributed to lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	104,679		$	(212,510	)
Management fee		658,525			161,130
Brokerage commission		97,589			40,472
Futures account fees		43,620			18,263
Non-recurring fees and expenses		4,791			—
Net realized gain (loss)		(5,893,297	)		33,925,723
Change in net unrealized appreciation (depreciation)		97,221,527			25,135,708
Net Income (loss)	$	91,432,909		$	58,848,921

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The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to lesser increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2022.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	9,415,626		$	3,668,741
NAV end of period	$	13,869,371		$	3,479,104
Percentage change in NAV		47.3	%		(5.2	)%
Shares outstanding beginning of period		850,000			250,000
Shares outstanding end of period		1,450,000			250,000
Percentage change in shares outstanding		70.6	%		—	%
Shares created		700,000			—
Shares redeemed		100,000			—
Per share NAV beginning of period	$	11.08		$	14.67
Per share NAV end of period	$	9.57		$	13.92
Percentage change in per share NAV		(13.7	)%		(5.1	)%
Percentage change in benchmark		(6.0	)%		(2.3	)%
Benchmark annualized volatility		10.53	%		4.5	%

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 850,000 outstanding Shares at June 30, 2022 to 1,450,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 5.1% for the three months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 6.0% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 2.3% for the three months ended September 30, 2021, can be attributed to greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	5,288		$	(8,271	)
Management fee		31,331			8,664
Non-recurring fees and expenses		237			—
Net realized gain (loss)		(1,618,381	)		(254,219	)
Change in net unrealized appreciation (depreciation)		(95,012	)		72,853
Net Income (loss)	$	(1,708,105	)	$	(189,637	)

The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2022.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	239,938,853		$	243,456,703
NAV end of period	$	160,022,292		$	230,917,847
Percentage change in NAV		(33.3	)%		(5.2	)%
Shares outstanding beginning of period		4,250,000			4,250,000
Shares outstanding end of period		3,400,000			4,150,000
Percentage change in shares outstanding		(20.0	)%		(2.4	)%
Shares created		50,000			250,000
Shares redeemed		900,000			350,000
Per share NAV beginning of period	$	56.46		$	57.28
Per share NAV end of period	$	47.07		$	55.64
Percentage change in per share NAV		(16.6	)%		(2.9	)%
Percentage change in benchmark		(7.9	)%		(1.0	)%
Benchmark annualized volatility		13.4	%		13.8	%

During the three months ended September 30, 2022, The decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex^SM. The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2022 to 3,400,000 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex^SM. The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2021 to 4,150,000 outstanding Shares at September 30, 2021.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 2.9% for the three months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

136

The benchmark’s decline of 7.9% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 1.0% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	191,709		$	(596,194	)
Management fee		475,457			582,103
Brokerage commission		8,176			9,421
Non-recurring fees and expenses		2,940			—
Net realized gain (loss)		(39,826,294	)		(21,858,089	)
Change in net unrealized appreciation (depreciation)		2,222,833			15,574,284
Net Income (loss)	$	(37,411,752	)	$	(6,879,999	)

The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the three months ended September 30, 2022.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	355,577,515		$	661,778,727
NAV end of period	$	323,970,863		$	480,309,476
Percentage change in NAV		(8.9	)%		(27.4	)%
Shares outstanding beginning of period		14,346,526			14,396,526
Shares outstanding end of period		15,546,526			15,146,526
Percentage change in shares outstanding		8.4	%		5.2	%
Shares created		2,450,000			1,050,000
Shares redeemed		1,250,000			300,000
Per share NAV beginning of period	$	24.78		$	45.97
Per share NAV end of period	$	20.84		$	31.71
Percentage change in per share NAV		(15.9	)%		(31.0	)%
Percentage change in benchmark		(6.5	)%		(16.0	)%
Benchmark annualized volatility		31.8	%		26.7	%

137

During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 14,346,526 outstanding Shares at June 30, 2022 to 15,546,526 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 14,396,526 outstanding Shares at June 30, 2021 to 15,146,526 outstanding Shares at September 30, 2021.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.9% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 31.0% for the three months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 16.0% for the three months ended September 30, 2021, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	(15,349	)	$	(1,424,705	)
Management fee		798,802			1,394,627
Brokerage commission		34,796			27,419
Futures account fees		—			47,170
Non-recurring fees and expenses		5,922			—
Net realized gain (loss)		(147,391,314	)		(201,320,030	)
Change in net unrealized appreciation (depreciation)		91,477,472			(6,018,290	)
Net Income (loss)	$	(55,929,191	)	$	(208,763,025	)

The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2022.

138

ProShares Ultra VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	975,683,533		$	840,870,703
NAV end of period	$	995,489,778		$	1,020,845,873
Percentage change in NAV		2.0	%		21.4	%
Shares outstanding beginning of period		67,228,420			30,128,420
Shares outstanding end of period		77,328,420			41,778,420
Percentage change in shares outstanding		15.0	%		38.7	%
Shares created		93,400,000			37,800,000
Shares redeemed		83,300,000			26,150,000
Per share NAV beginning of period	$	14.51		$	27.91
Per share NAV end of period	$	12.87		$	24.43
Percentage change in per share NAV		(11.3	)%		(12.5	)%
Percentage change in benchmark		(5.7	)%		(5.6	)%
Benchmark annualized volatility		51.0	%		69.6	%

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 67,228,420 outstanding Shares at June 30, 2022 to 77,328,420 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 30,128,420 outstanding Shares at June 30, 2021 to 41,778,420 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.5% for the three months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 5.6% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	(402,633	)	$	(3,993,799	)
Management fee		2,831,005			2,221,755
Brokerage commission		1,276,819			1,095,975
Futures account fees		219,828			668,048
Non-recurring fees and expenses		20,117			—
Net realized gain (loss)		(289,873,754	)		(198,380,990	)
Change in net unrealized appreciation (depreciation)		161,745,283			186,742,221
Net Income (loss)	$	(128,531,104	)	$	(15,632,568	)

139

The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices, during the three months ended September 30, 2022.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	5,024,773		$	2,560,348
NAV end of period	$	10,159,189		$	2,539,880
Percentage change in NAV		102.2	%		(0.8	)%
Shares outstanding beginning of period		149,970			49,970
Shares outstanding end of period		349,970			49,970
Percentage change in shares outstanding		133.4	%		—	%
Shares created		250,000			—
Shares redeemed		50,000			—
Per share NAV beginning of period	$	33.51		$	51.24
Per share NAV end of period	$	29.03		$	50.83
Percentage change in per share NAV		(13.3	)%		(0.8	)%
Percentage change in benchmark		(6.5	)%		(0.2	)%
Benchmark annualized volatility		11.15	%		5.5	%

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 149,970 outstanding Shares at June 30, 2022 to 349,970 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 0.2% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022.

140

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	3,923		$	(5,973	)
Management fee		21,245			6,233
Non-recurring fees and expenses		194			—
Net realized gain (loss)		(1,652,590	)		(25,554	)
Change in net unrealized appreciation (depreciation)		(14,681	)		11,059
Net Income (loss)	$	(1,663,348	)	$	(20,468	)

The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2022.

ProShares UltraShort Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	501,157,304		$	79,400,059
NAV end of period	$	368,791,089		$	93,575,213
Percentage change in NAV		(26.4	)%		17.9	%
Shares outstanding beginning of period		21,755,220			876,760
Shares outstanding end of period		12,155,220			1,236,760
Percentage change in shares outstanding		(44.1	)%		41.1	%
Shares created		11,050,000			670,000
Shares redeemed		20,650,000			310,000
Per share NAV beginning of period	$	23.04		$	90.56
Per share NAV end of period	$	30.34		$	75.66
Percentage change in per share NAV		31.7	%		(16.5	)%
Percentage change in benchmark		(18.6	)%		5.4	%
Benchmark annualized volatility		42.8	%		30.9	%

During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 21,755,220 outstanding Shares at June 30, 2022 to 12,155,220 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index^SM. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 876,760 outstanding Shares at June 30, 2021 to 1,236,760 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index^SM.

141

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 31.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 16.5% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 18.6% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2021, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022		Three Months Ended September 30, 2021
Net investment income (loss)	$	392,570	$	(241,725	)
Management fee		1,160,746		201,146
Brokerage commission		148,121		29,277
Futures account fees		39,563		18,193
Non-recurring fees and expenses		7,548		—
Net realized gain (loss)		66,444,885		(11,449,562	)
Change in net unrealized appreciation (depreciation)		76,987,949		(1,520,893	)
Net Income (loss)	$	143,825,404	$	(13,212,180	)

The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a decrease in the value of WTI Crude Oil during the three months ended September 30, 2022.

* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil.

142

ProShares UltraShort Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	211,823,446		$	97,525,300
NAV end of period	$	242,389,998		$	138,468,677
Percentage change in NAV		14.4	%		42.0	%
Shares outstanding beginning of period		4,966,856			226,242
Shares outstanding end of period		13,966,856			986,242
Percentage change in shares outstanding		181.2	%		335.9	%
Shares created		58,900,000			1,025,000
Shares redeemed		49,900,000			265,000
Per share NAV beginning of period	$	42.65		$	431.07
Per share NAV end of period	$	17.35		$	140.40
Percentage change in per share NAV		(59.3	)%		(67.4	)%
Percentage change in benchmark		25.3	%		58.6	%
Benchmark annualized volatility		76.6	%		48.6	%

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 4,966,856 outstanding Shares at June 30, 2022 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex^SM. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 226,242 outstanding Shares at June 30, 2021 to 986,242 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 59.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 67.4% for the three months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s rise of 25.3% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 58.6% for the three months ended September 30, 2021, can be attributed to a lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	(5,144	)	$	(358,817	)
Management fee		730,949			258,824
Brokerage commission		173,386			67,808
Futures account fees		48,485			42,064
Non-recurring fees and expenses		5,374			—
Net realized gain (loss)		8,115,767			(95,609,878	)
Change in net unrealized appreciation (depreciation)		(23,467,384	)		(17,871,536	)
Net Income (loss)	$	(15,356,761	)	$	(113,840,231	)

143

The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2022.

* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Natural Gas.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	62,270,097		$	48,820,440
NAV end of period	$	90,584,278		$	48,640,817
Percentage change in NAV		45.5	%		(0.4	)%
Shares outstanding beginning of period		2,050,000			2,050,000
Shares outstanding end of period		2,600,000			1,950,000
Percentage change in shares outstanding		26.8	%		(4.9	)%
Shares created		1,100,000			100,000
Shares redeemed		550,000			200,000
Per share NAV beginning of period	$	30.38		$	23.81
Per share NAV end of period	$	34.84		$	24.94
Percentage change in per share NAV		14.7	%		4.8	%
Percentage change in benchmark		(6.5	)%		(2.3	)%
Benchmark annualized volatility		11.15	%		4.5	%

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,050,000 outstanding Shares at June 30, 2022 to 2,600,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,050,000 outstanding Shares at June 30, 2021 to 1,950,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.7% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 4.8% for the three months ended September 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 2.3% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022.

144

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	25,953		$	(111,725	)
Management fee		203,036			116,733
Non-recurring fees and expenses		1,835			—
Net realized gain (loss)		11,086,708			2,974,466
Change in net unrealized appreciation (depreciation)		(292,818	)		(617,958	)
Net Income (loss)	$	10,819,843		$	2,244,783

The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2022.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	34,611,284		$	32,835,014
NAV end of period	$	29,634,725		$	27,731,022
Percentage change in NAV		(14.4	)%		(15.5	)%
Shares outstanding beginning of period		1,096,977			946,977
Shares outstanding end of period		796,977			796,977
Percentage change in shares outstanding		(27.3	)%		(15.8	)%
Shares created		350,000			650,000
Shares redeemed		650,000			800,000
Per share NAV beginning of period	$	31.55		$	34.67
Per share NAV end of period	$	37.18		$	34.80
Percentage change in per share NAV		17.9	%		0.4	%
Percentage change in benchmark		(7.9	)%		(1.0	)%
Benchmark annualized volatility		13.4	%		13.8	%

During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,096,977 outstanding Shares at June 30, 2022 to 796,977 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex^SM. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 946,977 outstanding Shares at June 30, 2021 to 796,977 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex^SM.

145

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 17.9% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 0.4% for the three months ended September 30, 2021, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 7.9% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 1.0% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	(8,595	)	$	(68,386	)
Management fee		76,652			66,304
Brokerage commission		3,565			3,301
Futures account fees		—			1,856
Non-recurring fees and expenses		639			—
Net realized gain (loss)		4,988,228			1,213,721
Change in net unrealized appreciation (depreciation)		841,546			(1,898,419	)
Net Income (loss)	$	5,821,179		$	(753,084	)

The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the futures prices during the three months ended September 30, 2022.

146

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	33,052,840		$	34,859,763
NAV end of period	$	33,763,052		$	40,373,877
Percentage change in NAV		2.1	%		15.8	%
Shares outstanding beginning of period		1,041,329			1,491,329
Shares outstanding end of period		991,329			1,291,329
Percentage change in shares outstanding		(4.8	)%		(13.4	)%
Shares created		1,000,000			1,000,000
Shares redeemed		1,050,000			1,200,000
Per share NAV beginning of period	$	31.74		$	23.37
Per share NAV end of period	$	34.06		$	31.27
Percentage change in per share NAV		7.3	%		33.8	%
Percentage change in benchmark		(6.5	)%		(16.0	)%
Benchmark annualized volatility		31.8	%		26.7	%

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex^SM. The increase in the Fund’s NAV was offset by a decrease from 1,041,329 outstanding Shares at June 30, 2022 to 991,329 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex^SM. The increase in the Fund’s NAV was offset by a decrease from 1,491,329 outstanding Shares at June 30, 2021 to 1,291,329 outstanding Shares at September 30, 2021.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.3% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 33.8% for the three months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 16.0% for the three months ended September 30, 2021, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	(13,304	)	$	(102,532	)
Management fee		67,215			90,963
Brokerage commission		8,699			8,141
Futures account fees		—			6,528
Non-recurring fees and expenses		612			—
Net realized gain (loss)		6,215,407			6,662,145
Change in net unrealized appreciation (depreciation)		(4,075,524	)		3,922,596
Net Income (loss)	$	2,126,579		$	10,482,209

147

The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2022.

ProShares UltraShort Yen*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	45,568,882		$	27,231,748
NAV end of period	$	51,937,338		$	23,328,922
Percentage change in NAV		14.0	%		(14.3	)%
Shares outstanding beginning of period		798,580			698,580
Shares outstanding end of period		798,580			598,580
Percentage change in shares outstanding		—	%		(14.3	)%
Shares created		250,000			—
Shares redeemed		250,000			100,000
Per share NAV beginning of period	$	57.06		$	38.98
Per share NAV end of period	$	65.04		$	38.97
Percentage change in per share NAV		14.0	%		(0.0	)%@
Percentage change in benchmark		(6.5	)%		(0.2	)%
Benchmark annualized volatility		11.2	%		5.5	%

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2022 to September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 698,580 outstanding Shares at June 30, 2021 to 598,580 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.0% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 0.0% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 6.5% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 0.2% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022.

148

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	7,640		$	(54,645	)
Management fee		106,598			57,037
Non-recurring fees and expenses		953			—
Net realized gain (loss)		5,879,873			197,444
Change in net unrealized appreciation (depreciation)		(523,871	)		(189,932	)
Net Income (loss)	$	5,363,642		$	(47,133	)

The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2022.

* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Yen.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	95,721,271		$	92,662,734
NAV end of period	$	110,420,574		$	127,673,137
Percentage change in NAV		15.4	%		37.7	%
Shares outstanding beginning of period		2,712,403			3,037,403
Shares outstanding end of period		3,112,403			3,962,403
Percentage change in shares outstanding		14.7	%		30.5	%
Shares created		850,000			1,200,000
Shares redeemed		450,000			275,000
Per share NAV beginning of period	$	35.29		$	30.51
Per share NAV end of period	$	35.48		$	32.22
Percentage change in per share NAV		0.6	%		5.6	%
Percentage change in benchmark		1.1	%		6.0	%
Benchmark annualized volatility		22.1	%		22.9	%

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,712,403 outstanding Shares at June 30, 2022 to 3,112,403 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 3,037,403 outstanding Shares at June 30, 2021 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

149

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 5.6% for the three months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s rise of 1.1% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 6.0% for the three months ended September 30, 2021, can be attributed to a lesser increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	(1,269	)	$	(262,156	)
Management fee		201,508			221,356
Brokerage commission		17,922			20,803
Futures account fees		—			28,911
Non-recurring fees and expenses		2,050			—
Net realized gain (loss)		(1,349,272	)		(4,024,133	)
Change in net unrealized appreciation (depreciation)		3,368,209			10,652,952
Net Income (loss)	$	2,017,668		$	6,366,663

The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a lesser increase in the value of the futures prices during the three months ended September 30, 2022.

150

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
NAV beginning of period	$	341,714,316		$	272,352,675
NAV end of period	$	437,536,628		$	368,777,333
Percentage change in NAV		28.0	%		35.3	%
Shares outstanding beginning of period		18,757,826			11,307,826
Shares outstanding end of period		25,582,826			16,257,826
Percentage change in shares outstanding		36.4	%		43.8	%
Shares created		17,775,000			6,300,000
Shares redeemed		10,950,000			1,350,000
Per share NAV beginning of period	$	18.22		$	24.09
Per share NAV end of period	$	17.10		$	22.68
Percentage change in per share NAV		(6.1	)%		(5.8	)%
Percentage change in benchmark		(5.7	)%		(5.6	)%
Benchmark annualized volatility		51.0	%		69.6	%

During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 18,757,826 outstanding Shares at June 30, 2022 to 25,582,826 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 11,307,826 outstanding Shares at June 30, 2021 to 16,257,826 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.1% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 5.8% for the three months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022.

The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 5.6% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021:

	Three Months Ended September 30, 2022			Three Months Ended September 30, 2021
Net investment income (loss)	$	259,392		$	(897,586	)
Management fee		874,070			660,051
Brokerage commission		203,095			97,516
Futures account fees		54,944			151,758
Non-recurring fees and expenses		8,700			—
Net realized gain (loss)		(45,457,319	)		(51,868,433	)
Change in net unrealized appreciation (depreciation)		51,698,947			42,168,297
Net Income (loss)	$	6,501,020		$	(10,597,722	)

The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a greater decrease in the value of the futures prices, during the three months ended September 30, 2022.

151

Results of Operations for the Nine Months Ended September 30, 2022 Compared to the Nine Months Ended September 30, 2021

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	423,812,594		$	409,371,468
NAV end of period	$	321,831,051		$	388,523,845
Percentage change in NAV		(24.1	)%		(5.1	)%
Shares outstanding beginning of period		6,884,307			9,884,307
Shares outstanding end of period		6,634,307			7,134,307
Percentage change in shares outstanding		(3.6	)%		(27.8	)%
Shares created		5,050,000			3,400,000
Shares redeemed		5,300,000			6,150,000
Per share NAV beginning of period	$	61.56		$	41.42
Per share NAV end of period	$	48.51		$	54.46
Percentage change in per share NAV		(21.2	)%		31.5	%
Percentage change in benchmark		14.7	%		(58.4	)%
Benchmark annualized volatility		86.1	%		73.8	%

During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 6,884,307 outstanding Shares at December 31, 2021 to 6,634,307 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,884,307 outstanding Shares at December 31, 2020 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 31.5% for the nine months ended September 30, 2021, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022.

152

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(2,481,226	)	$	(4,774,396	)
Management fee		2,934,952			3,415,545
Brokerage commission		517,911			638,744
Futures account fees		348,217			795,836
Non-recurring fees and expenses		6,122			—
Net realized gain (loss)		(26,521,746	)		168,119,037
Change in net unrealized appreciation (depreciation)		(47,680,063	)		(14,532,856	)
Net Income (loss)	$	(76,683,035	)	$	148,811,785

The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to an increase in the value of futures prices during the nine months ended September 30, 2022.

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	1,103,783,570		$	902,739,250
NAV end of period	$	724,595,262		$	1,090,613,716
Percentage change in NAV		(34.4	)%		20.8	%
Shares outstanding beginning of period		51,243,096			99,243,096
Shares outstanding end of period		27,643,096			51,643,096
Percentage change in shares outstanding		(46.1	)%		(48.0	)%
Shares created		20,700,000			17,400,000
Shares redeemed		44,300,000			65,000,000
Per share NAV beginning of period	$	21.54		$	9.10
Per share NAV end of period	$	26.21		$	21.12
Percentage change in per share NAV		21.7	%		132.2	%
Percentage change in benchmark		18.7	%		58.2	%
Benchmark annualized volatility		45.6	%		29.1	%

During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 51,243,096 outstanding Shares at December 31, 2021 to 27,643,096 outstanding Shares at September 30, 2022. the decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index^SM. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index^SM. The increase in the Fund’s NAV was offset by a decrease from 99,243,096 outstanding Shares at December 31, 2020 to 51,643,096 outstanding Shares at September 30, 2021.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 21.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 132.2% for the nine months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

153

The benchmark’s rise of 18.7% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 58.2% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(5,154,872	)	$	(9,100,359	)
Management fee		8,301,804			8,104,728
Brokerage commission		421,657			701,710
Futures account fees		381,754			632,199
Non-recurring fees and expenses		13,739			27,500
Net realized gain (loss)		818,132,441			761,182,708
Change in net unrealized appreciation (depreciation)		(339,456,270	)		176,076,207
Net Income (loss)	$	473,521,299		$	928,158,556

The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2022.

* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil.

154

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	193,892,178		$	169,800,371
NAV end of period	$	289,386,097		$	145,038,381
Percentage change in NAV		49.3	%		(14.6	)%
Shares outstanding beginning of period		7,587,527			8,087,527
Shares outstanding end of period		5,437,527			1,737,527
Percentage change in shares outstanding		(28.3	)%		(78.5	)%
Shares created		15,100,000			5,200,000
Shares redeemed		17,250,000			11,550,000
Per share NAV beginning of period	$	25.55		$	21.00
Per share NAV end of period	$	53.22		$	83.47
Percentage change in per share NAV		108.3	%		297.6	%
Percentage change in benchmark		86.6	%		113.0	%
Benchmark annualized volatility		71.7	%		40.5	%

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex^SM. The increase in the Fund’s NAV was offset by a decrease from 7,587,527 outstanding Shares at December 31, 2021 to 5,437,527 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 1,737,527 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 108.3% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 297.6% for the nine months ended September 30, 2021, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s rise of 86.6% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 113.0% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(977,992	)	$	(845,018	)
Management fee		1,589,759			568,903
Brokerage commission		300,747			195,831
Futures account fees		177,950			112,998
Non-recurring fees and expenses		4,791			—
Net realized gain (loss)		235,314,633			80,409,947
Change in net unrealized appreciation (depreciation)		(89,199,198	)		35,684,757
Net Income (loss)	$	145,137,443		$	115,249,686

155

The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of Henry Hub Natural Gas during the nine months ended September 30, 2022.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	8,659,095		$	4,737,350
NAV end of period	$	13,869,371		$	3,479,104
Percentage change in NAV		60.2	%		(26.6	)%
Shares outstanding beginning of period		650,000			300,000
Shares outstanding end of period		1,450,000			250,000
Percentage change in shares outstanding		123.1	%		(16.7	)%
Shares created		1,250,000			100,000
Shares redeemed		450,000			150,000
Per share NAV beginning of period	$	13.32		$	15.79
Per share NAV end of period	$	9.57		$	13.92
Percentage change in per share NAV		(28.2	)%		(11.9	)%
Percentage change in benchmark		(13.2	)%		(5.2	)%
Benchmark annualized volatility		9.4	%		5.6	%

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 1,450,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2020 to 250,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 28.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 11.9% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s decline of 13.2% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 5.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022.

156

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(18,918	)	$	(26,743	)
Management fee		66,646			28,158
Non-recurring fees and expenses		237			—
Net realized gain (loss)		(2,511,725	)		(186,149	)
Change in net unrealized appreciation (depreciation)		(514,727	)		(251,418	)
Net Income (loss)	$	(3,045,370	)	$	(464,310	)

The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2022.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	232,780,534		$	263,540,473
NAV end of period	$	160,022,292		$	230,917,847
Percentage change in NAV		(31.3	)%		(12.4	)%
Shares outstanding beginning of period		3,900,000			3,900,000
Shares outstanding end of period		3,400,000			4,150,000
Percentage change in shares outstanding		(12.8	)%		6.4	%
Shares created		1,650,000			1,250,000
Shares redeemed		2,150,000			1,000,000
Per share NAV beginning of period	$	59.69		$	67.57
Per share NAV end of period	$	47.07		$	55.64
Percentage change in per share NAV		(21.1	)%		(17.7	)%
Percentage change in benchmark		(9.3	)%		(7.9	)%
Benchmark annualized volatility		17.4	%		15.7	%

During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex^SM. The decrease in the Fund’s NAV also resulted in part from a decrease from 3,900,000 outstanding Shares at December 31, 2021 to 3,400,000 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold 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 4,150,000 outstanding Shares at September 30, 2021.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.1% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 17.7% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

157

The benchmark’s decline of 9.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.9% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(845,479	)	$	(1,745,829	)
Management fee		1,863,020			1,718,350
Brokerage commission		43,899			32,974
Futures account fees		28,169			64,764
Non-recurring fees and expenses		2,940			—
Net realized gain (loss)		(39,908,781	)		(27,599,609	)
Change in net unrealized appreciation (depreciation)		(17,626,635	)		(19,136,522	)
Net Income (loss)	$	(58,380,895	)	$	(48,481,960	)

The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2022.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	515,453,594		$	745,304,028
NAV end of period	$	323,970,863		$	480,309,476
Percentage change in NAV		(37.1	)%		(35.6	)%
Shares outstanding beginning of period		14,796,526			14,696,526
Shares outstanding end of period		15,546,526			15,146,526
Percentage change in shares outstanding		5.1	%		3.1	%
Shares created		4,250,000			4,450,000
Shares redeemed		3,500,000			4,000,000
Per share NAV beginning of period	$	34.84		$	50.71
Per share NAV end of period	$	20.84		$	31.71
Percentage change in per share NAV		(40.2	)%		(37.5	)%
Percentage change in benchmark		(19.0	)%		(17.0	)%
Benchmark annualized volatility		31.7	%		33.0	%

158

During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 14,796,526 outstanding Shares at December 31, 2021 to 15,546,526 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 14,696,526 outstanding Shares at December 31, 2020 to 15,146,526 outstanding Shares at September 30, 2021.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 40.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 37.5% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s decline of 19.0% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 17.0% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of silver futures contracts during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(1,839,301	)	$	(4,805,716	)
Management fee		3,098,741			4,640,919
Brokerage commission		94,079			114,716
Futures account fees		26,693			258,250
Non-recurring fees and expenses		5,922			—
Net realized gain (loss)		(186,949,626	)		(80,038,809	)
Change in net unrealized appreciation (depreciation)		(16,694,572	)		(192,156,316	)
Net Income (loss)	$	(205,483,499	)	$	(277,000,841	)

The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2022.

159

ProShares Ultra VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	816,679,636		$	1,356,204,199
NAV end of period	$	995,489,778		$	1,020,845,873
Percentage change in NAV		21.9	%		(24.7	)%
Shares outstanding beginning of period		65,828,420			12,713,091
Shares outstanding end of period		77,328,420			41,778,420
Percentage change in shares outstanding		17.5	%		228.6	%
Shares created		234,900,000			70,385,000
Shares redeemed		223,400,000			41,319,671
Per share NAV beginning of period	$	12.41		$	106.68
Per share NAV end of period	$	12.87		$	24.43
Percentage change in per share NAV		3.7	%		(77.1	)%
Percentage change in benchmark		14.7	%		(58.4	)%
Benchmark annualized volatility		86.1	%		73.8	%

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 65,828,420 outstanding Shares at December 31, 2021 to 77,328,420 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 12,713,091 outstanding Shares at December 31, 2020 to 41,778,420 outstanding Shares at September 30, 2021.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 77.1% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(7,265,397	)	$	(16,038,632	)
Management fee		7,085,920			8,897,953
Brokerage commission		3,183,788			4,225,879
Futures account fees		1,446,639			3,243,304
Non-recurring fees and expenses		20,117			—
Net realized gain (loss)		81,807,278			(1,757,407,418	)
Change in net unrealized appreciation (depreciation)		323,479,748			146,498,138
Net Income (loss)	$	398,021,629		$	(1,626,947,912	)

160

The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to an increase in the value of futures prices during the nine months ended September 30, 2022.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	2,362,849		$	2,989,499
NAV end of period	$	10,159,189		$	2,539,880
Percentage change in NAV		330.0	%		(15.0	)%
Shares outstanding beginning of period		49,970			49,970
Shares outstanding end of period		349,970			49,970
Percentage change in shares outstanding		600.4	%		—	%
Shares created		350,000			—
Shares redeemed		50,000			—
Per share NAV beginning of period	$	47.29		$	59.83
Per share NAV end of period	$	29.03		$	50.83
Percentage change in per share NAV		(38.6	)%		(15.0	)%
Percentage change in benchmark		(20.3	)%		(7.2	)%
Benchmark annualized volatility		10.1	%		5.2	%

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 349,970 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to September 30, 2021.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 38.6% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s decline of 20.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022.

161

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(5,605	)	$	(18,221	)
Management fee		34,710			19,144
Non-recurring fees and expenses		194			—
Net realized gain (loss)		(2,531,291	)		(305,028	)
Change in net unrealized appreciation (depreciation)		(3,861	)		(126,370	)
Net Income (loss)	$	(2,540,757	)	$	(449,619	)

The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2022.

ProShares UltraShort Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	114,167,602		$	96,839,233
NAV end of period	$	368,791,089		$	93,575,213
Percentage change in NAV		223.0	%		(3.4	)%
Shares outstanding beginning of period		1,776,760			416,994
Shares outstanding end of period		12,155,220			1,236,760
Percentage change in shares outstanding		584.1	%		196.6	%
Shares created		38,940,000			1,447,500
Shares redeemed		28,561,540			627,734
Per share NAV beginning of period	$	64.26		$	232.23
Per share NAV end of period	$	30.34		$	75.66
Percentage change in per share NAV		(52.8	)%		(67.4	)%
Percentage change in benchmark		18.7	%		58.2	%
Benchmark annualized volatility		45.6	%		29.1	%

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 12,155,220 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index^SM. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index^SM. The decrease in the Fund’s NAV was offset by an increase from 416,994 outstanding Shares at December 31, 2020 to 1,236,760 outstanding Shares at September 30, 2021.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 52.8% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 67.4% for the nine months ended September 30, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

162

The benchmark’s rise of 18.7% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 58.2% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(1,043,095	)	$	(751,650	)
Management fee		2,599,503			603,444
Brokerage commission		332,256			100,902
Futures account fees		195,542			83,373
Non-recurring fees and expenses		7,548			—
Net realized gain (loss)		(142,631,216	)		(86,637,748	)
Change in net unrealized appreciation (depreciation)		113,674,105			(5,829,481	)
Net Income (loss)	$	(30,000,206	)	$	(93,218,879	)

The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil , in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2022.

* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil.

163

ProShares UltraShort Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	242,145,130		$	24,977,745
NAV end of period	$	242,389,998		$	138,468,677
Percentage change in NAV		0.1	%		454.4	%
Shares outstanding beginning of period		978,742			26,242
Shares outstanding end of period		13,966,856			986,242
Percentage change in shares outstanding		1,327.0	%		3,658.3	%
Shares created		82,240,000			1,402,500
Shares redeemed		69,251,886			442,500
Per share NAV beginning of period	$	247.40		$	951.82
Per share NAV end of period	$	17.35		$	140.40
Percentage change in per share NAV		(93.0	)%		(85.3	)%
Percentage change in benchmark		86.6	%		113.0	%
Benchmark annualized volatility		71.7	%		40.5	%

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 978,742 outstanding Shares at December 31, 2021 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex^SM. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 26,242 outstanding Shares at December 31, 2020 to 986,242 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 93.0% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 85.3% for the nine months ended September 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s rise of 86.6% for the nine months ended September 30, 2022, as compared to the benchmark’s rise of 113.0% for the nine months ended September 30, 2021, can be attributed to a lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(1,452,942	)	$	(932,981	)
Management fee		1,784,017			609,472
Brokerage commission		539,244			249,831
Futures account fees		255,370			99,190
Non-recurring fees and expenses		5,374			—
Net realized gain (loss)		(389,255,425	)		(112,274,576	)
Change in net unrealized appreciation (depreciation)		116,824,672			(35,670,233	)
Net Income (loss)	$	(273,883,695	)	$	(148,877,790	)

164

The Fund’s net income decreased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a lesser increase in the value of Henry Hub Natural Gas, during the nine months ended September 30, 2022.

* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Natural Gas.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	54,263,045		$	52,953,339
NAV end of period	$	90,584,278		$	48,640,817
Percentage change in NAV		66.9	%		(8.1	)%
Shares outstanding beginning of period		2,100,000			2,350,000
Shares outstanding end of period		2,600,000			1,950,000
Percentage change in shares outstanding		23.8	%		(17.0	)%
Shares created		1,650,000			300,000
Shares redeemed		1,150,000			700,000
Per share NAV beginning of period	$	25.84		$	22.53
Per share NAV end of period	$	34.84		$	24.94
Percentage change in per share NAV		34.8	%		10.7	%
Percentage change in benchmark		(13.2	)%		(5.2	)%
Benchmark annualized volatility		9.4	%		5.6	%

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 2,100,000 outstanding Shares at December 31, 2021 to 2,600,000 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 1,950,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 34.8% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s decline of 13.2% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 5.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2022.

165

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(184,021	)	$	(337,637	)
Management fee		467,426			355,451
Non-recurring fees and expenses		1,835			—
Net realized gain (loss)		16,904,945			2,249,236
Change in net unrealized appreciation (depreciation)		3,015,661			3,263,109
Net Income (loss)	$	19,736,585		$	5,174,708

The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2022.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	26,859,844		$	20,337,376
NAV end of period	$	29,634,725		$	27,731,022
Percentage change in NAV		10.3	%		36.4	%
Shares outstanding beginning of period		846,977			646,977
Shares outstanding end of period		796,977			796,977
Percentage change in shares outstanding		(5.9	)%		23.2	%
Shares created		1,500,000			1,700,000
Shares redeemed		1,550,000			1,550,000
Per share NAV beginning of period	$	31.71		$	31.43
Per share NAV end of period	$	37.18		$	34.80
Percentage change in per share NAV		17.3	%		10.7	%
Percentage change in benchmark		(9.3	)%		(7.9	)%
Benchmark annualized volatility		17.4	%		15.7	%

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex^SM. The increase in the Fund’s NAV was offset by a decrease from 846,977 outstanding Shares at December 31, 2021 to 796,977 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at December 31, 2020 to 796,977 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex^SM.

166

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 17.3% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s decline of 9.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.9% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of gold futures contracts during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(128,991	)	$	(208,304	)
Management fee		218,466			199,999
Brokerage commission		9,361			9,174
Futures account fees		2,446			8,344
Non-recurring fees and expenses		639			—
Net realized gain (loss)		3,237,429			(1,767,467	)
Change in net unrealized appreciation (depreciation)		3,160,276			1,727,781
Net Income (loss)	$	6,268,714		$	(247,990	)

The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the futures prices during the nine months ended September 30, 2022.

167

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	26,537,000		$	28,885,775
NAV end of period	$	33,763,052		$	40,373,877
Percentage change in NAV		27.2	%		39.8	%
Shares outstanding beginning of period		991,329			1,041,744
Shares outstanding end of period		991,329			1,291,329
Percentage change in shares outstanding		—	%		24.0	%
Shares created		2,800,000			3,750,000
Shares redeemed		2,800,000			3,500,415
Per share NAV beginning of period	$	26.77		$	27.73
Per share NAV end of period	$	34.06		$	31.27
Percentage change in per share NAV		27.2	%		12.8	%
Percentage change in benchmark		(19.0	)%		(17.0	)%
Benchmark annualized volatility		31.7	%		33.0	%

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex^SM. There was no net change in the Fund’s outstanding Shares from December 31, 2021 to September 30, 2022. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,041,744 outstanding Shares at December 31, 2020 to 1,291,329 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex^SM.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 27.2% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 12.8% for the nine months ended September 30, 2021, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s decline of 19.0% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 17.0% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the silver futures contracts during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(125,396	)	$	(279,779	)
Management fee		190,549			248,539
Brokerage commission		20,677			19,409
Futures account fees		4,443			20,726
Non-recurring fees and expenses		612			—
Net realized gain (loss)		8,252,703			(2,146,577	)
Change in net unrealized appreciation (depreciation)		1,567,440			10,463,787
Net Income (loss)	$	9,694,747		$	8,037,431

168

The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of futures prices during the nine months ended September 30, 2022.

ProShares UltraShort Yen*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	24,840,784		$	23,691,070
NAV end of period	$	51,937,338		$	23,328,922
Percentage change in NAV		109.1	%		(1.5	)%
Shares outstanding beginning of period		598,580			698,580
Shares outstanding end of period		798,580			598,580
Percentage change in shares outstanding		33.4	%		(14.3	)%
Shares created		1,100,000			200,000
Shares redeemed		900,000			300,000
Per share NAV beginning of period	$	41.50		$	33.91
Per share NAV end of period	$	65.04		$	38.97
Percentage change in per share NAV		56.7	%		14.9	%
Percentage change in benchmark		(20.3	)%		(7.2	)%
Benchmark annualized volatility		10.1	%		5.2	%

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 598,580 outstanding Shares at December 31, 2021 to 798,580 outstanding Shares at September 30, 2022. By comparison, during the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 698,580 outstanding Shares at December 31, 2020 to 598,580 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 56.7% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 14.9% for the nine months ended September 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s decline of 20.3% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 7.2% for the nine months ended September 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2022.

169

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(109,049	)	$	(186,478	)
Management fee		259,599			196,036
Non-recurring fees and expenses		953			—
Net realized gain (loss)		14,980,187			3,055,103
Change in net unrealized appreciation (depreciation)		(453,336	)		1,066,333
Net Income (loss)	$	14,417,802		$	3,934,958

The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2022.

* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Yen.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	112,875,680		$	72,075,095
NAV end of period	$	110,420,574		$	127,673,137
Percentage change in NAV		(2.2	)%		77.1	%
Shares outstanding beginning of period		3,687,403			1,962,403
Shares outstanding end of period		3,112,403			3,962,403
Percentage change in shares outstanding		(15.6	)%		101.9	%
Shares created		1,850,000			2,625,000
Shares redeemed		2,425,000			625,000
Per share NAV beginning of period	$	30.61		$	36.73
Per share NAV end of period	$	35.48		$	32.22
Percentage change in per share NAV		15.9	%		(12.3	)%
Percentage change in benchmark		17.8	%		(11.4	)%
Benchmark annualized volatility		32.5	%		28.3	%

During the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,687,403 outstanding Shares at December 31, 2021 to 3,112,403 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

170

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 15.9% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.3% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s rise of 17.8% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 11.4% for the nine months ended September 30, 2021, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(437,530	)	$	(694,100	)
Management fee		627,755			586,702
Brokerage commission		58,291			48,211
Futures account fees		46,394			86,674
Non-recurring fees and expenses		2,050			—
Net realized gain (loss)		11,304,277			(14,890,359	)
Change in net unrealized appreciation (depreciation)		6,887,044			5,949,460
Net Income (loss)	$	17,753,791		$	(9,634,999	)

The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to an increase in the value of the futures prices during the nine months ended September 30, 2022.

171

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
NAV beginning of period	$	269,703,164		$	293,390,549
NAV end of period	$	437,536,628		$	368,777,333
Percentage change in NAV		62.2	%		25.7	%
Shares outstanding beginning of period		17,832,826			5,331,579
Shares outstanding end of period		25,582,826			16,257,826
Percentage change in shares outstanding		43.5	%		204.9	%
Shares created		35,900,000			16,556,250
Shares redeemed		28,150,000			5,630,003
Per share NAV beginning of period	$	15.12		$	55.03
Per share NAV end of period	$	17.10		$	22.68
Percentage change in per share NAV		13.1	%		(58.8	)%
Percentage change in benchmark		14.7	%		(58.4	)%
Benchmark annualized volatility		86.1	%		73.8	%

During the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 17,832,826 outstanding Shares at December 31, 2021 to 25,582,826 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 5,331,579 outstanding Shares at December 31, 2020 to 16,257,826 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 13.1% for the nine months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 58.8% for the nine months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2022.

The benchmark’s rise of 14.7% for the nine months ended September 30, 2022, as compared to the benchmark’s decline of 58.4% for the nine months ended September 30, 2021, can be attributed to an increase in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2022 and 2021:

	Nine Months Ended September 30, 2022			Nine Months Ended September 30, 2021
Net investment income (loss)	$	(1,545,500	)	$	(3,019,972	)
Management fee		2,353,478			2,154,874
Brokerage commission		490,751			365,013
Futures account fees		371,384			591,272
Non-recurring fees and expenses		8,700			—
Net realized gain (loss)		31,935,690			(304,349,667	)
Change in net unrealized appreciation (depreciation)		84,851,343			27,729,790
Net Income (loss)	$	115,241,533		$	(279,639,849	)

The Fund’s net income increased for the nine months ended September 30, 2022 as compared to the nine months ended September 30, 2021, primarily due to an increase in the value of the futures prices during the nine months ended September 30, 2022.

172

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

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

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

The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of September 30, 2022 and 2021, each of the Fund’s positions were as follows:

ProShares Short VIX Short-Term Futures ETF

As of September 30, 2022 and 2021, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2022

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Short	October 2022		3,083	$	31.52		1,000	$	(97,163,828	)
VIX Futures (Cboe)	Short	November 2022		2,052		31.07		1,000		(63,759,128	)

Futures Positions as of September 30, 2021

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Short	October 2021		4,341	$	22.87		1,000	$	(99,269,120	)
VIX Futures (Cboe)	Short	November 2021		4,001		23.69		1,000		(94,767,286	)

The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

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ProShares Ultra Bloomberg Crude Oil:

As of September 30, 2022 and 2021, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	December 2022		1,450	$	78.72		1,000	$	114,144,000
WTI Crude Oil (NYMEX)	Long	June 2023		1,535		73.00		1,000		112,055,000
WTI Crude Oil (NYMEX)	Long	December 2023		1,610		69.66		1,000		112,152,600

Swap Agreements as of September 30, 2022

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Commodity Balanced WTI Crude Oil Index	Citibank, N.A.	Long	$	77.9524	$	175,709,387
Bloomberg Commodity Balanced WTI Crude Oil Index	Goldman Sachs International	Long		77.9524		218,463,160
Bloomberg Commodity Balanced WTI Crude Oil Index	Morgan Stanley & Co. International PLC	Long		77.9524		304,335,914
Bloomberg Commodity Balanced WTI Crude Oil Index	Societe Generale	Long		77.9524		165,828,296
Bloomberg Commodity Balanced WTI Crude Oil Index	UBS AG	Long		77.9524		246,871,587

Futures Positions as of September 30, 2021

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	December 2021		5,657	$	74.70		1,000	$	422,577,900
WTI Crude Oil (NYMEX)	Long	June 2022		5,843		71.15		1,000		415,729,450
WTI Crude Oil (NYMEX)	Long	December 2022		6,063		67.70		1,000		410,465,100

Swap Agreements as of September 30, 2021

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Commodity Balanced WTI Crude Oil Index	Citibank, N.A.	Long	$	63.6871	$	143,554,545
Bloomberg Commodity Balanced WTI Crude Oil Index	Goldman Sachs International	Long		63.6871		203,094,978
Bloomberg Commodity Balanced WTI Crude Oil Index	Morgan Stanley & Co. International PLC	Long		63.6871		248,642,399
Bloomberg Commodity Balanced WTI Crude Oil Index	Societe Generale	Long		63.6871		135,481,695
Bloomberg Commodity Balanced WTI Crude Oil Index	UBS AG	Long		63.6871		201,694,052

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The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Bloomberg Natural Gas:

As of September 30, 2022 and 2021, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Long	November 2022		8,556	$	6.77		10,000	$	578,898,960

Futures Positions as of September 30, 2021

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Long	November 2021		4,944	$	5.87		10,000	$	290,064,480

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Euro:

As of September 30, 2022 and 2021, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2022

Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		10/07/22		12,276,921			0.9964	$	12,232,264
Euro	UBS AG	Long		10/07/22		17,572,502			0.9940		17,466,744
Euro	UBS AG	Short		10/07/22		(1,566,000	)		0.9801	$	(1,534,866	)

175

Foreign Currency Forward Contracts as of September 30, 2021
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		10/08/21		3,388,921			1.1851	$	4,016,217
Euro	UBS AG	Long		10/08/21		2,801,502			1.1849		3,319,492
Euro	Goldman Sachs International	Short		10/08/21		(93,000	)		1.1685	$	(108,671	)
Euro	UBS AG	Short		10/08/21		(84,000	)		1.1726		(98,499	)

The September 30, 2022 and 2021 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Gold:

As of September 30, 2022 and 2021 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Long	December 2022		409	$	1,672.00		100	$	68,384,800

Swap Agreements as of September 30, 2022

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Long	$	180.7152	$	100,068,860
Bloomberg Gold Subindex	Goldman Sachs International	Long		180.7152		47,529,603
Bloomberg Gold Subindex	UBS AG	Long		180.7152		104,098,025

Futures Positions as of September 30, 2021

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Long	December 2021		856	$	1,757.00		100	$	150,399,200

Swap Agreements as of September 30, 2021

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Long	$	193.6583	$	107,235,945
Bloomberg Gold Subindex	Goldman Sachs International	Long		193.6583		92,669,240
Bloomberg Gold Subindex	UBS AG	Long		193.6583		111,553,685

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract

176

or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Silver:

As of September 30, 2022 and 2021 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Long	December 2022		2,163	$	19.04		5,000	$	205,906,785

Swap Agreements as of September 30, 2022

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Long	$	169.7456	$	142,330,643
Bloomberg Silver Subindex	Goldman Sachs International	Long		169.7456		18,803,260
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Long		169.7456		156,302,767
Bloomberg Silver Subindex	UBS AG	Long		169.7456		124,719,934

Futures Positions as of September 30, 2021

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Long	December 2021		1,213	$	22.05		5,000	$	133,715,055

Swap Agreements as of September 30, 2021

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Long	$	200.3035	$	219,572,067
Bloomberg Silver Subindex	Goldman Sachs International	Long		200.3035		219,657,055
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Long		200.3035		204,665,509
Bloomberg Silver Subindex	UBS AG	Long		200.3035		182,787,599

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

177

ProShares Ultra VIX Short-Term Futures ETF

As of September 30, 2022 and 2021, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2022

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	October 2022		28,597	$	31.52		1,000	$	901,263,052
VIX Futures (Cboe)	Long	November 2022		19,065		31.07		1,000		592,381,961

Futures Positions as of September 30, 2021

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	October 2021		32,595	$	22.87		1,000	$	745,375,941
VIX Futures (Cboe)	Long	November 2021		30,104		23.69		1,000		713,040,334

Swap Agreements as of September 30, 2021

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index	Goldman Sachs International	Long	$	27.8300	$	73,401,625

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Yen:

As of September 30, 2022 and 2021, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to exchange rate price risk.

178

Foreign Currency Forward Contracts as of September 30, 2022

Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		10/07/22		1,186,245,517			0.006949	$	8,243,617
Yen	UBS AG	Long		10/07/22		1,919,545,856			0.006945		13,331,165
Yen	Goldman Sachs International	Short		10/07/22		(33,368,000	)		0.006974	$	(232,706	)
Yen	UBS AG	Short		10/07/22		(133,030,000	)		0.006945		(923,831	)

Foreign Currency Forward Contracts as of September 30, 2021

Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		10/08/21		327,930,517			0.009089	$	2,980,606
Yen	UBS AG	Long		10/08/21		253,562,756			0.009086		2,303,858
Yen	Goldman Sachs International	Short		10/08/21		(6,319,000	)		0.008956	$	(56,591	)
Yen	UBS AG	Short		10/08/21		(10,090,000	)		0.009078		(91,593	)

The September 30, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Crude Oil:

As of September 30, 2022 and 2021, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	December 2022		3,174	$	78.72		1,000	$	(249,857,280	)
WTI Crude Oil (NYMEX)	Short	June 2023		3,344		73.00		1,000		(244,112,000	)
WTI Crude Oil (NYMEX)	Short	December 2023		3,500		69.66		1,000		(243,810,000	)

Futures Positions as of September 30, 2021

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	December 2021		848	$	74.70		1,000	$	(63,345,600	)
WTI Crude Oil (NYMEX)	Short	June 2022		876		71.15		1,000		(62,327,400	)
WTI Crude Oil (NYMEX)	Short	December 2022		909		67.70		1,000		(61,539,300	)

179

The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. September 30, 2022 and 2021 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Natural Gas:

As of September 30, 2022 and 2021, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	November 2022		7,167	$	6.77		10,000	$	(484,919,220	)

Futures Positions as of September 30, 2021

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	November 2021		4,720	$	5.87		10,000	$	(276,922,400	)

The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of September 30, 2022 and 2021, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to exchange rate price risk.

180

Foreign Currency Forward Contracts as of September 30, 2022

Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	UBS AG	Long		10/07/22		38,000,000			0.9876	$	37,528,206
Euro	Goldman Sachs International	Short		10/07/22		(78,612,263	)		0.9970	$	(78,374,875	)
Euro	UBS AG	Short		10/07/22		(144,189,199	)		0.9931		(143,198,834	)

Foreign Currency Forward Contracts as of September 30, 2021

Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	UBS AG	Long		10/08/21		5,650,000			1.1862	$	6,702,072
Euro	Goldman Sachs International	Short		10/08/21		(39,458,263	)		1.1837	$	(46,708,330	)
Euro	UBS AG	Short		10/08/21		(49,895,199	)		1.1841		(59,081,294	)

The September 30, 2022 and 2021 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Gold:

As of September 30, 2022 and 2021 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	December 2022		157	$	1,672.00		100	$	(26,250,400	)

Swap Agreements as of September 30, 2022

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Short	$	180.7152	$	(13,547,911	)
Bloomberg Gold Subindex	Goldman Sachs International	Short		180.7152		(8,863,141	)
Bloomberg Gold Subindex	UBS AG	Short		180.7152		(10,598,433	)

Futures Positions as of September 30, 2021

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	December 2021		114	$	1,757.00		100	$	(20,029,800	)

181

Swap Agreements as of September 30, 2021

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Short	$	193.6583	$	(14,518,233	)
Bloomberg Gold Subindex	Goldman Sachs International	Short		193.6583		(9,497,933	)
Bloomberg Gold Subindex	UBS AG	Short		193.6583		(11,357,509	)

The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Silver:

As of September 30, 2022 and 2021 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2022

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	December 2022		506	$	19.04		5,000	$	(48,168,670	)

Swap Agreements as of September 30, 2022

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Short	$	169.7456	$	(2,288,972	)
Bloomberg Silver Subindex	Goldman Sachs International	Short		169.7456		(8,338,415	)
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Short		169.7456		(6,593,089	)
Bloomberg Silver Subindex	UBS AG	Short		169.7456		(2,108,259	)

Futures Positions as of September 30, 2021

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	December 2021		380	$	22.05		5,000	$	(41,889,300	)

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Swap Agreements as of September 30, 2021

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Short	$	200.3035	$	(7,432,206	)
Bloomberg Silver Subindex	Goldman Sachs International	Short		200.3035		(9,839,512	)
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Short		200.3035		(7,779,988	)
Bloomberg Silver Subindex	UBS AG	Short		200.3035		(13,786,912	)

The September 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2022 and 2021 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Yen:

As of September 30, 2022 and 2021, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2022

Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		10/07/22		513,732,000			0.007033	$	3,613,292
Yen	UBS AG	Long		10/07/22		1,169,990,000			0.006995		8,183,497
Yen	Goldman Sachs International	Short		10/07/22		(4,358,922,165	)		0.006949	$	(30,291,833	)
Yen	UBS AG	Short		10/07/22		(12,349,528,574	)		0.006949		(85,811,526	)

Foreign Currency Forward Contracts as of September 30, 2021

Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		10/08/21		32,600,000			0.009147	$	298,181
Yen	UBS AG	Long		10/08/21		373,110,000			0.009098		3,394,710
Yen	Goldman Sachs International	Short		10/08/21		(1,558,854,165	)		0.009077	$	(14,149,247	)
Yen	UBS AG	Short		10/08/21		(4,049,118,875	)		0.009085		(36,785,074	)

The September 30, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

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ProShares VIX Mid-Term Futures ETF

As of September 30, 2022 and 2021, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2022

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	January 2023		728	$	30.70		1,000	$	22,351,129
VIX Futures (Cboe)	Long	February 2023		1,214		30.31		1,000		36,796,340
VIX Futures (Cboe)	Long	March 2023		1,214		30.18		1,000		36,638,520
VIX Futures (Cboe)	Long	April 2023		486		30.25		1,000		14,700,868

Futures Positions as of September 30, 2021

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	January 2022		872	$	24.80		1,000	$	21,626,210
VIX Futures (Cboe)	Long	February 2022		1,677		25.23		1,000		42,304,841
VIX Futures (Cboe)	Long	March 2022		1,677		25.66		1,000		43,023,603
VIX Futures (Cboe)	Long	April 2022		804		25.83		1,000		20,765,953

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares VIX Short-Term Futures ETF

As of September 30, 2022 and 2021, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of September 30, 2022 and 2021, which were sensitive to equity market volatility risk.

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Futures Positions as of September 30, 2022

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	October 2022		8,381	$	31.52		1,000	$	264,135,596
VIX Futures (Cboe)	Long	November 2022		5,587		31.07		1,000		173,597,588

Futures Positions as of September 30, 2021

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	October 2021		8,245	$	22.87		1,000	$	188,545,011
VIX Futures (Cboe)	Long	November 2021		7,617		23.69		1,000		180,415,500

The September 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

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Qualitative Disclosure

As described in Item 7 in the Annual Report on Form 10-K, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, of its corresponding benchmark. Each Short Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results, before fees and expenses, that correspond to one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative one-half, one, one and one-half, two or three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading strategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital.

As described in Item 7 in the Annual Report on Form 10-K, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

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Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-0.5x, -1x, -2x, 1.5x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described in Item 7 of the Annual Report on Form 10-K, these adjustments are done through the use of various Financial Instruments. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

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

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

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in both non-interest bearing and interest bearing demand deposit accounts. The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

Item 4. Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of December 31, 2021, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the

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Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to management, including the principal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2022 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

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Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

As of September 30, 2022, the Trust is not a party to any material legal proceedings.

Item 1A. Risk Factors.

Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.

During April 2020, the collapse of demand for fuel as a result of economic conditions relating to COVID-19 and other factors created an oversupply of crude oil production that rapidly filled most available oil storage facilities. As a result, market participants who contractually promised to buy and take delivery of crude oil were unable to store the crude oil and were at risk of default under the terms of the May 2020 WTI crude oil futures contract. The scarcity in storage was widespread, and some market participants took the extreme measure of selling their futures contracts at a negative price (effectively paying another market participant to accept their crude oil). As a result, for the first time in history, a period of “extraordinary contango” resulted in certain crude oil futures contracts trading below zero. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and could cause significant losses. The oversupply of oil may continue, impacting futures contracts for other delivery months. Such circumstances may arise as a result of a number of factors, including the following: (1) disruptions in oil pipelines and other means to get oil out of storage and delivered to refineries (as might occur due to infrastructure deterioration, work stoppages, or weather/disaster); (2) any agreement by oil producing nations regarding production limits; or (3) potential government intervention (in the form of grants or other aid) to keep oil producers, and the workers they employ, in service. It is not possible to predict if or when these economic conditions will reverse. Any reversal of these conditions could have a significant negative impact on the performance of the Short Crude Oil Fund.

On February 24, 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future could have a significant adverse impact on the Russian economy and related markets. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflicts and related events could have significant impact on a Fund’s performance, and the value of an investment in a Fund may decline significantly.

The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.

Extreme market volatility and economic turbulence in the first part of 2020 has led to futures commission merchants increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some futures commission merchants may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts. If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.

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Natural Disasters and Public Health Disruptions, such as the COVID-19 Virus, May Have a Significant Negative Impact on the Performance of Each Fund

Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and may continue to be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. For example, during March and April 2020, the U.S. federal government passed various legislation in response to the COVID-19 pandemic, the effects and results of which are uncertain. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities and accuracy of economic projections. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. A widespread crisis, such as the COVID-19 pandemic, may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.

Natural or environmental disasters or public health crisis, such as the COVID-19 pandemic and hurricanes, could result in sudden and large fluctuations in the supply of and demand for crude oil. For example, contemporaneous with the onset of the COVID-19 pandemic in the U.S., crude oil markets experienced shocks to supply of and demand for crude oil, which dramatically impacted the price of crude oil and futures contracts on crude oil and caused extreme volatility in the crude oil markets and crude oil futures markets.

The COVID-19 pandemic has already had, and may continue to have, a significant negative and unpredictable impact on the U.S. and global economy. For example, equity and other markets have experienced extreme declines and volatility. During much of 2020 and the first quarter of 2021, the unemployment rate in the U.S. has been extremely high by historical standards. Further, the global slowdown in the economy contributed to a significant oversupply in the crude oil market, resulting in historic shocks to, and extreme volatility in, the price of oil and related derivatives contracts. It is not possible to predict when unemployment and market conditions will return to more normal levels.

Market downturns, disruptions or illiquidity as a result of, or related to, the COVID-19 pandemic can have a significant negative impact on the value of Fund portfolio investments, the operations of each Fund, the markets in which the Funds invest and the trading of Fund Shares in the secondary market. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margin and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transact on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure consistent with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.

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

The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. These and other global economic shocks as a result of the COVID-19 pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.

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The Funds as well as the Sponsor and its service providers are vulnerable to the effects of public health crises, including the ongoing COVID-19 pandemic

Pandemics and other public health crises may cause a curtailment of business activities which may potentially impact the ability of the Sponsor and its service providers to operate. The COVID-19 pandemic (including any variants or issues relating to public acceptance of available vaccines) or a similar public health threat could adversely impact the Funds by causing operating delays and disruptions, market disruption and shutdowns (including as a result of government regulation and prevention measures). The COVID-19 pandemic has had and will likely continue to have serious negative effects on social, economic and financial systems, including significant uncertainty and volatility in the financial markets.

Governmental authorities and regulators throughout the world have, in the past, responded to major economic disruptions with a variety of fiscal and monetary policy changes, such as quantitative easing, new monetary programs and lower interest rates. An unexpected or quick reversal of these policies, or the ineffectiveness of these policies, is likely to increase volatility in the market generally, and could specifically increase volatility in the market for gold, which could adversely affect the price of the Funds. The outbreak could also cause the closure of futures exchanges, which could eliminate the ability of Authorized Participants to hedge purchases of Baskets, increasing trading costs and resulting in a sustained premium or discount in the shares of the Funds. The duration of the outbreak and its effects cannot be determined with any reasonable amount of certainty. A prolonged outbreak could result in an increase of the costs of the Funds, affect liquidity in the markets as well as the correlation between the price of the shares of the Funds and the net asset value of the Funds, any of which could adversely and materially affect the value of an investment in the Funds. The outbreak could impair information technology and other operational systems upon which the Funds’ service providers rely and could otherwise disrupt the ability of the employees of such service providers to perform essential tasks on behalf of the Funds.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

a) None.

b) Not applicable.

c) The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the three months ended September 30, 2022:

Title of Securities Registered*		Total Number of Shares Redeemed		Average Price Per Share
ProShares Short VIX Short-Term Futures ETF
Common Units of Beneficial Interest	07/01/22 to 07/31/22		850,000	$	50.40
	08/01/22 to 08/31/22		950,000	$	53.82
	09/01/22 to 09/30/22		400,000	$	53.05
ProShares Ultra Bloomberg Crude Oil
Common Units of Beneficial Interest	07/01/22 to 07/31/22		3,750,000	$	37.59
	08/01/22 to 08/31/22		2,450,000	$	37.02
	09/01/22 to 09/30/22		2,050,000	$	31.72
ProShares Ultra Bloomberg Natural Gas
Common Units of Beneficial Interest	07/01/22 to 07/31/22		3,050,000	$	67.58
	08/01/22 to 08/31/22		1,900,000	$	98.18
	09/01/22 to 09/30/22		350,000	$	78.79
ProShares Ultra Euro
Common Units of Beneficial Interest	07/01/22 to 07/31/22		—	$	—
	08/01/22 to 08/31/22		50,000	$	10.22
	09/01/22 to 09/30/22		50,000	$	9.91
ProShares Ultra Gold
Common Units of Beneficial Interest	07/01/22 to 07/31/22		300,000	$	51.50
	08/01/22 to 08/31/22		250,000	$	51.79
	09/01/22 to 09/30/22		350,000	$	47.67

191

ProShares Ultra Silver
Common Units of Beneficial Interest	07/01/22 to 07/31/22	—	$	—
	08/01/22 to 08/31/22	500,000	$	22.97
	09/01/22 to 09/30/22	750,000	$	22.11
ProShares Ultra VIX Short-Term Futures ETF
Common Units of Beneficial Interest	07/01/22 to 07/31/22	3,800,000	$	13.70
	08/01/22 to 08/31/22	27,450,000	$	10.33
	09/01/22 to 09/30/22	52,050,000	$	11.22
ProShares Ultra Yen
Common Units of Beneficial Interest	07/01/22 to 07/31/22	—	$	—
	08/01/22 to 08/31/22	—	$	—
	09/01/22 to 09/30/22	50,000	$	29.75
ProShares UltraShort Bloomberg Crude Oil
Common Units of Beneficial Interest	07/01/22 to 07/31/22	4,200,000	$	25.49
	08/01/22 to 08/31/22	7,550,000	$	24.47
	09/01/22 to 09/30/22	8,900,000	$	27.61
ProShares UltraShort Bloomberg Natural Gas
Common Units of Beneficial Interest	07/01/22 to 07/31/22	3,400,000	$	21.98
	08/01/22 to 08/31/22	17,900,000	$	14.14
	09/01/22 to 09/30/22	28,600,000	$	15.02
ProShares UltraShort Euro
Common Units of Beneficial Interest	07/01/22 to 07/31/22	—	$	—
	08/01/22 to 08/31/22	150,000	$	32.87
	09/01/22 to 09/30/22	400,000	$	34.53
ProShares UltraShort Gold
Common Units of Beneficial Interest	07/01/22 to 07/31/22	300,000	$	34.13
	08/01/22 to 08/31/22	—	$	—
	09/01/22 to 09/30/22	350,000	$	37.44
ProShares UltraShort Silver
Common Units of Beneficial Interest	07/01/22 to 07/31/22	400,000	$	36.78
	08/01/22 to 08/31/22	300,000	$	31.03
	09/01/22 to 09/30/22	350,000	$	34.90
ProShares UltraShort Yen
Common Units of Beneficial Interest	07/01/22 to 07/31/22	—	$	—
	08/01/22 to 08/31/22	250,000	$	57.10
	09/01/22 to 09/30/22	—	$	—
ProShares VIX Mid-Term Futures ETF
Common Units of Beneficial Interest	07/01/22 to 07/31/22	325,000	$	34.95
	08/01/22 to 08/31/22	—	$	—
	09/01/22 to 09/30/22	125,000	$	34.37
ProShares VIX Short-Term Futures ETF
Common Units of Beneficial Interest	07/01/22 to 07/31/22	1,150,000	$	17.47
	08/01/22 to 08/31/22	2,300,000	$	14.63
	09/01/22 to 09/30/22	7,500,000	$	15.48

* The registration statement covers an indeterminate amount of securities to be offered or sold.

192

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

193

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)
104.1	Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL 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.

194

Signatures

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

PROSHARES TRUST II

/s/ Todd Johnson

By: Todd Johnson

Principal Executive Officer

Date: November 8, 2022

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial and Accounting Officer

Date: November 8, 2022

195