ProShares UltraShort Yen (YCS) 10-Q 2023 Q2 Quarterly report

0001415311 us-gaap:SwapMember ck0001415311:ProsharesUltraShortSilverMember 2022-01-01 2022-06-30

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 June 30, 2023.

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 August 

4

, 2023, the registrant had 108,589,214 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.		2
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.		134
Item 3. Quantitative and Qualitative Disclosures About Market Risk.		182
Item 4. Controls and Procedures.		197
Part II. OTHER INFORMATION
Item 1. Legal Proceedings.		198
Item 1A. Risk Factors.		198
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		200
Item 3. Defaults Upon Senior Securities.		202
Item 4. Mine Safety Disclosures.		202
Item 5. Other Information.		202
Item 6. Exhibits.		202

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		1
ProShares Ultra Bloomberg Crude Oil		6
ProShares Ultra Bloomberg Natural Gas		11
ProShares Ultra Euro		16
ProShares Ultra Gold		21
ProShares Ultra Silver		26
ProShares Ultra VIX Short-Term Futures ETF		31
ProShares Ultra Yen		36
ProShares UltraShort Bloomberg Crude Oil		41
ProShares UltraShort Bloomberg Natural Gas		46
ProShares UltraShort Euro		51
ProShares UltraShort Gold		56
ProShares UltraShort Silver		61
ProShares UltraShort Yen		66
ProShares VIX Mid-Term Futures ETF		71
ProShares VIX Short-Term Futures ETF		76
ProShares Trust II		81
Notes to Financial Statements		85

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $89,711,485 and $144,283,581, respectively)	$	89,727,034	$	144,307,676
Cash		62,993,244		6,852,395
Segregated cash balances with brokers for futures contracts		110,594,314		127,094,546
Receivable on open futures contracts		18,825,539		67,086,947
Interest receivable		432,544		475,930
Total assets		282,572,675		345,817,494
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		5,861,814
Brokerage commissions and futures account fees payable		8,756		21,576
Payable to Sponsor		210,652		342,466
Total liabilities		219,408		6,225,856
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		282,353,267		339,591,638
Total liabilities and shareholders’ equity	$	282,572,675	$	345,817,494
Shares outstanding		3,334,307		5,784,307
Net asset value per share	$	84.68	$	58.71
Market value per share (Note 2)	$	84.68	$	58.68

See accompanying notes to financial statements.

1

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(32% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.132% due 07/06/23	$	15,000,000	$	14,993,694
4.959% due 07/13/23		25,000,000		24,964,895
5.104% due 08/01/23		25,000,000		24,897,695
4.972% due 08/08/23		25,000,000		24,870,750
Total short-term U.S. government and agency obligations
(cost $89,711,485)			$	89,727,034

Futures Contracts Sold

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/ Value
VIX Futures - Cboe, expires July 2023		5,241	$	78,672,651	$	21,799,615
VIX Futures - Cboe, expires August 2023		3,810		62,485,143		2,129,590
					$	23,929,205

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

See accompanying notes to financial statements.

2

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIO

NS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	2,437,210		$	225,134		$	4,546,332		$	319,477
Expenses
Management fee		617,036			1,034,361			1,182,813			2,020,898
Brokerage commissions		123,422			177,552			249,925			365,250
Futures account fees		—			107,221			—			324,251
Total expenses		740,458			1,319,134			1,432,738			2,710,399
Net investment income (loss)		1,696,752			(1,094,000	)		3,113,594			(2,390,922	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		65,228,142			(13,029,194	)		94,832,290			(54,129,808	)
Short-term U.S. government and agency obligations		(25,811	)		(76,018	)		(25,811	)		(86,512	)
Net realized gain (loss)		65,202,331			(13,105,212	)		94,806,479			(54,216,320	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		9,658,017			(34,466,848	)		12,836,824			(29,757,664	)
Short-term U.S. government and agency obligations		15,084			(40,932	)		(8,546	)		(452,209	)
Change in net unrealized appreciation (depreciation)		9,673,101			(34,507,780	)		12,828,278			(30,209,873	)
Net realized and unrealized gain (loss)		74,875,432			(47,612,992	)		107,634,757			(84,426,193	)
Net income (loss)	$	76,572,184		$	(48,706,992	)	$	110,748,351		$	(86,817,115	)

See accompanying notes to financial statements.

3

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	295,340,393		$	495,588,849		$	339,591,638		$	423,812,594
Addition of 550,000, 1,600,000, 3,000,000 and 4,600,000 shares, respectively		38,020,154			75,921,860			185,319,488			232,437,331
Redemption of 1,850,000, 2,300,000, 5,450,000 and 3,100,000 shares, respectively		(127,579,464	)		(119,158,761	)		(353,306,210	)		(165,787,854	)
Net addition (redemption) of (1,300,000 ), (700,000), (2,450,000) and 1,500,000 shares, respectively		(89,559,310	)		(43,236,901	)		(167,986,722	)		66,649,477
Net investment income (loss)		1,696,752			(1,094,000	)		3,113,594			(2,390,922	)
Net realized gain (loss)		65,202,331			(13,105,212	)		94,806,479			(54,216,320	)
Change in net unrealized appreciation (depreciation)		9,673,101			(34,507,780	)		12,828,278			(30,209,873	)
Net income (loss)		76,572,184			(48,706,992	)		110,748,351			(86,817,115	)
Shareholders’ equity, end of period	$	282,353,267		$	403,644,956		$	282,353,267		$	403,644,956

See ac

comp

anying notes to financial statements.

4

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	110,748,351		$	(86,817,115	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(278,358,687	)		(569,767,938	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		334,826,194			565,832,801
Net amortization and accretion on short-term U.S. government and agency obligations		(1,921,222	)		(206,220	)
Net realized (gain) loss on investments		25,811			86,512
Change in unrealized (appreciation) depreciation on investments		8,546			452,209
Decrease (Increase) in receivable on open futures contracts		48,261,408			(6,253,293	)
Decrease (Increase) in interest receivable		43,386			(73,181	)
Increase (Decrease) in payable to Sponsor		(131,814	)		(2,886	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(12,820	)		(92,191	)
Increase (Decrease) in payable on open futures contracts		—			1,735,890
Net cash provided by (used in) operating activities		213,489,153			(95,105,412	)
Cash flow from financing activities
Proceeds from addition of shares		185,319,488			232,437,331
Payment on shares redeemed		(359,168,024	)		(171,912,984	)
Net cash provided by (used in) financing activities		(173,848,536	)		60,524,347
Net increase (decrease) in cash		39,640,617			(34,581,065	)
Cash, beginning of period		133,946,941			183,010,984
Cash, end of period	$	173,587,558		$	148,429,919

See accompanying notes to financial statements.

5

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $413,892,685 and $313,413,683, respectively)	$	413,997,952	$	313,465,007
Cash		67,718,783		224,296,858
Segregated cash balances with brokers for futures contracts		75,508,570		76,813,658
Segregated cash balances with brokers for swap agreements		182,681,745		175,489,745
Unrealized appreciation on swap agreements		—		74,159,577
Receivable on open futures contracts		2,846,634		8,466,027
Interest receivable		449,770		618,549
Total assets		743,203,454		873,309,421
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		1,186,903		13,545,014
Payable on open futures contracts		1,541,204		—
Brokerage commissions and futures account fees payable		7,646		7,154
Payable to Sponsor		581,092		662,979
Unrealized depreciation on swap agreements		1,692,241		—
Total liabilities		5,009,086		14,215,147
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		738,194,368		859,094,274
Total liabilities and shareholders’ equity	$	743,203,454	$	873,309,421
Shares outstanding (Note 1)		31,093,096		28,393,096
Net asset value per share (Note 1)	$	23.74	$	30.26
Market value per share (Note 1) (Note 2)	$	23.65	$	30.31

See accompanying notes to financial statements.

6

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(56% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.132% due 07/06/23 †	$	100,000,000	$	99,957,960
4.959% due 07/13/23 †		40,000,000		39,943,832
5.242% due 07/18/23 †		100,000,000		99,789,580
5.251% due 07/25/23		75,000,000		74,769,690
5.104% due 08/01/23		50,000,000		49,795,390
4.972% due 08/08/23 †		50,000,000		49,741,500
Total short-term U.S. government and agency obligations
(cost $413,892,685)			$	413,997,952

Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/ Value
WTI Crude Oil - NYMEX, expires September 2023		2,315	$	163,855,700	$	534,428
WTI Crude Oil - NYMEX, expires December 2023		2,393		168,467,200		3,955,084
WTI Crude Oil - NYMEX, expires June 2024		2,478		171,031,560		4,928,794
					$	9,418,306

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	%		07/06/23	$	172,685,565	$	(303,753	)
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			07/06/23		214,703,580		(377,662	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			07/06/23		179,707,950		(316,105	)
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.25			07/06/23		162,974,521		(275,938	)
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.30			07/06/23		242,623,120		(418,783	)
							Total Unrealized Depreciation	$	(1,692,241	)

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

^ The positions and counterparties herein are as of June 30, 2023. 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 June 30, 2023, 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.

7

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	5,878,092		$	1,264,011		$	11,886,000		$	1,572,891
Expenses
Management fee		1,744,998			3,098,904			3,619,616			6,183,716
Brokerage commissions		94,303			140,210			188,647			335,751
Futures account fees		—			109,601			—			362,288
Total expenses		1,839,301			3,348,715			3,808,263			6,881,755
Net investment income (loss)		4,038,791			(2,084,704	)		8,077,737			(5,308,864	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		29,371,809			244,497,710			40,205,833			510,907,542
Swap agreements		(105,727,226	)		118,798,382			(30,780,823	)		651,811,620
Short-term U.S. government and agency obligations		(59,378	)		(4,653	)		(59,378	)		(7,789	)
Net realized gain (loss)		(76,414,795	)		363,291,439			9,365,632			1,162,711,373
Change in net unrealized appreciation (depreciation) on
Futures contracts		(20,075,857	)		(187,136,364	)		(16,873,410	)		(89,000,726	)
Swap agreements		65,510,145			(24,001,881	)		(75,851,818	)		(216,215,448	)
Short-term U.S. government and agency obligations		104,869			(405,864	)		53,943			(991,922	)
Change in net unrealized appreciation (depreciation)		45,539,157			(211,544,109	)		(92,671,285	)		(306,208,096	)
Net realized and unrealized gain (loss)		(30,875,638	)		151,747,330			(83,305,653	)		856,503,277
Net income (loss)	$	(26,836,847	)	$	149,662,626		$	(75,227,916	)	$	851,194,413

See accompanying notes to financial statements.

8

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended  June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	811,668,456		$	1,336,980,685		$	859,094,274		$	1,103,783,570
Addition of 15,550,000, 1,700,000, 34,650,000 and 10,300,000 shares, respectively (Note 1)		353,363,209			72,419,653			812,713,784			402,736,686
Redemption of 15,050,000, 11,450,000, 31,950,000 and 36,050,000 shares, respectively (Note 1)		(400,000,450	)		(498,195,726	)		(858,385,774	)		(1,296,847,431	)
Net addition (redemption) of 500,000, (9,750,000) , 2,700,000 and (25,750,000) shares, respectively (Note 1)		(46,637,241	)		(425,776,073	)		(45,671,990	)		(894,110,745	)
Net investment income (loss)		4,038,791			(2,084,704	)		8,077,737			(5,308,864	)
Net realized gain (loss)		(76,414,795	)		363,291,439			9,365,632			1,162,711,373
Change in net unrealized appreciation (depreciation)		45,539,157			(211,544,109	)		(92,671,285	)		(306,208,096	)
Net income (loss)		(26,836,847	)		149,662,626			(75,227,916	)		851,194,413
Shareholders’ equity, end of period	$	738,194,368		$	1,060,867,238		$	738,194,368		$	1,060,867,238

See accompanying notes to financial statements.

9

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(75,227,916	)	$	851,194,413
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		(8,286,191,814	)		(4,782,347,856	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		8,193,611,806			5,104,987,142
Net amortization and accretion on short-term U.S. government and agency obligations		(7,958,372	)		(1,304,714	)
Net realized (gain) loss on investments		59,378			7,789
Change in unrealized (appreciation) depreciation on investments		75,797,875			217,207,370
Decrease (Increase) in receivable on open futures contracts		5,619,393			—
Decrease (Increase) in interest receivable		168,779			(210,318	)
Increase (Decrease) in payable to Sponsor		(81,887	)		174,702
Increase (Decrease) in brokerage commissions and futures account fees payable		492			(12,077	)
Increase (Decrease) in payable on open futures contracts		1,541,204			(4,104,319	)
Net cash provided by (used in) operating activities		(92,661,062	)		1,385,592,132
Cash flow from financing activities
Proceeds from addition of shares		812,713,784			402,736,686
Payment on shares redeemed		(870,743,885	)		(1,276,766,479	)
Net cash provided by (used in) financing activities		(58,030,101	)		(874,029,793	)
Net increase (decrease) in cash		(150,691,163	)		511,562,339
Cash, beginning of period		476,600,261			217,287,389
Cash, end of period	$	325,909,098		$	728,849,728

See accompanying notes to financial statements.

1

0

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $298,722,860 and $263,209,299, respectively)	$	298,783,390	$	263,260,158
Cash		193,070,994		13,689,494
Segregated cash balances with brokers for futures contracts		405,057,584		163,045,170
Segregated cash balances with brokers for swap agreements		83,160,000		—
Unrealized appreciation on swap agreements		46,088,257		—
Receivable on open futures contracts		117,556,776		149,650,221
Interest receivable		1,694,276		653,922
Total assets		1,145,411,277		590,298,965
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		3,473,947		1,826,653
Payable on open futures contracts		—		1,835,443
Brokerage commissions and futures account fees payable		69,389		35,242
Payable to Sponsor		846,663		450,514
Total liabilities		4,389,999		4,147,852
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		1,141,021,278		586,151,113
Total liabilities and shareholders’ equity	$	1,145,411,277	$	590,298,965
Shares outstanding (Note 1)		16,421,876		1,614,376
Net asset value per share (Note 1)	$	69.48	$	363.08
Market value per share (Note 1) (Note 2)	$	68.99	$	355.60

See accompanying notes to financial statements.

1

1

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(26% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.242% due 07/18/23	$	100,000,000	$	99,789,580
5.104% due 08/01/23		50,000,000		49,795,390
4.972% due 08/08/23		50,000,000		49,741,500
5.161% due 08/10/23		100,000,000		99,456,920
Total short-term U.S. government and agency obligations
(cost $298,722,860)			$	298,783,390

Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/ Value
Natural Gas - NYMEX, expires September 2023		71,349	$	1,979,221,260	$	248,335,437

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 Natural Gas Subindex		0.50	%		07/06/23	$	148,091,216	$	22,537,665
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex		0.50			07/06/23		101,183,890		15,398,946
Swap agreement with Societe General based on Bloomberg Natural Gas Subindex		0.32			07/06/23		52,717,728		8,028,280
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex		0.35			07/06/23		810,173		123,366
							Total Unrealized Appreciation	$	46,088,257

^ The positions and counterparties herein are as of June 30, 2023. 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 June 30, 2023, 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.

1

2

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	8,866,705		$	146,470		$	17,825,228		$	186,051
Expenses
Management fee		2,588,571			534,624			4,916,981			931,234
Brokerage commissions		1,145,371			114,706			2,098,150			203,158
Futures account fees		211,785			63,213			399,478			134,330
Total expenses		3,945,727			712,543			7,414,609			1,268,722
Net investment income (loss)		4,920,978			(566,073	)		10,410,619			(1,082,671	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(539,203,219	)		164,990,694			(1,639,994,302	)		241,211,382
Swap agreements		(77,680,050	)		—			(38,520,261	)		—
Short-term U.S. government and agency obligations		(3,646	)		—			(7,216	)		(3,452	)
Net realized gain (loss)		(616,886,915	)		164,990,694			(1,678,521,779	)		241,207,930
Change in net unrealized appreciation (depreciation) on
Futures contracts		572,850,724			(271,251,560	)		558,949,406			(186,220,796	)
Swap agreements		85,176,576			—			46,088,257			—
Short-term U.S. government and agency obligations		29,724			(36,909	)		9,671			(199,929	)
Change in net unrealized appreciation (depreciation)		658,057,024			(271,288,469	)		605,047,334			(186,420,725	)
Net realized and unrealized gain (loss)		41,170,109			(106,297,775	)		(1,073,474,445	)		54,787,205
Net income (loss)	$	46,091,087		$	(106,863,848	)	$	(1,063,063,826	)	$	53,704,534

See accompanying notes to financial statements.

1

3

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended  June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	1,139,983,773		$	145,069,486		$	586,151,113		$	193,892,178
Addition of 13,792,500, 325,000, 32,765,000 and 455,000 shares, respectively (Note 1)		814,876,179			549,486,344			3,160,825,013			637,366,699
Redemption of 12,825,000, 217,500, 17,957,500 and 597,500 shares, respectively (Note 1)		(859,929,761	)		(400,394,140	)		(1,542,891,022	)		(697,665,569	)
Net addition (redemption) of 967,500, 107,500, 14,807,500 and (142,500) shares, respectively (Note 1)		(45,053,582	)		149,092,204			1,617,933,991			(60,298,870	)
Net investment income (loss)		4,920,978			(566,073	)		10,410,619			(1,082,671	)
Net realized gain (loss)		(616,886,915	)		164,990,694			(1,678,521,779	)		241,207,930
Change in net unrealized appreciation (depreciation)		658,057,024			(271,288,469	)		605,047,334			(186,420,725	)
Net income (loss)		46,091,087			(106,863,848	)		(1,063,063,826	)		53,704,534
Shareholders’ equity, end of period	$	1,141,021,278		$	187,297,842		$	1,141,021,278		$	187,297,842

See accompanying notes to financial statements.

1

4

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(1,063,063,826	)	$	53,704,534
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		(10,025,950,123	)		(520,892,453	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		9,997,363,885			505,991,302
Net amortization and accretion on short-term U.S. government and agency obligations		(6,934,539	)		(119,696	)
Net realized (gain) loss on investments		7,216			3,452
Change in unrealized (appreciation) depreciation on investments		(46,097,928	)		199,929
Decrease (Increase) in receivable on open futures contracts		32,093,445			20,455,330
Decrease (Increase) in interest receivable		(1,040,354	)		(38,738	)
Increase (Decrease) in payable to Sponsor		396,149			68,086
Increase (Decrease) in brokerage commissions and futures account fees payable		34,147			(57,121	)
Increase (Decrease) in payable on open futures contracts		(1,835,443	)		26,800,768
Net cash provided by (used in) operating activities		(1,115,027,371	)		86,115,393
Cash flow from financing activities
Proceeds from addition of shares		3,160,825,013			638,028,828
Payment on shares redeemed		(1,541,243,728	)		(691,677,317	)
Net cash provided by (used in) financing activities		1,619,581,285			(53,648,489	)
Net increase (decrease) in cash		504,553,914			32,466,904
Cash, beginning of period		176,734,664			54,135,725
Cash, end of period	$	681,288,578		$	86,602,629

See accompanying notes to financial statements.

1

5

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Cash	$	6,440,727	$	9,156,418
Segregated cash balances with brokers for foreign currency forward contracts		833,000		1,103,000
Unrealized appreciation on foreign currency forward contracts		241,390		514,115
Interest receivable		28,208		40,421
Total assets		7,543,325		10,813,954
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		6,188		10,833
Unrealized depreciation on foreign currency forward contracts		1,702		98,459
Total liabilities		7,890		109,292
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		7,535,435		10,704,662
Total liabilities and shareholders’ equity	$	7,543,325	$	10,813,954
Shares outstanding		650,000		950,000
Net asset value per share	$	11.59	$	11.27
Market value per share (Note 2)	$	11.61	$	11.26

See accompanying notes to financial statements.

1

6

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

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		07/14/23		7,784,921		$	8,501,340		$	129,303
Euro with UBS AG		07/14/23		7,204,502			7,867,506			112,087
							Total Unrealized Appreciation		$	241,390
Contracts to Sell
Euro with Goldman Sachs International		07/14/23		(93,000	)	$	(101,558	)	$	(197	)
Euro with UBS AG		07/14/23		(1,152,000	)		(1,258,014	)		(1,505	)
							Total Unrealized Depreciation		$	(1,702	)

^ The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

1

7

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	88,182		$	6,522		$	185,419		$	11,109
Expenses
Management fee		19,851			15,037			44,097			35,315
Total expenses		19,851			15,037			44,097			35,315
Net investment income (loss)		68,331			(8,515	)		141,322			(24,206	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		78,291			(446,365	)		358,570			(887,395	)
Short-term U.S. government and agency obligations		—			—			—			(5,949	)
Net realized gain (loss)		78,291			(446,365	)		358,570			(893,344	)
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(79,023	)		(282,077	)		(175,968	)		(415,047	)
Short-term U.S. government and agency obligations		—			787			—			(4,668	)
Change in net unrealized appreciation (depreciation)		(79,023	)		(281,290	)		(175,968	)		(419,715	)
Net realized and unrealized gain (loss)		(732	)		(727,655	)		182,602			(1,313,059	)
Net income (loss)	$	67,599		$	(736,170	)	$	323,924		$	(1,337,265	)

See accompanying notes to financial statements.

1

8

PROSHARES ULTRA EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended  June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	8,616,433		$	6,236,982		$	10,704,662		$	8,659,095
Addition of –, 450,000, 200,000 and 550,000 shares, respectively		—			5,052,555			2,296,437			6,368,822
Redemption of 100,000, 100,000, 500,000 and 350,000 shares, respectively		(1,148,597	)		(1,137,741	)		(5,789,588	)		(4,275,026	)
Net addition (redemption) of (100,000), 350,000, (300,000) and 200,000 shares, respectively		(1,148,597	)		3,914,814			(3,493,151	)		2,093,796
Net investment income (loss)		68,331			(8,515	)		141,322			(24,206	)
Net realized gain (loss)		78,291			(446,365	)		358,570			(893,344	)
Change in net unrealized appreciation (depreciation)		(79,023	)		(281,290	)		(175,968	)		(419,715	)
Net income (loss)		67,599			(736,170	)		323,924			(1,337,265	)
Shareholders’ equity, end of period	$	7,535,435		$	9,415,626		$	7,535,435		$	9,415,626

See accompanying notes to financial statements.

19

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	323,924		$	(1,337,265	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		—			(5,984,289	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		—			2,290,249
Net amortization and accretion on short-term U.S. government and agency obligations		—			(9,602	)
Net realized (gain) loss on investments		—			5,949
Change in unrealized (appreciation) depreciation on investments		175,968			419,715
Decrease (Increase) in interest receivable		12,213			(1,382	)
Increase (Decrease) in payable to Sponsor		(4,645	)		2,121
Net cash provided by (used in) operating activities		507,460			(4,614,504	)
Cash flow from financing activities
Proceeds from addition of shares		2,296,437			6,368,822
Payment on shares redeemed		(5,789,588	)		(4,275,026	)
Net cash provided by (used in) financing activities		(3,493,151	)		2,093,796
Net increase (decrease) in cash		(2,985,691	)		(2,520,708	)
Cash, beginning of period		10,259,418			7,582,458
Cash, end of period	$	7,273,727		$	5,061,750

See accompanying notes to financial statements.

2

0

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $134,680,616 and $129,100,287, respectively)	$	134,714,723	$	129,123,489
Cash		15,660,964		16,568,417
Segregated cash balances with brokers for futures contracts		4,415,600		2,611,350
Segregated cash balances with brokers for swap agreements		32,723,000		18,730,000
Unrealized appreciation on swap agreements		—		6,496,466
Receivable on open futures contracts		496,067		8,169
Interest receivable		107,021		126,595
Total assets		188,117,375		173,664,486
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		147,761		140,350
Unrealized depreciation on swap agreements		7,053,083		—
Total liabilities		7,200,844		140,350
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		180,916,531		173,524,136
Total liabilities and shareholders’ equity	$	188,117,375	$	173,664,486
Shares outstanding		3,100,000		3,150,000
Net asset value per share	$	58.36	$	55.09
Market value per share (Note 2)	$	58.24	$	55.27

See accompanying notes to financial statements.

2

1

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(74% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.132% due 07/06/23 †	$	50,000,000	$	49,978,980
4.959% due 07/13/23 †		20,000,000		19,971,916
5.242% due 07/18/23		15,000,000		14,968,437
5.104% due 08/01/23 †		50,000,000		49,795,390
Total short-term U.S. government and agency obligations
(cost $134,680,616)			$	134,714,723

Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/ Value
Gold Futures - COMEX, expires August 2023		530	$	102,258,200	$	(5,385,731	)

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	%		07/06/23	$	111,454,930	$	(3,028,491	)
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex		0.25			07/06/23		52,937,566		(1,438,439	)
Swap agreement with UBS AG based on Bloomberg Gold Subindex		0.25			07/06/23		95,175,948		(2,586,153	)
							Total Unrealized Depreciation	$	(7,053,083	)

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

^ The positions and counterparties herein are as of June 30, 2023. 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 June 30, 2023, 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.

2

2

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	1,983,196		$	319,154		$	3,632,210		$	414,267
Expenses
Management fee		474,261			716,148			901,375			1,387,563
Brokerage commissions		6,925			14,064			15,540			35,723
Futures account fees		—			8,664			—			28,169
Total expenses		481,186			738,876			916,915			1,451,455
Net investment income (loss)		1,502,010			(419,722	)		2,715,295			(1,037,188	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		5,160,588			(28,896,339	)		7,921,167			(8,706,319	)
Swap agreements		12,035,981			(29,004,744	)		20,075,298			8,623,832
Short-term U.S. government and agency obligations		(28,462	)		—			(28,462	)		—
Net realized gain (loss)		17,168,107			(57,901,083	)		27,968,003			(82,487	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		(10,482,142	)		3,312,504			(8,627,819	)		(4,587,403	)
Swap agreements		(22,406,342	)		1,658,698			(13,549,549	)		(15,091,046	)
Short-term U.S. government and agency obligations		33,642			(159	)		10,905			(171,019	)
Change in net unrealized appreciation (depreciation)		(32,854,842	)		4,971,043			(22,166,463	)		(19,849,468	)
Net realized and unrealized gain (loss)		(15,686,735	)		(52,930,040	)		5,801,540			(19,931,955	)
Net income (loss)	$	(14,184,725	)	$	(53,349,762	)	$	8,516,835		$	(20,969,143	)

See accompanying notes to financial statements.

2

3

PROSHARES ULTRA GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended  June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	201,161,529		$	355,029,822		$	173,524,136		$	232,780,534
Addition of 50,000, 100,000, 450,000 and 1,600,000 shares, respectively		3,236,120			6,573,039			28,209,474			102,257,715
Redemption of 150,000, 1,150,000, 500,000 and 1,250,000 shares, respectively		(9,296,393	)		(68,314,246	)		(29,333,914	)		(74,130,253	)
Net addition (redemption) of (100,000), (1,050,000), (50,000) and 350,000 shares, respectively		(6,060,273	)		(61,741,207	)		(1,124,440	)		28,127,462
Net investment income (loss)		1,502,010			(419,722	)		2,715,295			(1,037,188	)
Net realized gain (loss)		17,168,107			(57,901,083	)		27,968,003			(82,487	)
Change in net unrealized appreciation (depreciation)		(32,854,842	)		4,971,043			(22,166,463	)		(19,849,468	)
Net income (loss)		(14,184,725	)		(53,349,762	)		8,516,835			(20,969,143	)
Shareholders’ equity, end of period	$	180,916,531		$	239,938,853		$	180,916,531		$	239,938,853

See accompanying notes to financial statements.

2

4

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	8,516,835		$	(20,969,143	)
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		(492,848,662	)		(704,533,509	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		489,813,291			704,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(2,573,420	)		(377,637	)
Net realized (gain) loss on investments		28,462			—
Change in unrealized (appreciation) depreciation on investments		13,538,644			15,262,065
Decrease (Increase) in receivable on open futures contracts		(487,898	)		944,644
Decrease (Increase) in interest receivable		19,574			(31,715	)
Increase (Decrease) in payable to Sponsor		7,411			24,571
Increase (Decrease) in brokerage commissions and futures account fees payable		—			(4,034	)
Increase (Decrease) in payable on open futures contracts		—			1,022,544
Net cash provided by (used in) operating activities		16,014,237			(4,662,214	)
Cash flow from financing activities
Proceeds from addition of shares		28,209,474			102,257,715
Payment on shares redeemed		(29,333,914	)		(71,305,703	)
Net cash provided by (used in) financing activities		(1,124,440	)		30,952,012
Net increase (decrease) in cash		14,889,797			26,289,798
Cash, beginning of period		37,909,767			15,422,082
Cash, end of period	$	52,799,564		$	41,711,880

See accompanying notes to financial statements.

2

5

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $224,295,385 and $228,617,421, respectively)	$	224,344,440	$	228,657,634
Cash		43,579,042		74,136,821
Segregated cash balances with brokers for futures contracts		19,465,500		19,452,250
Segregated cash balances with brokers for swap agreements		85,841,000		56,423,000
Unrealized appreciation on swap agreements		—		39,224,212
Receivable on open futures contracts		1,635,164		—
Interest receivable		270,810		300,712
Total assets		375,135,956		418,194,629
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		1,615,382
Payable on open futures contracts		—		1,948,902
Payable to Sponsor		298,935		344,467
Unrealized depreciation on swap agreements		18,045,362		—
Total liabilities		18,344,297		3,908,751
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		356,791,659		414,285,878
Total liabilities and shareholders’ equity	$	375,135,956	$	418,194,629
Shares outstanding		13,196,526		13,046,526
Net asset value per share	$	27.04	$	31.75
Market value per share (Note 2)	$	26.95	$	32.00

See accompanying notes to financial statements.

2

6

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(63% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.132% due 07/06/23 †	$	25,000,000	$	24,989,490
4.959% due 07/13/23 †		50,000,000		49,929,790
5.242% due 07/18/23		50,000,000		49,894,790
5.104% due 08/01/23 †		50,000,000		49,795,390
4.972% due 08/08/23 †		25,000,000		24,870,750
5.161% due 08/10/23		25,000,000		24,864,230
Total short-term U.S. government and agency obligations
(cost $224,295,385)			$	224,344,440

Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/ Value
Silver Futures - COMEX, expires September 2023		2,047	$	235,609,700	$	(9,977,916	)

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	%		07/06/23	$	166,412,438	$	(6,281,114	)
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.30			07/06/23		21,984,663		(830,545	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30			07/06/23		149,157,444		(5,634,927	)
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25			07/06/23		140,386,283		(5,298,776	)
							Total Unrealized Depreciation	$	(18,045,362	)

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

^ The positions and counterparties herein are as of June 30, 2023. 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 June 30, 2023, 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.

2

7

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	3,701,182		$	421,514		$	7,075,578		$	561,963
Expenses
Management fee		976,505			1,082,340			1,848,064			2,299,939
Brokerage commissions		47,075			28,732			73,637			59,283
Futures account fees		—			6,188			—			26,693
Total expenses		1,023,580			1,117,260			1,921,701			2,385,915
Net investment income (loss)		2,677,602			(695,746	)		5,153,877			(1,823,952	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		17,097,790			(10,869,422	)		20,739,536			(16,614,384	)
Swap agreements		47,564,510			(145,324,753	)		15,178,900			(22,942,764	)
Short-term U.S. government and agency obligations		(46,857	)		(1,174	)		(46,857	)		(1,164	)
Net realized gain (loss)		64,615,443			(156,195,349	)		35,871,579			(39,558,312	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		(38,652,527	)		(13,510,319	)		(39,404,490	)		(6,824,486	)
Swap agreements		(80,409,195	)		(36,561,200	)		(57,269,574	)		(101,003,629	)
Short-term U.S. government and agency obligations		44,380			(64,280	)		8,842			(343,929	)
Change in net unrealized appreciation (depreciation)		(119,017,342	)		(50,135,799	)		(96,665,222	)		(108,172,044	)
Net realized and unrealized gain (loss)		(54,401,899	)		(206,331,148	)		(60,793,643	)		(147,730,356	)
Net income (loss)	$	(51,724,297	)	$	(207,026,894	)	$	(55,639,766	)	$	(149,554,308	)

See accompanying notes to financial statements.

2

8

PROSHARES ULTRA SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	429,115,334		$	558,375,841		$	414,285,878		$	515,453,594
Addition of 700,000, 800,000, 2,600,000 and 1,800,000 shares, respectively		20,692,563			26,625,358			71,924,842			65,659,299
Redemption of 1,300,000, 750,000, 2,450,000 and 2,250,000 shares, respectively		(41,291,941	)		(22,396,790	)		(73,779,295	)		(75,981,070	)
Net addition (redemption) of (600,000), 50,000, 150,000 and (450,000) shares, respectively		(20,599,378	)		4,228,568			(1,854,453	)		(10,321,771	)
Net investment income (loss)		2,677,602			(695,746	)		5,153,877			(1,823,952	)
Net realized gain (loss)		64,615,443			(156,195,349	)		35,871,579			(39,558,312	)
Change in net unrealized appreciation (depreciation)		(119,017,342	)		(50,135,799	)		(96,665,222	)		(108,172,044	)
Net income (loss)		(51,724,297	)		(207,026,894	)		(55,639,766	)		(149,554,308	)
Shareholders’ equity, end of period	$	356,791,659		$	355,577,515		$	356,791,659		$	355,577,515

See accompanying notes to financial statements.

29

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(55,639,766	)	$	(149,554,308	)
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		(2,203,304,232	)		(1,255,430,782	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		2,212,588,221			1,416,997,680
Net amortization and accretion on short-term U.S. government and agency obligations		(5,008,810	)		(497,182	)
Net realized (gain) loss on investments		46,857			1,164
Change in unrealized (appreciation) depreciation on investments		57,260,732			101,347,558
Decrease (Increase) in receivable on open futures contracts		(1,635,164	)		1,384,919
Decrease (Increase) in interest receivable		29,902			(55,579	)
Increase (Decrease) in payable to Sponsor		(45,532	)		(78,578	)
Increase (Decrease) in brokerage commissions and futures account fees payable		—			(9,833	)
Increase (Decrease) in payable on open futures contracts		(1,948,902	)		2,248,743
Net cash provided by (used in) operating activities		2,343,306			116,353,802
Cash flow from financing activities
Proceeds from addition of shares		71,924,842			64,418,960
Payment on shares redeemed		(75,394,677	)		(79,464,840	)
Net cash provided by (used in) financing activities		(3,469,835	)		(15,045,880	)
Net increase (decrease) in cash		(1,126,529	)		101,307,922
Cash, beginning of period		150,012,071			25,488,503
Cash, end of period	$	148,885,542		$	126,796,425

See accompanying notes to financial statements.

3

0

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $– and $34,728,989, respectively)	$	—	$	34,732,372
Cash		116,071,941		71,086,482
Segregated cash balances with brokers for futures contracts		222,756,461		323,761,025
Receivable on open futures contracts		50,445,515		209,470,270
Interest receivable		952,517		1,246,402
Total assets		390,226,434		640,296,551
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		2,056,385		348,988
Brokerage commissions and futures account fees payable		44,656		58,772
Payable to Sponsor		361,334		570,429
Total liabilities		2,462,375		978,189
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		387,764,059		639,318,362
Total liabilities and shareholders’ equity	$	390,226,434	$	640,296,551
Shares outstanding (Note 1)		20,977,842		9,307,842
Net asset value per share (Note 1)	$	18.48	$	68.69
Market value per share (Note 1) (Note 2)	$	18.49	$	68.60

See accompanying notes to financial statements.

3

1

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/ Value
VIX Futures - Cboe, expires July 2023		21,591	$	324,102,501	$	(69,897,187	)
VIX Futures - Cboe, expires August 2023		15,704		257,550,311		(9,932,533	)
					$	(79,829,720	)

See accompanying notes to financial statements.

3

2

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	4,750,595		$	430,670		$	9,167,250		$	525,931
Expenses
Management fee		1,330,081			2,293,738			2,703,851			4,254,915
Brokerage commissions		712,511			970,211			1,490,212			1,906,969
Futures account fees		126,999			444,123			250,360			1,226,811
Total expenses		2,169,591			3,708,072			4,444,423			7,388,695
Net investment income (loss)		2,581,004			(3,277,402	)		4,722,827			(6,862,764	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(426,304,544	)		91,039,435			(608,537,974	)		349,477,533
Swap agreements		—			—			—			22,556,586
Short-term U.S. government and agency obligations		4,188			(337,934	)		(3,590	)		(353,087	)
Net realized gain (loss)		(426,300,356	)		90,701,501			(608,541,564	)		371,681,032
Change in net unrealized appreciation (depreciation) on
Futures contracts		(45,320,517	)		196,657,178			(43,274,267	)		161,801,275
Swap agreements		—			—			—			477,437
Short-term U.S. government and agency obligations		5,340			78,171			(3,383	)		(544,247	)
Change in net unrealized appreciation (depreciation)		(45,315,177	)		196,735,349			(43,277,650	)		161,734,465
Net realized and unrealized gain (loss)		(471,615,533	)		287,436,850			(651,819,214	)		533,415,497
Net income (loss)	$	(469,034,529	)	$	284,159,448		$	(647,096,387	)	$	526,552,733

See accompanying notes to financial statements.

3

3

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended  June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	535,980,236		$	1,127,608,641		$	639,318,362		$	816,679,636
Addition of 12,940,000, 5,840,000, 21,310,000 and 14,150,000 shares, respectively (Note 1)		455,030,425			799,757,076			891,490,874			1,971,472,943
Redemption of 3,550,000, 7,470,000, 9,640,000 and 14,010,000 shares, respectively (Note 1)		(134,212,073	)		(1,235,841,632	)		(495,948,790	)		(2,339,021,779	)
Net addition (redemption) of 9,390,000, (1,630,000), 11,670,000 and 140,000 shares, respectively (Note 1)		320,818,352			(436,084,556	)		395,542,084			(367,548,836	)
Net investment income (loss)		2,581,004			(3,277,402	)		4,722,827			(6,862,764	)
Net realized gain (loss)		(426,300,356	)		90,701,501			(608,541,564	)		371,681,032
Change in net unrealized appreciation (depreciation)		(45,315,177	)		196,735,349			(43,277,650	)		161,734,465
Net income (loss)		(469,034,529	)		284,159,448			(647,096,387	)		526,552,733
Shareholders’ equity, end of period	$	387,764,059		$	975,683,533		$	387,764,059		$	975,683,533

See accompanying notes to financial statements.

3

4

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(647,096,387	)	$	526,552,733
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		(1,156,102,958	)		(1,476,792,269	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,192,359,088			1,454,556,289
Net amortization and accretion on short-term U.S. government and agency obligations		(1,530,731	)		(252,157	)
Net realized (gain) loss on investments		3,590			353,166
Change in unrealized (appreciation) depreciation on investments		3,383			66,810
Decrease (Increase) in receivable on open futures contracts		159,024,755			(225,561,488	)
Decrease (Increase) in interest receivable		293,885			(193,393	)
Increase (Decrease) in payable to Sponsor		(209,095	)		126,268
Increase (Decrease) in brokerage commissions and futures account fees payable		(14,116	)		(96,420	)
Increase (Decrease) in payable on open futures contracts		1,707,397			(9,447,456	)
Net cash provided by (used in) operating activities		(451,561,189	)		269,312,083
Cash flow from financing activities
Proceeds from addition of shares		891,490,874			1,969,293,116
Payment on shares redeemed		(495,948,790	)		(2,339,021,779	)
Net cash provided by (used in) financing activities		395,542,084			(369,728,663	)
Net increase (decrease) in cash		(56,019,105	)		(100,416,580	)
Cash, beginning of period		394,847,507			572,120,879
Cash, end of period	$	338,828,402		$	471,704,299

See accompanying notes to financial statements.

3

5

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Cash	$	11,390,854	$	11,444,958
Segregated cash balances with brokers for foreign currency forward contracts		1,767,000		1,357,000
Unrealized appreciation on foreign currency forward contracts		18,889		1,152,834
Interest receivable		39,252		39,204
Total assets		13,215,995		13,993,996
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		8,505		10,915
Unrealized depreciation on foreign currency forward contracts		876,516		168,285
Total liabilities		885,021		179,200
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		12,330,974		13,814,796
Total liabilities and shareholders’ equity	$	13,215,995	$	13,993,996
Shares outstanding		449,970		399,970
Net asset value per share	$	27.40	$	34.54
Market value per share (Note 2)	$	27.42	$	34.56

See accompanying notes to financial statements.

3

6

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

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		07/14/23		1,507,359,517		$	10,470,698		$	(407,188	)
Yen with UBS AG		07/14/23		2,188,352,856			15,201,139			(469,328	)
							Total Unrealized Depreciation		$	(876,516	)
Contracts to Sell
Yen with Goldman Sachs International		07/14/23		(1,461	)	$	(10	)	$	—
Yen with UBS AG		07/14/23		(158,537,000	)		(1,101,259	)		18,889
							Total Unrealized Appreciation		$	18,889

^ The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

3

7

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	114,980		$	3,064		$	235,098		$	3,937
Expenses
Management fee		25,330			8,036			55,890			13,465
Total expenses		25,330			8,036			55,890			13,465
Net investment income (loss)		89,650			(4,972	)		179,208			(9,528	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(770,142	)		(761,478	)		(1,068,950	)		(880,249	)
Short-term U.S. government and agency obligations		—			—			—			1,548
Net realized gain (loss)		(770,142	)		(761,478	)		(1,068,950	)		(878,701	)
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(1,348,109	)		154,501			(1,842,176	)		15,962
Short-term U.S. government and agency obligations		—			(2,316	)		—			(5,142	)
Change in net unrealized appreciation (depreciation)		(1,348,109	)		152,185			(1,842,176	)		10,820
Net realized and unrealized gain (loss)		(2,118,251	)		(609,293	)		(2,911,126	)		(867,881	)
Net income (loss)	$	(2,028,601	)	$	(614,265	)	$	(2,731,918	)	$	(877,409	)

See accompanying notes to financial statements.

3

8

PROSHARES ULTRA YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	9,915,083		$	2,099,705		$	13,814,796		$	2,362,849
Addition of 150,000, 100,000, 200,000 and 100,000 shares, respectively		4,444,492			3,539,333			6,257,118			3,539,333
Redemption of –, –, 150,000 and – shares, respectively		—			—			(5,009,022	)		—
Net addition (redemption) of 150,000, 100,000, 50,000 and 100,000 shares, respectively		4,444,492			3,539,333			1,248,096			3,539,333
Net investment income (loss)		89,650			(4,972	)		179,208			(9,528	)
Net realized gain (loss)		(770,142	)		(761,478	)		(1,068,950	)		(878,701	)
Change in net unrealized appreciation (depreciation)		(1,348,109	)		152,185			(1,842,176	)		10,820
Net income (loss)		(2,028,601	)		(614,265	)		(2,731,918	)		(877,409	)
Shareholders’ equity, end of period	$	12,330,974		$	5,024,773		$	12,330,974		$	5,024,773

See accompanying notes to financial statements.

39

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(2,731,918	)	$	(877,409	)
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	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		—			1,548
Net amortization and accretion on short-term U.S. government and agency obligations		—			(2,342	)
Net realized (gain) loss on investments		—			(1,548	)
Change in unrealized (appreciation) depreciation on investments		1,842,176			(10,820	)
Decrease (Increase) in interest receivable		(48	)		(1,269	)
Increase (Decrease) in payable to Sponsor		(2,410	)		1,139
Net cash provided by (used in) operating activities		(892,200	)		(1,886,470	)
Cash flow from financing activities
Proceeds from addition of shares		6,257,118			3,539,333
Payment on shares redeemed		(5,009,022	)		—
Net cash provided by (used in) financing activities		1,248,096			3,539,333
Net increase (decrease) in cash		355,896			1,652,863
Cash, beginning of period		12,801,958			2,457,820
Cash, end of period	$	13,157,854		$	4,110,683

See accompanying notes to financial statements.

40

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $74,834,094 and $89,407,308, respectively)	$	74,852,080	$	89,426,935
Cash		5,264,925		74,627,051
Segregated cash balances with brokers for futures contracts		36,646,185		65,184,460
Receivable from capital shares sold		2,561,440		41,694
Receivable on open futures contracts		—		1,604,847
Interest receivable		119,269		384,856
Total assets		119,443,899		231,269,843
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		5,187,383		1,257,090
Payable on open futures contracts		1,300,062		7,102,680
Brokerage commissions and futures account fees payable		3,914		4,134
Payable to Sponsor		97,588		208,602
Total liabilities		6,588,947		8,572,506
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		112,854,952		222,697,337
Total liabilities and shareholders’ equity	$	119,443,899	$	231,269,843
Shares outstanding (Note 1)		4,405,220		9,305,220
Net asset value per share (Note 1)	$	25.62	$	23.93
Market value per share (Note 1) (Note 2)	$	25.70	$	23.85

See accompanying notes to financial statements.

4

1

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(66% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.132% due 07/06/23	$	25,000,000	$	24,989,490
4.959% due 07/13/23		25,000,000		24,964,895
5.104% due 08/01/23		25,000,000		24,897,695
Total short-term U.S. government and agency obligations
(cost $74,834,094)			$	74,852,080

Futures Contracts Sold

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/ Value
WTI Crude Oil - NYMEX, expires September 2023		1,038	$	73,469,640	$	877,640
WTI Crude Oil - NYMEX, expires December 2023		1,073		75,539,200		7,336,619
WTI Crude Oil - NYMEX, expires June 2024		1,111		76,681,220		4,771,897
					$	12,986,156

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

See accompanying notes to financial statements.

4

2

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	1,560,028		$	289,299		$	3,563,237		$	343,206
Expenses
Management fee		359,177			946,110			844,057			1,438,757
Brokerage commissions		60,079			107,079			125,836			184,135
Futures account fees		—			85,802			—			155,979
Total expenses		419,256			1,138,991			969,893			1,778,871
Net investment income (loss)		1,140,772			(849,692	)		2,593,344			(1,435,665	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		28,046,795			(102,594,000	)		55,661,074			(209,076,101	)
Short-term U.S. government and agency obligations		(12,271	)		—			(11,783	)		—
Net realized gain (loss)		28,034,524			(102,594,000	)		55,649,291			(209,076,101	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		(8,229,852	)		34,810,301			2,741,263			36,926,293
Short-term U.S. government and agency obligations		13,244			(53,187	)		(1,641	)		(240,137	)
Change in net unrealized appreciation (depreciation)		(8,216,608	)		34,757,114			2,739,622			36,686,156
Net realized and unrealized gain (loss)		19,817,916			(67,836,886	)		58,388,913			(172,389,945	)
Net income (loss)	$	20,958,688		$	(68,686,578	)	$	60,982,257		$	(173,825,610	)

See accompanying notes to financial statements.

4

3

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	144,762,563		$	416,799,231		$	222,697,337		$	114,167,602
Addition of 6,250,000, 12,320,000, 11,550,000 and 27,890,000 shares, respectively (Note 1)		149,281,563			278,861,920			277,187,438			788,890,799
Redemption of 7,600,000, 4,851,540, 16,450,000 and 7,911,540 shares, respectively (Note 1)		(202,147,862	)		(125,817,269	)		(448,012,080	)		(228,075,487	)
Net addition (redemption) of (1,350,000), 7,468,460, (4,900,000) and 19,978,460 shares, respectively (Note 1)		(52,866,299	)		153,044,651			(170,824,642	)		560,815,312
Net investment income (loss)		1,140,772			(849,692	)		2,593,344			(1,435,665	)
Net realized gain (loss)		28,034,524			(102,594,000	)		55,649,291			(209,076,101	)
Change in net unrealized appreciation (depreciation)		(8,216,608	)		34,757,114			2,739,622			36,686,156
Net income (loss)		20,958,688			(68,686,578	)		60,982,257			(173,825,610	)
Shareholders’ equity, end of period	$	112,854,952		$	501,157,304		$	112,854,952		$	501,157,304

See accompanying notes to financial statements.

4

4

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	60,982,257		$	(173,825,610	)
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		(378,541,825	)		(988,742,468	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		394,924,819			812,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(1,821,563	)		(217,252	)
Net realized (gain) loss on investments		11,783			—
Change in unrealized (appreciation) depreciation on investments		1,641			240,137
Decrease (Increase) in receivable on open futures contracts		1,604,847			(28,947,961	)
Decrease (Increase) in interest receivable		265,587			(98,456	)
Increase (Decrease) in payable to Sponsor		(111,014	)		264,125
Increase (Decrease) in brokerage commissions and futures account fees payable		(220	)		4,674
Increase (Decrease) in payable on open futures contracts		(5,802,618	)		11,507,191
Net cash provided by (used in) operating activities		71,513,694			(367,815,620	)
Cash flow from financing activities
Proceeds from addition of shares		274,667,692			788,890,799
Payment on shares redeemed		(444,081,787	)		(228,075,487	)
Net cash provided by (used in) financing activities		(169,414,095	)		560,815,312
Net increase (decrease) in cash		(97,900,401	)		192,999,692
Cash, beginning of period		139,811,511			54,443,553
Cash, end of period	$	41,911,110		$	247,443,245

See accompanying notes to financial statements.

4

5

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $34,827,196 and $61,469,726, respectively)	$	34,829,828	$	61,482,526
Cash		59,777,081		5,724,380
Segregated cash balances with brokers for futures contracts		38,892,240		38,758,160
Receivable from capital shares sold		2,752,997		—
Receivable on open futures contracts		25,849,741		33,637,888
Interest receivable		247,504		293,818
Total assets		162,349,391		139,896,772
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		14,487,618		5,365,196
Payable on open futures contracts		6,434,160		282,362
Brokerage commissions and futures account fees payable		8,448		7,497
Payable to Sponsor		94,202		132,197
Total liabilities		21,024,428		5,787,252
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		141,324,963		134,109,520
Total liabilities and shareholders’ equity	$	162,349,391	$	139,896,772
Shares outstanding (Note 1)		2,566,856		4,966,856
Net asset value per share (Note 1)	$	55.06	$	27.00
Market value per share (Note 1) (Note 2)	$	55.45	$	27.56

See accompanying notes to financial statements.

4

6

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(25% of shareholders’ equity)
U.S. Treasury Bills ^^ :
5.104% due 08/01/23	$	10,000,000	$	9,959,078
4.972% due 08/08/23		25,000,000		24,870,750
Total short-term U.S. government and agency obligations
(cost $34,827,196)			$	34,829,828

Futures Contracts Sold

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/ Value
Natural Gas - NYMEX, expires September 2023		10,189	$	282,642,860	$	(20,310,332	)

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

See accompanying notes to financial statements.

4

7

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	1,344,889		$	122,188		$	2,531,641		$	178,013
Expenses
Management fee		302,274			510,704			599,136			1,053,068
Brokerage commissions		233,647			144,907			443,288			365,858
Futures account fees		26,758			76,956			56,367			206,885
Total expenses		562,679			732,567			1,098,791			1,625,811
Net investment income (loss)		782,210			(610,379	)		1,432,850			(1,447,798	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		48,736,428			(282,646,685	)		232,145,072			(397,312,383	)
Short-term U.S. government and agency obligations		1,415			(199	)		(1,263	)		(58,809	)
Net realized gain (loss)		48,737,843			(282,646,884	)		232,143,809			(397,371,192	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		(61,246,927	)		228,166,248			(106,199,730	)		140,634,090
Short-term U.S. government and agency obligations		(3,173	)		(87,121	)		(10,168	)		(342,034	)
Change in net unrealized appreciation (depreciation)		(61,250,100	)		228,079,127			(106,209,898	)		140,292,056
Net realized and unrealized gain (loss)		(12,512,257	)		(54,567,757	)		125,933,911			(257,079,136	)
Net income (loss)	$	(11,730,047	)	$	(55,178,136	)	$	127,366,761		$	(258,526,934	)

See accompanying notes to financial statements.

4

8

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	146,981,760		$	250,340,837		$	134,109,520		$	242,145,130
Addition of 6,600,000, 18,700,000, 13,850,000 and 23,340,000 shares, respectively (Note 1)		457,417,060			489,076,501			833,426,697			944,035,742
Redemption of 6,100,000, 17,601,764, 16,250,000 and 19,351,886 shares, respectively (Note 1)		(451,343,810	)		(472,415,756	)		(953,578,015	)		(715,830,492	)
Net addition (redemption) of 500,000, 1,098,236, (2,400,000) and 3,988,114 shares, respectively (Note 1)		6,073,250			16,660,745			(120,151,318	)		228,205,250
Net investment income (loss)		782,210			(610,379	)		1,432,850			(1,447,798	)
Net realized gain (loss)		48,737,843			(282,646,884	)		232,143,809			(397,371,192	)
Change in net unrealized appreciation (depreciation)		(61,250,100	)		228,079,127			(106,209,898	)		140,292,056
Net income (loss)		(11,730,047	)		(55,178,136	)		127,366,761			(258,526,934	)
Shareholders’ equity, end of period	$	141,324,963		$	211,823,446		$	141,324,963		$	211,823,446

See accompanying notes to financial statements.

49

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	127,366,761		$	(258,526,934	)
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		(119,017,542	)		(346,906,626	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		146,569,111			410,859,860
Net amortization and accretion on short-term U.S. government and agency obligations		(910,302	)		(110,657	)
Net realized (gain) loss on investments		1,263			58,809
Change in unrealized (appreciation) depreciation on investments		10,168			342,034
Decrease (Increase) in receivable on open futures contracts		7,788,147			(43,089,309	)
Decrease (Increase) in interest receivable		46,314			(35,299	)
Increase (Decrease) in payable to Sponsor		(37,995	)		(37,097	)
Increase (Decrease) in brokerage commissions and futures account fees payable		951			(35,587	)
Increase (Decrease) in payable on open futures contracts		6,151,798			(1,699,127	)
Net cash provided by (used in) operating activities		167,968,674			(239,179,933	)
Cash flow from financing activities
Proceeds from addition of shares		830,673,700			944,035,742
Payment on shares redeemed		(944,455,593	)		(706,724,583	)
Net cash provided by (used in) financing activities		(113,781,893	)		237,311,159
Net increase (decrease) in cash		54,186,781			(1,868,774	)
Cash, beginning of period		44,482,540			113,000,927
Cash, end of period	$	98,669,321		$	111,132,153

See accompanying notes to financial statements.

5

0

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $– and $39,991,822, respectively)	$	—	$	39,996,624
Cash		45,515,144		30,687,235
Segregated cash balances with brokers for foreign currency forward contracts		7,024,121		6,844,121
Unrealized appreciation on foreign currency forward contracts		29,100		193,192
Interest receivable		192,965		109,830
Total assets		52,761,330		77,831,002
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		42,155		63,375
Unrealized depreciation on foreign currency forward contracts		1,787,874		2,654,448
Total liabilities		1,830,029		2,717,823
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		50,931,301		75,113,179
Total liabilities and shareholders’ equity	$	52,761,330	$	77,831,002
Shares outstanding		1,750,000		2,550,000
Net asset value per share	$	29.10	$	29.46
Market value per share (Note 2)	$	29.11	$	29.45

See accompanying notes to financial statements.

5

1

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

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		07/14/23		4,446,000		$	4,855,150		$	(36,237	)
Euro with UBS AG		07/14/23		12,460,000			13,606,649			29,100
							Total Unrealized Depreciation		$	(7,137	)
Contracts to Sell
Euro with Goldman Sachs International		07/14/23		(51,941,263	)	$	(56,721,233	)	$	(836,536	)
Euro with UBS AG		07/14/23		(58,308,199	)		(63,674,095	)		(915,101	)
							Total Unrealized Depreciation		$	(1,751,637	)

^ The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

5

2

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	593,746		$	39,011		$	1,240,866		$	54,416
Expenses
Management fee		131,101			146,934			292,669			264,390
Total expenses		131,101			146,934			292,669			264,390
Net investment income (loss)		462,645			(107,923	)		948,197			(209,974	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(1,045,942	)		3,065,129			(2,453,253	)		5,607,263
Short-term U.S. government and agency obligations		—			—			—			210,974
Net realized gain (loss)		(1,045,942	)		3,065,129			(2,453,253	)		5,818,237
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		556,469			3,061,048			702,482			3,403,124
Short-term U.S. government and agency obligations		—			(21,310	)		(4,802	)		(94,645	)
Change in net unrealized appreciation (depreciation)		556,469			3,039,738			697,680			3,308,479
Net realized and unrealized gain (loss)		(489,473	)		6,104,867			(1,755,573	)		9,126,716
Net income (loss)	$	(26,828	)	$	5,996,944		$	(807,376	)	$	8,916,742

See accompanying notes to financial statements.

5

3

PROSHARES ULTRASHORT EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended  June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	59,537,260		$	50,498,084		$	75,113,179		$	54,263,045
Addition of –, 500,000, 100,000 and 550,000 shares, respectively		—			14,656,401			3,051,886			16,028,063
Redemption of 300,000, 300,000, 900,000 and 600,000 shares, respectively		(8,579,131	)		(8,881,332	)		(26,426,388	)		(16,937,753	)
Net addition (redemption) of (300,000), 200,000, (800,000) and (50,000) shares, respectively		(8,579,131	)		5,775,069			(23,374,502	)		(909,690	)
Net investment income (loss)		462,645			(107,923	)		948,197			(209,974	)
Net realized gain (loss)		(1,045,942	)		3,065,129			(2,453,253	)		5,818,237
Change in net unrealized appreciation (depreciation)		556,469			3,039,738			697,680			3,308,479
Net income (loss)		(26,828	)		5,996,944			(807,376	)		8,916,742
Shareholders’ equity, end of period	$	50,931,301		$	62,270,097		$	50,931,301		$	62,270,097

See accompanying notes to financial statements.

5

4

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(807,376	)	$	8,916,742
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		(54,925,175	)		(44,986,222	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		95,000,000			72,210,974
Net amortization and accretion on short-term U.S. government and agency obligations		(83,003	)		(32,410	)
Net realized (gain) loss on investments		—			(210,974	)
Change in unrealized (appreciation) depreciation on investments		(697,680	)		(3,308,479	)
Decrease (Increase) in interest receivable		(83,135	)		(17,256	)
Increase (Decrease) in payable to Sponsor		(21,220	)		6,691
Net cash provided by (used in) operating activities		38,382,411			32,579,066
Cash flow from financing activities
Proceeds from addition of shares		3,051,886			16,028,063
Payment on shares redeemed		(26,426,388	)		(16,937,753	)
Net cash provided by (used in) financing activities		(23,374,502	)		(909,690	)
Net increase (decrease) in cash		15,007,909			31,669,376
Cash, beginning of period		37,531,356			7,554,065
Cash, end of period	$	52,539,265		$	39,223,441

See accompanying notes to financial statements.

5

5

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Cash	$	13,595,466	$	12,252,100
Segregated cash balances with brokers for futures contracts		657,360		232,313
Segregated cash balances with brokers for swap agreements		2,476,000		3,536,000
Unrealized appreciation on swap agreements		440,571		—
Receivable on open futures contracts		40,101		—
Interest receivable		61,501		42,135
Total assets		17,270,999		16,062,548
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		1,445,160		—
Payable on open futures contracts		2,300		700
Payable to Sponsor		14,161		12,854
Unrealized depreciation on swap agreements		—		592,957
Total liabilities		1,461,621		606,511
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		15,809,378		15,456,037
Total liabilities and shareholders’ equity	$	17,270,999	$	16,062,548
Shares outstanding		546,977		496,977
Net asset value per share	$	28.90	$	31.10
Market value per share (Note 2)	$	28.96	$	30.99

See accompanying notes to financial statements.

5

6

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

Futures Contracts Sold

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/ Value
Gold Futures - COMEX, expires August 2023		79	$	15,242,260	$	970,805

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	%		07/06/23	$	(3,783,471	)	$	101,527
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex		0.20			07/06/23		(4,958,670	)		133,231
Swap agreement with UBS AG based on Bloomberg Gold Subindex		0.25			07/06/23		(7,669,707	)		205,813
							Total Unrealized Appreciation		$	440,571

^ The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

* Reflects the floating financing rate, as of June 30, 2023, 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.

5

7

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	184,052		$	19,975		$	316,614		$	29,660
Expenses
Management fee		42,869			75,676			79,242			141,814
Brokerage commissions		1,605			2,985			2,966			5,796
Futures account fees		—			580			—			2,446
Total expenses		44,474			79,241			82,208			150,056
Net investment income (loss)		139,578			(59,266	)		234,406			(120,396	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(562,109	)		1,310,720			(676,159	)		(680,529	)
Swap agreements		(991,042	)		3,247,150			(1,907,873	)		(1,070,274	)
Short-term U.S. government and agency obligations		—			—			—			4
Net realized gain (loss)		(1,553,151	)		4,557,870			(2,584,032	)		(1,750,799	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		1,132,962			485,575			1,069,691			653,483
Swap agreements		1,625,959			(187,339	)		1,033,528			1,714,101
Short-term U.S. government and agency obligations		—			(8,285	)		—			(48,854	)
Change in net unrealized appreciation (depreciation)		2,758,921			289,951			2,103,219			2,318,730
Net realized and unrealized gain (loss)		1,205,770			4,847,821			(480,813	)		567,931
Net income (loss)	$	1,345,348		$	4,788,555		$	(246,407	)	$	447,535

See accompanying notes to financial statements.

5

8

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended  June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	16,049,273		$	32,598,451		$	15,456,037		$	26,859,844
Addition of 300,000, 700,000, 600,000 and 1,150,000 shares, respectively		7,934,073			20,554,617			16,298,343			33,744,566
Redemption of 350,000, 800,000, 550,000 and 900,000 shares, respectively		(9,519,316	)		(23,330,339	)		(15,698,595	)		(26,440,661	)
Net addition (redemption) of (50,000), (100,000), 50,000 and 250,000 shares, respectively		(1,585,243	)		(2,775,722	)		599,748			7,303,905
Net investment income (loss)		139,578			(59,266	)		234,406			(120,396	)
Net realized gain (loss)		(1,553,151	)		4,557,870			(2,584,032	)		(1,750,799	)
Change in net unrealized appreciation (depreciation)		2,758,921			289,951			2,103,219			2,318,730
Net income (loss)		1,345,348			4,788,555			(246,407	)		447,535
Shareholders’ equity, end of period	$	15,809,378		$	34,611,284		$	15,809,378		$	34,611,284

See accompanying notes to financial statements.

59

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(246,407	)	$	447,535
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		—			(17,987,491	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		—			29,999,990
Net amortization and accretion on short-term U.S. government and agency obligations		—			(21,000	)
Net realized (gain) loss on investments		—			(4	)
Change in unrealized (appreciation) depreciation on investments		(1,033,528	)		(1,665,247	)
Decrease (Increase) in receivable on open futures contracts		(40,101	)		(5,100	)
Decrease (Increase) in interest receivable		(19,366	)		(6,385	)
Increase (Decrease) in payable to Sponsor		1,307			(1,526	)
Increase (Decrease) in brokerage commissions and futures account fees payable		—			(294	)
Increase (Decrease) in payable on open futures contracts		1,600			(77,583	)
Net cash provided by (used in) operating activities		(1,336,495	)		10,682,895
Cash flow from financing activities
Proceeds from addition of shares		16,298,343			32,164,882
Payment on shares redeemed		(14,253,435	)		(26,440,661	)
Net cash provided by (used in) financing activities		2,044,908			5,724,221
Net increase (decrease) in cash		708,413			16,407,116
Cash, beginning of period		16,020,413			1,990,354
Cash, end of period	$	16,728,826		$	18,397,470

See accompanying notes to financial statements.

6

0

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Cash	$	12,006,167	$	21,887,346
Segregated cash balances with brokers for futures contracts		1,325,250		2,820,937
Segregated cash balances with brokers for swap agreements		6,881,000		7,875,000
Unrealized appreciation on swap agreements		845,012		—
Receivable from capital shares sold		—		972,789
Receivable on open futures contracts		245,272		59,575
Interest receivable		61,813		60,480
Total assets		21,364,514		33,676,127
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		2,049,307		—
Payable on open futures contracts		5,550		—
Payable to Sponsor		19,184		20,705
Unrealized depreciation on swap agreements		—		1,722,623
Total liabilities		2,074,041		1,743,328
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		19,290,473		31,932,799
Total liabilities and shareholders’ equity	$	21,364,514	$	33,676,127
Shares outstanding		941,329		1,641,329
Net asset value per share	$	20.49	$	19.46
Market value per share (Note 2)	$	20.58	$	19.30

See accompanying notes to financial statements.

6

1

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

Futures Contracts Sold

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/ Value
Silver Futures - COMEX, expires September 2023		139	$	15,998,900	$	958,923

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	%		07/06/23	$	(2,676,258	)	$	100,100
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.25			07/06/23		(9,749,240	)		364,653
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30			07/06/23		(7,708,614	)		288,063
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25			07/06/23		(2,464,968	)		92,196
							Total Unrealized Appreciation		$	845,012

^ The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

* Reflects the floating financing rate, as of June 30, 2023, 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.

6

2

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	323,734		$	18,743		$	523,812		$	27,663
Expenses
Management fee		82,417			62,381			142,585			123,334
Brokerage commissions		8,958			6,677			14,661			11,978
Futures account fees		—			1,169			—			4,443
Total expenses		91,375			70,227			157,246			139,755
Net investment income (loss)		232,359			(51,484	)		366,566			(112,092	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		3,460,638			5,944,050			4,792,636			4,650,280
Swap agreements		(2,347,042	)		3,467,182			(965,417	)		(2,612,794	)
Short-term U.S. government and agency obligations		(906	)		—			(906	)		(190	)
Net realized gain (loss)		1,112,690			9,411,232			3,826,313			2,037,296
Change in net unrealized appreciation (depreciation) on
Futures contracts		1,782,960			2,249,743			1,899,423			1,864,397
Swap agreements		3,867,334			1,599,944			2,567,635			3,794,452
Short-term U.S. government and agency obligations		—			3,625			—			(15,885	)
Change in net unrealized appreciation (depreciation)		5,650,294			3,853,312			4,467,058			5,642,964
Net realized and unrealized gain (loss)		6,762,984			13,264,544			8,293,371			7,680,260
Net income (loss)	$	6,995,343		$	13,213,060		$	8,659,937		$	7,568,168

See accompanying notes to financial statements.

6

3

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended  June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	20,335,691		$	23,406,516		$	31,932,799		$	26,537,000
Addition of 2,450,000, 700,000, 3,100,000 and 1,800,000 shares, respectively		41,523,335			17,707,417			55,312,875			43,267,561
Redemption of 2,600,000, 750,000, 3,800,000 and 1,750,000 shares, respectively		(49,563,896	)		(21,274,153	)		(76,615,138	)		(44,319,889	)
Net addition (redemption) of (150,000), (50,000), (700,000) and 50,000 shares, respectively		(8,040,561	)		(3,566,736	)		(21,302,263	)		(1,052,328	)
Net investment income (loss)		232,359			(51,484	)		366,566			(112,092	)
Net realized gain (loss)		1,112,690			9,411,232			3,826,313			2,037,296
Change in net unrealized appreciation (depreciation)		5,650,294			3,853,312			4,467,058			5,642,964
Net income (loss)		6,995,343			13,213,060			8,659,937			7,568,168
Shareholders’ equity, end of period	$	19,290,473		$	33,052,840		$	19,290,473		$	33,052,840

See accompanying notes to financial statements.

6

4

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	8,659,937		$	7,568,168
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		(14,880,254	)		(20,979,051	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		14,937,156			30,999,081
Net amortization and accretion on short-term U.S. government and agency obligations		(57,808	)		(21,212	)
Net realized (gain) loss on investments		906			190
Change in unrealized (appreciation) depreciation on investments		(2,567,635	)		(3,778,567	)
Decrease (Increase) in receivable on open futures contracts		(185,697	)		(176,048	)
Decrease (Increase) in interest receivable		(1,333	)		(4,807	)
Increase (Decrease) in payable to Sponsor		(1,521	)		(9,072	)
Increase (Decrease) in brokerage commissions and futures account fees payable		—			(747	)
Increase (Decrease) in payable on open futures contracts		5,550			(5,840	)
Net cash provided by (used in) operating activities		5,909,301			13,592,095
Cash flow from financing activities
Proceeds from addition of shares		56,285,664			41,679,928
Payment on shares redeemed		(74,565,831	)		(44,319,889	)
Net cash provided by (used in) financing activities		(18,280,167	)		(2,639,961	)
Net increase (decrease) in cash		(12,370,866	)		10,952,134
Cash, beginning of period		32,583,283			5,483,476
Cash, end of period	$	20,212,417		$	16,435,610

See accompanying notes to financial statements.

6

5

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $– and $22,995,298, respectively)	$	—	$	22,998,059
Cash		22,448,405		451,616
Segregated cash balances with brokers for foreign currency forward contracts		2,582,511		3,652,511
Unrealized appreciation on foreign currency forward contracts		2,238,472		963,369
Interest receivable		86,880		36,071
Total assets		27,356,268		28,101,626
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		2,683,455
Payable to Sponsor		19,992		29,633
Unrealized depreciation on foreign currency forward contracts		258,620		3,990,802
Total liabilities		278,612		6,703,890
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		27,077,656		21,397,736
Total liabilities and shareholders’ equity	$	27,356,268	$	28,101,626
Shares outstanding (Note 1)		398,580		398,580
Net asset value per share (Note 1)	$	67.94	$	53.68
Market value per share (Note 1) (Note 2)	$	67.95	$	53.57

See accompanying notes to financial statements.

6

6

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

Foreign Currency Forward Contracts

^

	Settlement Date		Contract Amount in Local Currency			Contract Amount in U.S. Dollars			Unrealized Appreciation (Depreciation)/ Value
Contracts to Purchase
Yen with UBS AG		07/14/23		1,228,677,000		$	8,534,862		$	(258,620	)
							Total Unrealized Depreciation		$	(258,620	)
Contracts to Sell
Yen with Goldman Sachs International		07/14/23		(3,428,392,165	)	$	(23,814,929	)	$	890,062
Yen with UBS AG		07/14/23		(5,596,567,574	)		(38,875,908	)		1,348,410
							Total Unrealized Appreciation		$	2,238,472

^ The positions and counterparties herein are as of June 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

See accompanying notes to financial statements.

6

7

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,					Six Months Ended June 30,
	2023		2022			2023			2022
Investment Income
Interest	$	255,354	$	26,913		$	459,554		$	36,312
Expenses
Management fee		58,179		93,181			108,991			153,001
Total expenses		58,179		93,181			108,991			153,001
Net investment income (loss)		197,175		(66,268	)		350,563			(116,689	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		1,370,771		7,917,170			342,795			8,997,343
Short-term U.S. government and agency obligations		—		—			—			102,971
Net realized gain (loss)		1,370,771		7,917,170			342,795			9,100,314
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		3,145,023		(1,364,477	)		5,007,285			101,925
Short-term U.S. government and agency obligations		—		(3,452	)		(2,761	)		(31,390	)
Change in net unrealized appreciation (depreciation)		3,145,023		(1,367,929	)		5,004,524			70,535
Net realized and unrealized gain (loss)		4,515,794		6,549,241			5,347,319			9,170,849
Net income (loss)	$	4,712,969	$	6,482,973		$	5,697,882		$	9,054,160

See accompanying notes to financial statements.

6

8

PROSHARES ULTRASHORT YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended  June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	25,111,818		$	27,726,701		$	21,397,736		$	24,840,784
Addition of 250,000, 650,000, 450,000 and 850,000 shares, respectively (Note 1)		14,899,838			34,515,397			26,056,375			44,120,719
Redemption of 300,000, 450,000, 450,000 and 650,000 shares, respectively (Note 1)		(17,646,969	)		(23,156,189	)		(26,074,337	)		(32,446,781	)
Net addition (redemption) of (50,000), 200,000, – and 200,000 shares, respectively (Note 1)		(2,747,131	)		11,359,208			(17,962	)		11,673,938
Net investment income (loss)		197,175			(66,268	)		350,563			(116,689	)
Net realized gain (loss)		1,370,771			7,917,170			342,795			9,100,314
Change in net unrealized appreciation (depreciation)		3,145,023			(1,367,929	)		5,004,524			70,535
Net income (loss)		4,712,969			6,482,973			5,697,882			9,054,160
Shareholders’ equity, end of period	$	27,077,656		$	45,568,882		$	27,077,656		$	45,568,882

See accompanying notes to financial statements.

69

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	5,697,882		$	9,054,160
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		—			(17,984,733	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		23,000,000			28,102,971
Net amortization and accretion on short-term U.S. government and agency obligations		(4,702	)		(20,093	)
Net realized (gain) loss on investments		—			(102,971	)
Change in unrealized (appreciation) depreciation on investments		(5,004,524	)		(70,535	)
Decrease (Increase) in interest receivable		(50,809	)		(12,261	)
Increase (Decrease) in payable to Sponsor		(9,641	)		11,416
Net cash provided by (used in) operating activities		23,628,206			18,977,954
Cash flow from financing activities
Proceeds from addition of shares		26,056,375			44,120,719
Payment on shares redeemed		(28,757,792	)		(32,446,781	)
Net cash provided by (used in) financing activities		(2,701,417	)		11,673,938
Net increase (decrease) in cash		20,926,789			30,651,892
Cash, beginning of period		4,104,127			3,003,251
Cash, end of period	$	25,030,916		$	33,655,143

See accompanying notes to financial statements.

7

0

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $– and $49,876,697, respectively)	$	—	$	49,882,348
Cash		42,134,389		19,575,939
Segregated cash balances with brokers for futures contracts		8,099,770		14,384,050
Receivable on open futures contracts		—		142,794
Interest receivable		189,748		88,180
Total assets		50,423,907		84,073,311
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		962,275		—
Brokerage commissions and futures account fees payable		4,683		3,688
Payable to Sponsor		35,536		54,664
Total liabilities		1,002,494		58,352
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		49,421,413		84,014,959
Total liabilities and shareholders’ equity	$	50,423,907	$	84,073,311
Shares outstanding		2,412,403		2,762,403
Net asset value per share	$	20.49	$	30.41
Market value per share (Note 2)	$	20.48	$	30.36

See accompanying notes to financial statements.

7

1

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/ Value
VIX Futures - Cboe, expires October 2023		501	$	9,192,799	$	(2,627,316	)
VIX Futures - Cboe, expires November 2023		865		16,305,250		(4,252,873	)
VIX Futures - Cboe, expires December 2023		865		16,564,750		(2,707,689	)
VIX Futures - Cboe, expires January 2024		364		7,352,800		(290,336	)
					$	(9,878,214	)

See accompanying notes to financial statements.

7

2

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	650,585		$	52,826		$	1,298,505		$	76,749
Expenses
Management fee		134,066			210,584			284,189			426,247
Brokerage commissions		12,200			15,500			21,369			40,369
Futures account fees		11,856			10,906			23,296			46,394
Total expenses		158,122			236,990			328,854			513,010
Net investment income (loss)		492,463			(184,164	)		969,651			(436,261	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(6,943,333	)		7,862,052			(22,764,053	)		12,653,885
Short-term U.S. government and agency obligations		—			—			—			(336	)
Net realized gain (loss)		(6,943,333	)		7,862,052			(22,764,053	)		12,653,549
Change in net unrealized appreciation (depreciation) on
Futures contracts		(9,677,526	)		4,040,230			(5,086,991	)		3,705,055
Short-term U.S. government and agency obligations		2,424			(47,560	)		(5,651	)		(186,220	)
Change in net unrealized appreciation (depreciation)		(9,675,102	)		3,992,670			(5,092,642	)		3,518,835
Net realized and unrealized gain (loss)		(16,618,435	)		11,854,722			(27,856,695	)		16,172,384
Net income (loss)	$	(16,125,972	)	$	11,670,558		$	(26,887,044	)	$	15,736,123

See accompanying notes to financial statements.

7

3

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended  June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	67,306,087		$	97,869,914		$	84,014,959		$	112,875,680
			��
Addition of 575,000, 300,000, 850,000 and 1,000,000 shares, respectively		14,067,422			10,043,451			21,818,758			32,179,053
Redemption of 675,000, 700,000, 1,200,000 and 1,975,000 shares, respectively		(15,826,124	)		(23,862,652	)		(29,525,260	)		(65,069,585	)
Net addition (redemption) of (100,000), (400,000), (350,000) and (975,000) shares, respectively		(1,758,702	)		(13,819,201	)		(7,706,502	)		(32,890,532	)
Net investment income (loss)		492,463			(184,164	)		969,651			(436,261	)
Net realized gain (loss)		(6,943,333	)		7,862,052			(22,764,053	)		12,653,549
Change in net unrealized appreciation (depreciation)		(9,675,102	)		3,992,670			(5,092,642	)		3,518,835
Net income (loss)		(16,125,972	)		11,670,558			(26,887,044	)		15,736,123
Shareholders’ equity, end of period	$	49,421,413		$	95,721,271		$	49,421,413		$	95,721,271

See accompanying notes to financial statements.

7

4

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(26,887,044	)	$	15,736,123
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		(254,817,825	)		(51,992,010	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		305,000,000			105,998,548
Net amortization and accretion on short-term U.S. government and agency obligations		(305,478	)		(45,127	)
Net realized (gain) loss on investments		—			336
Change in unrealized (appreciation) depreciation on investments		5,651			186,220
Decrease (Increase) in receivable on open futures contracts		142,794			(752,378	)
Decrease (Increase) in interest receivable		(101,568	)		(21,835	)
Increase (Decrease) in payable to Sponsor		(19,128	)		(20,792	)
Increase (Decrease) in brokerage commissions and futures account fees payable		995			(7,124	)
Increase (Decrease) in payable on open futures contracts		962,275			(94,495	)
Net cash provided by (used in) operating activities		23,980,672			68,987,466
Cash flow from financing activities
Proceeds from addition of shares		21,818,758			32,179,053
Payment on shares redeemed		(29,525,260	)		(65,069,585	)
Net cash provided by (used in) financing activities		(7,706,502	)		(32,890,532	)
Net increase (decrease) in cash		16,274,170			36,096,934
Cash, beginning of period		33,959,989			27,071,819
Cash, end of period	$	50,234,159		$	63,168,753

See accompanying notes to financial statements.

7

5

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $74,762,717 and $89,329,814, respectively)	$	74,783,454	$	89,347,714
Cash		50,424,148		33,526,868
Segregated cash balances with brokers for futures contracts		88,397,850		91,634,942
Receivable on open futures contracts		18,506,138		52,643,553
Interest receivable		385,471		403,667
Total assets		232,497,061		267,556,744
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		570,473
Payable on open futures contracts		2,131,494		223,719
Brokerage commissions and futures account fees payable		19,141		27,102
Payable to Sponsor		118,596		155,130
Total liabilities		2,269,231		976,424
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		230,227,830		266,580,320
Total liabilities and shareholders’ equity	$	232,497,061	$	267,556,744
Shares outstanding (Note 1)		9,226,565		4,676,565
Net asset value per share (Note 1)	$	24.95	$	57.00
Market value per share (Note 1) (Note 2)	$	24.96	$	56.90

See accompanying notes to financial statements.

7

6

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2023

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(32% of shareholders’ equity)
U.S. Treasury Bills ^^ :
4.959% due 07/13/23	$	15,000,000	$	14,978,937
5.242% due 07/18/23		25,000,000		24,947,395
5.251% due 07/25/23		20,000,000		19,938,584
5.161% due 08/10/23		15,000,000		14,918,538
Total short-term U.S. government and agency obligations
(cost $74,762,717)			$	74,783,454

Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/ Value
VIX Futures - Cboe, expires July 2023		8,545	$	128,268,995	$	(26,123,108	)
VIX Futures - Cboe, expires August 2023		6,216		101,944,265		(3,849,779	)
					$	(29,972,887	)

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

See accompanying notes to financial statements.

7

7

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022			2023			2022
Investment Income
Interest	$	2,440,291		$	207,903		$	4,560,852		$	278,612
Expenses
Management fee		530,826			773,717			1,048,314			1,479,408
Brokerage commissions		95,391			171,182			191,888			287,656
Futures account fees		48,732			115,783			99,391			316,440
Total expenses		674,949			1,060,682			1,339,593			2,083,504
Net investment income (loss)		1,765,342			(852,779	)		3,221,259			(1,804,892	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(127,229,299	)		23,659,182			(173,326,001	)		77,393,309
Short-term U.S. government and agency obligations		(10,613	)		(397	)		(10,605	)		(300	)
Net realized gain (loss)		(127,239,912	)		23,658,785			(173,336,606	)		77,393,009
Change in net unrealized appreciation (depreciation) on
Futures contracts		(21,324,056	)		46,680,364			(20,176,064	)		33,506,046
Short-term U.S. government and agency obligations		20,803			(79,587	)		2,837			(353,650	)
Change in net unrealized appreciation (depreciation)		(21,303,253	)		46,600,777			(20,173,227	)		33,152,396
Net realized and unrealized gain (loss)		(148,543,165	)		70,259,562			(193,509,833	)		110,545,405
Net income (loss)	$	(146,777,823	)	$	69,406,783		$	(190,288,574	)	$	108,740,513

See accompanying notes to financial statements.

7

8

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended  June 30,
	2023			2022			2023			2022
Shareholders’ equity, beginning of period	$	226,765,204		$	404,950,400		$	266,580,320		$	269,703,164
Addition of 4,460,000, 1,635,000, 6,760,000 and 3,625,000 shares, respectively (Note 1)		159,301,302			141,195,554			267,768,654			302,368,469
Redemption of 255,000, 2,760,000, 2,210,000 and 3,440,000 shares, respectively (Note 1)		(9,060,853	)		(273,838,421	)		(113,832,570	)		(339,097,830	)
Net addition (redemption) of 4,205,000, (1,125,000), 4,550,000 and 185,000 shares, respectively (Note 1)		150,240,449			(132,642,867	)		153,936,084			(36,729,361	)
Net investment income (loss)		1,765,342			(852,779	)		3,221,259			(1,804,892	)
Net realized gain (loss)		(127,239,912	)		23,658,785			(173,336,606	)		77,393,009
Change in net unrealized appreciation (depreciation)		(21,303,253	)		46,600,777			(20,173,227	)		33,152,396
Net income (loss)		(146,777,823	)		69,406,783			(190,288,574	)		108,740,513
Shareholders’ equity, end of period	$	230,227,830		$	341,714,316		$	230,227,830		$	341,714,316

See accompanying notes to financial statements.

79

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022
Cash flow from operating activities
Net income (loss)	$	(190,288,574	)	$	108,740,513
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		(318,231,573	)		(772,834,858	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		334,754,108			753,998,870
Net amortization and accretion on short-term U.S. government and agency obligations		(1,966,043	)		(182,283	)
Net realized (gain) loss on investments		10,605			300
Change in unrealized (appreciation) depreciation on investments		(2,837	)		353,650
Decrease (Increase) in receivable on open futures contracts		34,137,415			(36,332,848	)
Decrease (Increase) in interest receivable		18,196			(70,359	)
Increase (Decrease) in payable to Sponsor		(36,534	)		32,486
Increase (Decrease) in brokerage commissions and futures account fees payable		(7,961	)		(20,252	)
Increase (Decrease) in payable on open futures contracts		1,907,775			(2,037,391	)
Net cash provided by (used in) operating activities		(139,705,423	)		51,647,828
Cash flow from financing activities
Proceeds from addition of shares		267,768,654			305,395,083
Payment on shares redeemed		(114,403,043	)		(339,097,830	)
Net cash provided by (used in) financing activities		153,365,611			(33,702,747	)
Net increase (decrease) in cash		13,660,188			17,945,081
Cash, beginning of period		125,161,810			115,960,816
Cash, end of period	$	138,821,998		$	133,905,897

See accompanying notes to financial statements.

8

0

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

	June 30, 2023 (unaudited)		December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $1,345,727,038 and $1,466,423,925, respectively)	$	1,346,032,901	$	1,466,680,542
Cash		768,092,274		625,964,378
Segregated cash balances with brokers for futures contracts		1,011,816,684		925,792,861
Segregated cash balances with brokers for foreign currency forward contracts		12,206,632		12,956,632
Segregated cash balances with brokers for swap agreements		393,762,745		262,053,745
Unrealized appreciation on swap agreements		47,373,840		119,880,255
Unrealized appreciation on foreign currency forward contracts		2,527,851		2,823,510
Receivable from capital shares sold		5,314,437		1,014,483
Receivable on open futures contracts		236,446,947		522,770,291
Interest receivable		5,319,549		4,920,772
Total assets		3,828,893,860		3,944,857,469
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		27,830,318		32,725,077
Payable on open futures contracts		14,433,430		11,742,794
Brokerage commissions and futures account fees payable		166,633		165,165
Payable to Sponsor		2,902,544		3,210,113
Unrealized depreciation on swap agreements		26,790,686		2,315,580
Unrealized depreciation on foreign currency forward contracts		2,924,712		6,911,994
Total liabilities		75,048,323		57,070,723
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		3,753,845,537		3,887,786,746
Total liabilities and shareholders’ equity	$	3,828,893,860	$	3,944,857,469
Shares outstanding (Note 1)		111,471,547		89,444,047

See accompanying notes to financial statements.

8

1

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022*			2023			2022*
Investment Income
Interest	$	35,172,821		$	3,593,473		$	69,048,196		$	4,620,355
Expenses
Management fee		9,417,542			11,608,051			18,671,870			22,225,008
Brokerage commissions		2,541,487			1,894,153			4,916,119			3,802,918
Futures account fees		426,130			1,030,206			828,892			2,835,129
Total expenses		12,385,159			14,532,410			24,416,881			28,863,055
Net investment income (loss)		22,787,662			(10,938,937	)		44,631,315			(24,242,700	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(903,140,314	)		101,692,223			(1,989,000,881	)		510,140,998
Swap agreements		(127,144,869	)		(48,816,783	)		(36,920,176	)		656,366,206
Foreign currency forward contracts		(367,022	)		9,774,456			(2,820,838	)		12,836,962
Short-term U.S. government and agency obligations		(182,341	)		(420,375	)		(195,871	)		(192,800	)
Net realized gain (loss)		(1,030,834,546	)		62,229,521			(2,028,937,766	)		1,179,151,366
Change in net unrealized appreciation (depreciation) on
Futures contracts		370,415,259			10,131,053			337,853,836			62,770,119
Swap agreements		53,364,477			(57,491,778	)		(96,981,521	)		(326,324,133	)
Foreign currency forward contracts		2,274,360			1,568,995			3,691,623			3,105,964
Short-term U.S. government and agency obligations		266,337			(768,379	)		49,246			(4,025,886	)
Change in net unrealized appreciation (depreciation)		426,320,433			(46,560,109	)		244,613,184			(264,473,936	)
Net realized and unrealized gain (loss)		(604,514,113	)		15,669,412			(1,784,324,582	)		914,677,430
Net income (loss)	$	(581,726,451	)	$	4,730,475		$	(1,739,693,267	)	$	890,434,730

* 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.

8

2

PROSHARES TRUST II

COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2023			2022*			2023			2022*
Shareholders’ equity, beginning of period	$	4,138,630,893		$	5,338,066,570		$	3,887,786,746		$	4,173,474,343
Addition of 64,617,500, 46,420,000, 132,435,000 and 93,810,000 shares, respectively (Note 1)		2,534,087,735			2,545,986,476			6,659,958,056			5,628,786,761
Redemption of 53,005,000, 51,800,804, 110,407,500 and 94,335,926 shares, respectively (Note 1)		(2,337,146,640	)		(3,325,413,745	)		(5,054,205,998	)		(6,129,326,058	)
Net addition (redemption) of 11,612,500, (5,380,804 ), 22,027,500 and (525,926) shares, respectively (Note 1)		196,941,095			(779,427,269	)		1,605,752,058			(500,539,297	)
Net investment income (loss)		22,787,662			(10,938,937	)		44,631,315			(24,242,700	)
Net realized gain (loss)		(1,030,834,546	)		62,229,521			(2,028,937,766	)		1,179,151,366
Change in net unrealized appreciation (depreciation)		426,320,433			(46,560,109	)		244,613,184			(264,473,936	)
Net income (loss)		(581,726,451	)		4,730,475			(1,739,693,267	)		890,434,730
Shareholders’ equity, end of period	$	3,753,845,537		$	4,563,369,776		$	3,753,845,537		$	4,563,369,776

* 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.

8

3

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

(unaudited)

	Six Months Ended June 30,
	2023			2022*
Cash flow from operating activities
Net income (loss)	$	(1,739,693,267	)	$	890,434,730
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		(23,583,170,670	)		(11,579,158,324	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		23,734,747,679			12,000,836,596
Net amortization and accretion on short-term U.S. government and agency obligations		(31,075,993	)		(3,419,714	)
Net realized (gain) loss on investments		195,871			192,879
Change in unrealized (appreciation) depreciation on investments		93,240,652			327,244,055
Decrease (Increase) in receivable on futures contracts		286,323,344			(318,333,532	)
Decrease (Increase) in interest receivable		(398,777	)		(872,124	)
Increase (Decrease) in payable to Sponsor		(307,569	)		557,811
Increase (Decrease) in brokerage commissions and futures account fees payable		1,468			(331,006	)
Increase (Decrease) in payable on futures contracts		2,690,636			25,823,690
Net cash provided by (used in) operating activities		(1,237,446,626	)		1,342,975,061
Cash flow from financing activities
Proceeds from addition of shares		6,655,658,102			5,625,888,021
Payment on shares redeemed		(5,059,100,757	)		(6,100,935,295	)
Net cash provided by (used in) financing activities		1,596,557,345			(475,047,274	)
Net increase (decrease) in cash		359,110,719			867,927,787
Cash, beginning of period		1,826,767,616			1,408,701,238
Cash, end of period	$	2,185,878,335		$	2,276,629,025

* 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.

8

4

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

June 30, 2023

(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 June 30, 2023, 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.

On March 11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on May 2, 2022. Trading in each liquidated fund was suspended prior to market open on May 3, 2022. Proceeds of the liquidation were sent to shareholders on May 12, 2022 (the “Distribution Date”). From May 3, 2022 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on May 12, 2022.

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.

The “Short” Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) 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

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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, -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 six months June 30, 2023, and during the year ended December 31, 2022. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.

Fund	Execution Date (Prior to Opening of Trading)	Type of Split	Date Trading Resumed at Post- Split Price
ProShares 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
ProShares Ultra Bloomberg Natural Gas	June 23, 2023	1-for-20 reverse Share split		June 24, 2023
ProShares Ultra VIX Short-Term Futures	June 23, 2023	1-for-10 reverse Share split		June 24, 2023
ProShares VIX Short-Term Futures	June 23, 2023	1-for-5 reverse Share split		June 24, 2023

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”).

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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, 2022, as filed with the SEC on February 28, 2023.

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.

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 June 30, 2023 and 2022, 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.

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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 six months ended June 30, 2023 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.	June 30, 2023
Ultra Gold and UltraShort Gold	1:00 p.m.	1:30 p.m.	June 30, 2023
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.	June 30, 2023
Ultra Euro,
Ultra Yen,
UltraShort Euro and
UltraShort Yen	3:00 p.m.	4:00 p.m.	June 30, 2023
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.	June 30, 2023

* 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 six months ended June 30, 2023.

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 six months ended June 30, 2023.

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

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UltraShort 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 UltraShort 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 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.

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The following table summarizes the valuation of investments at June 30, 2023 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	$	89,727,034	$	23,929,205		$	—		$	—		$	113,656,239
ProShares Ultra Bloomberg Crude Oil		413,997,952		9,418,306			—			(1,692,241	)		421,724,017
ProShares Ultra Bloomberg Natural Gas		298,783,390		248,335,437			—			46,088,257			593,207,084
ProShares Ultra Euro		—		—			239,688			—			239,688
ProShares Ultra Gold		134,714,723		(5,385,731	)		—			(7,053,083	)		122,275,909
ProShares Ultra Silver		224,344,440		(9,977,916	)		—			(18,045,362	)		196,321,162
ProShares Ultra VIX Short-Term Futures ETF		—		(79,829,720	)		—			—			(79,829,720	)
ProShares Ultra Yen		—		—			(857,627	)		—			(857,627	)
ProShares UltraShort Bloomberg Crude Oil		74,852,080		12,986,156			—			—			87,838,236
ProShares UltraShort Bloomberg Natural Gas		34,829,828		(20,310,332	)		—			—			14,519,496
ProShares UltraShort Euro		—		—			(1,758,774	)		—			(1,758,774	)
ProShares UltraShort Gold		—		970,805			—			440,571			1,411,376
ProShares UltraShort Silver		—		958,923			—			845,012			1,803,935
ProShares UltraShort Yen		—		—			1,979,852			—			1,979,852
ProShares VIX Mid-Term Futures ETF		—		(9,878,214	)		—			—			(9,878,214	)
ProShares VIX Short-Term Futures ETF		74,783,454		(29,972,887	)		—			—			44,810,567
Combined Trust:	$	1,346,032,901	$	141,244,032		$	(396,861	)	$	20,583,154		$	1,507,463,226

* 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, 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	$	144,307,676	$	11,092,381		$	—	$	—	$	155,400,057
ProShares Ultra Bloomberg Crude Oil		313,465,007		26,291,716			—		74,159,577		413,916,300
ProShares Ultra Bloomberg Natural Gas		263,260,158		(310,613,969	)		—		—		(47,353,811	)

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	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 Ultra Euro	$	—	$	—		$	415,656		$	—		$	415,656
ProShares Ultra Gold		129,123,489		3,242,088			—			6,496,466			138,862,043
ProShares Ultra Silver		228,657,634		29,426,574			—			39,224,212			297,308,420
ProShares Ultra VIX Short-Term Futures ETF		34,732,372		(36,555,453	)		—			—			(1,823,081	)
ProShares Ultra Yen		—		—			984,549			—			984,549
ProShares UltraShort Bloomberg Crude Oil		89,426,935		10,244,893			—			—			99,671,828
ProShares UltraShort Bloomberg Natural Gas		61,482,526		85,889,398			—			—			147,371,924
ProShares UltraShort Euro		39,996,624		—			(2,461,256	)		—			37,535,368
ProShares UltraShort Gold		—		(98,886	)		—			(592,957	)		(691,843	)
ProShares UltraShort Silver		—		(940,500	)		—			(1,722,623	)		(2,663,123	)
ProShares UltraShort Yen		22,998,059		—			(3,027,433	)		—			19,970,626
ProShares VIX Mid-Term Futures ETF		49,882,348		(4,791,223	)		—			—			45,091,125
ProShares VIX Short-Term Futures ETF		89,347,714		(9,796,823	)		—			—			79,550,891
Combined Trust:	$	1,466,680,542	$	(196,609,804	)	$	(4,088,484	)	$	117,564,675		$	1,383,546,929

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

There were no transfers into or out of Level 3 for the quarter ended June 30, 2023 or the year end December 31, 2022.

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

Investment Transactions and Related Income

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

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

Brokerage Commissions and Futures Account Fees

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading

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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 ann

ually.

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.

All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.

Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the

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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.

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).

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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 June 30, 2023 contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount.

The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds

95

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 June 30, 2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

Forward Contracts

Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.

Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.

The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at a third party custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a

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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 June 30, 2023, 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.

9

7

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 June 30, 2023

		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			$23,929,205 *		$	—
	ProShares Ultra VIX Short-Term Futures ETF			—			79,829,720 *
	ProShares VIX Mid-Term Futures ETF			—			9,878,214 *
	ProShares VIX Short-Term Futures ETF			—			29,972,887 *
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			9,418,306 *			1,692,241 *
	ProShares Ultra Bloomberg Natural Gas			294,423,694 *			—
	ProShares Ultra Gold			—			12,438,814 *
	ProShares Ultra Silver			—			28,023,278 *
	ProShares UltraShort Bloomberg Crude Oil			12,986,156 *			—

9

8

		Asset Derivatives			Liability Derivatives
Derivatives Not Accounted for as Hedging Instruments	Fund	Statements of Financial Condition Location	Unrealized Appreciation		Statements of Financial Condition Location	Unrealized Depreciation
	ProShares UltraShort Bloomberg Natural Gas			—			20,310,332 *
	ProShares UltraShort Gold			1,411,376 *			—
	ProShares UltraShort Silver			1,803,935 *			—
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			241,390			1,702
	ProShares Ultra Yen			18,889			876,516
	ProShares UltraShort Euro			29,100			1,787,874
	ProShares UltraShort Yen			2,238,472			258,620
		Combined Trust:		$346,500,523 *			$185,070,198 *

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

Fair Value of Derivative Instruments as of December 31, 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			$11,092,381 *			$—

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		Asset Derivatives			Liability Derivatives
Derivatives Not Accounted for as Hedging Instruments	Fund	Statements of Financial Condition Location	Unrealized Appreciation		Statements of Financial Condition Location	Unrealized Depreciation
	ProShares Ultra VIX Short-Term Futures ETF			—			36,555,453 *
	ProShares VIX Mid-Term Futures ETF			—			4,791,223 *
	ProShares VIX Short-Term Futures ETF			—			9,796,823 *
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			100,451,293 *			—
	ProShares Ultra Bloomberg Natural Gas			—			310,613,969 *
	ProShares Ultra Gold			9,738,554 *			—
	ProShares Ultra Silver			68,650,786 *			—
	ProShares UltraShort Bloomberg Crude Oil			13,202,924 *			2,958,031 *
	ProShares UltraShort Bloomberg Natural Gas			85,889,398 *			—
	ProShares UltraShort Gold			—			691,843 *
	ProShares UltraShort Silver			—			2,663,123 *
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

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0

		Asset Derivatives			Liability Derivatives
Derivatives Not Accounted for as Hedging Instruments	Fund	Statements of Financial Condition Location	Unrealized Appreciation		Statements of Financial Condition Location	Unrealized Depreciation
	ProShares Ultra Euro			514,115			98,459
	ProShares Ultra Yen			1,152,834			168,285
	ProShares UltraShort Euro			193,192			2,654,448
	ProShares UltraShort Yen			963,369			3,990,802
		Combined Trust:		$291,848,846 *			$374,982,459 *

The Effect of Derivative Instruments on the Statement of Operations For the three months ended June 30, 2023

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		$65,228,142		$9,658,017
		ProShares Ultra VIX Short-Term Futures ETF		(426,304,544)		(45,320,517)
		ProShares VIX Mid-Term Futures ETF		(6,943,333)		(9,677,526)
		ProShares VIX Short-Term Futures ETF		(127,229,299)		(21,324,056)

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1

Derivatives Not Accounted for as Hedging Instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income		Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
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		(76,355,417)		45,434,288
		ProShares Ultra Bloomberg Natural Gas		(616,883,269)		658,027,300
		ProShares Ultra Gold		17,196,569		(32,888,484)
		ProShares Ultra Silver		64,662,300		(119,061,722)
		ProShares UltraShort Bloomberg Crude Oil		28,046,795		(8,229,852)
		ProShares UltraShort Bloomberg Natural Gas		48,736,428		(61,246,927)
		ProShares UltraShort Gold		(1,553,151)		2,758,921
		ProShares UltraShort Silver		1,113,596		5,650,294
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		78,291		(79,023)
		ProShares Ultra Yen		(770,142)		(1,348,109)
		ProShares UltraShort Euro		(1,045,942)		556,469
		ProShares UltraShort Yen		1,370,771		3,145,023
		Combined Trust		$(1,030,652,205)		$426,054,096

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2

The Effect of Derivative Instruments on the Statement of Operations For the six months ended June 30, 2023

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		$94,832,290		$12,836,824
		ProShares Ultra VIX Short-Term Futures ETF		(608,537,974)		(43,274,267)
		ProShares VIX Mid-Term Futures ETF		(22,764,053)		(5,086,991)
		ProShares VIX Short-Term Futures ETF		(173,326,001)		(20,176,064)
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		9,425,010		(92,725,228)
		ProShares Ultra Bloomberg Natural Gas		(1,678,514,563)		605,037,663
		ProShares Ultra Gold		27,996,465		(22,177,368)
		ProShares Ultra Silver		35,918,436		(96,674,064)

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3

Derivatives Not Accounted for as Hedging Instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income		Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
		ProShares UltraShort Bloomberg Crude Oil		55,661,074		2,741,263
		ProShares UltraShort Bloomberg Natural Gas		232,145,072		(106,199,730)
		ProShares UltraShort Gold		(2,584,032)		2,103,219
		ProShares UltraShort Silver		3,827,219		4,467,058
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		358,570		(175,968)
		ProShares Ultra Yen		(1,068,950)		(1,842,176)
		ProShares UltraShort Euro		(2,453,253)		702,482
		ProShares UltraShort Yen		342,795		5,007,285
		Combined Trust:		$(2,028,741,895)		$244,563,938

* 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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4

The Effect of Derivative Instruments on the Statement of Operations For the three months ended June 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		$(13,029,194)		$(34,466,848)
		ProShares Ultra VIX Short-Term Futures ETF		91,039,435		196,657,178
		ProShares VIX Mid-Term Futures ETF		7,862,052		4,040,230
		ProShares VIX Short-Term Futures ETF		23,659,182		46,680,364
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		363,296,092		(211,138,245)
		ProShares Ultra Bloomberg Natural Gas		164,990,694		(271,251,560)
		ProShares Ultra Gold		(57,901,083)		4,971,202
		ProShares Ultra Silver		(156,194,175)		(50,071,519)
		ProShares UltraShort Bloomberg Crude Oil		(102,594,000)		34,810,301
		ProShares UltraShort Bloomberg Natural Gas		(282,646,685)		228,166,248

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5

Derivatives Not Accounted for as Hedging Instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income		Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
		ProShares UltraShort Gold		4,557,870		298,236
		ProShares UltraShort Silver		9,411,232		3,849,687
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		(446,365)		(282,077)
		ProShares Ultra Yen		(761,478)		154,501
		ProShares UltraShort Euro		3,065,129		3,061,048
		ProShares UltraShort Yen		7,917,170		(1,364,477)
		Combined Trust		$62,225,876		$(45,885,731)

The Effect of Derivative Instruments on the Statement of Operations For the six months ended June 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		$(54,129,808)		$(29,757,664)

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6

Derivatives Not Accounted for as Hedging Instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income		Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
		ProShares Ultra VIX Short-Term Futures ETF		372,034,119		162,278,712
		ProShares VIX Mid-Term Futures ETF		12,653,885		3,705,055
		ProShares VIX Short-Term Futures ETF		77,393,309		33,506,046
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		1,162,719,162		(305,216,174)
		ProShares Ultra Bloomberg Natural Gas		241,211,382		(186,220,796)
		ProShares Ultra Gold		(82,487)		(19,678,449)
		ProShares Ultra Silver		(39,557,148)		(107,828,115)
		ProShares UltraShort Bloomberg Crude Oil		(209,076,101)		36,926,293
		ProShares UltraShort Bloomberg Natural Gas		(397,312,383)		140,634,090
		ProShares UltraShort Gold		(1,750,803)		2,367,584
		ProShares UltraShort Silver		2,037,486		5,658,849

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7

Derivatives Not Accounted for as Hedging Instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income		Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Foreign Exchange Contracts	Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
		ProShares Ultra Euro		(887,395)		(415,047)
		ProShares Ultra Yen		(880,249)		15,962
		ProShares UltraShort Euro		5,607,263		3,403,124
		ProShares UltraShort Yen		8,997,343		101,925
		Combined Trust:		$1,178,977,575		$(260,518,605)

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 June 30, 2023.

Fair Values of Derivative Instruments as of June 30, 2023
	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	$	—	$	—	$	—	$	1,692,241	$	—	$	1,692,241
ProShares Ultra Bloomberg Natural Gas
Swap agreements		46,088,257		—		46,088,257		—		—		—

10

8

Fair Values of Derivative Instruments as of June 30, 2023
	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 Euro
Foreign currency forward contracts		241,390		—		241,390		1,702		—		1,702
ProShares Ultra Gold
Swap agreements		—		—		—		7,053,083		—		7,053,083
ProShares Ultra Silver
Swap agreements		—		—		—		18,045,362		—		18,045,362
ProShares Ultra Yen
Foreign currency forward contracts		18,889		—		18,889		876,516		—		876,516
ProShares UltraShort Euro
Foreign currency forward contracts		29,100		—		29,100		1,787,874		—		1,787,874
ProShares UltraShort Gold
Swap agreements		440,571		—		440,571		—		—		—
ProShares UltraShort Silver
Swap agreements		845,012		—		845,012		—		—		—
ProShares UltraShort Yen
Foreign currency forward contracts		2,238,472		—		2,238,472		258,620		—		258,620

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2023. 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 June 30, 2023
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.	$	(303,753	)	$	303,753	$	—	$	—
Goldman Sachs International		(377,662	)		—		377,662		—
Morgan Stanley & Co. International PLC		(316,105	)		—		316,105		—
Societe Generale		(275,938	)		275,938		—		—
UBS AG		(418,783	)		—		418,783		—

1

09

Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2023
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 Natural Gas
Citibank, N.A.		22,537,665			(18,660,347	)		—			3,877,318
Goldman Sachs International		15,398,946			(11,008,327	)		—			4,390,619
Societe Generale S.A.		8,028,280			(6,677,182	)		—			1,351,098
UBS AG		123,366			—			—			123,366
ProShares Ultra Euro
Goldman Sachs International		129,106			—			—			129,106
UBS AG		110,582			—			—			110,582
ProShares Ultra Gold
Citibank, N.A.		(3,028,491	)		—			3,028,491			—
Goldman Sachs International		(1,438,439	)		—			1,438,439			—
UBS AG		(2,586,153	)		—			2,586,153			—
ProShares Ultra Silver
Citibank, N.A.		(6,281,114	)		—			6,281,114			—
Goldman Sachs International		(830,545	)		—			830,545			—
Morgan Stanley & Co. International PLC		(5,634,927	)		—			5,634,927			—
UBS AG		(5,298,776	)		—			5,298,776			—
ProShares Ultra Yen
Goldman Sachs International		(407,188	)		—			407,188			—
UBS AG		(450,439	)		—			450,439			—
ProShares UltraShort Euro
Goldman Sachs International		(872,773	)		—			872,773			—
UBS AG		(886,001	)		—			886,001			—
ProShares UltraShort Gold
Citibank, N.A.		101,527			—			—			101,527
Goldman Sachs International		133,231			—			—			133,231
UBS AG		205,813			(22,545	)		—			183,268
ProShares UltraShort Silver
Citibank, N.A.		100,100			—			—			100,100
Goldman Sachs International		364,653			(364,653	)		—			—
Morgan Stanley & Co. International PLC		288,063			—			(288,000	)		63
UBS AG		92,196			—			—			92,196
ProShares UltraShort Yen
Goldman Sachs International		890,062			(817,881	)		—			72,181
UBS AG		1,089,790			(1,089,790	)		—			—

110

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, 2022:

Fair Values of Derivative Instruments as of December 31, 2022
	Assets						Liabilities
Fund	Gross Amounts of Recognized Assets presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Assets presented in the Statements of Financial Condition		Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Liabilities presented in the Statements of Financial Condition
ProShares Ultra Bloomberg Crude Oil
Swap agreements	$	74,159,577	$	—	$	74,159,577	$	—	$	—	$	—
ProShares Ultra Euro
Foreign currency forward contracts		514,115		—		514,115		98,459		—		98,459
ProShares Ultra Gold
Swap agreements		6,496,466		—		6,496,466		—		—		—
ProShares Ultra Silver
Swap agreements		39,224,212		—		39,224,212		—		—		—
ProShares Ultra Yen
Foreign currency forward contracts		1,152,834		—		1,152,834		168,285		—		168,285
ProShares UltraShort Euro
Foreign currency forward contracts		193,192		—		193,192		2,654,448		—		2,654,448
ProShares UltraShort Gold
Swap agreements		—		—		—		592,957		—		592,957
ProShares UltraShort Silver
Swap agreements		—		—		—		1,722,623		—		1,722,623
ProShares UltraShort Yen
Foreign currency forward contracts		963,369		—		963,369		3,990,802		—		3,990,802

11

1

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2022. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022
Fund	Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds) / the Counterparties			Net Amount
ProShares Ultra Bloomberg Crude Oil
Citibank, N.A.	$	11,723,388		$	—		$	(7,220,000	)	$	4,503,388
Goldman Sachs International		14,575,933			(9,281,322	)		—			5,294,611
Morgan Stanley & Co. International PLC		20,305,392			—			(12,510,000	)		7,795,392
Societe Generale		11,075,235			(7,038,055	)		—			4,037,180
UBS AG		16,479,629			(10,808,424	)		(41,993	)		5,629,212
ProShares Ultra Euro
Goldman Sachs International		217,491			—			—			217,491
UBS AG		198,165			(198,165	)		—			—
ProShares Ultra Gold
Citibank, N.A.		2,582,849			—			(2,570,000	)		12,849
Goldman Sachs International		1,226,772			(1,193,425	)		—			33,347
UBS AG		2,686,845			(2,682,652	)		(4,193	)		—
ProShares Ultra Silver
Citibank, N.A.		12,628,472			—			(12,628,472	)		—
Goldman Sachs International		1,667,621			(1,667,621	)		—			—
Morgan Stanley & Co. International PLC		13,862,180			—			(10,733,000	)		3,129,180
UBS AG		11,065,939			(11,065,939	)		—			—
ProShares Ultra Yen
Goldman Sachs International		683,120			(308,636	)		—			374,484
UBS AG		301,429			—			—			301,429
ProShares UltraShort Euro
Goldman Sachs International		(1,121,150	)		—			1,121,150			—
UBS AG		(1,340,106	)		—			1,340,106			—
ProShares UltraShort Gold
Citibank, N.A.		(181,291	)		—			181,291			—
Goldman Sachs International		(231,533	)		—			231,533			—
UBS AG		(180,133	)		—			180,133			—
ProShares UltraShort Silver
Citibank, N.A.		(203,969	)		—			203,969			—
Goldman Sachs International		(743,029	)		—			743,029			—
Morgan Stanley & Co. International PLC		(587,758	)		—			587,758			—
UBS AG		(187,867	)		—			187,867			—
ProShares UltraShort Yen
Goldman Sachs International		(936,322	)		—			936,322			—
UBS AG		(2,091,111	)		—			1,690,000			(401,111	)

11

2

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged 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 ProShares UltraShort Australian Dollar ETF and ProShares Short Euro ETF 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 fees and expenses of the Administrator, Custodian, Transfer Agent, Distributor (as each is defined below), and ProFunds Distributors, Inc., an affiliated broker-dealer of the Sponsor, as well as accounting and auditing fees and expenses, (ii) any Index licensors for the Funds; and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations. Fees associated with a Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses.

Non-Recurring Fees and Expenses

Each Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.

The Administrator

BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds (the “Administrator”). 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 (the “Custodian”). 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.

11

3

The Transfer Agent

BNY Mellon serves as the Transfer Agent of the Funds (the “Transfer Agent”) for entities that have entered into an Authorized Participant Agreement with one or more of the Funds (“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.

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.

11

4

Transaction fees for the three and six months ended June 30, 2023 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

Fund	Three Months Ended June 30, 2023		Six Months Ended June 30, 2023
ProShares Short VIX Short-Term Futures ETF	$	49,722	$	161,936
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		389,333		820,351
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		9,046		15,511
ProShares VIX Short-Term Futures ETF		82,901		167,222
Combined Trust:	$	531,002	$	1,165,020

11

5

NOTE 6 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended June 30, 2023

For the Three Months Ended June 30, 2023 (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 March 31, 2023	$	63.73		$	26.53		$	73.76		$	11.49		$	62.86		$	31.10
Net investment income (loss)		0.46			0.14			0.28			0.09			0.47			0.20
Net realized and unrealized gain (loss)#		20.49			(2.93	)		(4.56	)		0.01			(4.97	)		(4.26	)
Change in net asset value from operations		20.95			(2.79	)		(4.28	)		0.10			(4.50	)		(4.06	)
Net asset value, at June 30, 2023	$	84.68		$	23.74		$	69.48		$	11.59		$	58.36		$	27.04
Market value per share, at March 31, 2023 †	$	63.75		$	26.47		$	72.20		$	11.49		$	63.02		$	31.23
Market value per share, at June 30, 2023 †	$	84.68		$	23.65		$	68.99		$	11.61		$	58.24		$	26.95
Total Return, at net asset value^		32.9	%		(10.5	)%		(5.8	)%		0.9	%		(7.2	)%		(13.1	)%
Total Return, at market value^		32.8	%		(10.7	)%		(4.5	)%		1.0	%		(7.6	)%		(13.7	)%
Ratios to Average Net Assets**
Expense ratio^^		1.14	%		1.00	%		1.45	%		0.95	%		0.96	%		1.00	%
Net investment income gain (loss)		2.61	%		2.20	%		1.81	%		3.27	%		3.01	%		2.61	%

* 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 June 30, 2023.

^^ 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.

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6

For the Three Months Ended June 30, 2023 (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 March 31, 2023	$	46.25		$	33.05		$	25.15		$	71.11		$	29.04		$	26.88
Net investment income (loss)		0.15			0.26			0.19			0.44			0.24			0.22
Net realized and unrealized gain (loss)#		(27.92	)		(5.91	)		0.28			(16.49	)		(0.18	)		1.80
Change in net asset value from operations		(27.77	)		(5.65	)		0.47			(16.05	)		0.06			2.02
Net asset value, at June 30, 2023	$	18.48		$	27.40		$	25.62		$	55.06		$	29.10		$	28.90
Market value per share, at March 31, 2023 †	$	46.50		$	33.02		$	25.22		$	72.42		$	29.04		$	26.84
Market value per share, at June 30, 2023 †	$	18.49		$	27.42		$	25.70		$	55.45		$	29.11		$	28.96
Total Return, at net asset value^		(60.0	)%		(17.1	)%		1.9	%		(22.6	)%		0.2	%		7.5	%
Total Return, at market value^		(60.2	)%		(17.0	)%		1.9	%		(23.4	)%		0.2	%		7.9	%
Ratios to Average Net Assets**
Expense ratio^^		1.55	%		0.95	%		1.11	%		1.77	%		0.95	%		0.98	%
Net investment income gain (loss)		1.84	%		3.36	%		3.01	%		2.47	%		3.36	%		3.09	%

* 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 June 30, 2023.

^^ 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.

11

7

For the Three Months Ended June 30, 2023 (unaudited) 

Per Share Operating Performance	UltraShort Silver			UltraShort Yen			VIX Mid- Term Futures ETF			VIX Short- Term Futures ETF*
Net asset value, at March 31, 2023	$	18.63		$	55.98		$	26.79		$	45.16
Net investment income (loss)		0.12			0.49			0.20			0.25
Net realized and unrealized gain (loss)#		1.74			11.47			(6.50	)		(20.46	)
Change in net asset value from operations		1.86			11.96			(6.30	)		(20.21	)
Net asset value, at June 30, 2023	$	20.49		$	67.94		$	20.49		$	24.95
Market value per share, at March 31, 2023 †	$	18.56		$	56.00		$	26.82		$	45.25
Market value per share, at June 30, 2023 †	$	20.58		$	67.95		$	20.48		$	24.96
Total Return, at net asset value^		10.0	%		21.4	%		(23.5	)%		(44.8	)%
Total Return, at market value^		10.9	%		21.3	%		(23.6	)%		(44.8	)%
Ratios to Average Net Assets**
Expense ratio^^		1.05	%		0.95	%		1.00	%		1.08	%
Net investment income gain (loss)		2.68	%		3.22	%		3.13	%		2.82	%

* 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 June 30, 2023.

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

11

8

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

For the Three Months Ended June 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 March 31, 2022	$	54.55		$	37.94		$	1121.30		$	12.47		$	66.99		$	39.06
Net investment income (loss)		(0.13	)		(0.07	)		(4.28	)		(0.02	)		(0.09	)		(0.05	)
Net realized and unrealized gain (loss)#		(6.28	)		3.74			(326.32	)		(1.37	)		(10.44	)		(14.23	)
Change in net asset value from operations		(6.41	)		3.67			(330.60	)		(1.39	)		(10.53	)		(14.28	)
Net asset value, at June 30, 2022	$	48.14		$	41.61		$	790.70		$	11.08		$	56.46		$	24.78
Market value per share, at March 31, 2022 †	$	54.56		$	38.33		$	1126.20		$	12.46		$	66.14		$	38.53
Market value per share, at June 30, 2022 †	$	48.21		$	41.86		$	842.00		$	11.11		$	56.50		$	24.47
Total Return, at net asset value^		(11.8	)%		9.7	%		(29.5	)%		(11.1	)%		(15.7	)%		(36.6	)%
Total Return, at market value^		(11.6	)%		9.2	%		(25.2	)%		(10.8	)%		(14.6	)%		(36.5	)%
Ratios to Average Net Assets**
Expense ratio^^		1.21	%		1.01	%		1.26	%		0.95	%		0.98	%		0.98	%
Net investment income gain (loss)		(1.00	)%		(0.64	)%		(1.01	)%		(0.54	)%		(0.56	)%		(0.61	)%

* 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 June 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

19

For the Three Months Ended June 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 March 31, 2022	$	135.00		$	42.02		$	29.17		$	64.71		$	27.30		$	27.23
Net investment income (loss)		(0.50	)		(0.05	)		(0.05	)		(0.08	)		(0.05	)		(0.05	)
Net realized and unrealized gain (loss)#		10.63			(8.46	)		(6.08	)		(21.98	)		3.13			4.37
Change in net asset value from operations		10.13			(8.51	)		(6.13	)		(22.06	)		3.08			4.32
Net asset value, at June 30, 2022	$	145.13		$	33.51		$	23.04		$	42.65		$	30.38		$	31.55
Market value per share, at March 31, 2022 †	$	134.60		$	42.09		$	28.95		$	64.56		$	27.31		$	27.61
Market value per share, at June 30, 2022 †	$	145.30		$	33.49		$	22.93		$	40.02		$	30.41		$	31.59
Total Return, at net asset value^		7.5	%		(20.3	)%		(21.0	)%		(34.1	)%		11.3	%		15.9	%
Total Return, at market value^		8.0	%		(20.4	)%		(20.8	)%		(38.0	)%		11.4	%		14.4	%
Ratios to Average Net Assets**
Expense ratio^^		1.53	%		0.95	%		1.14	%		1.36	%		0.95	%		0.99	%
Net investment income gain (loss)		(1.36	)%		(0.59	)%		(0.85	)%		(1.14	)%		(0.70	)%		(0.74	)%

* 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 June 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.

12

0

For the Three Months Ended June 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 March 31, 2022	$	21.45		$	46.32		$	31.45		$	83.04
Net investment income (loss)		(0.05	)		(0.09	)		(0.06	)		(0.21	)
Net realized and unrealized gain (loss)#		10.34			10.83			3.90			8.26
Change in net asset value from operations		10.29			10.74			3.84			8.05
Net asset value, at June 30, 2022	$	31.74		$	57.06		$	35.29		$	91.09
Market value per share, at March 31, 2022 †	$	21.78		$	46.37		$	31.50		$	82.85
Market value per share, at June 30, 2022 †	$	32.19		$	57.13		$	35.38		$	91.25
Total Return, at net asset value^		48.0	%		23.2	%		12.2	%		9.6	%
Total Return, at market value^		47.8	%		23.2	%		12.3	%		10.1	%
Ratios to Average Net Assets**
Expense ratio^^		1.06	%		0.95	%		0.96	%		1.16	%
Net investment income gain (loss)		(0.78	)%		(0.68	)%		(0.74	)%		(0.94	)%

* 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 June 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.

12

1

Selected Data for a Share Outstanding Throughout the six Months Ended June 30, 2023

For the Six Months Ended June 30, 2023 (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, 2022	$	58.71		$	30.26		$	363.08		$	11.27		$	55.09		$	31.75
Net investment income (loss)		0.83			0.27			0.81			0.17			0.86			0.39
Net realized and unrealized gain (loss)#		25.14			(6.79	)		(294.41	)		0.15			2.41			(5.10	)
Change in net asset value from operations		25.97			(6.52	)		(293.60	)		0.32			3.27			(4.71	)
Net asset value, at June 30, 2023	$	84.68		$	23.74		$	69.48		$	11.59		$	58.36		$	27.04
Market value per share, at December 31, 2022 †	$	58.68		$	30.31		$	355.60		$	11.26		$	55.27		$	32.00
Market value per share, at June 30, 2023 †	$	84.68		$	23.65		$	68.99		$	11.61		$	58.24		$	26.95
Total Return, at net asset value^		44.2	%		(21.5	)%		(80.9	)%		2.9	%		5.9	%		(14.8	)%
Total Return, at market value^		44.3	%		(22.0	)%		(80.6	)%		3.1	%		5.4	%		(15.8	)%
Ratios to Average Net Assets**
Expense ratio^^		1.15	%		1.00	%		1.43	%		0.95	%		0.97	%		0.99	%
Net investment income gain (loss)		2.50	%		2.12	%		2.01	%		3.04	%		2.86	%		2.65	%

* 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 June 30, 2023.

^^ 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.

12

2

For the Six Months Ended June 30, 2023 (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, 2022	$	68.69		$	34.54		$	23.93		$	27.00		$	29.46		$	31.10
Net investment income (loss)		0.33			0.49			0.36			0.66			0.45			0.39
Net realized and unrealized gain (loss)#		(50.54	)		(7.63	)		1.33			27.40			(0.81	)		(2.59	)
Change in net asset value from operations		(50.21	)		(7.14	)		1.69			28.06			(0.36	)		(2.20	)
Net asset value, at June 30, 2023	$	18.48		$	27.40		$	25.62		$	55.06		$	29.10		$	28.90
Market value per share, at December 31, 2022 †	$	68.60		$	34.56		$	23.85		$	27.56		$	29.45		$	30.99
Market value per share, at June 30, 2023 †	$	18.49		$	27.42		$	25.70		$	55.45		$	29.11		$	28.96
Total Return, at net asset value^		(73.1	)%		(20.7	)%		7.1	%		103.9	%		(1.2	)%		(7.1	)%
Total Return, at market value^		(73.1	)%		(20.7	)%		7.8	%		101.2	%		(1.2	)%		(6.6	)%
Ratios to Average Net Assets**
Expense ratio^^		1.56	%		0.95	%		1.09	%		1.74	%		0.95	%		0.99	%
Net investment income gain (loss)		1.66	%		3.05	%		2.92	%		2.27	%		3.08	%		2.81	%

* 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 June 30, 2023.

^^ 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.

12

3

For the Six Months Ended June 30, 2023 (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, 2022	$	19.46		$	53.68		$	30.41		$	57.00
Net investment income (loss)		0.24			0.88			0.38			0.53
Net realized and unrealized gain (loss)#		0.79			13.38			(10.30	)		(32.58	)
Change in net asset value from operations		1.03			14.26			(9.92	)		(32.05	)
Net asset value, at June 30, 2023	$	20.49		$	67.94		$	20.49		$	24.95
Market value per share, at December 31, 2022 †	$	19.30		$	53.57		$	30.36		$	56.90
Market value per share, at June 30, 2023 †	$	20.58		$	67.95		$	20.48		$	24.96
Total Return, at net asset value^		5.3	%		26.6	%		(32.6	)%		(56.2	)%
Total Return, at market value^		6.6	%		26.8	%		(32.5	)%		(56.1	)%
Ratios to Average Net Assets**
Expense ratio^^		1.05	%		0.95	%		0.98	%		1.09	%
Net investment income gain (loss)		2.44	%		3.06	%		2.90	%		2.61	%

* 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 June 30, 2023.

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

12

4

Selected Data for a Share Outstanding Throughout the six Months Ended June 30, 2022

For the Six Months Ended June 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		$	511.08		$	13.32		$	59.69		$	34.84
Net investment income (loss)		(0.29	)		(0.15	)		(5.86	)		(0.04	)		(0.22	)		(0.13	)
Net realized and unrealized gain (loss)#		(13.13	)		20.22			285.48			(2.20	)		(3.01	)		(9.93	)
Change in net asset value from operations		(13.42	)		20.07			279.62			(2.24	)		(3.23	)		(10.06	)
Net asset value, at June 30, 2022	$	48.14		$	41.61		$	790.70		$	11.08		$	56.46		$	24.78
Market value per share, at December 31, 2021 †	$	61.55		$	21.70		$	521.80		$	13.33		$	59.81		$	34.74
Market value per share, at June 30, 2022 †	$	48.21		$	41.86		$	842.00		$	11.11		$	56.50		$	24.47
Total Return, at net asset value^		(21.8	)%		93.2	%		54.7	%		(16.8	)%		(5.4	)%		(28.9	)%
Total Return, at market value^		(21.7	)%		92.9	%		61.4	%		(16.7	)%		(5.5	)%		(29.6	)%
Ratios to Average Net Assets**
Expense ratio^^		1.28	%		1.05	%		1.29	%		0.95	%		0.99	%		0.98	%
Net investment income gain (loss)		(1.12	)%		(0.82	)%		(1.10	)%		(0.65	)%		(0.71	)%		(0.75	)%

* 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 June 30, 2022.

^^ 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.

12

5

For the Six Months Ended June 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	$	124.06		$	47.29		$	64.26		$	247.40		$	25.84		$	31.71
Net investment income (loss)		(1.13	)		(0.13	)		(0.12	)		(0.31	)		(0.11	)		(0.12	)
Net realized and unrealized gain (loss)#		22.20			(13.65	)		(41.10	)		(204.44	)		4.65			(0.04	)
Change in net asset value from operations		21.07			(13.78	)		(41.22	)		(204.75	)		4.54			(0.16	)
Net asset value, at June 30, 2022	$	145.13		$	33.51		$	23.04		$	42.65		$	30.38		$	31.55
Market value per share, at December 31, 2021 †	$	124.30		$	47.29		$	63.75		$	242.20		$	25.86		$	31.66
Market value per share, at June 30, 2022 †	$	145.30		$	33.49		$	22.93		$	40.02		$	30.41		$	31.59
Total Return, at net asset value^		17.0	%		(29.2	)%		(64.2	)%		(82.8	)%		17.5	%		(0.5	)%
Total Return, at market value^		16.9	%		(29.2	)%		(64.0	)%		(83.5	)%		17.6	%		0.2	%
Ratios to Average Net Assets**
Expense ratio^^		1.65	%		0.95	%		1.18	%		1.47	%		0.95	%		1.00	%
Net investment income gain (loss)		(1.53	)%		(0.67	)%		(0.95	)%		(1.30	)%		(0.75	)%		(0.81	)%

* 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 June 30, 2022.

^^ 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.

12

6

For the Six Months Ended June 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		$	75.62
Net investment income (loss)		(0.11	)		(0.17	)		(0.14	)		(0.46	)
Net realized and unrealized gain (loss)#		5.08			15.73			4.82			15.93
Change in net asset value from operations		4.97			15.56			4.68			15.47
Net asset value, at June 30, 2022	$	31.74		$	57.06		$	35.29		$	91.09
Market value per share, at December 31, 2021 †	$	26.84		$	41.50		$	30.57		$	75.85
Market value per share, at June 30, 2022 †	$	32.19		$	57.13		$	35.38		$	91.25
Total Return, at net asset value^		18.6	%		37.5	%		15.3	%		20.5	%
Total Return, at market value^		19.9	%		37.7	%		15.7	%		20.3	%
Ratios to Average Net Assets**
Expense ratio^^		1.07	%		0.95	%		1.02	%		1.20	%
Net investment income gain (loss)		(0.86	)%		(0.72	)%		(0.87	)%		(1.04	)%

* 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 June 30, 2022.

^^ 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.

12

7

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), 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.

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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, -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.

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 in this Counterparty Risk section 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.” Although some of the SEC requirements have not yet been made effective, the CFTC requirements are largely in place. The CFTC requirements include rules for some of the types of derivatives transactions in which the Funds engages, 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, all of the relevant 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.

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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 uncleared 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 uncleared 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 or otherwise, 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 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 mark-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 futures commission merchant in cleared swaps customer accounts, which are required by CFTC regulations to be separate from the futures commission merchant’s 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 futures customer segregated funds, under which the clearing house may access all of the commingled futures 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. Bilateral OTC derivatives expose 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

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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 (1.5x) 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.

“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 2022 may specify a January 2023 expiration. As that contract nears expiration, it may be replaced by selling the January 2023 contract and purchasing the contract expiring in March 2023. 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 2023 contract would take place at a price that is higher than the price at which the March 2023 contract is purchased, thereby creating a gain in connection with rolling. While certain

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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. In the summer of 2022, the market for crude oil futures contracts experienced a period of extreme backwardation, but normalized towards the end of the year. 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.

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.

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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) and its variants 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 if reimposed, a severe economic impact on global economies as economic activity in some instances has essentially ceased.

As the hospitalization rates and COVID-related deaths continue to fall, the severity of lockdowns and restrictive policies relative to the onset of the COVID-19 pandemic will decrease as the situation gradually improves. Currently the bear market continues to recover from the lockdowns and restrictions that brought economic strain to several industries. 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. Currently, crude oil prices have increased since the onset of the COVID-19 pandemic. As countries around the world are currently rolling back or eliminating COVID-related restrictions, the demand for oil is expected to increase. For example, China’s ongoing COVID restrictions are expected to be removed and altered, which is expected to increase the demand for crude oil among consumers.

On February 24, 2022, Russia commenced a military attack on Ukraine. The ongoing hostilities between the two countries could result in additional widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. As the war continues sanctions on Russian exports 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.

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. 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. These forward-looking statements are based on information currently available to the Sponsor and are subject to a number of risks, uncertainties and other factors, both known, such as those described in “Risk Factors” in our Annual Report on Form 10-K for the fiscal year ended December 31, 2022 and in this Quarterly Report on Form 10-Q for the period ended June 30, 2023, and unknown, that could cause the actual results, performance, prospects or opportunities of the Funds to differ materially from those expressed in, or implied by, these forward-looking statements. Factors that could cause results to differ from those expressed in the forward-looking statements include those described in the aforementioned filings and in other SEC filings by the Funds, as well as the following: risks and uncertainty related to geopolitical conflict, world health crises and the global economic markets; risks associated with a rising rate environment; risks associated with regulatory and exchange daily price limits, position limits and accountability levels; and risks related to market competition. 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.

Introduction

Each of the Funds generally invests in instruments whose value is derived from the value of an underlying asset, rate or index (collectively, “Financial Instruments”), 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 its applicable underlying commodity futures index, commodity, currency exchange rate or equity volatility index. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds.

The “Short” Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) 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, -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

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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.

Forward and 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

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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.

On June 7, 2023, the Trust issued a press release announcing a reverse share split on ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Ultra Bloomberg Natural Gas. The Splits did not change the value of a shareholder’s investment. ProShares VIX Short-Term Futures ETF executed a 1:5 Reverse Split of its shares. ProShares Ultra VIX Short-Term Futures ETF executed a 1:10 Reverse Split of its shares. ProShares Ultra Bloomberg Natural Gas ETF executed a 1:20 Reverse Split of its shares. The Reverse Split was effective at the market open on June 23, 2023, 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 (74347Y789 for VIXY, 74347Y771 for UVXY, and 74347Y763 for BOIL). 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 six months ended June 30, 2023 and 2022, each of the Funds earned interest income as follows:

Fund	Interest Income Three Months Ended June 30, 2023		Interest Income Three Months Ended June 30, 2022		Interest Income Six Months Ended June 30, 2023		Interest Income Six Months Ended June 30, 2022
ProShares Short VIX Short-Term Futures ETF	$	2,437,210	$	225,134	$	4,546,332	$	319,477
ProShares Ultra Bloomberg Crude Oil		5,878,092		1,264,011		11,886,000		1,572,891
ProShares Ultra Bloomberg Natural Gas		8,866,705		146,470		17,825,228		186,051
ProShares Ultra Euro		88,182		6,522		185,419		11,109
ProShares Ultra Gold		1,983,196		319,154		3,632,210		414,267
ProShares Ultra Silver		3,701,182		421,514		7,075,578		561,963
ProShares Ultra VIX Short-Term Futures ETF		4,750,595		430,670		9,167,250		525,931
ProShares Ultra Yen		114,980		3,064		235,098		3,937
ProShares UltraShort Bloomberg Crude Oil		1,560,028		289,299		3,563,237		343,206
ProShares UltraShort Bloomberg Natural Gas		1,344,889		122,188		2,531,641		178,013
ProShares UltraShort Euro		593,746		39,011		1,240,866		54,416
ProShares UltraShort Gold		184,052		19,975		316,614		29,660
ProShares UltraShort Silver		323,734		18,743		523,812		27,663
ProShares UltraShort Yen		255,354		26,913		459,554		36,312
ProShares VIX Mid-Term Futures ETF		650,585		52,826		1,298,505		76,749
ProShares VIX Short-Term Futures ETF		2,440,291		207,903		4,560,852		278,612

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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.

137

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 August 8, 2023, 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 (“GAAP”) 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.

138

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

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

For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended June 30, 2023.

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 and Silver 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 and Silver 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.

139

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association 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.

Results of Operations for the Three Months Ended June 30, 2023 Compared to the Three Months Ended June 30, 2022

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	295,340,393		$	495,588,849
NAV end of period	$	282,353,267		$	403,644,956
Percentage change in NAV		(4.4	)%		(18.6	)%
Shares outstanding beginning of period		4,634,307			9,084,307
Shares outstanding end of period		3,334,307			8,384,307
Percentage change in shares outstanding		(28.1	)%		(7.7	)%
Shares created		550,000			1,600,000
Shares redeemed		1,850,000			2,300,000
Per share NAV beginning of period	$	63.73		$	54.55
Per share NAV end of period	$	84.68		$	48.14
Percentage change in per share NAV		32.9	%		(11.8	)%
Percentage change in benchmark		(44.4	)%		10.3	%
Benchmark annualized volatility		45.8	%		90.4	%

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,634,307 outstanding Shares at March 31, 2023 to 3,334,307 outstanding Shares at June 30, 2023. 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 June 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 9,084,307 outstanding Shares at March 31, 2022 to 8,384,307 outstanding Shares at June 30, 2022.

For the three months ended June 30, 2023 and 2022, 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 32.9% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 11.8% for the three months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 44.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 10.3% for the three months ended June 30, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.

140

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023		Three Months Ended June 30, 2022
Net investment income (loss)	$	1,696,752	$	(1,094,000	)
Management fee		617,036		1,034,361
Brokerage commission		123,422		177,552
Futures account fees		–		107,221
Net realized gain (loss)		65,202,331		(13,105,212	)
Change in net unrealized appreciation (depreciation)		9,673,101		(34,507,780	)
Net Income (loss)	$	76,572,184	$	(48,706,992	)

The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of futures prices during the three months ended June 30, 2023.

ProShares Ultra Bloomberg Crude Oil

*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	811,668,456		$	1,336,980,685
NAV end of period	$	738,194,368		$	1,060,867,238
Percentage change in NAV		(9.1	)%		(20.7	)%
Shares outstanding beginning of period		30,593,096			35,243,096
Shares outstanding end of period		31,093,096			25,493,096
Percentage change in shares outstanding		1.6	%		(27.7	)%
Shares created		15,550,000			1,700,000
Shares redeemed		15,050,000			11,450,000
Per share NAV beginning of period	$	26.53		$	37.94
Per share NAV end of period	$	23.74		$	41.61
Percentage change in per share NAV		(10.5	)%		9.7	%
Percentage change in benchmark		(4.4	)%		6.8	%
Benchmark annualized volatility		32.8	%		37.5	%

During the three months ended June 30, 2023, 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 30,593,096 outstanding Shares at March 31, 2023 to 31,093,096 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily due to decrease in shareholder activity offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two

141

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 decrease from 35,243,096 outstanding Shares at March 31, 2022 to 25,493,096 outstanding Shares at June 30, 2022.

For the three months ended June 30, 2023 and 2022, 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 10.5% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 9.7% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 4.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 6.8% for the three months ended June 30, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Net investment income (loss)	$	4,038,791		$	(2,084,704	)
Management fee		1,744,998			3,098,904
Brokerage commission		94,303			140,210
Futures account fees		–			109,601
Net realized gain (loss)		(76,414,795	)		363,291,439
Change in net unrealized appreciation (depreciation)		45,539,157			(211,544,109	)
Net Income (loss)	$	(26,836,847	)	$	149,662,626

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of WTI Crude Oil during the three months ended June 30, 2023.

* 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 Ultra Bloomberg Crude Oil.

ProShares Ultra Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	1,139,983,773		$	145,069,486
NAV end of period	$	1,141,021,278		$	187,297,842
Percentage change in NAV		0.1	%		29.1	%
Shares outstanding beginning of period		15,454,376			129,376
Shares outstanding end of period		16,421,876			236,876

142

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Percentage change in shares outstanding		6.3	%		83.1	%
Shares created		13,792,500			325,000
Shares redeemed		12,825,000			217,500
Per share NAV beginning of period	$	73.76		$	1121.30
Per share NAV end of period	$	69.48		$	790.70
Percentage change in per share NAV		(5.8	)%		(29.5	)%
Percentage change in benchmark		2.2	%		(6.0	)%
Benchmark annualized volatility		57.7	%		37.5	%

During the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 15,454,376 outstanding Shares at March 31, 2023 to 16,421,876 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex

SM

. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 129,376 outstanding Shares at March 31, 2022 to 236,876 outstanding Shares at June 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 Bloomberg Natural Gas Subindex

SM

.

For the three months ended June 30, 2023 and 2022, 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 5.8% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 29.5% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s rise of 2.2% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 6.0% for the three months ended June 30, 2022, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Net investment income (loss)	$	4,920,978		$	(566,073	)
Management fee		2,588,571			534,624
Brokerage commission		1,145,371			114,706
Futures account fees		211,785			63,213
Net realized gain (loss)		(616,886,915	)		164,990,694
Change in net unrealized appreciation (depreciation)		658,057,024			(271,288,469	)
Net Income (loss)	$	46,091,087		$	(106,863,848	)

The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to an increase in the value of Henry Hub Natural Gas during the three months ended June 30, 2023.

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

143

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	8,616,433		$	6,236,982
NAV end of period	$	7,535,435		$	9,415,626
Percentage change in NAV		(12.5	)%		51.0	%
Shares outstanding beginning of period		750,000			500,000
Shares outstanding end of period		650,000			850,000
Percentage change in shares outstanding		(13.3	)%		70.0	%
Shares created		–			450,000
Shares redeemed		100,000			100,000
Per share NAV beginning of period	$	11.49		$	12.47
Per share NAV end of period	$	11.59		$	11.08
Percentage change in per share NAV		0.9	%		(11.1	)%
Percentage change in benchmark		0.6	%		(5.3	)%
Benchmark annualized volatility		6.8	%		9.1	%

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 750,000 outstanding Shares at March 31, 2023 to 650,000 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 500,000 outstanding Shares at March 31, 2022 to 850,000 outstanding Shares at June 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.

For the three months ended June 30, 2023 and 2022, 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 0.9% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 11.1% for the three months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s rise of 0.6% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 5.3% for the three months ended June 30, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2023.

144

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Net investment income (loss)	$	68,331		$	(8,515	)
Management fee		19,851			15,037
Net realized gain (loss)		78,291			(446,365	)
Change in net unrealized appreciation (depreciation)		(79,023	)		(281,290	)
Net Income (loss)	$	67,599		$	(736,170	)

The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2023.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	201,161,529		$	355,029,822
NAV end of period	$	180,916,531		$	239,938,853
Percentage change in NAV		(10.1	)%		(32.4	)%
Shares outstanding beginning of period		3,200,000			5,300,000
Shares outstanding end of period		3,100,000			4,250,000
Percentage change in shares outstanding		(3.1	)%		(19.8	)%
Shares created		50,000			100,000
Shares redeemed		150,000			1,150,000
Per share NAV beginning of period	$	62.86		$	66.99
Per share NAV end of period	$	58.36		$	56.46
Percentage change in per share NAV		(7.2	)%		(15.7	)%
Percentage change in benchmark		(2.5	)%		(7.6	)%
Benchmark annualized volatility		12.7	%		13.8	%

During the three months ended June 30, 2023, 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 3,200,000 outstanding Shares at March 31, 2023 to 3,100,000 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,300,000 outstanding Shares at March 31, 2022 to 4,250,000 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV also resulted 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

.

145

For the three months ended June 30, 2023 and 2022, 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 7.2% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 15.7% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 2.5% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 7.6% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of gold futures contracts during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Net investment income (loss)	$	1,502,010		$	(419,722	)
Management fee		474,261			716,148
Brokerage commission		6,925			14,064
Futures account fees		—			8,664
Net realized gain (loss)		17,168,107			(57,901,083	)
Change in net unrealized appreciation (depreciation)		(32,854,842	)		4,971,043
Net Income (loss)	$	(14,184,725	)	$	(53,349,762	)

The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended June 30, 2023.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	429,115,334		$	558,375,841
NAV end of period	$	356,791,659		$	355,577,515
Percentage change in NAV		(16.9	)%		(36.3	)%
Shares outstanding beginning of period		13,796,526			14,296,526
Shares outstanding end of period		13,196,526			14,346,526
Percentage change in shares outstanding		(4.3	)%		0.3	%
Shares created		700,000			800,000
Shares redeemed		1,300,000			750,000
Per share NAV beginning of period	$	31.10		$	39.06
Per share NAV end of period	$	27.04		$	24.78
Percentage change in per share NAV		(13.1	)%		(36.6	)%
Percentage change in benchmark		(5.1	)%		(19.4	)%
Benchmark annualized volatility		24.1	%		23.7	%

146

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex

SM

. The decrease in the Fund’s NAV also resulted in part from a decrease from 13,796,526 outstanding Shares at March 31, 2023 to 13,196,526 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 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 14,296,526 outstanding Shares at March 31, 2022 to 14,346,526 outstanding Shares at June 30, 2022.

For the three months ended June 30, 2023 and 2022, 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 13.1% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 36.6% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 5.1% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 19.4% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Net investment income (loss)	$	2,677,602		$	(695,746	)
Management fee		976,505			1,082,340
Brokerage commission		47,075			28,732
Futures account fees		—			6,188
Net realized gain (loss)		64,615,443			(156,195,349	)
Change in net unrealized appreciation (depreciation)		(119,017,342	)		(50,135,799	)
Net Income (loss)	$	(51,724,297	)	$	(207,026,894	)

The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended June 30, 2023.

147

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	535,980,236		$	1,127,608,641
NAV end of period	$	387,764,059		$	975,683,533
Percentage change in NAV		(27.7	)%		(13.5	)%
Shares outstanding beginning of period		11,587,842			8,352,842
Shares outstanding end of period		20,977,842			6,722,842
Percentage change in shares outstanding		81.0	%		(19.5	)%
Shares created		12,940,000			5,840,000
Shares redeemed		3,550,000			7,470,000
Per share NAV beginning of period	$	46.25		$	135.00
Per share NAV end of period	$	18.48		$	145.13
Percentage change in per share NAV		(60.0	)%		7.5	%
Percentage change in benchmark		(44.4	)%		10.3	%
Benchmark annualized volatility		45.8	%		90.4	%

During the three months ended June 30, 2023, 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 11,587,842 outstanding Shares at March 31, 2023 to 20,977,842 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,352,842 outstanding Shares at March 31, 2022 to 6,722,842 outstanding Shares at June 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 and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended June 30, 2023 and 2022, 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 60.0% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 7.5% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 44.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 10.3% for the three months ended June 30, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.

148

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Net investment income (loss)	$	2,581,004		$	(3,277,402	)
Management fee		1,330,081			2,293,738
Brokerage commission		712,511			970,211
Futures account fees		126,999			444,123
Net realized gain (loss)		(426,300,356	)		90,701,501
Change in net unrealized appreciation (depreciation)		(45,315,177	)		196,735,349
Net Income (loss)	$	(469,034,529	)	$	284,159,448

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of futures prices, during the three months ended June 30, 2023.

* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	9,915,083		$	2,099,705
NAV end of period	$	12,330,974		$	5,024,773
Percentage change in NAV		24.4	%		139.3	%
Shares outstanding beginning of period		299,970			49,970
Shares outstanding end of period		449,970			149,970
Percentage change in shares outstanding		50.0	%		200.1	%
Shares created		150,000			100,000
Shares redeemed		—			—
Per share NAV beginning of period	$	33.05		$	42.02
Per share NAV end of period	$	27.40		$	33.51
Percentage change in per share NAV		(17.1	)%		(20.3	)%
Percentage change in benchmark		(8.0	)%		(10.3	)%
Benchmark annualized volatility		8.9	%		11.5	%

During the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 299,970 outstanding Shares at March 31, 2023 to 449,970 outstanding Shares at June 30, 2023. 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 June 30, 2022, the increase in

149

the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at March 31, 2022 to 149,970 outstanding Shares at June 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.

For the three months ended June 30, 2023 and 2022, 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 17.1% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 20.3% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 8.0% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 10.3% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Net investment income (loss)	$	89,650		$	(4,972	)
Management fee		25,330			8,036
Net realized gain (loss)		(770,142	)		(761,478	)
Change in net unrealized appreciation (depreciation)		(1,348,109	)		152,185
Net Income (loss)	$	(2,028,601	)	$	(614,265	)

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar in conjunction with a significant increase in average shares outstanding during the three months ended June 30, 2023.

ProShares UltraShort Bloomberg Crude Oil

*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	144,762,563		$	416,799,231
NAV end of period	$	112,854,952		$	501,157,304
Percentage change in NAV		(22.0	)%		20.2	%
Shares outstanding beginning of period		5,755,220			14,286,760
Shares outstanding end of period		4,405,220			21,755,220
Percentage change in shares outstanding		(23.5	)%		52.3	%
Shares created		6,250,000			12,320,000
Shares redeemed		7,600,000			4,851,540
Per share NAV beginning of period	$	25.15		$	29.17

150

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Per share NAV end of period	$	25.62		$	23.04
Percentage change in per share NAV		1.9	%		(21.0	)%
Percentage change in benchmark		(4.4	)%		6.8	%
Benchmark annualized volatility		32.8	%		37.5	%

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,755,220

outstanding Shares at March 31, 2023 to 4,405,220 outstanding Shares at June 30, 2023. 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 June 30, 2022, the increase in the Fund’s NAV resulted primarily due to increase in shares outstanding and 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

. The increase in the Fund’s NAV was offset by a increase from 14,286,760 outstanding Shares at March 31, 2022 to 21,755,220 outstanding Shares at June 30, 2022.

For the three months ended June 30, 2023 and 2022, 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 1.9% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 21.0% for the three months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 4.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 6.8% for the three months ended June 30, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Net investment income (loss)	$	1,140,772		$	(849,692	)
Management fee		359,177			946,110
Brokerage commission		60,079			107,079
Futures account fees		—			85,802
Net realized gain (loss)		28,034,524			(102,594,000	)
Change in net unrealized appreciation (depreciation)		(8,216,608	)		34,757,114
Net Income (loss)	$	20,958,688		$	(68,686,578	)

The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of WTI Crude Oil during the three months ended June 30, 2023.

* 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.

151

ProShares UltraShort Bloomberg Natural Gas

*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	146,981,760		$	250,340,837
NAV end of period	$	141,324,963		$	211,823,446
Percentage change in NAV		(3.8	)%		(15.4	)%
Shares outstanding beginning of period		2,066,856			3,868,620
Shares outstanding end of period		2,566,856			4,966,856
Percentage change in shares outstanding		24.2	%		28.4	%
Shares created		6,600,000			18,700,000
Shares redeemed		6,100,000			17,601,764
Per share NAV beginning of period	$	71.11		$	64.71
Per share NAV end of period	$	55.06		$	42.65
Percentage change in per share NAV		(22.6	)%		(34.1	)%
Percentage change in benchmark		2.2	%		(6.0	)%
Benchmark annualized volatility		57.7	%		87.3	%

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex

SM

. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 2,066,856 outstanding Shares at March 31, 2023 to 2,566,856 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a increase from 3,868,620 outstanding Shares at March 31, 2022 to 4,966,856 outstanding Shares at June 30, 2022. 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 the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex

SM

.

For the three months ended June 30, 2023 and 2022, 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 22.6% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 34.1% for the three months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s rise of 2.2% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 6.0% for the three months ended June 30, 2022, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended June 30, 2023.

152

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Net investment income (loss)	$	782,210		$	(610,379	)
Management fee		302,274			510,704
Brokerage commission		233,647			144,907
Futures account fees		26,758			76,956
Net realized gain (loss)		48,737,843			(282,646,884	)
Change in net unrealized appreciation (depreciation)		(61,250,100	)		228,079,127
Net Income (loss)	$	(11,730,047	)	$	(55,178,136	)

The Fund’s net income increased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to an increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the three months ended June 30, 2023.

* 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 June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	59,537,260		$	50,498,084
NAV end of period	$	50,931,301		$	62,270,097
Percentage change in NAV		(14.5	)%		23.3	%
Shares outstanding beginning of period		2,050,000			1,850,000
Shares outstanding end of period		1,750,000			2,050,000
Percentage change in shares outstanding		(14.6	)%		10.8	%
Shares created		–			500,000
Shares redeemed		300,000			300,000
Per share NAV beginning of period	$	29.04		$	27.30
Per share NAV end of period	$	29.10		$	30.38
Percentage change in per share NAV		0.2	%		11.3	%
Percentage change in benchmark		0.6	%		(5.3	)%
Benchmark annualized volatility		6.8	%		9.1	%

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,050,000 outstanding Shares at March 31, 2023 to 1,750,000 outstanding Shares at June 30, 2023. 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

153

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 June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,850,000 outstanding Shares at March 31, 2022 to 2,050,000 outstanding Shares at June 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.

For the three months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.2% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 11.3% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s rise of 0.6% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 5.3% for the three months ended June 30, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Net investment income (loss)	$	462,645		$	(107,923	)
Management fee		131,101			146,934
Net realized gain (loss)		(1,045,942	)		3,065,129
Change in net unrealized appreciation (depreciation)		556,469			3,039,738
Net Income (loss)	$	(26,828	)	$	5,996,944

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2023.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	16,049,273		$	32,598,451
NAV end of period	$	15,809,378		$	34,611,284
Percentage change in NAV		(1.5	)%		6.2	%
Shares outstanding beginning of period		596,977			1,196,977
Shares outstanding end of period		546,977			1,096,977
Percentage change in shares outstanding		(8.4	)%		(8.4	)%
Shares created		300,000			700,000
Shares redeemed		350,000			800,000

154

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Per share NAV beginning of period	$	26.88		$	27.23
Per share NAV end of period	$	28.90		$	31.55
Percentage change in per share NAV		7.5	%		15.9	%
Percentage change in benchmark		(2.5	)%		(7.6	)%
Benchmark annualized volatility		12.7	%		13.8	%

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 596,977 outstanding Shares at March 31, 2023 to 546,977 outstanding Shares at June 30, 2023. 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 June 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 1,196,977 outstanding Shares at March 31, 2022 to 1,096,977 outstanding Shares at June 30, 2022.

For the three months ended June 30, 2023 and 2022, 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 7.5% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 15.9% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 2.5% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 7.6% for the three months ended June 30, 2022, can be attributed to lesser decrease in the value of gold futures contracts during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Net investment income (loss)	$	139,578		$	(59,266	)
Management fee		42,869			75,676
Brokerage commission		1,605			2,985
Futures account fees		—			580
Net realized gain (loss)		(1,553,151	)		4,557,870
Change in net unrealized appreciation (depreciation)		2,758,921			289,951
Net Income (loss)	$	1,345,348		$	4,788,555

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to lesser decrease in the value of the futures prices during the three months ended June 30, 2023.

155

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	20,335,691		$	23,406,516
NAV end of period	$	19,290,473		$	33,052,840
Percentage change in NAV		(5.1	)%		41.2	%
Shares outstanding beginning of period		1,091,329			1,091,329
Shares outstanding end of period		941,329			1,041,329
Percentage change in shares outstanding		(13.7	)%		(4.6	)%
Shares created		2,450,000			700,000
Shares redeemed		2,600,000			750,000
Per share NAV beginning of period	$	18.63		$	21.45
Per share NAV end of period	$	20.49		$	31.74
Percentage change in per share NAV		10.0	%		48.0	%
Percentage change in benchmark		(5.1	)%		(19.4	)%
Benchmark annualized volatility		24.1	%		23.7	%

During the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,091,329 outstanding Shares at March 31, 2023 to 941,329 outstanding Shares at June 30, 2023. 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 Silver Subindex

SM

. By comparison, during the three months ended June 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 1,091,329 outstanding Shares at March 31, 2022 to 1,041,329 outstanding Shares at June 30, 2022.

For the three months ended June 30, 2023 and 2022, 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 10.0% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 48.0% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 5.1% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 19.4% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended June 30, 2023.

156

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023		Three Months Ended June 30, 2022
Net investment income (loss)	$	232,359	$	(51,484	)
Management fee		82,417		62,381
Brokerage commission		8,958		6,677
Futures account fees		—		1,169
Net realized gain (loss)		1,112,690		9,411,232
Change in net unrealized appreciation (depreciation)		5,650,294		3,853,312
Net Income (loss)	$	6,995,343	$	13,213,060

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of futures prices during the three months ended June 30, 2023.

ProShares UltraShort Yen

*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	25,111,818		$	27,726,701
NAV end of period	$	27,077,656		$	45,568,882
Percentage change in NAV		7.8	%		64.4	%
Shares outstanding beginning of period		448,580			598,580
Shares outstanding end of period		398,580			798,580
Percentage change in shares outstanding		(11.1	)%		33.4	%
Shares created		250,000			650,000
Shares redeemed		300,000			450,000
Per share NAV beginning of period	$	55.98		$	46.32
Per share NAV end of period	$	67.94		$	57.06
Percentage change in per share NAV		21.4	%		23.2	%
Percentage change in benchmark		(8.0	)%		(10.3	)%
Benchmark annualized volatility		8.9	%		11.4	%

During the three months ended June 30, 2023, 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 was offset by a decrease from 448,580 outstanding Shares at March 31, 2023 to 398,580 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 598,580 outstanding Shares at March 31, 2022 to 798,580 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted in part from

157

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 June 30, 2023 and 2022, 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 21.4% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 23.2% for the three months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 8.0% for the three months ended June 30, 2023, as compared to the benchmark’s decline of 10.3% for the three months ended June 30, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023		Three Months Ended June 30, 2022
Net investment income (loss)	$	197,175	$	(66,268	)
Management fee		58,179		93,181
Net realized gain (loss)		1,370,771		7,917,170
Change in net unrealized appreciation (depreciation)		3,145,023		(1,367,929	)
Net Income (loss)	$	4,712,969	$	6,482,973

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2023.

* 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 June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	67,306,087		$	97,869,914
NAV end of period	$	49,421,413		$	95,721,271
Percentage change in NAV		(26.6	)%		(2.2	)%
Shares outstanding beginning of period		2,512,403			3,112,403
Shares outstanding end of period		2,412,403			2,712,403
Percentage change in shares outstanding		(4.0	)%		(12.9	)%
Shares created		575,000			300,000
Shares redeemed		675,000			700,000

158

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Per share NAV beginning of period	$	26.79		$	31.45
Per share NAV end of period	$	20.49		$	35.29
Percentage change in per share NAV		(23.5	)%		12.2	%
Percentage change in benchmark		(23.1	)%		12.9	%
Benchmark annualized volatility		22.6	%		37.1	%

During the three months ended June 30, 2023, 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 the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,512,403 outstanding Shares at March 31, 2023 to 2,412,403 outstanding Shares at June 30, 2023. By comparison, during the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,112,403 outstanding Shares at March 31, 2022 to 2,712,403 outstanding Shares at June 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.

For the three months ended June 30, 2023 and 2022, 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 23.5% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 12.2% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 23.1% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 12.9% for the three months ended June 30, 2022, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Net investment income (loss)	$	492,463		$	(184,164	)
Management fee		134,066			210,584
Brokerage commission		12,200			15,500
Futures account fees		11,856			10,906
Net realized gain (loss)		(6,943,333	)		7,862,052
Change in net unrealized appreciation (depreciation)		(9,675,102	)		3,992,670
Net Income (loss)	$	(16,125,972	)	$	11,670,558

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of the futures prices during the three months ended June 30, 2023.

159

ProShares VIX Short-Term Futures ETF

*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
NAV beginning of period	$	226,765,204		$	404,950,400
NAV end of period	$	230,227,830		$	341,714,316
Percentage change in NAV		1.5	%		(15.6	)%
Shares outstanding beginning of period		5,021,565			4,876,565
Shares outstanding end of period		9,226,565			3,751,565
Percentage change in shares outstanding		83.7	%		(23.1	)%
Shares created		4,460,000			1,635,000
Shares redeemed		255,000			2,760,000
Per share NAV beginning of period	$	45.16		$	83.04
Per share NAV end of period	$	24.95		$	91.09
Percentage change in per share NAV		(44.8	)%		9.6	%
Percentage change in benchmark		(44.4	)%		10.3	%
Benchmark annualized volatility		45.8	%		90.4	%

During the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 5,021,565 outstanding Shares at March 31, 2023 to 9,226,565 outstanding Shares at June 30, 2023. 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 June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,876,565 outstanding Shares at March 31, 2022 to 3,751,565 outstanding Shares at June 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 Short-Term Futures Index.

For the three months ended June 30, 2023 and 2022, 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 44.8% for the three months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 9.6% for the three months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2023.

The benchmark’s decline of 44.4% for the three months ended June 30, 2023, as compared to the benchmark’s rise of 10.3% for the three months ended June 30, 2022, can be attributed to a decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.

160

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2023 and 2022:

	Three Months Ended June 30, 2023			Three Months Ended June 30, 2022
Net investment income (loss)	$	1,765,342		$	(852,779	)
Management fee		530,826			773,717
Brokerage commission		95,391			171,182
Futures account fees		48,732			115,783
Net realized gain (loss)		(127,239,912	)		23,658,785
Change in net unrealized appreciation (depreciation)		(21,303,253	)		46,600,777
Net Income (loss)	$	(146,777,823	)	$	69,406,783

The Fund’s net income decreased for the three months ended June 30, 2023 as compared to the three months ended June 30, 2022, primarily due to a decrease in the value of the futures prices, during the three months ended June 30, 2023.

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

Results of Operations for the Six Months Ended June 30, 2023 Compared to the Six Months Ended June 30, 2022

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	339,591,638		$	423,812,594
NAV end of period	$	282,353,267		$	403,644,956
Percentage change in NAV		(16.9	)%		(4.8	)%
Shares outstanding beginning of period		5,784,307			6,884,307
Shares outstanding end of period		3,334,307			8,384,307
Percentage change in shares outstanding		(42.4	)%		21.8	%
Shares created		3,000,000			4,600,000
Shares redeemed		5,450,000			3,100,000
Per share NAV beginning of period	$	58.71		$	61.56
Per share NAV end of period	$	84.68		$	48.14
Percentage change in per share NAV		44.2	%		(21.8	)%
Percentage change in benchmark		(55.7	)%		21.6	%
Benchmark annualized volatility		58.0	%		88.1	%

During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,784,307 outstanding Shares at December 31, 2022 to 3,334,307 outstanding Shares at June 30, 2023. 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 six months ended June 30, 2022, the decrease in the

161

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 was offset by an increase from 6,884,307 outstanding Shares at December 31, 2021 to 8,384,307 outstanding Shares at June 30, 2022.

For the six months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 44.2% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 21.8% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets during the six months ended June 30, 2023.

The benchmark’s decline of 55.7% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 21.6% for the six months ended June 30, 2022, can be attributed to decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023		Six Months Ended June 30, 2022
Net investment income (loss)	$	3,113,594	$	(2,390,922	)
Management fee		1,182,813		2,020,898
Brokerage commission		249,925		365,250
Futures account fees		—		324,251
Net realized gain (loss)		94,806,479		(54,216,320	)
Change in net unrealized appreciation (depreciation)		12,828,278		(30,209,873	)
Net Income (loss)	$	110,748,351	$	(86,817,115	)

The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to a decrease in the value of futures prices during the six months ended June 30, 2023.

ProShares Ultra Bloomberg Crude Oil

*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	859,094,274		$	1,103,783,570
NAV end of period	$	738,194,368		$	1,060,867,238
Percentage change in NAV		(14.1	)%		(3.9	)%
Shares outstanding beginning of period		28,393,096			51,243,096
Shares outstanding end of period		31,093,096			25,493,096
Percentage change in shares outstanding		9.5	%		(50.3	)%
Shares created		34,650,000			10,300,000
Shares redeemed		31,950,000			36,050,000
Per share NAV beginning of period	$	30.26		$	21.54

162

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Per share NAV end of period	$	23.74		$	41.61
Percentage change in per share NAV		(21.5	)%		93.2	%
Percentage change in benchmark		(9.5	)%		45.9	%
Benchmark annualized volatility		31.7	%		41.9	%

During the six months ended June 30, 2023, 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 28,393,096 outstanding Shares at December 31, 2022 to 31,093,096 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily due to the change in shares outstanding and 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

. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an decrease from 51,243,096 outstanding Shares at December 31, 2021 to 25,493,096 outstanding Shares at June 30, 2022

For the six months ended June 30, 2023 and 2022, 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 21.5% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 93.2% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 9.5% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 45.9% for the six months ended June 30, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Net investment income (loss)	$	8,077,737		$	(5,308,864	)
Management fee		3,619,616			6,183,716
Brokerage commission		188,647			335,751
Futures account fees		—			362,288
Net realized gain (loss)		9,365,632			1,162,711,373
Change in net unrealized appreciation (depreciation)		(92,671,285	)		(306,208,096	)
Net Income (loss)	$	(75,227,916	)	$	851,194,413

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of WTI Crude Oil during the six months ended June 30, 2023.

* 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 Ultra Bloomberg Crude Oil.

163

ProShares Ultra Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	586,151,113		$	193,892,178
NAV end of period	$	1,141,021,278		$	187,297,842
Percentage change in NAV		94.7	%		(3.4	)%
Shares outstanding beginning of period		1,614,376			379,376
Shares outstanding end of period		16,421,876			236,876
Percentage change in shares outstanding		917.2	%		(37.6	)%
Shares created		32,765,000			455,000
Shares redeemed		17,957,500			597,500
Per share NAV beginning of period	$	363.08		$	511.08
Per share NAV end of period	$	69.48		$	790.70
Percentage change in per share NAV		(80.9	)%		54.7	%
Percentage change in benchmark		(49.3	)%		48.9	%
Benchmark annualized volatility		69.2	%		80.3	%

During the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 1,614,376 outstanding Shares at December 31, 2022 to 16,421,876 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex

SM

. By comparison, during the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 379,376 outstanding Shares at December 31, 2021 to 236,876 outstanding Shares at June 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 Natural Gas Subindex

SM

.

For the six months ended June 30, 2023 and 2022, 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 80.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 54.7% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets during the six months ended June 30, 2023.

The benchmark’s decline of 49.3% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 48.9% for the six months ended June 30, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2023.

164

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Net investment income (loss)	$	10,410,619		$	(1,082,671	)
Management fee		4,916,981			931,234
Brokerage commission		2,098,150			203,158
Futures account fees		399,478			134,330
Net realized gain (loss)		(1,678,521,779	)		241,207,930
Change in net unrealized appreciation (depreciation)		605,047,334			(186,420,725	)
Net Income (loss)	$	(1,063,063,826	)	$	53,704,534

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of Henry Hub Natural Gas during the six months ended June 30, 2023.

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

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	10,704,662		$	8,659,095
NAV end of period	$	7,535,435		$	9,415,626
Percentage change in NAV		(29.6	)%		8.7	%
Shares outstanding beginning of period		950,000			650,000
Shares outstanding end of period		650,000			850,000
Percentage change in shares outstanding		(31.6	)%		30.8	%
Shares created		200,000			550,000
Shares redeemed		500,000			350,000
Per share NAV beginning of period	$	11.27		$	13.32
Per share NAV end of period	$	11.59		$	11.08
Percentage change in per share NAV		2.9	%		(16.8	)%
Percentage change in benchmark		1.9	%		(7.9	)%
Benchmark annualized volatility		8.0	%		8.8	%

During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 650,000 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 850,000 outstanding Shares at June 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.

165

For the six months ended June 30, 2023 and 2022, 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 2.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 16.8% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s rise of 1.9% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 7.9% for the six months ended June 30, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Net investment income (loss)	$	141,322		$	(24,206	)
Management fee		44,097			35,315
Net realized gain (loss)		358,570			(893,344	)
Change in net unrealized appreciation (depreciation)		(175,968	)		(419,715	)
Net Income (loss)	$	323,924		$	(1,337,265	)

The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the six months ended June 30, 2023.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	173,524,136		$	232,780,534
NAV end of period	$	180,916,531		$	239,938,853
Percentage change in NAV		4.3	%		3.1	%
Shares outstanding beginning of period		3,150,000			3,900,000
Shares outstanding end of period		3,100,000			4,250,000
Percentage change in shares outstanding		(1.6	)%		9.0	%
Shares created		450,000			1,600,000
Shares redeemed		500,000			1,250,000
Per share NAV beginning of period	$	55.09		$	59.69
Per share NAV end of period	$	58.36		$	56.46
Percentage change in per share NAV		5.9	%		(5.4	)%
Percentage change in benchmark		5.4	%		(1.5	)%
Benchmark annualized volatility		14.3	%		15.7	%

During the six months ended June 30, 2023, 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

166

times (2x) the daily performance of the Bloomberg Gold Subindex

SM

. The increase in the Fund’s NAV was offset by a decrease from 3,150,000 outstanding Shares at December 31, 2022 to 3,100,000 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,900,000 outstanding Shares at December 31, 2021 to 4,250,000 outstanding Shares at June 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 Bloomberg Gold Subindex

SM

.

For the six months ended June 30, 2023 and 2022, 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 5.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 5.4% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s rise of 5.4% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 1.5% for the six months ended June 30, 2022, can be attributed to an increase in the value of gold futures contracts during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Net investment income (loss)	$	2,715,295		$	(1,037,188	)
Management fee		901,375			1,387,563
Brokerage commission		15,540			35,723
Futures account fees		—			28,169
Net realized gain (loss)		27,968,003			(82,487	)
Change in net unrealized appreciation (depreciation)		(22,166,463	)		(19,849,468	)
Net Income (loss)	$	8,516,835		$	(20,969,143	)

The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to an increase in the value of futures prices, during the six months ended June 30, 2023.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	414,285,878		$	515,453,594
NAV end of period	$	356,791,659		$	355,577,515
Percentage change in NAV		(13.9	)%		(31.0	)%
Shares outstanding beginning of period		13,046,526			14,796,526
Shares outstanding end of period		13,196,526			14,346,526
Percentage change in shares outstanding		1.1	%		(3.0	)%
Shares created		2,600,000			1,800,000
Shares redeemed		2,450,000			2,250,000

167

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Per share NAV beginning of period	$	31.75		$	34.84
Per share NAV end of period	$	27.04		$	24.78
Percentage change in per share NAV		(14.8	)%		(28.9	)%
Percentage change in benchmark		(4.4	)%		(13.4	)%
Benchmark annualized volatility		25.8	%		28.2	%

During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex

SM

. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,196,526 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 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 also resulted in part from a decrease from 14,796,526 outstanding Shares at December 31, 2021 to 14,346,526 outstanding Shares at June 30, 2022.

For the six months ended June 30, 2023 and 2022, 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 14.8% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 28.9% for the six months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 4.4% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 13.4% for the six months ended June 30, 2022, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Net investment income (loss)	$	5,153,877		$	(1,823,952	)
Management fee		1,848,064			2,299,939
Brokerage commission		73,637			59,283
Futures account fees		—			26,693
Net realized gain (loss)		35,871,579			(39,558,312	)
Change in net unrealized appreciation (depreciation)		(96,665,222	)		(108,172,044	)
Net Income (loss)	$	(55,639,766	)	$	(149,554,308	)

The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a lesser decrease in the value of futures prices during the six months ended June 30, 2023.

168

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	639,318,362		$	816,679,636
NAV end of period	$	387,764,059		$	975,683,533
Percentage change in NAV		(39.3	)%		19.5	%
Shares outstanding beginning of period		9,307,842			6,582,842
Shares outstanding end of period		20,977,842			6,722,842
Percentage change in shares outstanding		125.4	%		2.1	%
Shares created		21,310,000			14,150,000
Shares redeemed		9,640,000			14,010,000
Per share NAV beginning of period	$	68.89		$	124.06
Per share NAV end of period	$	18.48		$	145.13
Percentage change in per share NAV		(73.1	)%		17.0	%
Percentage change in benchmark		(55.7	)%		21.6	%
Benchmark annualized volatility		58.0	%		88.1	%

During the six months ended June 30, 2023, 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 9,307,842 outstanding Shares at December 31, 2022 to 20,977,842 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 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 one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 6,582,842 outstanding Shares at December 31, 2021 to 6,722,842 outstanding Shares at June 30, 2022

For the six months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 73.1% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 17.0% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 55.7% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 21.6% for the six months ended June 30, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.

169

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Net investment income (loss)	$	4,722,827		$	(6,862,764	)
Management fee		2,703,851			4,254,915
Brokerage commission		1,490,212			1,906,969
Futures account fees		250,360			1,226,811
Net realized gain (loss)		(608,541,564	)		371,681,032
Change in net unrealized appreciation (depreciation)		(43,277,650	)		161,734,465
Net Income (loss)	$	(647,096,387	)	$	526,552,733

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of futures prices during the six months ended June 30, 2023.

* See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures ETF.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	13,814,796		$	2,362,849
NAV end of period	$	12,330,974		$	5,024,773
Percentage change in NAV		(10.7	)%		112.7	%
Shares outstanding beginning of period		399,970			49,970
Shares outstanding end of period		449,970			149,970
Percentage change in shares outstanding		12.5	%		200.1	%
Shares created		200,000			100,000
Shares redeemed		150,000			—
Per share NAV beginning of period	$	34.54		$	47.29
Per share NAV end of period	$	27.40		$	33.51
Percentage change in per share NAV		(20.7	)%		(29.2	)%
Percentage change in benchmark		(9.0	)%		(15.2	)%
Benchmark annualized volatility		10.8	%		9.5	%

During the six months ended June 30, 2023, 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. The decrease in the Fund’s NAV was offset by an increase from 399,970 outstanding Shares at December 31, 2022 to 449,970 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 149,970 outstanding Shares at June 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.

170

For the six months ended June 30, 2023 and 2022, 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 20.7% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 29.2% for the six months ended June 30, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 9.0% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 15.2% for the six months ended June 30, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Net investment income (loss)	$	179,208		$	(9,528	)
Management fee		55,890			13,465
Net realized gain (loss)		(1,068,950	)		(878,701	)
Change in net unrealized appreciation (depreciation)		(1,842,176	)		10,820
Net Income (loss)	$	(2,731,918	)	$	(877,409	)

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar, in conjunction with a significant increase in average shares outstanding during the six months ended June 30, 2023.

ProShares UltraShort Bloomberg Crude Oil

*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	222,697,337		$	114,167,602
NAV end of period	$	112,854,952		$	501,157,304
Percentage change in NAV		(49.3	)%		339.0	%
Shares outstanding beginning of period		9,305,220			1,776,760
Shares outstanding end of period		4,405,220			21,755,220
Percentage change in shares outstanding		(52.7	)%		1,124.4	%
Shares created		11,550,000			27,890,000
Shares redeemed		16,450,000			7,911,540
Per share NAV beginning of period	$	23.93		$	64.26
Per share NAV end of period	$	25.62		$	23.04
Percentage change in per share NAV		7.1	%		(64.2	)%
Percentage change in benchmark		(9.5	)%		45.9	%
Benchmark annualized volatility		31.7	%		41.9	%

During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,305,220 outstanding Shares at December 31, 2022 to 4,405,220 outstanding Shares at June 30, 2023. The

171

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 six months ended June 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 21,755,220 outstanding Shares at June 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

.

For the six months ended June 30, 2023 and 2022, 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 7.1% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 64.2% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets during the six months ended June 30, 2023.

The benchmark’s decline of 9.5% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 45.9% for the six months ended June 30, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023		Six Months Ended June 30, 2022
Net investment income (loss)	$	2,593,344	$	(1,435,665	)
Management fee		844,057		1,438,757
Brokerage commission		125,836		184,135
Futures account fees		—		155,979
Net realized gain (loss)		55,649,291		(209,076,101	)
Change in net unrealized appreciation (depreciation)		2,739,622		36,686,156
Net Income (loss)	$	60,982,257	$	(173,825,610	)

The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of WTI Crude Oil during the six months ended June 30, 2023.

* 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.

172

ProShares UltraShort Bloomberg Natural Gas

*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	134,109,520		$	242,145,130
NAV end of period	$	141,324,963		$	211,823,446
Percentage change in NAV		5.4	%		(12.5	)%
Shares outstanding beginning of period		4,966,856			978,742
Shares outstanding end of period		2,566,856			4,966,856
Percentage change in shares outstanding		(48.3	)%		407.5	%
Shares created		13,850,000			23,340,000
Shares redeemed		16,250,000			19,351,886
Per share NAV beginning of period	$	27.00		$	247.40
Per share NAV end of period	$	55.06		$	42.65
Percentage change in per share NAV		103.9	%		(82.8	)%
Percentage change in benchmark		(49.3	)%		48.9	%
Benchmark annualized volatility		69.2	%		80.3	%

During the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex

SM

. The increase in the Fund’s NAV was offset by a decrease from 4,966,856 outstanding Shares at December 31, 2022 to 2,566,856 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 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 the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex

SM

. The decrease in the Fund’s NAV was offset by an increase from 978,742 outstanding Shares at December 31, 2021 to 4,966,856 outstanding Shares at June 30, 2022.

For the six months ended June 30, 2023 and 2022, 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 103.9% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 82.8% for the six months ended June 30, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 49.3% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 48.9% for the six months ended June 30, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2023.

173

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Net investment income (loss)	$	1,432,850		$	(1,447,798	)
Management fee		599,136			1,053,068
Brokerage commission		443,288			365,858
Futures account fees		56,367			206,885
Net realized gain (loss)		232,143,809			(397,371,192	)
Change in net unrealized appreciation (depreciation)		(106,209,898	)		140,292,056
Net Income (loss)	$	127,366,761		$	(258,526,934	)

The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of Henry Hub Natural Gas during the six months ended June 30, 2023.

* 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 six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	75,113,179		$	54,263,045
NAV end of period	$	50,931,301		$	62,270,097
Percentage change in NAV		(32.2	)%		14.8	%
Shares outstanding beginning of period		2,550,000			2,100,000
Shares outstanding end of period		1,750,000			2,050,000
Percentage change in shares outstanding		(31.4	)%		(2.4	)%
Shares created		100,000			550,000
Shares redeemed		900,000			600,000
Per share NAV beginning of period	$	29.46		$	25.84
Per share NAV end of period	$	29.10		$	30.38
Percentage change in per share NAV		(1.2	)%		17.5	%
Percentage change in benchmark		1.9	%		(7.9	)%
Benchmark annualized volatility		8.0	%		8.8	%

During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at December 31, 2022 to 1,750,000 outstanding Shares at June 30, 2023. 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 euro versus the U.S. dollar. By comparison, during the six months ended June 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

174

spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 2,050,000 outstanding Shares at June 30, 2022.

For the six months ended June 30, 2023 and 2022, 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 1.2% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 17.5% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s rise of 1.9% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 7.9% for the six months ended June 30, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Net investment income (loss)	$	948,197		$	(209,974	)
Management fee		292,669			264,390
Net realized gain (loss)		(2,453,253	)		5,818,237
Change in net unrealized appreciation (depreciation)		697,680			3,308,479
Net Income (loss)	$	(807,376	)	$	8,916,742

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due an increase in the value of the euro versus the U.S. dollar during the six months ended June 30, 2023.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	15,456,037		$	26,859,844
NAV end of period	$	15,809,378		$	34,611,284
Percentage change in NAV		2.3	%		28.9	%
Shares outstanding beginning of period		496,977			846,977
Shares outstanding end of period		546,977			1,096,977
Percentage change in shares outstanding		10.1	%		29.5	%
Shares created		600,000			1,150,000
Shares redeemed		550,000			900,000
Per share NAV beginning of period	$	31.10		$	31.71
Per share NAV end of period	$	28.90		$	31.55
Percentage change in per share NAV		(7.1	)%		(0.5	)%
Percentage change in benchmark		5.4	%		(1.5	)%
Benchmark annualized volatility		14.3	%		15.7	%

175

During the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 496,977 outstanding Shares at December 31, 2022 to 546,977 outstanding Shares at June 30, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex

SM

. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 846,977 outstanding Shares at December 31, 2021 to 1,096,977 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted 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

.

For the six months ended June 30, 2023 and 2022, 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 7.1% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV decrease of 0.5% for the six months ended June 30, 2022, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s rise of 5.4% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 1.5% for the six months ended June 30, 2022, can be attributed to an increase in the value of gold futures contracts during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Net investment income (loss)	$	234,406		$	(120,396	)
Management fee		79,242			141,814
Brokerage commission		2,966			5,796
Futures account fees		—			2,446
Net realized gain (loss)		(2,584,032	)		(1,750,799	)
Change in net unrealized appreciation (depreciation)		2,103,219			2,318,730
Net Income (loss)	$	(246,407	)	$	447,535

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due an increase in the value of the futures prices during the six months ended June 30, 2023.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	31,932,799		$	26,537,000
NAV end of period	$	19,290,473		$	33,052,840
Percentage change in NAV		(39.6	)%		24.6	%
Shares outstanding beginning of period		1,641,329			991,329

176

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Shares outstanding end of period		941,329			1,041,329
Percentage change in shares outstanding		(42.6	)%		5.0	%
Shares created		3,100,000			1,800,000
Shares redeemed		3,800,000			1,750,000
Per share NAV beginning of period	$	19.46		$	26.77
Per share NAV end of period	$	20.49		$	31.74
Percentage change in per share NAV		5.3	%		18.6	%
Percentage change in benchmark		(4.4	)%		(13.4	)%
Benchmark annualized volatility		25.8	%		28.2	%

During the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,641,329 outstanding Shares at December 31, 2022 to 941,329 outstanding Shares at June 30, 2023. 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 the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex

SM

. By comparison, during the six months ended June 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 also resulted in part from the timing of shareholder activity, which was offset by an increase from 991,329 outstanding Shares at December 31, 2021 to 1,041,329 outstanding Shares at June 30, 2022.

For the six months ended June 30, 2023 and 2022, 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 5.3% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 18.6% for the six months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 4.4% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 13.4% for the six months ended June 30, 2022, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023		Six Months Ended June 30, 2022
Net investment income (loss)	$	366,566	$	(112,092	)
Management fee		142,585		123,334
Brokerage commission		14,661		11,978
Futures account fees		—		4,443
Net realized gain (loss)		3,826,313		2,037,296
Change in net unrealized appreciation (depreciation)		4,467,058		5,642,964
Net Income (loss)	$	8,659,937	$	7,568,168

The Fund’s net income increased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of futures prices during the six months ended June 30, 2023.

177

ProShares UltraShort Yen

*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	21,397,736		$	24,840,784
NAV end of period	$	27,077,656		$	45,568,882
Percentage change in NAV		26.5	%		83.4	%
Shares outstanding beginning of period		398,580			598,580
Shares outstanding end of period		398,580			798,580
Percentage change in shares outstanding		—	%		33.4	%
Shares created		450,000			850,000
Shares redeemed		450,000			650,000
Per share NAV beginning of period	$	53.68		$	41.50
Per share NAV end of period	$	67.94		$	57.06
Percentage change in per share NAV		26.6	%		37.5	%
Percentage change in benchmark		(9.0	)%		(15.2	)%
Benchmark annualized volatility		10.8	%		9.5	%

During the six months ended June 30, 2023, 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 December 31, 2022 to June 30, 2023. By comparison, during the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 598,580 outstanding Shares at December 31, 2021 to 798,580 outstanding Shares at June 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 Japanese yen versus the U.S. dollar.

For the six months ended June 30, 2023 and 2022, 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 26.6% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 37.5% for the six months ended June 30, 2022, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 9.0% for the six months ended June 30, 2023, as compared to the benchmark’s decline of 15.2% for the six months ended June 30, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2023.

178

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023		Six Months Ended June 30, 2022
Net investment income (loss)	$	350,563	$	(116,689	)
Management fee		108,991		153,001
Net realized gain (loss)		342,795		9,100,314
Change in net unrealized appreciation (depreciation)		5,004,524		70,535
Net Income (loss)	$	5,697,882	$	9,054,160

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2023.

* 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 Ultra Short Yen.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	84,014,959		$	112,875,680
NAV end of period	$	49,421,413		$	95,721,271
Percentage change in NAV		(41.2	)%		(15.2	)%
Shares outstanding beginning of period		2,762,403			3,687,403
Shares outstanding end of period		2,412,403			2,712,403
Percentage change in shares outstanding		(12.7	)%		(26.4	)%
Shares created		850,000			1,000,000
Shares redeemed		1,200,000			1,975,000
Per share NAV beginning of period	$	30.41		$	30.61
Per share NAV end of period	$	20.49		$	35.29
Percentage change in per share NAV		(32.6	)%		15.3	%
Percentage change in benchmark		(31.9	)%		16.5	%
Benchmark annualized volatility		30.2	%		34.9	%

During the six months ended June 30, 2023, 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 the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,762,403 outstanding Shares at December 31, 2022 to 2,412,403 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 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 2,712,403 outstanding Shares at June 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.

179

For the six months ended June 30, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 32.6% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 15.3% for the six months ended June 30, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 31.9% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 16.5% for the six months ended June 30, 2022, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Net investment income (loss)	$	969,651		$	(436,261	)
Management fee		284,189			426,247
Brokerage commission		21,369			40,369
Futures account fees		23,296			46,394
Net realized gain (loss)		(22,764,053	)		12,653,549
Change in net unrealized appreciation (depreciation)		(5,092,642	)		3,518,835
Net Income (loss)	$	(26,887,044	)	$	15,736,123

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of the futures prices during the six months ended June 30, 2023.

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
NAV beginning of period	$	266,580,320		$	269,703,164
NAV end of period	$	230,227,830		$	341,714,316
Percentage change in NAV		(13.6	)%		26.7	%
Shares outstanding beginning of period		4,676,565			3,566,565
Shares outstanding end of period		9,226,565			3,751,565
Percentage change in shares outstanding		97.3	%		5.2	%
Shares created		6,760,000			3,625,000
Shares redeemed		2,210,000			3,440,000
Per share NAV beginning of period	$	57.00		$	75.62
Per share NAV end of period	$	24.95		$	91.09
Percentage change in per share NAV		(56.2	)%		20.5	%
Percentage change in benchmark		(55.7	)%		21.6	%
Benchmark annualized volatility		58.0	%		88.1	%

180

During the six months ended June 30, 2023, 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 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 4,676,565 outstanding Shares at December 31, 2022 to 9,226,565 outstanding Shares at June 30, 2023. By comparison, during the six months ended June 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 the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 3,566,565 outstanding Shares at December 31, 2021 to 3,751,565 outstanding Shares at June 30, 2022.

For the six months ended June 30, 2023 and 2022, 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 56.2% for the six months ended June 30, 2023, as compared to the Fund’s per Share NAV increase of 20.4% for the six months ended June 30, 2022, was primarily due to deprecation in the value of the assets held by the Fund during the six months ended June 30, 2023.

The benchmark’s decline of 55.7% for the six months ended June 30, 2023, as compared to the benchmark’s rise of 21.6% for the six months ended June 30, 2022, can be attributed to a decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended June 30, 2023.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2023 and 2022:

	Six Months Ended June 30, 2023			Six Months Ended June 30, 2022
Net investment income (loss)	$	3,221,259		$	(1,804,892	)
Management fee		1,048,314			1,479,408
Brokerage commission		191,888			287,656
Futures account fees		99,391			316,440
Net realized gain (loss)		(173,336,606	)		77,393,009
Change in net unrealized appreciation (depreciation)		(20,173,227	)		33,152,396
Net Income (loss)	$	(190,288,574	)	$	108,740,513

The Fund’s net income decreased for the six months ended June 30, 2023 as compared to the six months ended June 30, 2022, primarily due a decrease in the value of the futures prices during the six months ended June 30, 2023.

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

181

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 June 30, 2023 and 2022, each of the Fund’s positions were as follows:

ProShares Short VIX Short-Term Futures ETF

As of June 30, 2023 and 2022, 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 June 30, 2023 and 2022, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Short	July 2023		5,241	$	15.01		1,000	$	(78,672,651	)
VIX Futures (Cboe)	Short	August 2023		3,810		16.40		1,000		(62,485,143	)
Futures Positions as of June 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Short	July 2022		3,652	$	28.56		1,000	$	(104,309,520	)
VIX Futures (Cboe)	Short	August 2022		3,346		29.18		1,000		(97,627,580	)

The June 30, 2023 and 2022 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.

182

ProShares Ultra Bloomberg Crude Oil:

As of June 30, 2023 and 2022, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and 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 June 30, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	September 2023		2,315	$	70.78		1,000	$	163,855,700
WTI Crude Oil (NYMEX)	Long	December 2023		2,393		70.40		1,000		168,467,200
WTI Crude Oil (NYMEX)	Long	June 2024		2,478		69.02		1,000		171,031,560

Swap Agreements as of June 30, 2023
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Commodity Balanced WTI Crude Oil Index	Citibank, N.A.	Long	$	76.6109	$	172,685,565
Bloomberg Commodity Balanced WTI Crude Oil Index	Goldman Sachs International	Long		76.6109		214,703,580
Bloomberg Commodity Balanced WTI Crude Oil Index	Morgan Stanley & Co. International PLC	Long		76.6109		179,707,950
Bloomberg Commodity Balanced WTI Crude Oil Index	Societe Generale	Long		76.6109		162,974,521
Bloomberg Commodity Balanced WTI Crude Oil Index	UBS AG	Long		76.6109		242,623,120

Futures Positions as of June 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	September 2022		2,204	$	103.10		1,000	$	227,232,400
WTI Crude Oil (NYMEX)	Long	December 2022		2,535		95.56		1,000		242,244,600
WTI Crude Oil (NYMEX)	Long	June 2023		2,688		87.62		1,000		235,522,560

Swap Agreements as of June 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	$	95.7921	$	215,921,141
Bloomberg Commodity Balanced WTI Crude Oil Index	Goldman Sachs International	Long		95.7921		321,089,755
Bloomberg Commodity Balanced WTI Crude Oil Index	Morgan Stanley & Co. International PLC	Long		95.7921		373,984,332
Bloomberg Commodity Balanced WTI Crude Oil Index	Societe Generale	Long		95.7921		203,778,726
Bloomberg Commodity Balanced WTI Crude Oil Index	UBS AG	Long		95.7921		303,369,078

183

The June 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2023 and 2022 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 June 30, 2023 and 2022, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts and swap agreements linked to the Bloomberg Natural Gas Subindex. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Long	September 2023		71,349	$	2.77		10,000	$	1,979,221,260

Swap Agreements as of June 30, 2023
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Natural Gas Subindex	Citibank, N.A.	Long	$	0.0892	$	148,091,216
Bloomberg Natural Gas Subindex	Goldman Sachs International	Long		0.0892		101,183,890
Bloomberg Natural Gas Subindex	Societe General	Long		0.0892		52,717,728
Bloomberg Natural Gas Subindex	UBS AG	Long		0.0892		810,173

Futures Positions as of June 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Long	September 2022		6,954	$	5.39		10,000	$	374,959,680

The June 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2023 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, 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.

184

ProShares Ultra Euro:

As of June 30, 2023 and 2022, 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 June 30, 2023 and 2022, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2023

Reference Currency

Counterparty

Long or Short

Settlement Date

Local Currency

Forward Rate

Market Value USD

Euro

Goldman Sachs International

Long

07/14/23

7,784,921

1.0754

$

8,372,037

Euro

UBS AG

Long

07/14/23

7,204,502

1.0765

7,755,419

Euro

Goldman Sachs International

Short

07/14/23

(93,000

)

1.0899

(101,361

)

Euro

UBS AG

Short

07/14/23

(1,152,000

)

1.0907

(1,256,509

)

Foreign Currency Forward Contracts as of June 30, 2022

Reference Currency

Counterparty

Long or Short

Settlement Date

Local Currency

Forward Rate

Market Value USD

Euro

Goldman Sachs International

Long

07/08/22

4,532,921

1.0752

$

4,873,797

Euro

UBS AG

Long

07/08/22

14,836,502

1.0632

15,774,356

Euro

UBS AG

Short

07/08/22

(1,446,000

)

1.0601

(1,532,970

)

The June 30, 2023 and 2022 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 June 30, 2023 and 2022 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 June 30, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Long	August 2023		530	$	1,929.40		100	$	102,258,200

Swap Agreements as of June 30, 2023
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Long	$	201.2774	$	111,454,930
Bloomberg Gold Subindex	Goldman Sachs International	Long		201.2774		52,937,566
Bloomberg Gold Subindex	UBS AG	Long		201.2774		95,175,948

185

Futures Positions as of June 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Long	August 2022		954	$	1,807.30		100	$	172,416,420

Swap Agreements as of June 30, 2022
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Long	$	197.5387	$	109,384,670
Bloomberg Gold Subindex	Goldman Sachs International	Long		197.5387		84,543,271
Bloomberg Gold Subindex	UBS AG	Long		197.5387		113,788,925

The June 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2023 and 2022 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 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 June 30, 2023 and 2022 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 June 30, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Long	September 2023		2,047	$	23.02		5,000	$	235,609,700

Swap Agreements as of June 30, 2023
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Long	$	198.4659	$	166,412,438
Bloomberg Silver Subindex	Goldman Sachs International	Long		198.4659		21,984,663
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Long		198.4659		149,157,444
Bloomberg Silver Subindex	UBS AG	Long		198.4659		140,386,283

Futures Positions as of June 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Long	September 2022		773	$	20.35		5,000	$	78,660,480

186

Swap Agreements as of June 30, 2022
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Long	$	182.7827	$	153,262,171
Bloomberg Silver Subindex	Goldman Sachs International	Long		182.7827		177,466,859
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Long		182.7827		168,307,407
Bloomberg Silver Subindex	UBS AG	Long		182.7827		134,298,894

The June 30, 2023 and 2022 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2023 and 2022 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 generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra VIX Short-Term Futures ETF

As of June 30, 2023 and 2022, the ProShares Ultra 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 these Financial Instruments as of June 30, 2023 and 2022, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	July 2023		21,591	$	15.01		1,000	$	324,102,501
VIX Futures (Cboe)	Long	August 2023		15,704		16.40		1,000		257,550,311

Futures Positions as of June 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	July 2022		26,481	$	28.56		1,000	$	756,358,266
VIX Futures (Cboe)	Long	August 2022		24,277		29.18		1,000		708,339,740

The June 30, 2023 and 2022 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 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

187

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 June 30, 2023 and 2022, 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 June 30, 2023 and 2022, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2023
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		07/14/23		1,507,359,517			0.007217	$	10,877,886
Yen	UBS AG	Long		07/14/23		2,188,352,856			0.007161		15,670,467
Yen	Goldman Sachs International	Short		07/14/23		(1,461	)		0.006844		(10	)
Yen	UBS AG	Short		07/14/23		(158,537,000	)		0.007066		(1,120,148	)

Foreign Currency Forward Contracts as of June 30, 2022

Reference Currency

Counterparty

Long or Short

Settlement Date

Local Currency

Forward Rate

Market Value USD

Yen

Goldman Sachs International

Long

07/08/22

333,241,517

0.007476

$

2,491,153

Yen

UBS AG

Long

07/08/22

1,080,855,856

0.007414

8,013,151

Yen

UBS AG

Short

07/08/22

(54,170,000

)

0.007409

(401,369

)

The June 30, 2023 and 2022 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 June 30, 2023 and 2022, 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 June 30, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	September 2023		1,038	$	70.78		1,000	$	(73,469,640	)
WTI Crude Oil (NYMEX)	Short	December 2023		1,073		70.40		1,000		(75,539,200	)
WTI Crude Oil (NYMEX)	Short	June 2024		1,111		69.02		1,000		(76,681,220	)

188

Futures Positions as of June 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	September 2022		3,134	$	103.10		1,000	$	(323,115,400	)
WTI Crude Oil (NYMEX)	Short	December 2022		3,605		95.56		1,000		(344,493,800	)
WTI Crude Oil (NYMEX)	Short	June 2023		3,824		87.62		1,000		(335,058,880	)

The June 30, 2023 and 2022 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 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.

ProShares UltraShort Bloomberg Natural Gas:

As of June 30, 2023 and 2022, 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 June 30, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	September 2023		10,189	$	2.77		10,000	$	(282,642,860	)
Futures Positions as of June 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	September 2022		7,871	$	5.39		10,000	$	(424,404,320	)

The June 30, 2023 and 2022 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.

189

ProShares UltraShort Euro:

As of June 30, 2023 and 2022, 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 June 30, 2023 and 2022, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2023
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		07/14/23		4,446,000			1.1002	$	4,891,387
Euro	UBS AG	Long		07/14/23		12,460,000			1.0897		13,577,549
Euro	Goldman Sachs International	Short		07/14/23		(51,941,263	)		1.0759		(55,884,697	)
Euro	UBS AG	Short		07/14/23		(58,308,199	)		1.0763		(62,758,994	)
Foreign Currency Forward Contracts as of June 30, 2022
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		07/08/22		12,080,000			1.0563	$	12,760,213
Euro	UBS AG	Long		07/08/22		12,060,000			1.0551		12,724,426
Euro	Goldman Sachs International	Short		07/08/22		(51,635,263	)		1.0740		(55,457,155	)
Euro	UBS AG	Short		07/08/22		(91,489,199	)		1.0702		(97,911,917	)

The June 30, 2023 and 2022 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 June 30, 2023 and 2022 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 June 30, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2023

Contract

Long or Short

Expiration

Contracts

Valuation Price

Contract Multiplier

Notional Amount at Value

Gold Futures (COMEX)

Short

August 2023

79

$

1,929.40

100

$

(15,242,260

)

190

Swap Agreements as of June 30, 2023
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Short	$	201.2774	$	(3,783,471	)
Bloomberg Gold Subindex	Goldman Sachs International	Short		201.2774		(4,958,670	)
Bloomberg Gold Subindex	UBS AG	Short		201.2774		(7,669,707	)

Futures Positions as of June 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	August 2022		184	$	1,807.30		100	$	(33,254,320	)

Swap Agreements as of June 30, 2022
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.	Short	$	197.5387	$	(14,809,140	)
Bloomberg Gold Subindex	Goldman Sachs International	Short		197.5387		(9,688,247	)
Bloomberg Gold Subindex	UBS AG	Short		197.5387		(11,585,084	)

The June 30, 2023 and 2022 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2023 and 2022 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 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 June 30, 2023 and 2022 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 June 30, 2023 and 2022, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2023

Contract

Long or Short

Expiration

Contracts

Valuation Price

Contract Multiplier

Notional Amount at Value

Silver Futures (COMEX)

Short

September 2023

139

$

23.02

5,000

$

(15,998,900

)

191

Swap Agreements as of June 30, 2023
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Short	$	198.4659	$	(2,676,258	)
Bloomberg Silver Subindex	Goldman Sachs International	Short		198.4659		(9,749,240	)
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Short		198.4659		(7,708,614	)
Bloomberg Silver Subindex	UBS AG	Short		198.4659		(2,464,968	)

Futures Positions as of June 30, 2022

Contract

Long or Short

Expiration

Contracts

Valuation Price

Contract Multiplier

Notional Amount at Value

Silver Futures (COMEX)

Short

September 2022

445

$

20.35

5,000

$

(45,283,200

)

Swap Agreements as of June 30, 2022
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.	Short	$	182.7827	$	(2,464,774	)
Bloomberg Silver Subindex	Goldman Sachs International	Short		182.7827		(8,978,838	)
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC	Short		182.7827		(7,099,463	)
Bloomberg Silver Subindex	UBS AG	Short		182.7827		(2,270,181	)

The June 30, 2023 and 2022 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2023 and 2022 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 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 June 30, 2023 and 2022, 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 June 30, 2023 and 2022, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2023
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	UBS AG	Long		07/14/23		1,228,677,000			0.007157	$	8,793,482
Yen	Goldman Sachs International	Short		07/14/23		(3,428,392,165	)		0.007206		(24,704,991	)
Yen	UBS AG	Short		07/14/23		(5,596,567,574	)		0.007187		(40,224,318	)

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Foreign Currency Forward Contracts as of June 30, 2022
Reference Currency	Counterparty	Long or Short	Settlement Date	Local Currency			Forward Rate		Market Value USD
Yen	UBS AG	Long	07/08/22		1,505,180,000			0.007476	$	11,252,838
Yen	Goldman Sachs International	Short	07/08/22		(1,658,463,165	)		0.007476		(12,389,197	)
Yen	UBS AG	Short	07/08/22		(12,207,008,574	)		0.007451		(90,956,530	)

The June 30, 2023 and 2022 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

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

period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares VIX Mid-Term Futures ETF

As of June 30, 2023 and 2022, 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 June 30, 2023 and 2022, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	October 2023		501	$	18.35		1,000	$	9,192,799
VIX Futures (Cboe)	Long	November 2023		865		18.85		1,000		16,305,250
VIX Futures (Cboe)	Long	December 2023		865		19.15		1,000		16,564,750
VIX Futures (Cboe)	Long	January 2024		364		20.20		1,000		7,352,800

Futures Positions as of June 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	October 2022		569	$	29.78		1,000	$	16,944,251
VIX Futures (Cboe)	Long	November 2022		1,089		29.52		1,000		32,144,884
VIX Futures (Cboe)	Long	December 2022		1,090		28.81		1,000		31,400,611
VIX Futures (Cboe)	Long	January 2023		521		29.60		1,000		15,420,610

The June 30, 2023 and 2022 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.

193

ProShares VIX Short-Term Futures ETF

As of June 30, 2023 and 2022, 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 June 30, 2023 and 2022, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2023
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	July 2023		8,545	$	15.01		1,000	$	128,268,995
VIX Futures (Cboe)	Long	August 2023		6,216		16.40		1,000		101,944,265

Futures Positions as of June 30, 2022
Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)	Long	July 2022		6,185	$	28.56		1,000	$	176,657,825
VIX Futures (Cboe)	Long	August 2022		5,672		29.18		1,000		165,494,213

The June 30, 2023 and 2022 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.

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) 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.

194

Primary Market Risk Exposure

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

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

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

Commodity Price Sensitivity

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

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

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in 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.

195

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, -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 in “Note 2 —Significant Accounting Policies —Final Net Asset Value for Fiscal Period” ), 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 creation/redemption 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. 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).

196

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 June 30, 2023, 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 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 June 30, 2023 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.

197

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

As of June 30, 2023, the Trust is not a party to any material legal proceedings.

Item 1A. Risk Factors.

Regulatory and exchange accountability levels may restrict the creation of Creation Units and the operation of the Trust

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.

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

The onset of the novel coronavirus (COVID-19) and its variants 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 if reimposed, a severe economic impact on global economies as economic activity in some instances has essentially ceased.

As the hospitalization rates and COVID-related deaths continue to fall, the severity of lockdowns and restrictive policies relative to the onset of the COVID-19 pandemic will decrease as the situation gradually improves. Currently the bear market continues to recover from the lockdowns and restrictions that brought economic strain to several industries. 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. Currently, crude oil prices have increased since the onset of the COVID-19 pandemic. As countries around the world are currently rolling back or eliminating COVID-related restrictions, the demand for oil is expected to increase. For example, China’s ongoing COVID restrictions are expected to be removed and altered, which is expected to increase the demand for crude oil among consumers.

On February 24, 2022, Russia commenced a military attack on Ukraine. The ongoing of hostilities between the two countries could result in additional widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. As the war continues sanctions on Russian exports 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.

198

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

Natural Disasters and Public Health Disruptions, such as the COVID-19 Pandemic, 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, COVID-19 including its variants), have been and may continue to be highly disruptive to economies and markets. These conditions have 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, civil unrest, 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. To attempt to curb the spread of COVID-19, federal, state, and local governments introduced various forms of vaccine and mask mandates, lockdowns, curfews, and other policy initiatives. However, several of the federal mandates were rolled back or eliminated entirely due to actions taken within the courts. In response to COVID’s shock to the labor market and economy overall. The government drastically increased its federal spending for COVID-related relief packages, which came in the form of increases in unemployment insurance and stimulus packages. 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 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. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margins and collateral requirements in ways that have a significant negative impact on Fund performance r 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 transaction 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 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.

The outbreak of COVID-19 (including any variants), or any future epidemic or pandemic similar to COVID-19, SARS, H1N1, or MERS, could have a significant adverse impact on the Funds and their investments, could adversely affect the Funds’ ability to fulfill its investment objectives, and could result in significant losses to the Funds. The extent of the impact of any outbreak on the performance of the Funds and their investments depend on many factors, including the duration and scope of such outbreak, the development and distribution of treatments and vaccines for viruses such as COVID-19, the extent of any such outbreak’s disruption to important

199

global, regional and local supply chains and economic markets, and the impact of such outbreak on overall supply and demand, investor liquidity, consumer confidence and levels of economic activity, all of which are highly uncertain and cannot be predicted.

Additionally, public health issues, war (such as the war between Russia and Ukraine), military conflicts, sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. 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, and the value of an investment in the Fund may decline significantly.

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 June 30, 2023:

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
	04/01/23 to 04/30/23		1,600,000	$	67.92
	05/01/23 to 05/31/23		—	$	—
	06/01/23 to 06/30/23		250,000	$	77.20
ProShares Ultra Bloomberg Crude Oil
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		7,050,000	$	29.30
	05/01/23 to 05/31/23		4,000,000	$	24.62
	06/01/23 to 06/30/23		4,000,000	$	23.93
ProShares Ultra Bloomberg Natural Gas (Note 1)
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		4,330,000	$	71.01
	05/01/23 to 05/31/23		3,927,500	$	66.99
	06/01/23 to 06/30/23		4,567,500	$	62.93
ProShares Ultra Euro
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		—	$	—
	05/01/23 to 05/31/23		50,000	$	11.39
	06/01/23 to 06/30/23		50,000	$	11.58
ProShares Ultra Gold
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		—	$	—
	05/01/23 to 05/31/23		50,000	$	66.13
	06/01/23 to 06/30/23		100,000	$	59.90
ProShares Ultra Silver
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		900,000	$	32.70
	05/01/23 to 05/31/23		50,000	$	34.48
	06/01/23 to 06/30/23		350,000	$	29.61

200

Title of Securities Registered *		Total Number of Shares Redeemed		Average Price Per Share
ProShares Ultra VIX Short-Term Futures ETF (Note 1)
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		—	$	—
	05/01/23 to 05/31/23		3,300,000	$	37.71
	06/01/23 to 06/30/23		250,000	$	23.78
ProShares Ultra Yen
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		—	$	—
	05/01/23 to 05/31/23		—	$	—
	06/01/23 to 06/30/23		—	$	—
ProShares UltraShort Bloomberg Crude Oil
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		2,000,000	$	24.48
	05/01/23 to 05/31/23		3,400,000	$	27.40
	06/01/23 to 06/30/23		2,200,000	$	26.97
ProShares UltraShort Bloomberg Natural Gas
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		1,950,000	$	75.15
	05/01/23 to 05/31/23		2,850,000	$	73.12
	06/01/23 to 06/30/23		1,300,000	$	71.98
ProShares UltraShort Euro
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		50,000	$	28.73
	05/01/23 to 05/31/23		150,000	$	28.30
	06/01/23 to 06/30/23		100,000	$	28.87
ProShares UltraShort Gold
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		—	$	—
	05/01/23 to 05/31/23		150,000	$	26.27
	06/01/23 to 06/30/23		200,000	$	28.48
ProShares UltraShort Silver
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		250,000	$	17.03
	05/01/23 to 05/31/23		1,550,000	$	19.17
	06/01/23 to 06/30/23		800,000	$	19.97
ProShares UltraShort Yen
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		150,000	$	56.19
	05/01/23 to 05/31/23		100,000	$	60.30
	06/01/23 to 06/30/23		50,000	$	63.75
ProShares VIX Mid-Term Futures ETF
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		125,000	$	27.25
	05/01/23 to 05/31/23		—	$	—
	06/01/23 to 06/30/23		550,000	$	22.52
ProShares VIX Short-Term Futures ETF (Note 1)
Common Units of Beneficial Interest
	04/01/23 to 04/30/23		—	$	—
	05/01/23 to 05/31/23		170,000	$	38.52
	06/01/23 to 06/30/23		85,000	$	29.40

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

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

No officers or trustees of the Trust have adopted, modified or terminated trading plans under either a

Rule 10b5-1

trading arrangement (as such terms are defined in item 408 of Regulation S-K under the Securities Act of 1933, as amended) for the three month period ended June 30, 2023.

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)
	Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted
32.1*	Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
32.2*	Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
101.INS	XBRL Instance Document (1)
101.SCH	XBRL Taxonomy Extension Schema (1)
101.CAL	XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF	XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB	XBRL Taxonomy Extension Label Linkbase (1)
101.PRE	XBRL Taxonomy Extension Presentation Linkbase (1)
	Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL
104.1	tags are embedded within the inline XBRL document.

(1) Filed herewith.

* These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing.

202

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: August 8, 2023

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial and Accounting Officer

Date: August 8, 2023

203