Equibles

10-Q

ProShares Trust II (AGQ)

10-Q 2023-11-06 For: 2023-09-30
View Original
Added on April 06, 2026

Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

☒ Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended September 30, 2023.

or

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

for the transition period from

to

.

Commission file number: 001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

Delaware 87-6284802
(State or other jurisdiction of<br> <br>incorporation or organization) (I.R.S. Employer<br> <br>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<br> <br>Symbol(s) Name of each<br> <br>exchange on<br> <br>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 <br>Mid-Term<br> 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 November 2 , 2023, the registrant had 106,289,214 shares of common stock, $0 par value per share, outstanding.

Table of Contents

PROSHARES TRUST II

Table of Contents

Page
Part I. FINANCIAL INFORMATION
Item 1. Financial Statements 2
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 126
Item 3. Quantitative and Qualitative Disclosures About Market Risk 172
Item 4. Controls and Procedures 185
Part II. OTHER INFORMATION
Item 1. Legal Proceedings 187
Item 1A. Risk Factors 187
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 188
Item 3. Defaults Upon Senior Securities 190
Item 4. Mine Safety Disclosures 190
Item 5. Other Information 190
Item 6. Exhibits 191

Table of Contents

Part I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Index

Documents Page
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows: 1
ProShares Short VIX Short-Term Futures ETF 2
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

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(unaudited) December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $104,655,954 and $144,283,581, respectively) $ 104,670,946 $ 144,307,676
Cash 50,012,847 6,852,395
Segregated cash balances with brokers for futures contracts 96,778,870 127,094,546
Receivable on open futures contracts 12,792,560 67,086,947
Interest receivable 275,091 475,930
Total assets 264,530,314 345,817,494
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed — 5,861,814
Payable on open futures contracts 2,625,055 —
Brokerage commissions and futures account fees payable 8,960 21,576
Payable to Sponsor 197,552 342,466
Total liabilities 2,831,567 6,225,856
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 261,698,747 339,591,638
Total liabilities and shareholders’ equity $ 264,530,314 $ 345,817,494
Shares outstanding 3,034,307 5,784,307
Net asset value per share $ 86 .25 $ 58 .71
Market value per share (Note 2) $ 86 .34 $ 58 .68

See accompanying notes to financial statements.

1

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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Value
Short-term U.S. government and agency obligations
(40% of shareholders’ equity)
U.S. Treasury Bills^^:
5.407% due 10/10/23 20,000,000 $ 19,976,556
5.478% due 10/17/23 45,000,000 44,900,905
5.499% due 10/24/23 15,000,000 14,951,600
5.490% due 11/14/23 25,000,000 24,841,885
Total short-term U.S. government and agency obligations (cost 104,655,954) $ 104,670,946

All values are in US Dollars.

Futures Contracts Sold

Number of<br><br> <br>Contracts Notional Amount<br><br> <br>at Value Unrealized<br> Appreciation<br> (Depreciation)/Value
VIX Futures - Cboe, expires October 2023 4,373 $ 77,713,457 $ (1,730,931 )
VIX Futures - Cboe, expires November 2023 2,906 53,023,748 (656,454 )
$ (2,387,385 )
^^ Rates shown represent discount rate at the time of purchase.
--- ---

See accompanying notes to financial statements.

2

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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 2,624,180 $ 1,006,499 $ 7,170,512 $ 1,325,976
Expenses
Management fee 634,871 914,054 1,817,684 2,934,952
Brokerage commissions 137,943 152,661 387,868 517,911
Futures account fees — 23,966 — 348,217
Non-recurring<br> fees and expenses — 6,122 — 6,122
Total expenses 772,814 1,096,803 2,205,552 3,807,202
Net investment income (loss) 1,851,366 (90,304 ) 4,964,960 (2,481,226 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts 30,285,319 27,694,574 125,117,609 (26,435,234 )
Short-term U.S. government and agency obligations 4 — (25,807 ) (86,512 )
Net realized gain (loss) 30,285,323 27,694,574 125,091,802 (26,521,746 )
Change in net unrealized appreciation (depreciation) on
Futures contracts (26,316,590 ) (17,783,632 ) (13,479,766 ) (47,541,296 )
Short-term U.S. government and agency obligations (557 ) 313,442 (9,103 ) (138,767 )
Change in net unrealized appreciation (depreciation) (26,317,147 ) (17,470,190 ) (13,488,869 ) (47,680,063 )
Net realized and unrealized gain (loss) 3,968,176 10,224,384 111,602,933 (74,201,809 )
Net income (loss) $ 5,819,542 $ 10,134,080 $ 116,567,893 $ (76,683,035 )

See accompanying notes to financial statements.

3

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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 282,353,267 $ 403,644,956 $ 339,591,638 $ 423,812,594
Addition of 650,000, 450,000, 3,650,000 and 5,050,000 shares, respectively 56,262,968 23,538,063 241,582,456 255,975,394
Redemption of 950,000, 2,200,000, 6,400,000 and 5,300,000 shares, respectively (82,737,030 ) (115,486,048 ) (436,043,240 ) (281,273,902 )
Net addition (redemption) of (300,000), (1,750,000), (2,750,000) and (250,000) shares, respectively (26,474,062 ) (91,947,985 ) (194,460,784 ) (25,298,508 )
Net investment income (loss) 1,851,366 (90,304 ) 4,964,960 (2,481,226 )
Net realized gain (loss) 30,285,323 27,694,574 125,091,802 (26,521,746 )
Change in net unrealized appreciation (depreciation) (26,317,147 ) (17,470,190 ) (13,488,869 ) (47,680,063 )
Net income (loss) 5,819,542 10,134,080 116,567,893 (76,683,035 )
Shareholders’ equity, end of period $ 261,698,747 $ 321,831,051 $ 261,698,747 $ 321,831,051

See accompanying notes to financial statements.

4

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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ 116,567,893 $ (76,683,035 )
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 (584,136,375 ) (1,119,341,677 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 626,824,736 1,130,832,801
Net amortization and accretion on short-term U.S. government and agency obligations (3,086,541 ) (491,158 )
Net realized (gain) loss on investments 25,807 86,512
Change in unrealized (appreciation) depreciation on investments 9,103 138,767
Decrease (Increase) in receivable on open futures contracts 54,294,387 21,641,411
Decrease (Increase) in interest receivable 200,839 (231,733 )
Increase (Decrease) in payable to Sponsor (144,914 ) 256,789
Increase (Decrease) in brokerage commissions and futures account fees payable (12,616 ) (95,868 )
Increase (Decrease) in payable on open futures contracts 2,625,055 2,882,905
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 6,122
Net cash provided by (used in) operating activities 213,167,374 (40,998,164 )
Cash flow from financing activities
Proceeds from addition of shares 241,582,456 255,975,394
Payment on shares redeemed (441,905,054 ) (287,399,032 )
Net cash provided by (used in) financing activities (200,322,598 ) (31,423,638 )
Net increase (decrease) in cash 12,844,776 (72,421,802 )
Cash, beginning of period 133,946,941 183,010,984
Cash, end of period $ 146,791,717 $ 110,589,182

See accompanying notes to financial statements.

5

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PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(unaudited) December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $264,043,695 and $313,413,683, respectively) $ 264,081,088 $ 313,465,007
Cash 26,232,492 224,296,858
Segregated cash balances with brokers for futures contracts 31,197,841 76,813,658
Segregated cash balances with brokers for swap agreements 283,449,745 175,489,745
Unrealized appreciation on swap agreements 11,240,991 74,159,577
Receivable on open futures contracts — 8,466,027
Interest receivable 337,421 618,549
Total assets 616,539,578 873,309,421
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed 8,912,592 13,545,014
Payable on open futures contracts 2,980,155 —
Brokerage commissions and futures account fees payable 2,674 7,154
Payable to Sponsor 519,825 662,979
Total liabilities 12,415,246 14,215,147
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 604,124,332 859,094,274
Total liabilities and shareholders’ equity $ 616,539,578 $ 873,309,421
Shares outstanding 17,143,096 28,393,096
Net asset value per share $ 35 .24 $ 30 .26
Market value per share (Note 2) $ 35 .28 $ 30 .31

See accompanying notes to financial statements.

6

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PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Value
Short-term U.S. government and agency obligations
(44% of shareholders’ equity)
U.S. Treasury Bills^^:
5.407% due 10/10/23 50,000,000 $ 49,941,390
5.478% due 10/17/23 90,000,000 89,801,811
5.499% due 10/24/23† 50,000,000 49,838,665
5.490% due 11/14/23 50,000,000 49,683,770
5.497% due 11/21/23 25,000,000 24,815,452
Total short-term U.S. government and agency obligations (cost 264,043,695) $ 264,081,088

All values are in US Dollars.

Futures Contracts Purchased

Number of<br><br> <br>Contracts Notional Amount<br><br> <br>at Value Unrealized<br> Appreciation<br> (Depreciation)/Value
WTI Crude Oil - NYMEX, expires December 2023 879 $ 78,055,200 $ 14,366,865
WTI Crude Oil - NYMEX, expires June 2024 920 74,630,400 10,551,545
WTI Crude Oil - NYMEX, expires December 2024 956 74,434,160 (188,490 )
$ 24,729,920

Total Return Swap Agreements ^

Rate Paid<br><br> <br>(Received)<br>* Termination<br><br> <br>Date Notional Amount<br><br> <br>at Value<br>** Unrealized<br><br> <br>Appreciation<br><br> <br>(Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 % 10/06/23 $ 210,901,349 $ 1,869,634
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 10/06/23 262,218,064 2,324,555
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 10/06/23 151,363,911 1,607,761
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.25 10/06/23 199,041,224 1,776,923
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.30 10/06/23 157,428,427 3,662,118
Total Unrealized <br>Appreciation $ 11,240,991
† All or partial amount pledged as collateral for swap agreements.
--- ---
^ The positions and counterparties herein are as of September 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 September 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.

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PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 5,340,428 $ 2,391,191 $ 17,226,428 $ 3,964,082
Expenses
Management fee 1,629,737 2,118,088 5,249,353 8,301,804
Brokerage commissions 51,162 85,906 239,809 421,657
Futures account fees — 19,466 — 381,754
Non-recurring<br> fees and expenses — 13,739 — 13,739
Total expenses 1,680,899 2,237,199 5,489,162 9,118,954
Net investment income (loss) 3,659,529 153,992 11,737,266 (5,154,872 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts 45,265,209 (58,028,223 ) 85,471,042 452,879,319
Swap agreements 199,284,914 (286,550,709 ) 168,504,091 365,260,911
Short-term U.S. government and agency obligations 120 — (59,258 ) (7,789 )
Net realized gain (loss) 244,550,243 (344,578,932 ) 253,915,875 818,132,441
Change in net unrealized appreciation (depreciation) on
Futures contracts 15,311,614 (62,302,727 ) (1,561,796 ) (151,303,453 )
Swap agreements 12,933,232 28,330,957 (62,918,586 ) (187,884,491 )
Short-term U.S. government and agency obligations (67,874 ) 723,596 (13,931 ) (268,326 )
Change in net unrealized appreciation (depreciation) 28,176,972 (33,248,174 ) (64,494,313 ) (339,456,270 )
Net realized and unrealized gain (loss) 272,727,215 (377,827,106 ) 189,421,562 478,676,171
Net income (loss) $ 276,386,744 $ (377,673,114 ) $ 201,158,828 $ 473,521,299

See accompanying notes to financial statements.

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PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 738,194,368 $ 1,060,867,238 $ 859,094,274 $ 1,103,783,570
Addition of –, 10,400,000, 34,650,000 and 20,700,000 shares, respectively — 335,779,871 812,713,784 738,516,557
Redemption of 13,950,000, 8,250,000, 45,900,000 and 44,300,000 shares, respectively (410,456,780 ) (294,378,733 ) (1,268,842,554 ) (1,591,226,164 )
Net addition (redemption) of (13,950,000), 2,150,000, (11,250,000) and (23,600,000) shares, respectively (410,456,780 ) 41,401,138 (456,128,770 ) (852,709,607 )
Net investment income (loss) 3,659,529 153,992 11,737,266 (5,154,872 )
Net realized gain (loss) 244,550,243 (344,578,932 ) 253,915,875 818,132,441
Change in net unrealized appreciation (depreciation) 28,176,972 (33,248,174 ) (64,494,313 ) (339,456,270 )
Net income (loss) 276,386,744 (377,673,114 ) 201,158,828 473,521,299
Shareholders’ equity, end of period $ 604,124,332 $ 724,595,262 $ 604,124,332 $ 724,595,262

See accompanying notes to financial statements.

9

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PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ 201,158,828 $ 473,521,299
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 (9,133,783,770 ) (13,891,053,120 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 9,194,559,106 14,207,412,141
Net amortization and accretion on short-term U.S. government and agency obligations (11,464,606 ) (2,942,264 )
Net realized (gain) loss on investments 59,258 7,789
Change in unrealized (appreciation) depreciation on investments 62,932,517 188,152,817
Decrease (Increase) in receivable on open futures contracts 8,466,027 (891,736 )
Decrease (Increase) in interest receivable 281,128 (317,244 )
Increase (Decrease) in payable to Sponsor (143,154 ) 493,818
Increase (Decrease) in brokerage commissions and futures account fees payable (4,480 ) (18,209 )
Increase (Decrease) in payable on open futures contracts 2,980,155 (22,405,789 )
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 13,739
Net cash provided by (used in) operating activities 325,041,009 951,973,241
Cash flow from financing activities
Proceeds from addition of shares 812,713,784 738,516,557
Payment on shares redeemed (1,273,474,976 ) (1,574,816,957 )
Net cash provided by (used in) financing activities (460,761,192 ) (836,300,400 )
Net increase (decrease) in cash (135,720,183 ) 115,672,841
Cash, beginning of period 476,600,261 217,287,389
Cash, end of period $ 340,880,078 $ 332,960,230

See accompanying notes to financial statements.

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PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(unaudited) December 31,<br> 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $303,815,641 and $263,209,299, respectively) $ 303,858,387 $ 263,260,158
Cash 24,873,663 13,689,494
Segregated cash balances with brokers for futures contracts 379,123,011 163,045,170
Segregated cash balances with brokers for swap agreements 74,778,263 —
Receivable on open futures contracts 126,823,271 149,650,221
Interest receivable 1,484,336 653,922
Total assets 910,940,931 590,298,965
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed 32,487,150 1,826,653
Payable on open futures contracts 5,930,098 1,835,443
Brokerage commissions and futures account fees payable 36,861 35,242
Payable to Sponsor 709,247 450,514
Unrealized depreciation on swap agreements 1,438,294 —
Total liabilities 40,601,650 4,147,852
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 870,339,281 586,151,113
Total liabilities and shareholders’ equity $ 910,940,931 $ 590,298,965
Shares outstanding (Note 1) 16,118,544 1,614,376
Net asset value per share (Note 1) $ 54 .00 $ 363 .08
Market value per share (Note 1) (Note 2) $ 54 .38 $ 355 .60

See accompanying notes to financial statements.

11

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PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Value
Short-term U.S. government and agency obligations
(35% of shareholders’ equity)
U.S. Treasury Bills^^:
5.407% due 10/10/23 50,000,000 $ 49,941,390
5.478% due 10/17/23 100,000,000 99,779,790
5.499% due 10/24/23† 55,000,000 54,822,532
5.490% due 11/14/23 50,000,000 49,683,770
5.497% due 11/21/23† 50,000,000 49,630,905
Total short-term U.S. government and agency obligations (cost 303,815,641) $ 303,858,387

All values are in US Dollars.

Futures Contracts Purchased

Number of<br><br> <br>Contracts Notional Amount<br><br> <br>at Value Unrealized<br> Appreciation<br> (Depreciation)/<br> Value
Natural Gas - NYMEX, expires November 2023 50,182 $ 1,469,830,780 $ (114,592,473 )

Total Return Swap Agreements ^

Rate Paid<br><br> <br>(Received)<br>* Termination<br><br> <br>Date Notional Amount<br><br> <br>at Value<br>** Unrealized<br><br> <br>Appreciation<br><br> <br>(Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Natural Gas Subindex 0.50 % 10/06/23 $ 132,651,213 $ (706,090 )
Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex 0.50 10/06/23 90,634,449 (482,438 )
Swap agreement with Societe General based on Bloomberg Natural Gas Subindex 0.32 10/06/23 47,221,373 (245,972 )
Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex 0.35 10/06/23 725,704 (3,794 )
Total Unrealized <br>Depreciation $ (1,438,294 )
† All or partial amount pledged as collateral for futures contracts.
--- ---
^ The positions and counterparties herein are as of September 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 September 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.

12

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PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 9,098,504 $ 909,204 $ 26,923,732 $ 1,095,255
Expenses
Management fee 2,303,082 658,525 7,220,063 1,589,759
Brokerage commissions 629,541 97,589 2,727,691 300,747
Futures account fees 131,828 43,620 531,306 177,950
Non-recurring<br> fees and expenses — 4,791 — 4,791
Total expenses 3,064,451 804,525 10,479,060 2,073,247
Net investment income (loss) 6,034,053 104,679 16,444,672 (977,992 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts 221,454,698 (5,889,116 ) (1,418,539,604 ) 235,322,266
Swap agreements 15,625,140 — (22,895,121 ) —
Short-term U.S. government and agency obligations 198 (4,181 ) (7,018 ) (7,633 )
Net realized gain (loss) 237,080,036 (5,893,297 ) (1,441,441,743 ) 235,314,633
Change in net unrealized appreciation (depreciation) on
Futures contracts (362,927,910 ) 97,063,212 196,021,496 (89,157,584 )
Swap agreements (47,526,551 ) — (1,438,294 ) —
Short-term U.S. government and agency obligations (17,784 ) 158,315 (8,113 ) (41,614 )
Change in net unrealized appreciation (depreciation) (410,472,245 ) 97,221,527 194,575,089 (89,199,198 )
Net realized and unrealized gain (loss) (173,392,209 ) 91,328,230 (1,246,866,654 ) 146,115,435
Net income (loss) $ (167,358,156 ) $ 91,432,909 $ (1,230,421,982 ) $ 145,137,443

See accompanying notes to financial statements.

13

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PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 1,141,021,278 $ 187,297,842 $ 586,151,113 $ 193,892,178
Addition of 12,950,000, 300,000, 45,715,000 and 755,000 shares, respectively (Note 1) 739,093,446 425,638,048 3,899,918,459 1,063,004,747
Redemption of 13,253,332, 265,000, 31,210,832 and 862,500 shares, respectively (Note 1) (842,417,287 ) (414,982,702 ) (2,385,308,309 ) (1,112,648,271 )
Net addition (redemption) of (303,332), 35,000, 14,504,168 and (107,500) shares, respectively (Note 1) (103,323,841 ) 10,655,346 1,514,610,150 (49,643,524 )
Net investment income (loss) 6,034,053 104,679 16,444,672 (977,992 )
Net realized gain (loss) 237,080,036 (5,893,297 ) (1,441,441,743 ) 235,314,633
Change in net unrealized appreciation (depreciation) (410,472,245 ) 97,221,527 194,575,089 (89,199,198 )
Net income (loss) (167,358,156 ) 91,432,909 (1,230,421,982 ) 145,137,443
Shareholders’ equity, end of period $ 870,339,281 $ 289,386,097 $ 870,339,281 $ 289,386,097

See accompanying notes to financial statements.

14

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PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ (1,230,421,982 ) $ 145,137,443
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 (10,927,044,661 ) (750,045,262 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 10,897,274,725 734,916,266
Net amortization and accretion on short-term U.S. government and agency obligations (10,843,424 ) (561,077 )
Net realized (gain) loss on investments 7,018 7,633
Change in unrealized (appreciation) depreciation on investments 1,446,407 41,614
Decrease (Increase) in receivable on open futures contracts 22,826,950 (36,015,281 )
Decrease (Increase) in interest receivable (830,414 ) (157,395 )
Increase (Decrease) in payable to Sponsor 258,733 294,750
Increase (Decrease) in brokerage commissions and futures account fees payable 1,619 (48,246 )
Increase (Decrease) in payable on open futures contracts 4,094,655 1,186,502
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 4,791
Net cash provided by (used in) operating activities (1,243,230,374 ) 94,761,738
Cash flow from financing activities
Proceeds from addition of shares 3,899,918,459 1,083,453,488
Payment on shares redeemed (2,354,647,812 ) (1,109,986,578 )
Net cash provided by (used in) financing activities 1,545,270,647 (26,533,090 )
Net increase (decrease) in cash 302,040,273 68,228,648
Cash, beginning of period 176,734,664 54,135,725
Cash, end of period $ 478,774,937 $ 122,364,373

See accompanying notes to financial statements.

15

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PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(unaudited) December 31,<br> 2022
Assets
Cash $ 5,923,008 $ 9,156,418
Segregated cash balances with brokers for foreign currency forward contracts 803,000 1,103,000
Unrealized appreciation on foreign currency forward contracts 867 514,115
Interest receivable 25,385 40,421
Total assets 6,752,260 10,813,954
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor 5,200 10,833
Unrealized depreciation on foreign currency forward contracts 223,579 98,459
Total liabilities 228,779 109,292
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 6,523,481 10,704,662
Total liabilities and shareholders’ equity $ 6,752,260 $ 10,813,954
Shares outstanding 600,000 950,000
Net asset value per share $ 10 .87 $ 11 .27
Market value per share (Note 2) $ 10 .85 $ 11 .26

See accompanying notes to financial statements.

16

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PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Foreign Currency Forward Contracts ^

Settlement Date Contract Amount<br><br> <br>in Local Currency Contract Amount<br><br> <br>in U.S. Dollars Unrealized<br><br> <br>Appreciation<br><br> <br>(Depreciation)/<br><br> <br>Value
Contracts to Purchase
Euro with Goldman Sachs International 10/06/23 7,691,921 $ 8,134,350 $ (136,003 )
Euro with UBS AG 10/06/23 4,954,502 5,239,479 (87,576 )
Total Unrealized<br> Depreciation $ (223,579 )
Contracts to Sell
Euro with UBS AG 10/06/23 (323,000 ) $ (341,578 ) $ 867
Total Unrealized<br> Appreciation $ 867
^ The positions and counterparties herein are as of September 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.

17

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 80,746 $ 36,856 $ 266,165 $ 47,965
Expenses
Management fee 16,999 31,331 61,096 66,646
Non-recurring<br> fees and expenses — 237 — 237
Total expenses 16,999 31,568 61,096 66,883
Net investment income (loss) 63,747 5,288 205,069 (18,918 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts (22,385 ) (1,618,381 ) 336,185 (2,505,776 )
Short-term U.S. government and agency obligations — — — (5,949 )
Net realized gain (loss) (22,385 ) (1,618,381 ) 336,185 (2,511,725 )
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts (462,400 ) (98,836 ) (638,368 ) (513,883 )
Short-term U.S. government and agency obligations — 3,824 — (844 )
Change in net unrealized appreciation (depreciation) (462,400 ) (95,012 ) (638,368 ) (514,727 )
Net realized and unrealized gain (loss) (484,785 ) (1,713,393 ) (302,183 ) (3,026,452 )
Net income (loss) $ (421,038 ) $ (1,708,105 ) $ (97,114 ) $ (3,045,370 )

See accompanying notes to financial statements.

18

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 7,535,435 $ 9,415,626 $ 10,704,662 $ 8,659,095
Addition of —, 700,000, 200,000 and 1,250,000 shares, respectively — 7,168,239 2,296,437 13,537,061
Redemption of 50,000, 100,000, 550,000 and 450,000 shares, respectively (590,916 ) (1,006,389 ) (6,380,504 ) (5,281,415 )
Net addition (redemption) of (50,000), 600,000, (350,000) and 800,000 shares, respectively (590,916 ) 6,161,850 (4,084,067 ) 8,255,646
Net investment income (loss) 63,747 5,288 205,069 (18,918 )
Net realized gain (loss) (22,385 ) (1,618,381 ) 336,185 (2,511,725 )
Change in net unrealized appreciation (depreciation) (462,400 ) (95,012 ) (638,368 ) (514,727 )
Net income (loss) (421,038 ) (1,708,105 ) (97,114 ) (3,045,370 )
Shareholders’ equity, end of period $ 6,523,481 $ 13,869,371 $ 6,523,481 $ 13,869,371

See accompanying notes to financial statements.

19

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PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ (97,114 ) $ (3,045,370 )
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations — (5,984,290 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations — 6,290,250
Net amortization and accretion on short-term U.S. government and agency obligations — (11,431 )
Net realized (gain) loss on investments — 5,949
Change in unrealized (appreciation) depreciation on investments 638,368 514,727
Decrease (Increase) in interest receivable 15,036 (13,185 )
Increase (Decrease) in payable to Sponsor (5,633 ) 18,088
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 237
Net cash provided by (used in) operating activities 550,657 (2,225,025 )
Cash flow from financing activities
Proceeds from addition of shares 2,296,437 13,058,757
Payment on shares redeemed (6,380,504 ) (5,281,415 )
Net cash provided by (used in) financing activities (4,084,067 ) 7,777,342
Net increase (decrease) in cash (3,533,410 ) 5,552,317
Cash, beginning of period 10,259,418 7,582,458
Cash, end of period $ 6,726,008 $ 13,134,775

See accompanying notes to financial statements.

20

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PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(unaudited) December 31,<br> 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $109,649,343 and $129,100,287, respectively) $ 109,664,879 $ 129,123,489
Cash 11,124,533 16,568,417
Segregated cash balances with brokers for futures contracts 2,074,800 2,611,350
Segregated cash balances with brokers for swap agreements 35,494,971 18,730,000
Unrealized appreciation on swap agreements — 6,496,466
Receivable on open futures contracts — 8,169
Interest receivable 73,655 126,595
Total assets 158,432,838 173,664,486
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts 264,526 —
Payable to Sponsor 128,566 140,350
Unrealized depreciation on swap agreements 10,343,189 —
Total liabilities 10,736,281 140,350
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 147,696,557 173,524,136
Total liabilities and shareholders’ equity $ 158,432,838 $ 173,664,486
Shares outstanding 2,800,000 3,150,000
Net asset value per share $ 52 .75 $ 55 .09
Market value per share (Note 2) $ 52 .60 $ 55 .27

See accompanying notes to financial statements.

21

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PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Value
Short-term U.S. government and agency obligations
(74% of shareholders’ equity)
U.S. Treasury Bills^^:
5.407% due 10/10/23 25,000,000 $ 24,970,695
5.478% due 10/17/23 40,000,000 39,911,916
5.499% due 10/24/23 25,000,000 24,919,333
5.490% due 11/14/23† 10,000,000 9,936,754
5.497% due 11/21/23 10,000,000 9,926,181
Total short-term U.S. government and agency obligations (cost 109,649,343) $ 109,664,879

All values are in US Dollars.

Futures Contracts Purchased

Number of<br><br> <br>Contracts Notional Amount<br><br> <br>at Value Unrealized<br> Appreciation<br> (Depreciation)/Value
Gold Futures - COMEX, expires December 2023 264 $ 49,265,040 $ (2,617,740 )

Total Return Swap Agreements ^

Rate Paid<br><br> <br>(Received)<br>* Termination<br><br> <br>Date Notional Amount<br><br> <br>at Value<br>** Unrealized<br><br> <br>Appreciation<br><br> <br>(Depreciation)/<br> Value
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex 0.25 % 10/06/23 $ 105,703,033 $ (4,441,216 )
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.25 10/06/23 50,205,597 (2,109,437 )
Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 10/06/23 90,264,166 (3,792,536 )
Total<br> Unrealized<br> Depreciation $ (10,343,189 )
† All or partial amount pledged as collateral for swap agreements.
--- ---
^ The positions and counterparties herein are as of September 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 September 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.

22

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PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 1,837,846 $ 678,282 $ 5,470,056 $ 1,092,549
Expenses
Management fee 417,418 475,457 1,318,793 1,863,020
Brokerage commissions 5,346 8,176 20,886 43,899
Futures account fees — — — 28,169
Non-recurring<br> fees and expenses — 2,940 — 2,940
Total expenses 422,764 486,573 1,339,679 1,938,028
Net investment income (loss) 1,415,082 191,709 4,130,377 (845,479 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (6,609,223 ) (13,871,427 ) 1,311,944 (22,577,746 )
Swap agreements (10,266,780 ) (25,954,159 ) 9,808,518 (17,330,327 )
Short-term U.S. government and agency obligations 138 (708 ) (28,324 ) (708 )
Net realized gain (loss) (16,875,865 ) (39,826,294 ) 11,092,138 (39,908,781 )
Change in net unrealized appreciation (depreciation) on
Futures contracts 2,767,991 2,305,467 (5,859,828 ) (2,281,936 )
Swap agreements (3,290,106 ) (234,566 ) (16,839,655 ) (15,325,612 )
Short-term U.S. government and agency obligations (18,571 ) 151,932 (7,666 ) (19,087 )
Change in net unrealized appreciation (depreciation) (540,686 ) 2,222,833 (22,707,149 ) (17,626,635 )
Net realized and unrealized gain (loss) (17,416,551 ) (37,603,461 ) (11,615,011 ) (57,535,416 )
Net income (loss) $ (16,001,469 ) $ (37,411,752 ) $ (7,484,634 ) $ (58,380,895 )

See accompanying notes to financial statements.

23

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 180,916,531 $ 239,938,853 $ 173,524,136 $ 232,780,534
Addition of 50,000, 50,000, 500,000 and 1,650,000 shares, respectively 3,076,173 2,645,499 31,285,647 104,903,214
Redemption of 350,000, 900,000, 850,000 and 2,150,000 shares, respectively (20,294,678 ) (45,150,308 ) (49,628,592 ) (119,280,561 )
Net addition (redemption) of (300,000), (850,000), (350,000) and (500,000) shares, respectively (17,218,505 ) (42,504,809 ) (18,342,945 ) (14,377,347 )
Net investment income (loss) 1,415,082 191,709 4,130,377 (845,479 )
Net realized gain (loss) (16,875,865 ) (39,826,294 ) 11,092,138 (39,908,781 )
Change in net unrealized appreciation (depreciation) (540,686 ) 2,222,833 (22,707,149 ) (17,626,635 )
Net income (loss) (16,001,469 ) (37,411,752 ) (7,484,634 ) (58,380,895 )
Shareholders’ equity, end of period $ 147,696,557 $ 160,022,292 $ 147,696,557 $ 160,022,292

See accompanying notes to financial statements.

24

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ (7,484,634 ) $ (58,380,895 )
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 (886,531,310 ) (913,776,847 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 909,750,482 978,997,411
Net amortization and accretion on short-term U.S. government and agency obligations (3,796,552 ) (903,566 )
Net realized (gain) loss on investments 28,324 708
Change in unrealized (appreciation) depreciation on investments 16,847,321 15,344,699
Decrease (Increase) in receivable on open futures contracts 8,169 823,707
Decrease (Increase) in interest receivable 52,940 (39,702 )
Increase (Decrease) in payable to Sponsor (11,784 ) 125,445
Increase (Decrease) in brokerage commissions and futures account fees payable — (4,034 )
Increase (Decrease) in payable on open futures contracts 264,526 —
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 2,940
Net cash provided by (used in) operating activities 29,127,482 22,189,866
Cash flow from financing activities
Proceeds from addition of shares 31,285,647 104,903,214
Payment on shares redeemed (49,628,592 ) (119,280,561 )
Net cash provided by (used in) financing activities (18,342,945 ) (14,377,347 )
Net increase (decrease) in cash 10,784,537 7,812,519
Cash, beginning of period 37,909,767 15,422,082
Cash, end of period $ 48,694,304 $ 23,234,601

See accompanying notes to financial statements.

25

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PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(unaudited) December 31,<br> 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $199,247,238 and $228,617,421, respectively) $ 199,275,356 $ 228,657,634
Cash 16,864,895 74,136,821
Segregated cash balances with brokers for futures contracts 14,064,000 19,452,250
Segregated cash balances with brokers for swap agreements 121,550,121 56,423,000
Unrealized appreciation on swap agreements — 39,224,212
Interest receivable 211,212 300,712
Total assets 351,965,584 418,194,629
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed — 1,615,382
Payable on open futures contracts 2,071,169 1,948,902
Payable to Sponsor 281,601 344,467
Unrealized depreciation on swap agreements 21,616,739 —
Total liabilities 23,969,509 3,908,751
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 327,996,075 414,285,878
Total liabilities and shareholders’ equity $ 351,965,584 $ 418,194,629
Shares outstanding 13,246,526 13,046,526
Net asset value per share $ 24 .76 $ 31 .75
Market value per share (Note 2) $ 24 .61 $ 32 .00

See accompanying notes to financial statements.

26

Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Value
Short-term U.S. government and agency obligations
(61% of shareholders’ equity)
U.S. Treasury Bills^^:
5.407% due 10/10/23 25,000,000 $ 24,970,695
5.478% due 10/17/23 90,000,000 89,801,811
5.499% due 10/24/23 25,000,000 24,919,332
5.490% due 11/14/23† 25,000,000 24,841,885
5.497% due 11/21/23 35,000,000 34,741,633
Total short-term U.S. government and agency obligations (cost 199,247,238) $ 199,275,356

All values are in US Dollars.

Futures Contracts Purchased

Number<br> of<br><br> <br>Contracts Notional<br> Amount<br><br> <br>at Value Unrealized<br> Appreciation<br> (Depreciation)/Value
Silver Futures - COMEX, expires December 2023 1,756 $ 197,111,000 $ (6,167,328 )

Total Return Swap Agreements ^

Rate Paid<br><br> <br>(Received)<br>* Termination<br><br> <br>Date Notional Amount<br><br> <br>at Value<br>** Unrealized<br><br> <br>Appreciation<br><br> <br>(Depreciation)/<br> Value
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex 0.25 % 10/06/23 $ 159,867,323 $ (7,524,763 )
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.30 10/06/23 21,119,991 (994,790 )
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 10/06/23 143,290,980 (6,749,262 )
Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 10/06/23 134,864,794 (6,347,924 )
Total Unrealized<br> Depreciation $ (21,616,739 )
† All or partial amount pledged as collateral for swap agreements.
--- ---
^ The positions and counterparties herein are as of September 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 September 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.

27

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 3,343,905 $ 824,171 $ 10,419,483 $ 1,386,134
Expenses
Management fee 892,009 798,802 2,740,073 3,098,741
Brokerage commissions 27,874 34,796 101,511 94,079
Futures account fees — — — 26,693
Non-recurring<br> fees and expenses — 5,922 — 5,922
Total expenses 919,883 839,520 2,841,584 3,225,435
Net investment income (loss) 2,424,022 (15,349 ) 7,577,899 (1,839,301 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (14,704,230 ) (13,577,109 ) 6,035,306 (30,191,493 )
Swap agreements (15,547,180 ) (133,807,652 ) (368,280 ) (156,750,416 )
Short-term U.S. government and agency obligations — (6,553 ) (46,857 ) (7,717 )
Net realized gain (loss) (30,251,410 ) (147,391,314 ) 5,620,169 (186,949,626 )
Change in net unrealized appreciation (depreciation) on
Futures contracts 3,810,588 3,988,709 (35,593,902 ) (2,835,777 )
Swap agreements (3,571,377 ) 87,216,478 (60,840,951 ) (13,787,151 )
Short-term U.S. government and agency obligations (20,937 ) 272,285 (12,095 ) (71,644 )
Change in net unrealized appreciation (depreciation) 218,274 91,477,472 (96,446,948 ) (16,694,572 )
Net realized and unrealized gain (loss) (30,033,136 ) (55,913,842 ) (90,826,779 ) (203,644,198 )
Net income (loss) $ (27,609,114 ) $ (55,929,191 ) $ (83,248,880 ) $ (205,483,499 )

See accompanying notes to financial statements.

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PROSHARES ULTRA SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 356,791,659 $ 355,577,515 $ 414,285,878 $ 515,453,594
Addition of 1,500,000, 2,450,000, 4,100,000 and 4,250,000 shares, respectively 42,340,032 52,469,935 114,264,874 118,129,234
Redemption of 1,450,000, 1,250,000, 3,900,000 and 3,500,000 shares, respectively (43,526,502 ) (28,147,396 ) (117,305,797 ) (104,128,466 )
Net addition (redemption) of 50,000, 1,200,000, 200,000 and 750,000 shares, respectively (1,186,470 ) 24,322,539 (3,040,923 ) 14,000,768
Net investment income (loss) 2,424,022 (15,349 ) 7,577,899 (1,839,301 )
Net realized gain (loss) (30,251,410 ) (147,391,314 ) 5,620,169 (186,949,626 )
Change in net unrealized appreciation (depreciation) 218,274 91,477,472 (96,446,948 ) (16,694,572 )
Net income (loss) (27,609,114 ) (55,929,191 ) (83,248,880 ) (205,483,499 )
Shareholders’ equity, end of period $ 327,996,075 $ 323,970,863 $ 327,996,075 $ 323,970,863

See accompanying notes to financial statements.

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PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ (83,248,880 ) $ (205,483,499 )
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 (2,785,919,203 ) (2,619,720,954 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 2,822,588,221 2,909,963,011
Net amortization and accretion on short-term U.S. government and agency obligations (7,345,692 ) (1,060,031 )
Net realized (gain) loss on investments 46,857 7,717
Change in unrealized (appreciation) depreciation on investments 60,853,046 13,858,795
Decrease (Increase) in receivable on open futures contracts — (314,479 )
Decrease (Increase) in interest receivable 89,500 (72,051 )
Increase (Decrease) in payable to Sponsor (62,866 ) 143,880
Increase (Decrease) in brokerage commissions and futures account fees payable — (9,833 )
Increase (Decrease) in payable on open futures contracts 122,267 —
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 5,922
Net cash provided by (used in) operating activities 7,123,250 97,318,478
Cash flow from financing activities
Proceeds from addition of shares 114,264,874 113,960,240
Payment on shares redeemed (118,921,179 ) (107,612,236 )
Net cash provided by (used in) financing activities (4,656,305 ) 6,348,004
Net increase (decrease) in cash 2,466,945 103,666,482
Cash, beginning of period 150,012,071 25,488,503
Cash, end of period $ 152,479,016 $ 129,154,985

See accompanying notes to financial statements.

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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(unaudited) December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $84,569,073 and $34,728,989, respectively) $ 84,581,081 $ 34,732,372
Cash 20,004,039 71,086,482
Segregated cash balances with brokers for futures contracts 133,149,681 323,761,025
Receivable from capital shares sold 9,725,630 —
Receivable on open futures contracts 41,678,702 209,470,270
Interest receivable 689,129 1,246,402
Total assets 289,828,262 640,296,551
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed 6,477,149 —
Payable on open futures contracts — 348,988
Brokerage commissions and futures account fees payable 34,400 58,772
Payable to Sponsor 266,022 570,429
Total liabilities 6,777,571 978,189
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 283,050,691 639,318,362
Total liabilities and shareholders’ equity $ 289,828,262 $ 640,296,551
Shares outstanding (Note 1) 17,474,459 9,307,842
Net asset value per share (Note 1) $ 16 .20 $ 68 .69
Market value per share (Note 1) (Note 2) $ 16 .21 $ 68 .60

See accompanying notes to financial statements.

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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Value
Short-term U.S. government and agency obligations
(30% of shareholders’ equity)
U.S. Treasury Bills^^:
5.478% due 10/17/23 10,000,000 $ 9,977,979
5.499% due 10/24/23 25,000,000 24,919,332
5.490% due 11/14/23 50,000,000 49,683,770
Total short-term U.S. government and agency obligations (cost 84,569,073) $ 84,581,081

All values are in US Dollars.

Futures Contracts Purchased

Number of<br><br> <br>Contracts Notional Amount<br><br> <br>at Value Unrealized<br> Appreciation<br> (Depreciation)/Value
VIX Futures - Cboe, expires October 2023 14,181 $ 252,013,387 $ 26,387,450
VIX Futures - Cboe, expires November 2023 9,464 172,682,983 2,622,041
$ 29,009,491
^^ Rates shown represent discount rate at the time of purchase.
--- ---

See accompanying notes to financial statements.

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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 3,255,531 $ 3,945,136 $ 12,422,781 $ 4,471,067
Expenses
Management fee 803,793 2,831,005 3,507,644 7,085,920
Brokerage commissions 517,699 1,276,819 2,007,911 3,183,788
Futures account fees 103,793 219,828 354,153 1,446,639
Non-recurring<br> fees and expenses — 20,117 — 20,117
Total expenses 1,425,285 4,347,769 5,869,708 11,736,464
Net investment income (loss) 1,830,246 (402,633 ) 6,553,073 (7,265,397 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (142,584,115 ) (289,871,717 ) (751,122,089 ) 59,605,816
Swap agreements — — — 22,556,586
Short-term U.S. government and agency obligations (141 ) (2,037 ) (3,731 ) (355,124 )
Net realized gain (loss) (142,584,256 ) (289,873,754 ) (751,125,820 ) 81,807,278
Change in net unrealized appreciation (depreciation) on
Futures contracts 108,839,211 161,330,331 65,564,944 323,131,606
Swap agreements — — — 477,437
Short-term U.S. government and agency obligations 12,008 414,952 8,625 (129,295 )
Change in net unrealized appreciation (depreciation) 108,851,219 161,745,283 65,573,569 323,479,748
Net realized and unrealized gain (loss) (33,733,037 ) (128,128,471 ) (685,552,251 ) 405,287,026
Net income (loss) $ (31,902,791 ) $ (128,531,104 ) $ (678,999,178 ) $ 398,021,629

See accompanying notes to financial statements.

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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 387,764,059 $ 975,683,533 $ 639,318,362 $ 816,679,636
Addition of 13,400,000, 9,340,000, 34,710,000 and 23,490,000 shares, respectively (Note 1) 217,623,291 1,064,364,417 1,109,114,165 3,035,837,360
Redemption of 16,903,383, 8,330,000, 26,543,383 and 22,340,000 shares, respectively (Note 1) (290,433,868 ) (916,027,068 ) (786,382,658 ) (3,255,048,847 )
Net addition (redemption) of (3,503,383), 1,010,000, 8,166,617 and 1,150,000 shares, respectively (Note 1) (72,810,577 ) 148,337,349 322,731,507 (219,211,487 )
Net investment income (loss) 1,830,246 (402,633 ) 6,553,073 (7,265,397 )
Net realized gain (loss) (142,584,256 ) (289,873,754 ) (751,125,820 ) 81,807,278
Change in net unrealized appreciation (depreciation) 108,851,219 161,745,283 65,573,569 323,479,748
Net income (loss) (31,902,791 ) (128,531,104 ) (678,999,178 ) 398,021,629
Shareholders’ equity, end of period $ 283,050,691 $ 995,489,778 $ 283,050,691 $ 995,489,778

See accompanying notes to financial statements.

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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ (678,999,178 ) $ 398,021,629
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 (1,439,995,575 ) (4,540,406,696 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,392,250,029 4,489,474,762
Net amortization and accretion on short-term U.S. government and agency obligations (2,098,269 ) (1,094,279 )
Net realized (gain) loss on investments 3,731 355,124
Change in unrealized (appreciation) depreciation on investments (8,625 ) (348,142 )
Decrease (Increase) in receivable on open futures contracts 167,791,568 (228,922,727 )
Decrease (Increase) in interest receivable 557,273 (1,045,845 )
Increase (Decrease) in payable to Sponsor (304,407 ) 1,301,939
Increase (Decrease) in brokerage commissions and futures account fees payable (24,372 ) (101,787 )
Increase (Decrease) in payable on open futures contracts (348,988 ) (9,447,456 )
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 20,117
Net cash provided by (used in) operating activities (561,176,813 ) 107,806,639
Cash flow from financing activities
Proceeds from addition of shares 1,099,388,535 3,035,837,360
Payment on shares redeemed (779,905,509 ) (3,218,451,554 )
Net cash provided by (used in) financing activities 319,483,026 (182,614,194 )
Net increase (decrease) in cash (241,693,787 ) (74,807,555 )
Cash, beginning of period 394,847,507 572,120,879
Cash, end of period $ 153,153,720 $ 497,313,324

See accompanying notes to financial statements.

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PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(unaudited) December 31, 2022
Assets
Cash $ 16,103,538 $ 11,444,958
Segregated cash balances with brokers for foreign currency forward contracts 1,937,000 1,357,000
Unrealized appreciation on foreign currency forward contracts 8,894 1,152,834
Interest receivable 60,530 39,204
Total assets 18,109,962 13,993,996
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor 12,399 10,915
Unrealized depreciation on foreign currency forward contracts 589,315 168,285
Total liabilities 601,714 179,200
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 17,508,248 13,814,796
Total liabilities and shareholders’ equity $ 18,109,962 $ 13,993,996
Shares outstanding 699,970 399,970
Net asset value per share $ 25 .01 $ 34 .54
Market value per share (Note 2) $ 25 .00 $ 34 .56

See accompanying notes to financial statements.

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PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Foreign Currency Forward Contracts ^

Settlement Date Contract Amount<br><br> <br>in Local Currency Contract Amount<br><br> <br>in U.S. Dollars Unrealized<br><br> <br>Appreciation<br><br> <br>(Depreciation)/<br><br> <br>Value
Contracts to Purchase
Yen with Goldman Sachs International 10/06/23 2,355,724,056 $ 15,780,833 $ (268,253 )
Yen with UBS AG 10/06/23 2,976,699,856 19,940,707 (321,062 )
Total Unrealized<br> Depreciation $ (589,315 )
Contracts to Sell
Yen with UBS AG 10/06/23 (97,972,000 ) $ (656,308 ) $ 8,894
Total Unrealized <br>Appreciation $ 8,894
^ The positions and counterparties herein are as of September 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.

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PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 174,354 $ 25,362 $ 409,452 $ 29,299
Expenses
Management fee 35,968 21,245 91,858 34,710
Non-recurring<br> fees and expenses — 194 — 194
Total expenses 35,968 21,439 91,858 34,904
Net investment income (loss) 138,386 3,923 317,594 (5,605 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts (1,854,770 ) (1,652,590 ) (2,923,720 ) (2,532,839 )
Short-term U.S. government and agency obligations — — — 1,548
Net realized gain (loss) (1,854,770 ) (1,652,590 ) (2,923,720 ) (2,531,291 )
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts 277,206 (17,967 ) (1,564,970 ) (2,005 )
Short-term U.S. government and agency obligations — 3,286 — (1,856 )
Change in net unrealized appreciation (depreciation) 277,206 (14,681 ) (1,564,970 ) (3,861 )
Net realized and unrealized gain (loss) (1,577,564 ) (1,667,271 ) (4,488,690 ) (2,535,152 )
Net income (loss) $ (1,439,178 ) $ (1,663,348 ) $ (4,171,096 ) $ (2,540,757 )

See accompanying notes to financial statements.

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PROSHARES ULTRA YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 12,330,974 $ 5,024,773 $ 13,814,796 $ 2,362,849
Addition of 300,000, 250,000, 500,000 and 350,000 shares, respectively 8,063,291 8,285,325 14,320,409 11,824,658
Redemption of 50,000, 50,000, 200,000 and 50,000 shares, respectively (1,446,839 ) (1,487,561 ) (6,455,861 ) (1,487,561 )
Net addition (redemption) of 250,000, 200,000, 300,000 and 300,000 shares, respectively 6,616,452 6,797,764 7,864,548 10,337,097
Net investment income (loss) 138,386 3,923 317,594 (5,605 )
Net realized gain (loss) (1,854,770 ) (1,652,590 ) (2,923,720 ) (2,531,291 )
Change in net unrealized appreciation (depreciation) 277,206 (14,681 ) (1,564,970 ) (3,861 )
Net income (loss) (1,439,178 ) (1,663,348 ) (4,171,096 ) (2,540,757 )
Shareholders’ equity, end of period $ 17,508,248 $ 10,159,189 $ 17,508,248 $ 10,159,189

See accompanying notes to financial statements.

39

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PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ (4,171,096 ) $ (2,540,757 )
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 — (3,732 )
Net realized (gain) loss on investments — (1,548 )
Change in unrealized (appreciation) depreciation on investments 1,564,970 3,861
Decrease (Increase) in interest receivable (21,326 ) (9,886 )
Increase (Decrease) in payable to Sponsor 1,484 14,302
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 194
Net cash provided by (used in) operating activities (2,625,968 ) (3,531,787 )
Cash flow from financing activities
Proceeds from addition of shares 14,320,409 11,824,658
Payment on shares redeemed (6,455,861 ) (1,487,561 )
Net cash provided by (used in) financing activities 7,864,548 10,337,097
Net increase (decrease) in cash 5,238,580 6,805,310
Cash, beginning of period 12,801,958 2,457,820
Cash, end of period $ 18,040,538 $ 9,263,130

See accompanying notes to financial statements.

40

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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(unaudited) December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $184,272,303 and $89,407,308, respectively) $ 184,298,349 $ 89,426,935
Cash 26,182,767 74,627,051
Segregated cash balances with brokers for futures contracts 76,076,031 65,184,460
Receivable from capital shares sold 7,585,012 41,694
Receivable on open futures contracts 3,557,787 1,604,847
Interest receivable 279,874 384,856
Total assets 297,979,820 231,269,843
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed — 1,257,090
Payable on open futures contracts 993,204 7,102,680
Brokerage commissions and futures account fees payable 4,433 4,134
Payable to Sponsor 205,717 208,602
Total liabilities 1,203,354 8,572,506
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 296,776,466 222,697,337
Total liabilities and shareholders’ equity $ 297,979,820 $ 231,269,843
Shares outstanding 17,605,220 9,305,220
Net asset value per share $ 16 .86 $ 23 .93
Market value per share (Note 2) $ 16 .82 $ 23 .85

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Value
Short-term U.S. government and agency obligations
(62% of shareholders’ equity)
U.S. Treasury Bills^^:
5.407% due 10/10/23 25,000,000 $ 24,970,695
5.478% due 10/17/23 70,000,000 69,845,853
5.499% due 10/24/23 25,000,000 24,919,332
5.490% due 11/14/23 40,000,000 39,747,016
5.497% due 11/21/23 25,000,000 24,815,453
Total short-term U.S. government and agency obligations(cost 184,272,303) $ 184,298,349

All values are in US Dollars.

Futures Contracts Sold
Number of<br><br> <br>Contracts Notional Amount<br><br> <br>at Value Unrealized<br> Appreciation<br> (Depreciation)/Value
WTI Crude Oil - NYMEX, expires December 2023 2,296 $ 203,884,800 $ (16,612,860 )
WTI Crude Oil - NYMEX, expires June 2024 2,404 195,012,480 (9,249,968 )
WTI Crude Oil - NYMEX, expires December 2024 2,500 194,650,000 822,565
$ (25,040,263 )
^^ Rates shown represent discount rate at the time of purchase.
--- ---

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 2,609,417 $ 1,748,548 $ 6,172,654 $ 2,091,754
Expenses
Management fee 548,671 1,160,746 1,392,728 2,599,503
Brokerage commissions 54,549 148,121 180,385 332,256
Futures account fees — 39,563 — 195,542
Non-recurring<br> fees and expenses — 7,548 — 7,548
Total expenses 603,220 1,355,978 1,573,113 3,134,849
Net investment income (loss) 2,006,197 392,570 4,599,541 (1,043,095 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (47,764,820 ) 66,444,885 7,896,254 (142,631,216 )
Short-term U.S. government and agency obligations 60 — (11,723 ) —
Net realized gain (loss) (47,764,760 ) 66,444,885 7,884,531 (142,631,216 )
Change in net unrealized appreciation (depreciation) on
Futures contracts (38,026,419 ) 76,797,273 (35,285,156 ) 113,723,566
Short-term U.S. government and agency obligations 8,060 190,676 6,419 (49,461 )
Change in net unrealized appreciation (depreciation) (38,018,359 ) 76,987,949 (35,278,737 ) 113,674,105
Net realized and unrealized gain (loss) (85,783,119 ) 143,432,834 (27,394,206 ) (28,957,111 )
Net income (loss) $ (83,776,922 ) $ 143,825,404 $ (22,794,665 ) $ (30,000,206 )

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 112,854,952 $ 501,157,304 $ 222,697,337 $ 114,167,602
Addition of 17,250,000, 11,050,000, 28,800,000 and 38,940,000 shares, respectively 345,709,147 263,018,131 622,896,585 1,051,908,930
Redemption of 4,050,000, 20,650,000, 20,500,000 and 28,561,540 shares, respectively (78,010,711 ) (539,209,750 ) (526,022,791 ) (767,285,237 )
Net addition (redemption) of 13,200,000, (9,600,000), 8,300,000 and 10,378,460 shares, respectively 267,698,436 (276,191,619 ) 96,873,794 284,623,693
Net investment income (loss) 2,006,197 392,570 4,599,541 (1,043,095 )
Net realized gain (loss) (47,764,760 ) 66,444,885 7,884,531 (142,631,216 )
Change in net unrealized appreciation (depreciation) (38,018,359 ) 76,987,949 (35,278,737 ) 113,674,105
Net income (loss) (83,776,922 ) 143,825,404 (22,794,665 ) (30,000,206 )
Shareholders’ equity, end of period $ 296,776,466 $ 368,791,089 $ 296,776,466 $ 368,791,089

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ (22,794,665 ) $ (30,000,206 )
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 (881,618,883 ) (5,037,566,739 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 789,898,469 4,974,000,000
Net amortization and accretion on short-term U.S. government and agency obligations (3,156,304 ) (1,233,461 )
Net realized (gain) loss on investments 11,723 —
Change in unrealized (appreciation) depreciation on investments (6,419 ) 49,461
Decrease (Increase) in receivable on open futures contracts (1,952,940 ) (3,393,165 )
Decrease (Increase) in interest receivable 104,982 (329,488 )
Increase (Decrease) in payable to Sponsor (2,885 ) 639,427
Increase (Decrease) in brokerage commissions and futures account fees payable 299 3,314
Increase (Decrease) in payable on open futures contracts (6,109,476 ) 54,103
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 7,548
Net cash provided by (used in) operating activities (125,626,099 ) (97,769,206 )
Cash flow from financing activities
Proceeds from addition of shares 615,353,267 1,051,908,930
Payment on shares redeemed (527,279,881 ) (758,540,834 )
Net cash provided by (used in) financing activities 88,073,386 293,368,096
Net increase (decrease) in cash (37,552,713 ) 195,598,890
Cash, beginning of period 139,811,511 54,443,553
Cash, end of period $ 102,258,798 $ 250,042,443

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(unaudited) December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $19,932,661 and $61,469,726, respectively) $ 19,935,466 $ 61,482,526
Cash 17,318,005 5,724,380
Segregated cash balances with brokers for futures contracts 50,351,496 38,758,160
Receivable from capital shares sold 12,292,429 —
Receivable on open futures contracts 11,619,568 33,637,888
Interest receivable 228,248 293,818
Total assets 111,745,212 139,896,772
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed — 5,365,196
Payable on open futures contracts — 282,362
Brokerage commissions and futures account fees payable 4,417 7,497
Payable to Sponsor 77,733 132,197
Total liabilities 82,150 5,787,252
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 111,663,062 134,109,520
Total liabilities and shareholders’ equity $ 111,745,212 $ 139,896,772
Shares outstanding 1,816,856 4,966,856
Net asset value per share $ 61 .46 $ 27 .00
Market value per share (Note 2) $ 61 .04 $ 27 .56

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Value
Short-term U.S. government and agency obligations
(18% of shareholders’ equity)
U.S. Treasury Bills^^:
5.499% due 10/24/23 20,000,000 $ 19,935,466
Total short-term U.S. government and agency obligations(cost 19,932,661) $ 19,935,466

All values are in US Dollars.

Futures Contracts Sold
Number of<br><br> <br>Contracts Notional Amount<br><br> <br>at Value Unrealized<br> Appreciation<br> (Depreciation)/Value
Natural Gas - NYMEX, expires November 2023 7,624 $ 223,306,960 $ 23,776,317

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

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 1,476,050 $ 953,050 $ 4,007,691 $ 1,131,063
Expenses
Management fee 304,567 730,949 903,703 1,784,017
Brokerage commissions 133,782 173,386 577,070 539,244
Futures account fees 23,941 48,485 80,308 255,370
Non-recurring<br> fees and expenses — 5,374 — 5,374
Total expenses 462,290 958,194 1,561,081 2,584,005
Net investment income (loss) 1,013,760 (5,144 ) 2,446,610 (1,452,942 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (10,798,451 ) 8,173,631 221,346,621 (389,138,752 )
Short-term U.S. government and agency obligations (174 ) (57,864 ) (1,437 ) (116,673 )
Net realized gain (loss) (10,798,625 ) 8,115,767 221,345,184 (389,255,425 )
Change in net unrealized appreciation (depreciation) on
Futures contracts 44,086,649 (23,776,729 ) (62,113,081 ) 116,857,361
Short-term U.S. government and agency obligations 173 309,345 (9,995 ) (32,689 )
Change in net unrealized appreciation (depreciation) 44,086,822 (23,467,384 ) (62,123,076 ) 116,824,672
Net realized and unrealized gain (loss) 33,288,197 (15,351,617 ) 159,222,108 (272,430,753 )
Net income (loss) $ 34,301,957 $ (15,356,761 ) $ 161,668,718 $ (273,883,695 )

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 141,324,963 $ 211,823,446 $ 134,109,520 $ 242,145,130
Addition of 5,500,000, 58,900,000, 19,350,000 and 82,240,000 shares, respectively 295,245,731 790,506,039 1,128,672,428 1,734,541,781
Redemption of 6,250,000, 49,900,000, 22,500,000 and 69,251,886 shares, respectively (359,209,589 ) (744,582,726 ) (1,312,787,604 ) (1,460,413,218 )
Net addition (redemption) of (750,000), 9,000,000, (3,150,000) and 12,988,114 shares, respectively (63,963,858 ) 45,923,313 (184,115,176 ) 274,128,563
Net investment income (loss) 1,013,760 (5,144 ) 2,446,610 (1,452,942 )
Net realized gain (loss) (10,798,625 ) 8,115,767 221,345,184 (389,255,425 )
Change in net unrealized appreciation (depreciation) 44,086,822 (23,467,384 ) (62,123,076 ) 116,824,672
Net income (loss) 34,301,957 (15,356,761 ) 161,668,718 (273,883,695 )
Shareholders’ equity, end of period $ 111,663,062 $ 242,389,998 $ 111,663,062 $ 242,389,998

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ 161,668,718 $ (273,883,695 )
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 (228,632,508 ) (641,286,804 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 271,472,626 680,730,195
Net amortization and accretion on short-term U.S. government and agency obligations (1,304,490 ) (447,861 )
Net realized (gain) loss on investments 1,437 116,673
Change in unrealized (appreciation) depreciation on investments 9,995 32,689
Decrease (Increase) in receivable on open futures contracts 22,018,320 (17,665,801 )
Decrease (Increase) in interest receivable 65,570 (278,702 )
Increase (Decrease) in payable to Sponsor (54,464 ) 354,079
Increase (Decrease) in brokerage commissions and futures account fees payable (3,080 ) (23,511 )
Increase (Decrease) in payable on open futures contracts (282,362 ) (8,542,438 )
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 5,374
Net cash provided by (used in) operating activities 224,959,762 (260,889,802 )
Cash flow from financing activities
Proceeds from addition of shares 1,116,379,999 1,734,541,781
Payment on shares redeemed (1,318,152,800 ) (1,464,617,750 )
Net cash provided by (used in) financing activities (201,772,801 ) 269,924,031
Net increase (decrease) in cash 23,186,961 9,034,229
Cash, beginning of period 44,482,540 113,000,927
Cash, end of period $ 67,669,501 $ 122,035,156

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(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 37,961,502 30,687,235
Segregated cash balances with brokers for foreign currency forward contracts 4,464,121 6,844,121
Unrealized appreciation on foreign currency forward contracts 1,585,136 193,192
Interest receivable 164,862 109,830
Total assets 44,175,621 77,831,002
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor 34,405 63,375
Unrealized depreciation on foreign currency forward contracts 136,808 2,654,448
Total liabilities 171,213 2,717,823
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 44,004,408 75,113,179
Total liabilities and shareholders’ equity $ 44,175,621 $ 77,831,002
Shares outstanding 1,400,000 2,550,000
Net asset value per share $ 31 .43 $ 29 .46
Market value per share (Note 2) $ 31 .43 $ 29 .45

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Foreign Currency Forward Contracts ^

Settlement Date Contract Amount<br><br> <br>in Local Currency Contract Amount<br><br> <br>in U.S. Dollars Unrealized<br><br> <br>Appreciation<br><br> <br>(Depreciation)/<br><br> <br>Value
Contracts to Purchase
Euro with Goldman Sachs International 10/06/23 486,000 $ 513,954 $ (5,789 )
Euro with UBS AG 10/06/23 10,804,000 11,425,433 (131,019 )
Total Unrealized<br> Depreciation $ (136,808 )
Contracts to Sell
Euro with Goldman Sachs International 10/06/23 (43,752,263 ) $ (46,268,836 ) $ 769,294
Euro with UBS AG 10/06/23 (50,970,199 ) (53,901,938 ) 815,842
Total Unrealized <br>Appreciation $ 1,585,136
^ The positions and counterparties herein are as of September 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.

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PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 523,684 $ 230,824 $ 1,764,550 $ 285,240
Expenses
Management fee 111,472 203,036 404,141 467,426
Non-recurring<br> fees and expenses — 1,835 — 1,835
Total expenses 111,472 204,871 404,141 469,261
Net investment income (loss) 412,212 25,953 1,360,409 (184,021 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts (122,866 ) 11,086,708 (2,576,119 ) 16,693,971
Short-term U.S. government and agency obligations — — — 210,974
Net realized gain (loss) (122,866 ) 11,086,708 (2,576,119 ) 16,904,945
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts 3,207,102 (354,043 ) 3,909,584 3,049,081
Short-term U.S. government and agency obligations — 61,225 (4,802 ) (33,420 )
Change in net unrealized appreciation (depreciation) 3,207,102 (292,818 ) 3,904,782 3,015,661
Net realized and unrealized gain (loss) 3,084,236 10,793,890 1,328,663 19,920,606
Net income (loss) $ 3,496,448 $ 10,819,843 $ 2,689,072 $ 19,736,585

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 50,931,301 $ 62,270,097 $ 75,113,179 $ 54,263,045
Addition of –, 1,100,000, 100,000 and 1,650,000 shares, respectively — 36,183,635 3,051,886 52,211,698
Redemption of 350,000, 550,000, 1,250,000 and 1,150,000 shares, respectively (10,423,341 ) (18,689,297 ) (36,849,729 ) (35,627,050 )
Net addition (redemption) of (350,000), 550,000, (1,150,000) and 500,000 shares, respectively (10,423,341 ) 17,494,338 (33,797,843 ) 16,584,648
Net investment income (loss) 412,212 25,953 1,360,409 (184,021 )
Net realized gain (loss) (122,866 ) 11,086,708 (2,576,119 ) 16,904,945
Change in net unrealized appreciation (depreciation) 3,207,102 (292,818 ) 3,904,782 3,015,661
Net income (loss) 3,496,448 10,819,843 2,689,072 19,736,585
Shareholders’ equity, end of period $ 44,004,408 $ 90,584,278 $ 44,004,408 $ 90,584,278

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ 2,689,072 $ 19,736,585
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 ) (74,843,167 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 95,000,000 76,210,974
Net amortization and accretion on short-term U.S. government and agency obligations (83,003 ) (83,446 )
Net realized (gain) loss on investments — (210,974 )
Change in unrealized (appreciation) depreciation on investments (3,904,782 ) (3,015,661 )
Decrease (Increase) in interest receivable (55,032 ) (61,501 )
Increase (Decrease) in payable to Sponsor (28,970 ) 98,171
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 1,835
Net cash provided by (used in) operating activities 38,692,110 17,832,816
Cash flow from financing activities
Proceeds from addition of shares 3,051,886 52,211,149
Payment on shares redeemed (36,849,729 ) (32,142,870 )
Net cash provided by (used in) financing activities (33,797,843 ) 20,068,279
Net increase (decrease) in cash 4,894,267 37,901,095
Cash, beginning of period 37,531,356 7,554,065
Cash, end of period $ 42,425,623 $ 45,455,160

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(unaudited) December 31, 2022
Assets
Cash $ 9,138,880 $ 12,252,100
Segregated cash balances with brokers for futures contracts 557,700 232,313
Segregated cash balances with brokers for swap agreements 2,476,000 3,536,000
Unrealized appreciation on swap agreements 649,016 —
Receivable from capital shares sold 1,607,017 —
Receivable on open futures contracts 6,250 —
Interest receivable 38,854 42,135
Total assets 14,473,717 16,062,548
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts 98,549 700
Payable to Sponsor 9,299 12,854
Unrealized depreciation on swap agreements — 592,957
Total liabilities 107,848 606,511
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 14,365,869 15,456,037
Total liabilities and shareholders’ equity $ 14,473,717 $ 16,062,548
Shares outstanding 446,977 496,977
Net asset value per share $ 32 .14 $ 31 .10
Market value per share (Note 2) $ 32 .20 $ 30 .99

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Futures Contracts Sold

Number of<br><br> <br>Contracts Notional Amount<br><br> <br>at Value Unrealized<br> Appreciation<br> (Depreciation)/Value
Gold Futures - COMEX, expires December 2023 71 $ 13,249,310 $ 510,754
Total Return Swap Agreements<br>^
--- --- --- --- --- --- --- --- --- --- ---
Rate Paid<br><br> <br>(Received)<br>* Termination<br><br> <br>Date Notional Amount<br><br> <br>at Value<br>** Unrealized<br><br> <br>Appreciation<br><br> <br>(Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex 0.25 % 10/06/23 $ (3,588,216 ) $ 149,583
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.20 10/06/23 (4,702,766 ) 196,202
Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 10/06/23 (7,273,894 ) 303,231
Total Unrealized <br>Appreciation $ 649,016
^ The positions and counterparties herein are as of September 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 September 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.

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PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 142,707 $ 72,261 $ 459,321 $ 101,921
Expenses
Management fee 32,970 76,652 112,212 218,466
Brokerage commissions 1,099 3,565 4,065 9,361
Futures account fees — — — 2,446
Non-recurring<br> fees and expenses — 639 — 639
Total expenses 34,069 80,856 116,277 230,912
Net investment income (loss) 108,638 (8,595 ) 343,044 (128,991 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts 807,474 2,017,269 131,315 1,336,740
Swap agreements 628,950 2,970,959 (1,278,923 ) 1,900,685
Short-term U.S. government and agency obligations — — — 4
Net realized gain (loss) 1,436,424 4,988,228 (1,147,608 ) 3,237,429
Change in net unrealized appreciation (depreciation) on
Futures contracts (460,051 ) 725,119 609,640 1,378,602
Swap agreements 208,445 81,220 1,241,973 1,795,321
Short-term U.S. government and agency obligations — 35,207 — (13,647 )
Change in net unrealized appreciation (depreciation) (251,606 ) 841,546 1,851,613 3,160,276
Net realized and unrealized gain (loss) 1,184,818 5,829,774 704,005 6,397,705
Net income (loss) $ 1,293,456 $ 5,821,179 $ 1,047,049 $ 6,268,714

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 15,809,378 $ 34,611,284 $ 15,456,037 $ 26,859,844
Addition of 100,000, 350,000, 700,000 and 1,500,000 shares, respectively 3,039,866 12,520,359 19,338,209 46,264,925
Redemption of 200,000, 650,000, 750,000 and 1,550,000 shares, respectively (5,776,831 ) (23,318,097 ) (21,475,426 ) (49,758,758 )
Net addition (redemption) of (100,000), (300,000), (50,000) and (50,000) shares, respectively (2,736,965 ) (10,797,738 ) (2,137,217 ) (3,493,833 )
Net investment income (loss) 108,638 (8,595 ) 343,044 (128,991 )
Net realized gain (loss) 1,436,424 4,988,228 (1,147,608 ) 3,237,429
Change in net unrealized appreciation (depreciation) (251,606 ) 841,546 1,851,613 3,160,276
Net income (loss) 1,293,456 5,821,179 1,047,049 6,268,714
Shareholders’ equity, end of period $ 14,365,869 $ 29,634,725 $ 14,365,869 $ 29,634,725

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ 1,047,049 $ 6,268,714
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations — (17,987,492 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations — 35,999,990
Net amortization and accretion on short-term U.S. government and agency obligations — (26,784 )
Net realized (gain) loss on investments — (4 )
Change in unrealized (appreciation) depreciation on investments (1,241,973 ) (1,781,674 )
Decrease (Increase) in receivable on open futures contracts (6,250 ) —
Decrease (Increase) in interest receivable 3,281 (25,595 )
Increase (Decrease) in payable to Sponsor (3,555 ) 22,778
Increase (Decrease) in brokerage commissions and futures account fees payable — (294 )
Increase (Decrease) in payable on open futures contracts 97,849 (49,875 )
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 639
Net cash provided by (used in) operating activities (103,599 ) 22,420,403
Cash flow from financing activities
Proceeds from addition of shares 17,731,192 46,264,925
Payment on shares redeemed (21,475,426 ) (49,758,758 )
Net cash provided by (used in) financing activities (3,744,234 ) (3,493,833 )
Net increase (decrease) in cash (3,847,833 ) 18,926,570
Cash, beginning of period 16,020,413 1,990,354
Cash, end of period $ 12,172,580 $ 20,916,924

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(unaudited) December 31,<br> 2022
Assets
Cash $ 8,563,844 $ 21,887,346
Segregated cash balances with brokers for futures contracts 876,000 2,820,937
Segregated cash balances with brokers for swap agreements 6,426,200 7,875,000
Unrealized appreciation on swap agreements 1,014,468 —
Receivable from capital shares sold — 972,789
Receivable on open futures contracts 54,510 59,575
Interest receivable 46,359 60,480
Total assets 16,981,381 33,676,127
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor 13,864 20,705
Unrealized depreciation on swap agreements — 1,722,623
Total liabilities 13,864 1,743,328
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 16,967,517 31,932,799
Total liabilities and shareholders’ equity $ 16,981,381 $ 33,676,127
Shares outstanding 791,329 1,641,329
Net asset value per share $ 21 .44 $ 19 .46
Market value per share (Note 2) $ 21 .55 $ 19 .30

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Futures Contracts Sold

Number of<br><br> <br>Contracts Notional Amount<br><br> <br>at Value Unrealized<br> Appreciation<br> (Depreciation)/Value
Silver Futures - COMEX, expires December 2023 109 $ 12,235,250 $ 851,237

Total Return Swap Agreements ^

Rate Paid<br><br> <br>(Received)<br>* Termination<br><br> <br>Date Notional Amount<br><br> <br>at Value<br>** Unrealized<br><br> <br>Appreciation<br><br> <br>(Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex 0.25 % 10/06/23 $ (2,570,998 ) $ 120,165
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.25 10/06/23 (9,365,796 ) 437,748
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 10/06/23 (7,405,429 ) 345,878
Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 10/06/23 (2,368,019 ) 110,677
Total Unrealized <br>Appreciation $ 1,014,468
^ The positions and counterparties herein are as of September 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 September 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.

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PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 337,096 $ 63,222 $ 860,908 $ 90,885
Expenses
Management fee 78,166 67,215 220,751 190,549
Brokerage commissions 13,775 8,699 28,436 20,677
Futures account fees — — — 4,443
Non-recurring<br> fees and expenses — 612 — 612
Total expenses 91,941 76,526 249,187 216,281
Net investment income (loss) 245,155 (13,304 ) 611,721 (125,396 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts 6,217,172 1,719,839 11,009,808 6,370,119
Swap agreements 704,259 4,495,568 (261,158 ) 1,882,774
Short-term U.S. government and agency obligations — — (906 ) (190 )
Net realized gain (loss) 6,921,431 6,215,407 10,747,744 8,252,703
Change in net unrealized appreciation (depreciation) on
Futures contracts (107,686 ) (1,063,521 ) 1,791,737 800,876
Swap agreements 169,456 (3,024,441 ) 2,737,091 770,011
Short-term U.S. government and agency obligations — 12,438 — (3,447 )
Change in net unrealized appreciation (depreciation) 61,770 (4,075,524 ) 4,528,828 1,567,440
Net realized and unrealized gain (loss) 6,983,201 2,139,883 15,276,572 9,820,143
Net income (loss) $ 7,228,356 $ 2,126,579 $ 15,888,293 $ 9,694,747

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 19,290,473 $ 33,052,840 $ 31,932,799 $ 26,537,000
Addition of 2,950,000, 1,000,000, 6,050,000 and 2,800,000 shares, respectively 51,792,185 34,082,044 107,105,060 77,349,605
Redemption of 3,100,000, 1,050,000, 6,900,000 and 2,800,000 shares, respectively (61,343,497 ) (35,498,411 ) (137,958,635 ) (79,818,300 )
Net addition (redemption) of (150,000), (50,000), (850,000) and – shares, respectively (9,551,312 ) (1,416,367 ) (30,853,575 ) (2,468,695 )
Net investment income (loss) 245,155 (13,304 ) 611,721 (125,396 )
Net realized gain (loss) 6,921,431 6,215,407 10,747,744 8,252,703
Change in net unrealized appreciation (depreciation) 61,770 (4,075,524 ) 4,528,828 1,567,440
Net income (loss) 7,228,356 2,126,579 15,888,293 9,694,747
Shareholders’ equity, end of period $ 16,967,517 $ 33,763,052 $ 16,967,517 $ 33,763,052

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ 15,888,293 $ 9,694,747
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 (39,876,608 ) (20,979,052 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 39,937,156 41,999,081
Net amortization and accretion on short-term U.S. government and agency obligations (61,454 ) (24,695 )
Net realized (gain) loss on investments 906 190
Change in unrealized (appreciation) depreciation on investments (2,737,091 ) (766,564 )
Decrease (Increase) in receivable on open futures contracts 5,065 15,446
Decrease (Increase) in interest receivable 14,121 (25,020 )
Increase (Decrease) in payable to Sponsor (6,841 ) 12,281
Increase (Decrease) in brokerage commissions and futures account fees payable — (747 )
Increase (Decrease) in payable on open futures contracts — 592,924
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 612
Net cash provided by (used in) operating activities 13,163,547 30,519,203
Cash flow from financing activities
Proceeds from addition of shares 108,077,849 77,349,605
Payment on shares redeemed (137,958,635 ) (79,818,300 )
Net cash provided by (used in) financing activities (29,880,786 ) (2,468,695 )
Net increase (decrease) in cash (16,717,239 ) 28,050,508
Cash, beginning of period 32,583,283 5,483,476
Cash, end of period $ 15,866,044 $ 33,533,984

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(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 22,694,511 451,616
Segregated cash balances with brokers for foreign currency forward contracts 2,482,511 3,652,511
Unrealized appreciation on foreign currency forward contracts 969,376 963,369
Interest receivable 94,406 36,071
Total assets 26,240,804 28,101,626
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed — 2,683,455
Payable to Sponsor 19,843 29,633
Unrealized depreciation on foreign currency forward contracts 48,770 3,990,802
Total liabilities 68,613 6,703,890
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 26,172,191 21,397,736
Total liabilities and shareholders’ equity $ 26,240,804 $ 28,101,626
Shares outstanding 348,580 398,580
Net asset value per share $ 75 .08 $ 53 .68
Market value per share (Note 2) $ 75 .08 $ 53 .57

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Foreign Currency Forward Contracts ^

Settlement Date Contract Amount<br><br> <br>in Local Currency Contract Amount<br><br> <br>in U.S. Dollars Unrealized<br><br> <br>Appreciation<br><br> <br>(Depreciation)/<br><br> <br>Value
Contracts to Purchase
Yen with UBS AG 10/06/23 428,237,000 $ 2,868,730 $ (48,770 )
Total Unrealized<br> Depreciation $ (48,770 )
Contracts to Sell
Yen with Goldman Sachs International 10/06/23 (3,330,184,165 ) $ (22,308,674 ) $ 406,284
Yen with UBS AG 10/06/23 (4,908,633,574 ) (32,882,597 ) 563,092
Total Unrealized <br>Appreciation $ 969,376
^ The positions and counterparties herein are as of September 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.

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PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 274,125 $ 115,191 $ 733,679 $ 151,503
Expenses
Management fee 58,762 106,598 167,753 259,599
Non-recurring<br> fees and expenses — 953 — 953
Total expenses 58,762 107,551 167,753 260,552
Net investment income (loss) 215,363 7,640 565,926 (109,049 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts 3,079,208 5,879,873 3,422,003 14,877,216
Short-term U.S. government and agency obligations — — — 102,971
Net realized gain (loss) 3,079,208 5,879,873 3,422,003 14,980,187
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts (1,059,246 ) (546,737 ) 3,948,039 (444,812 )
Short-term U.S. government and agency obligations — 22,866 (2,761 ) (8,524 )
Change in net unrealized appreciation (depreciation) (1,059,246 ) (523,871 ) 3,945,278 (453,336 )
Net realized and unrealized gain (loss) 2,019,962 5,356,002 7,367,281 14,526,851
Net income (loss) $ 2,235,325 $ 5,363,642 $ 7,933,207 $ 14,417,802

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 27,077,656 $ 45,568,882 $ 21,397,736 $ 24,840,784
Addition of –, 250,000, 450,000 and 1,100,000 shares, respectively — 15,352,183 26,056,375 59,472,902
Redemption of 50,000, 250,000, 500,000 and 900,000 shares, respectively (3,140,790 ) (14,347,369 ) (29,215,127 ) (46,794,150 )
Net addition (redemption) of (50,000), –, (50,000) and 200,000 shares, respectively (3,140,790 ) 1,004,814 (3,158,752 ) 12,678,752
Net investment income (loss) 215,363 7,640 565,926 (109,049 )
Net realized gain (loss) 3,079,208 5,879,873 3,422,003 14,980,187
Change in net unrealized appreciation (depreciation) (1,059,246 ) (523,871 ) 3,945,278 (453,336 )
Net income (loss) 2,235,325 5,363,642 7,933,207 14,417,802
Shareholders’ equity, end of period $ 26,172,191 $ 51,937,338 $ 26,172,191 $ 51,937,338

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ 7,933,207 $ 14,417,802
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations — (17,984,732 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 23,000,000 34,102,971
Net amortization and accretion on short-term U.S. government and agency obligations (4,702 ) (24,192 )
Net realized (gain) loss on investments — (102,971 )
Change in unrealized (appreciation) depreciation on investments (3,945,278 ) 453,336
Decrease (Increase) in interest receivable (58,335 ) (42,154 )
Increase (Decrease) in payable to Sponsor (9,790 ) 48,690
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 953
Net cash provided by (used in) operating activities 26,915,102 30,869,703
Cash flow from financing activities
Proceeds from addition of shares 26,056,375 59,472,902
Payment on shares redeemed (31,898,582 ) (46,794,150 )
Net cash provided by (used in) financing activities (5,842,207 ) 12,678,752
Net increase (decrease) in cash 21,072,895 43,548,455
Cash, beginning of period 4,104,127 3,003,251
Cash, end of period $ 25,177,022 $ 46,551,706

See accompanying notes to financial statements.

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PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(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 50,204,095 19,575,939
Segregated cash balances with brokers for futures contracts 9,032,162 14,384,050
Receivable on open futures contracts 560,581 142,794
Interest receivable 208,470 88,180
Total assets 60,005,308 84,073,311
Liabilities and shareholders’ equity
Liabilities
Brokerage commissions and futures account fees payable 2,387 3,688
Payable to Sponsor 34,897 54,664
Total liabilities 37,284 58,352
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 59,968,024 84,014,959
Total liabilities and shareholders’ equity $ 60,005,308 $ 84,073,311
Shares outstanding 3,087,403 2,762,403
Net asset value per share $ 19 .42 $ 30 .41
Market value per share (Note 2) $ 19 .41 $ 30 .36

See accompanying notes to financial statements.

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PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Futures Contracts Purchased

Number of<br><br> <br>Contracts Notional Amount<br><br> <br>at Value Unrealized<br> Appreciation<br> (Depreciation)/Value
VIX Futures - Cboe, expires January 2024 617 $ 11,784,515 $ (350,626 )
VIX Futures - Cboe, expires February 2024 1,028 19,841,839 (508,849 )
VIX Futures - Cboe, expires March 2024 1,028 20,146,847 (104,194 )
VIX Futures - Cboe, expires April 2024 411 8,178,119 19,997
$ (943,672 )

See accompanying notes to financial statements.

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PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 597,040 $ 220,211 $ 1,895,545 $ 296,960
Expenses
Management fee 117,018 201,508 401,207 627,755
Brokerage commissions 8,822 17,922 30,191 58,291
Futures account fees 9,991 — 33,287 46,394
Non-recurring<br> fees and expenses — 2,050 — 2,050
Total expenses 135,831 221,480 464,685 734,490
Net investment income (loss) 461,209 (1,269 ) 1,430,860 (437,530 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (12,244,511 ) (1,349,272 ) (35,008,564 ) 11,304,613
Short-term U.S. government and agency obligations — — — (336 )
Net realized gain (loss) (12,244,511 ) (1,349,272 ) (35,008,564 ) 11,304,277
Change in net unrealized appreciation (depreciation) on
Futures contracts 8,934,542 3,236,565 3,847,551 6,941,620
Short-term U.S. government and agency obligations — 131,644 (5,651 ) (54,576 )
Change in net unrealized appreciation (depreciation) 8,934,542 3,368,209 3,841,900 6,887,044
Net realized and unrealized gain (loss) (3,309,969 ) 2,018,937 (31,166,664 ) 18,191,321
Net income (loss) $ (2,848,760 ) $ 2,017,668 $ (29,735,804 ) $ 17,753,791

See accompanying notes to financial statements.

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PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 49,421,413 $ 95,721,271 $ 84,014,959 $ 112,875,680
Addition of 850,000, 850,000, 1,700,000 and 1,850,000 shares, respectively 16,840,213 28,312,142 38,658,971 60,491,195
Redemption of 175,000, 450,000, 1,375,000 and 2,425,000 shares, respectively (3,444,842 ) (15,630,507 ) (32,970,102 ) (80,700,092 )
Net addition (redemption) of 675,000, 400,000, 325,000 and (575,000) shares, respectively 13,395,371 12,681,635 5,688,869 (20,208,897 )
Net investment income (loss) 461,209 (1,269 ) 1,430,860 (437,530 )
Net realized gain (loss) (12,244,511 ) (1,349,272 ) (35,008,564 ) 11,304,277
Change in net unrealized appreciation (depreciation) 8,934,542 3,368,209 3,841,900 6,887,044
Net income (loss) (2,848,760 ) 2,017,668 (29,735,804 ) 17,753,791
Shareholders’ equity, end of period $ 59,968,024 $ 110,420,574 $ 59,968,024 $ 110,420,574

See accompanying notes to financial statements.

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PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ (29,735,804 ) $ 17,753,791
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 (294,811,992 ) (66,991,148 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 345,000,000 120,998,548
Net amortization and accretion on short-term U.S. government and agency obligations (311,311 ) (63,980 )
Net realized (gain) loss on investments — 336
Change in unrealized (appreciation) depreciation on investments 5,651 54,576
Decrease (Increase) in receivable on open futures contracts (417,787 ) (765,221 )
Decrease (Increase) in interest receivable (120,290 ) (84,257 )
Increase (Decrease) in payable to Sponsor (19,767 ) 51,511
Increase (Decrease) in brokerage commissions and futures account fees payable (1,301 ) (7,124 )
Increase (Decrease) in payable on open futures contracts — (94,495 )
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 2,050
Net cash provided by (used in) operating activities 19,587,399 70,854,587
Cash flow from financing activities
Proceeds from addition of shares 38,658,971 60,491,195
Payment on shares redeemed (32,970,102 ) (78,938,105 )
Net cash provided by (used in) financing activities 5,688,869 (18,446,910 )
Net increase (decrease) in cash 25,276,268 52,407,677
Cash, beginning of period 33,959,989 27,071,819
Cash, end of period $ 59,236,257 $ 79,479,496

See accompanying notes to financial statements.

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PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(unaudited) December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $104,624,795 and $89,329,814, respectively) $ 104,639,666 $ 89,347,714
Cash 23,955,940 33,526,868
Segregated cash balances with brokers for futures contracts 65,304,529 91,634,942
Receivable on open futures contracts 17,543,264 52,643,553
Interest receivable 266,995 403,667
Total assets 211,710,394 267,556,744
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed — 570,473
Payable on open futures contracts — 223,719
Brokerage commissions and futures account fees payable 11,670 27,102
Payable to Sponsor 94,296 155,130
Total liabilities 105,966 976,424
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 211,604,428 266,580,320
Total liabilities and shareholders’ equity $ 211,710,394 $ 267,556,744
Shares outstanding (Note 1) 9,075,947 4,676,565
Net asset value per share (Note 1) $ 23 .31 $ 57 .00
Market value per share (Note 1) (Note 2) $ 23 .30 $ 56 .90

See accompanying notes to financial statements.

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PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2023

(unaudited)

Value
Short-term U.S. government and agency obligations
(49% of shareholders’ equity)
U.S. Treasury Bills^^:
5.407% due 10/10/23 25,000,000 $ 24,970,695
5.478% due 10/17/23 45,000,000 44,900,905
5.490% due 11/14/23 25,000,000 24,841,885
5.497% due 11/21/23 10,000,000 9,926,181
Total short-term U.S. government and agency obligations (cost 104,624,795) $ 104,639,666

All values are in US Dollars.

Futures Contracts Purchased

Number of<br><br> <br>Contracts Notional Amount at<br> Value Unrealized<br> Appreciation<br> (Depreciation)/Value
VIX Futures - Cboe, expires October 2023 7,067 $ 125,589,070 $ 11,154,767
VIX Futures - Cboe, expires November 2023 4,719 86,104,290 719,403
$ 11,874,170
^^ Rates shown represent discount rate at the time of purchase.
--- ---

See accompanying notes to financial statements.

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PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Investment Income
Interest $ 2,271,345 $ 1,400,201 $ 6,832,197 $ 1,678,813
Expenses
Management fee 447,560 874,070 1,495,874 2,353,478
Brokerage commissions 58,426 203,095 250,314 490,751
Futures account fees 44,110 54,944 143,501 371,384
Non-recurring<br> fees and expenses — 8,700 — 8,700
Total expenses 550,096 1,140,809 1,889,689 3,224,313
Net investment income (loss) 1,721,249 259,392 4,942,508 (1,545,500 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (54,950,042 ) (45,457,319 ) (228,276,043 ) 31,935,990
Short-term U.S. government and agency obligations — — (10,605 ) (300 )
Net realized gain (loss) (54,950,042 ) (45,457,319 ) (228,286,648 ) 31,935,690
Change in net unrealized appreciation (depreciation) on
Futures contracts 41,847,057 51,449,994 21,670,993 84,956,040
Short-term U.S. government and agency obligations (5,866 ) 248,953 (3,029 ) (104,697 )
Change in net unrealized appreciation (depreciation) 41,841,191 51,698,947 21,667,964 84,851,343
Net realized and unrealized gain (loss) (13,108,851 ) 6,241,628 (206,618,684 ) 116,787,033
Net income (loss) $ (11,387,602 ) $ 6,501,020 $ (201,676,176 ) $ 115,241,533

See accompanying notes to financial statements.

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PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022
Shareholders’ equity, beginning of period $ 230,227,830 $ 341,714,316 $ 266,580,320 $ 269,703,164
Addition of 2,475,000, 3,555,000, <br>9,235,000<br>and <br>7,180,000<br>shares, respectively (Note 1) 56,655,376 261,088,034 324,424,030 563,456,503
Redemption of 2,625,618, 2,190,000, <br>4,835,618<br>and <br>5,630,000<br>shares, respectively (Note 1) (63,891,176 ) (171,766,742 ) (177,723,746 ) (510,864,572 )
Net addition (redemption) of (150,618), 1,365,000, 4,399,382 and 1,550,000 shares, respectively (Note 1) (7,235,800 ) 89,321,292 146,700,284 52,591,931
Net investment income (loss) 1,721,249 259,392 4,942,508 (1,545,500 )
Net realized gain (loss) (54,950,042 ) (45,457,319 ) (228,286,648 ) 31,935,690
Change in net unrealized appreciation (depreciation) 41,841,191 51,698,947 21,667,964 84,851,343
Net income (loss) (11,387,602 ) 6,501,020 (201,676,176 ) 115,241,533
Shareholders’ equity, end of period $ 211,604,428 $ 437,536,628 $ 211,604,428 $ 437,536,628

See accompanying notes to financial statements.

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PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022
Cash flow from operating activities
Net income (loss) $ (201,676,176 ) $ 115,241,533
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 (614,146,126 ) (2,462,189,566 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 601,754,108 2,455,998,870
Net amortization and accretion on short-term U.S. government and agency obligations (2,913,568 ) (725,037 )
Net realized (gain) loss on investments 10,605 300
Change in unrealized (appreciation) depreciation on investments 3,029 104,697
Decrease (Increase) in receivable on open futures contracts 35,100,289 (67,758,303 )
Decrease (Increase) in interest receivable 136,672 (362,333 )
Increase (Decrease) in payable to Sponsor (60,834 ) 372,867
Increase (Decrease) in brokerage commissions and futures account fees payable (15,432 ) (20,676 )
Increase (Decrease) in payable on open futures contracts (223,719 ) (2,037,391 )
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 8,700
Net cash provided by (used in) operating activities (182,031,152 ) 38,633,661
Cash flow from financing activities
Proceeds from addition of shares 324,424,030 566,483,117
Payment on shares redeemed (178,294,219 ) (498,163,549 )
Net cash provided by (used in) financing activities 146,129,811 68,319,568
Net increase (decrease) in cash (35,901,341 ) 106,953,229
Cash, beginning of period 125,161,810 115,960,816
Cash, end of period $ 89,260,469 $ 222,914,045

See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

September 30, 2023<br><br> <br>(unaudited) December 31, 2022
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $1,374,810,703 and $1,466,423,925, respectively) $ 1,375,005,218 $ 1,466,680,542
Cash 367,158,559 625,964,378
Segregated cash balances with brokers for futures contracts 858,586,121 925,792,861
Segregated cash balances with brokers for foreign currency forward contracts 9,686,632 12,956,632
Segregated cash balances with brokers for swap agreements 524,175,300 262,053,745
Unrealized appreciation on swap agreements 12,904,475 119,880,255
Unrealized appreciation on foreign currency forward contracts 2,564,273 2,823,510
Receivable from capital shares sold 31,210,088 1,014,483
Receivable on open futures contracts 214,636,493 522,770,291
Interest receivable 4,484,827 4,920,772
Total assets 3,400,411,986 3,944,857,469
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed 47,876,891 32,725,077
Payable on open futures contracts 14,962,756 11,742,794
Brokerage commissions and futures account fees payable 105,802 165,165
Payable to Sponsor 2,610,466 3,210,113
Unrealized depreciation on swap agreements 33,398,222 2,315,580
Unrealized depreciation on foreign currency forward contracts 998,472 6,911,994
Total liabilities 99,952,609 57,070,723
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 3,300,459,377 3,887,786,746
Total liabilities and shareholders’ equity $ 3,400,411,986 $ 3,944,857,469
Shares outstanding (Note 1) 105,689,214 89,444,047

See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022*
Investment Income
Interest $ 33,986,958 $ 14,620,209 $ 103,035,154 $ 19,240,564
Expenses
Management fee 8,433,063 11,269,281 27,104,933 33,494,289
Brokerage commissions 1,640,018 2,210,735 6,556,137 6,013,653
Futures account fees 313,663 449,872 1,142,555 3,285,001
Non-recurring<br> fees and expenses — 81,773 — 81,773
Total expenses 10,386,744 14,011,661 34,803,625 42,874,716
Net investment income (loss) 23,600,214 608,548 68,231,529 (23,634,152 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts 14,374,480 (321,993,985 ) (1,974,626,401 ) 188,147,013
Swap agreements 190,429,303 (438,845,993 ) 153,509,127 217,520,213
Foreign currency forward contracts 1,079,187 13,695,610 (1,741,651 ) 26,532,572
Short-term U.S. government and agency obligations 205 (71,343 ) (195,666 ) (264,143 )
Net realized gain (loss) 205,883,175 (747,215,711 ) (1,823,054,591 ) 431,935,655
Change in net unrealized appreciation (depreciation) on
Futures contracts (202,241,004 ) 291,970,061 135,612,832 354,740,180
Swap agreements (41,076,901 ) 112,369,648 (138,058,422 ) (213,954,485 )
Foreign currency forward contracts 1,962,662 (1,017,583 ) 5,654,285 2,088,381
Short-term U.S. government and agency obligations (111,348 ) 3,053,986 (62,102 ) (971,900 )
Change in net unrealized appreciation (depreciation) (241,466,591 ) 406,376,112 3,146,593 141,902,176
Net realized and unrealized gain (loss) (35,583,416 ) (340,839,599 ) (1,819,907,998 ) 573,837,831
Net income (loss) $ (11,983,202 ) $ (340,231,051 ) $ (1,751,676,469 ) $ 550,203,679
*   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.

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PROSHARES TRUST II

COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2023 2022 2023 2022*
Shareholders’ equity, beginning of period $ 3,753,845,537 $ 4,563,369,776 $ 3,887,786,746 $ 4,173,474,343
Addition of 57,975,000, 100,995,000, 190,410,000 and 194,805,000 shares, respectively (Note 1) 1,835,741,719 3,360,951,964 8,495,699,775 8,989,738,725
Redemption of 63,757,333, 97,035,000, 174,164,833 and 191,370,926 shares, respectively (Note 1) (2,277,144,677 ) (3,379,709,104 ) (7,331,350,675 ) (9,509,035,162 )
Net addition (redemption) of (5,782,333), 3,960,000, 16,245,167 and 3,434,074 shares, respectively (Note 1) (441,402,958 ) (18,757,140 ) 1,164,349,100 (519,296,437 )
Net investment income (loss) 23,600,214 608,548 68,231,529 (23,634,152 )
Net realized gain (loss) 205,883,175 (747,215,711 ) (1,823,054,591 ) 431,935,655
Change in net unrealized appreciation (depreciation) (241,466,591 ) 406,376,112 3,146,593 141,902,176
Net income (loss) (11,983,202 ) (340,231,051 ) (1,751,676,469 ) 550,203,679
Shareholders’ equity, end of period $ 3,300,459,377 $ 4,204,381,585 $ 3,300,459,377 $ 4,204,381,585
* The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.
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See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2023 2022*
Cash flow from operating activities
Net income (loss) $ (1,751,676,469 ) $ 550,203,679
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 (27,871,422,186 ) (32,181,153,315 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 28,009,309,658 32,879,938,110
Net amortization and accretion on short-term U.S. government and agency obligations (46,469,916 ) (9,697,124 )
Net realized (gain) loss on investments 195,666 264,143
Change in unrealized (appreciation) depreciation on investments 132,466,239 212,838,004
Decrease (Increase) in receivable on futures contracts 308,133,798 (333,246,149 )
Decrease (Increase) in interest receivable 435,945 (3,095,982 )
Increase (Decrease) in payable to Sponsor (599,647 ) 4,244,972
Increase (Decrease) in brokerage commissions and futures account fees payable (59,363 ) (327,015 )
Increase (Decrease) in payable on futures contracts 3,219,962 (37,886,245 )
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable — 81,773
Net cash provided by (used in) operating activities (1,216,466,313 ) 1,082,164,851
Cash flow from financing activities
Proceeds from addition of shares 8,465,504,170 9,008,566,233
Payment on shares redeemed (7,316,198,861 ) (9,440,488,808 )
Net cash provided by (used in) financing activities 1,149,305,309 (431,922,575 )
Net increase (decrease) in cash (67,161,004 ) 650,242,276
Cash, beginning of period 1,826,767,616 1,408,701,238
Cash, end of period $ 1,759,606,612 $ 2,058,943,514
* The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation.
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See accompanying notes to financial statements.

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

September 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 September 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 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.

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Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the nine months September 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<br> (Prior to Opening<br> of Trading) Type of Split Date Trading<br> Resumed at Post-<br> Split Price
ProShares UltraShort Bloomberg Natural Gas January 13, 2022 1-for-5<br> reverse Share split January 14, 2022
ProShares UltraShort Yen May 25, 2022 2-for-1<br> forward Share split May 26, 2022
ProShares Ultra Bloomberg Crude Oil May 25, 2022 4-for-1<br> forward Share split May 26, 2022
ProShares UltraShort Bloomberg Natural Gas May 25, 2022 1-for-4<br> reverse Share split May 26, 2022
ProShares UltraShort Bloomberg Crude Oil May 25, 2022 1-for-5<br> reverse Share split May 26, 2022
ProShares Ultra Bloomberg Natural Gas June 23, 2023 1-for-20<br> reverse Share split June 24, 2023
ProShares Ultra VIX Short-Term Futures June 23, 2023 1-for-10<br> reverse Share split June 24, 2023
ProShares VIX Short-Term Futures June 23, 2023 1-for-5<br> 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”).

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.

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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 September 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.

Final Net Asset Value for Fiscal Period

The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months

ended September 30, 2023

were typically as follows. All times are Eastern Standard Time:

Fund Create/Redeem<br><br>Cut-off* NAV Calculation<br>Time NAV<br><br><br>Calculation Date
Ultra Silver and UltraShort Silver 1:00 p.m. 1:25 p.m. September 29, 2023
Ultra Gold and UltraShort Gold 1:00 p.m. 1:30 p.m. September 29, 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. September 29, 2023
Ultra Euro,
Ultra Yen,
UltraShort Euro and
UltraShort Yen 3:00 p.m. 4:00 p.m. September 29, 2023
Short VIX Short-Term Futures ETF,
Ultra VIX Short-Term Futures ETF,
VIX <br>Mid-Term<br> Futures ETF and
VIX Short-Term Futures ETF 2:00 p.m. 4:00 p.m. September 29, 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 nine months ended September 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 nine months ended September 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.

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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 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 September 30, 2023 using the fair value hierarchy:

Level I - Quoted Prices Level II - Other Significant<br> Observable Inputs
Fund Short-Term U.S.<br><br> <br>Government and<br><br> <br>Agencies Futures<br><br> <br>Contracts<br>* Foreign<br><br> <br>Currency<br><br> <br>Forward<br><br> <br>Contracts Swap<br><br> <br>Agreements Total
ProShares Short VIX Short-Term Futures ETF $ 104,670,946 $ (2,387,385 ) $ — $ — $ 102,283,561
ProShares Ultra Bloomberg Crude Oil 264,081,088 24,729,920 — 11,240,991 300,051,999
ProShares Ultra Bloomberg Natural Gas 303,858,387 (114,592,473 ) — (1,438,294 ) 187,827,620
ProShares Ultra Euro — — (222,712 ) — (222,712 )
ProShares Ultra Gold 109,664,879 (2,617,740 ) — (10,343,189 ) 96,703,950
ProShares Ultra Silver 199,275,356 (6,167,328 ) — (21,616,739 ) 171,491,289
ProShares Ultra VIX Short-Term Futures ETF 84,581,081 29,009,491 — — 113,590,572
ProShares Ultra Yen — — (580,421 ) — (580,421 )
ProShares UltraShort Bloomberg Crude Oil 184,298,349 (25,040,263 ) — — 159,258,086
ProShares UltraShort Bloomberg Natural Gas 19,935,466 23,776,317 — — 43,711,783
ProShares UltraShort Euro — — 1,448,328 — 1,448,328
ProShares UltraShort Gold — 510,754 — 649,016 1,159,770
ProShares UltraShort Silver — 851,237 — 1,014,468 1,865,705
ProShares UltraShort Yen — — 920,606 — 920,606
ProShares VIX <br>Mid-Term<br> Futures ETF — (943,672 ) — — (943,672 )
ProShares VIX Short-Term Futures ETF 104,639,666 11,874,170 — — 116,513,836
Combined Trust: $ 1,375,005,218 $ (60,996,972 ) $ 1,565,801 $ (20,493,747 ) $ 1,295,080,300
* 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<br> Observable Inputs
Fund Short-Term U.S.<br><br> <br>Government and<br><br> <br>Agencies Futures<br><br> <br>Contracts<br>* Foreign<br><br> <br>Currency<br><br> <br>Forward<br><br> <br>Contracts Swap<br><br> <br>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 )
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 <br>Mid-Term<br> 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.
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There were no transfers into or out of Level 3 for the quarter ended September 30, 2023 or the year ended 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 Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

Federal Income Tax

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

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

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NOTE 3 – INVESTMENTS

Short-Term Investments

The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.

Accounting for Derivative Instruments

In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.

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

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

Futures Contracts

The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.

Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.

Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.

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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).

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.

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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.

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

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

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

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 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 will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

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The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 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 counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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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.

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.

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Fair Value of Derivative Instruments as of September 30, 2023

Asset Derivatives Liability Derivatives
Derivatives Not<br>Accounted for as<br>Hedging Instruments Fund Statements of<br> <br>Financial Condition<br>Location Unrealized<br><br><br>Appreciation Statements of<br> <br>Financial Condition<br>Location Unrealized<br><br><br>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 $ — $ 2,387,385 *
ProShares Ultra VIX Short-Term Futures ETF 29,009,491 * —
ProShares VIX <br>Mid-Term<br> Futures ETF 19,997 * 963,669 *
ProShares VIX Short-Term Futures ETF 11,874,170 * —
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 36,159,401 * 188,490 *
ProShares Ultra Bloomberg Natural Gas — 116,030,767 *
ProShares Ultra Gold — 12,960,929 *
ProShares Ultra Silver — 27,784,068 *
ProShares UltraShort Bloomberg Crude Oil 822,565 * 25,862,828 *
ProShares UltraShort Bloomberg Natural Gas 23,776,317 * —
ProShares UltraShort Gold 1,159,770 * —
ProShares UltraShort Silver 1,865,705 * —
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 867 223,579
ProShares Ultra Yen 8,894 589,315
ProShares UltraShort Euro 1,585,136 136,808
ProShares UltraShort Yen 969,376 48,770
Combined Trust: $ 107,251,689 * $ 187,176,608 *
* Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
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Fair Value of Derivative Instruments as of December 31, 2022

Asset Derivatives Liability Derivatives
Derivatives Not<br>Accounted for as<br>Hedging Instruments Fund Statements of<br><br>Financial Condition<br>Location Unrealized<br><br><br>Appreciation Statements of<br><br>Financial Condition<br>Location Unrealized<br><br><br>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 * $ —
ProShares Ultra VIX Short-Term Futures ETF — 36,555,453 *
ProShares VIX <br>Mid-Term<br> 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
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 *

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The Effect of Derivative Instruments on the Statement of Operations

For the three months ended September 30, 2023

Derivatives Not Accounted<br><br>for as Hedging Instruments Location of Gain<br><br>(Loss) on Derivatives<br><br>Recognized in Income Fund Realized Gain<br><br><br>(Loss) on<br><br><br>Derivatives<br><br><br>Recognized in<br><br><br>Income Change in<br><br><br>Unrealized<br><br><br>Appreciation<br><br><br>(Depreciation) on<br><br><br>Derivatives<br><br><br>Recognized in<br><br><br>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 $ 30,285,319 $ (26,316,590 )
ProShares Ultra VIX Short-Term Futures ETF (142,584,115 ) 108,839,211
ProShares VIX <br>Mid-Term<br> Futures ETF (12,244,511 ) 8,934,542
ProShares VIX Short-Term Futures ETF (54,950,042 ) 41,847,057
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 244,550,123 28,244,846
ProShares Ultra Bloomberg Natural Gas 237,079,838 (410,454,461 )
ProShares Ultra Gold (16,876,003 ) (522,115 )
ProShares Ultra Silver (30,251,410 ) 239,211
ProShares UltraShort Bloomberg Crude Oil (47,764,820 ) (38,026,419 )
ProShares UltraShort Bloomberg Natural Gas (10,798,451 ) 44,086,649
ProShares UltraShort Gold 1,436,424 (251,606 )
ProShares UltraShort Silver 6,921,431 61,770
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 (22,385 ) (462,400 )
--- --- --- --- --- --- ---
ProShares Ultra Yen (1,854,770 ) 277,206
ProShares UltraShort Euro (122,866 ) 3,207,102
ProShares UltraShort Yen 3,079,208 (1,059,246 )
Combined Trust $ 205,882,970 $ (241,355,243 )

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The Effect of Derivative Instruments on the Statement of Operations

For the nine months ended September 30, 2023

Derivatives Not Accounted<br><br>for as Hedging Instruments Location of Gain<br><br>(Loss) on Derivatives<br><br>Recognized in Income Fund Realized Gain<br><br><br>(Loss) on<br><br><br>Derivatives<br><br><br>Recognized in<br><br><br>Income Change in<br><br><br>Unrealized<br><br><br>Appreciation<br><br><br>(Depreciation) on<br><br><br>Derivatives<br><br><br>Recognized in<br><br><br>Income
VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap<br><br>agreements/ changes in unrealized appreciation (depreciation) on<br><br>futures contracts and/or swap agreements
ProShares Short VIX Short-Term Futures ETF $ 125,117,609 $ (13,479,766 )
ProShares Ultra VIX Short-Term Futures ETF (751,122,089 ) 65,564,944
ProShares VIX <br>Mid-Term<br> Futures ETF (35,008,564 ) 3,847,551
ProShares VIX Short-Term Futures ETF (228,276,043 ) 21,670,993
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 253,975,133 (64,480,382 )
ProShares Ultra Bloomberg Natural Gas (1,441,434,725 ) 194,583,202
ProShares Ultra Gold 11,120,462 (22,699,483 )
ProShares Ultra Silver 5,667,026 (96,434,853 )
ProShares UltraShort Bloomberg Crude Oil 7,896,254 (35,285,156 )
ProShares UltraShort Bloomberg Natural Gas 221,346,621 (62,113,081 )
ProShares UltraShort Gold (1,147,608 ) 1,851,613
ProShares UltraShort Silver 10,748,650 4,528,828
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 336,185 (638,368 )
ProShares Ultra Yen (2,923,720 ) (1,564,970 )
ProShares UltraShort Euro (2,576,119 ) 3,909,584
ProShares UltraShort Yen 3,422,003 3,948,039
Combined Trust: $ (1,822,858,925 ) $ 3,208,695
* 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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The Effect of Derivative Instruments on the Statement of Operations

For the three months ended September 30, 2022

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

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The Effect of Derivative Instruments on the Statement of Operations

For the nine months ended September 30, 2022

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

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Offsetting Assets and Liabilities

Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2023.

Fair Values of Derivative Instruments as of September 30, 2023

Assets Liabilities
Fund Gross Amounts<br> of Recognized<br> Assets<br> presented<br> in the<br> Statements of<br> Financial<br> Condition Gross Amounts<br> Offset in the<br> Statements of<br> Financial<br> Condition Net Amounts of<br> Assets presented<br> in the<br> Statements of<br> Financial<br> Condition Gross Amounts<br> of Recognized<br> Liabilities<br> presented in the<br> Statements of<br> Financial<br> Condition Gross<br> Amounts<br> Offset in the<br> Statements<br> of Financial<br> Condition Net Amounts of<br> Liabilities<br> presented in<br> the Statements<br> of Financial<br> Condition
ProShares Ultra Bloomberg Crude Oil
Swap agreements $ 11,240,991 $ — $ 11,240,991 $ — $ — $ —
ProShares Ultra Bloomberg Natural Gas
Swap agreements — — — 1,438,294 — 1,438,294
ProShares Ultra Euro
Foreign currency forward contracts 867 — 867 223,579 — 223,579
ProShares Ultra Gold
Swap agreements — — — 10,343,189 — 10,343,189
ProShares Ultra Silver
Swap agreements — — — 21,616,739 — 21,616,739
ProShares Ultra Yen
Foreign currency forward contracts 8,894 — 8,894 589,315 — 589,315
ProShares UltraShort Euro
Foreign currency forward contracts 1,585,136 — 1,585,136 136,808 — 136,808
ProShares UltraShort Gold
Swap agreements 649,016 — 649,016 — — —
ProShares UltraShort Silver
Swap agreements 1,014,468 — 1,014,468 — — —
ProShares UltraShort Yen
Foreign currency forward contracts 969,376 — 969,376 48,770 — 48,770

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Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 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 September 30, 2023
Fund Amounts of Recognized Assets /<br> (Liabilities) presented in the<br> Statements of Financial Condition Financial Instruments for<br> the Benefit of (the Funds) /<br> the Counterparties Cash Collateral for<br> the Benefit of (the Funds)<br> / the Counterparties Net Amount
ProShares Ultra Bloomberg Crude Oil
Citibank, N.A. $ 1,869,634 $ (1,869,634 ) $ — $ —
Goldman Sachs International 2,324,555 (2,324,555 ) — —
Morgan Stanley & Co.
International PLC 1,607,761 (1,368,876 ) (238,885 ) —
Societe Generale 1,776,923 (1,776,923 ) — —
UBS AG 3,662,118 (3,662,118 ) — —
ProShares Ultra Bloomberg Natural Gas
Citibank, N.A. (706,090 ) — 706,090 —
Goldman Sachs International (482,438 ) — 482,438 —
Societe Generale (245,972 ) — 245,972 —
UBS AG (3,794 ) — 3,794 —
ProShares Ultra Euro
Goldman Sachs International (136,003 ) — 136,003 —
UBS AG (86,709 ) — 86,709 —
ProShares Ultra Gold
Citibank, N.A. (4,441,216 ) — 4,441,216 —
Goldman Sachs International (2,109,437 ) — 2,109,437 —
UBS AG (3,792,536 ) — 3,792,536 —
ProShares Ultra Silver
Citibank, N.A. (7,524,763 ) — 7,524,763 —
Goldman Sachs International (994,790 ) — 994,790 —
Morgan Stanley & Co. International PLC (6,749,262 ) — 6,749,262 —
UBS AG (6,347,924 ) — 6,347,924 —
ProShares Ultra Yen
Goldman Sachs International (268,253 ) — 268,253 —
UBS AG (312,168 ) — 312,168 —
ProShares UltraShort Euro
Goldman Sachs International 763,505 (763,505 ) — —
UBS AG 684,823 (684,823 ) — —
ProShares UltraShort Gold
Citibank, N.A. 149,583 — — 149,583
Goldman Sachs International 196,202 — — 196,202
UBS AG 303,231 (262,149 ) — 41,082
ProShares UltraShort Silver
Citibank, N.A. 120,165 — — 120,165
Goldman Sachs International 437,748 (344,363 ) — 93,385
Morgan Stanley & Co. International PLC 345,878 — — 345,878
UBS AG 110,677 — — 110,677
ProShares UltraShort Yen
Goldman Sachs International 406,284 (331,699 ) — 74,585
UBS AG 514,322 (290,824 ) — 223,498

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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<br><br> <br>of Recognized<br><br> <br>Assets<br> presented<br><br> <br>in the<br><br> <br>Statements of<br><br> <br>Financial<br><br> <br>Condition Gross Amounts<br><br> <br>Offset in the<br><br> <br>Statements of<br><br> <br>Financial<br><br> <br>Condition Net Amounts of<br> Assets presented<br><br> <br>in the<br><br> <br>Statements of<br> Financial<br> Condition Gross Amounts<br> of Recognized<br> Liabilities<br> presented in the<br> Statements of<br> Financial<br> Condition Gross Amounts<br> Offset in the<br> Statements of<br> Financial<br> Condition Net Amounts of<br> Liabilities<br> presented in the<br> Statements of<br> Financial<br> 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

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”.

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Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022
Fund Amounts of Recognized<br> Assets / (Liabilities)<br> presented in the Statements<br> of Financial Condition Financial Instruments for<br> the Benefit of (the Funds)<br> / the Counterparties Cash Collateral for the<br> Benefit of (the Funds)<br> / the Counterparties Net<br> 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 )

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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.

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The Administrator

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

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.

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Authorized Participants may pay a fixed transaction fee (typically $250) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

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

Three Months Ended Nine Months Ended
Fund September 30, 2023 September 30, 2023
ProShares Short VIX Short-Term Futures ETF $ 41,549 $ 203,485
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 248,309 1,068,660
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 <br>Mid-Term<br> Futures ETF 6,068 21,579
ProShares VIX Short-Term Futures ETF 47,895 215,117
Combined Trust: $ 343,821 $ 1,508,841

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NOTE 6 – FINANCIAL HIGHLIGHTS

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

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

Per Share Operating Performance Short VIX<br><br>Short-Term<br><br>Futures ETF Ultra<br>Bloomberg<br>Crude Oil Ultra<br>Bloomberg<br>Natural Gas<br>* Ultra Euro Ultra Gold Ultra Silver
Net asset value, at June 30, 2023 $ 84.68 $ 23.74 $ 69.48 $ 11.59 $ 58.36 $ 27.04
Net investment income (loss) 0.60 0.16 0.38 0.10 0.47 0.18
Net realized and unrealized gain (loss)# 0.97 11.34 (15.86 ) (0.82 ) (6.08 ) (2.46 )
Change in net asset value from operations 1.57 11.50 (15.48 ) (0.72 ) (5.61 ) (2.28 )
Net asset value, at September 30, 2023 $ 86.25 $ 35.24 $ 54.00 $ 10.87 $ 52.75 $ 24.76
Market value per share, at June 30, 2023<br>† $ 84.68 $ 23.65 $ 68.99 $ 11.61 $ 58.24 $ 26.95
Market value per share, at September 30, 2023<br>† $ 86.34 $ 35.28 $ 54.38 $ 10.85 $ 52.60 $ 24.61
Total Return, at net asset value^ 1.9 % 48.4 % (22.3 )% (6.2 )% (9.6 )% (8 .4 )%
Total Return, at market value^ 2.0 % 49.2 % (21.2 )% (6.6 )% (9.7 )% (8.7 )%
Ratios to Average Net Assets**
Expense ratio^^ 1.16 % 0.98 % 1 .26 % 0.95 % 0.96 % 0.98 %
Net investment income gain (loss) 2.77 % 2.13 % 2 .49 % 3.56 % 3.22 % 2.58 %
* See Note 1 of these Notes to Financial Statements.
--- ---
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 2023.
--- ---
^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if <br>non-recurring<br> fees and expenses, and brokerage commissions and futures account fees were excluded.
--- ---

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

Per Share Operating Performance Ultra VIX<br><br>Short-Term<br><br>Futures ETF<br>* Ultra Yen UltraShort<br>Bloomberg<br>Crude Oil UltraShort<br>Bloomberg<br>Natural Gas UltraShort<br>Euro UltraShort<br>Gold
Net asset value, at June 30, 2023 $ 18.48 $ 27.40 $ 25.62 $ 55.06 $ 29.10 $ 28.90
Net investment income (loss) 0.09 0.25 0.17 0.45 0.26 0.23
Net realized and unrealized gain (loss)# (2.37 ) (2.64 ) (8.93 ) 5.95 2.07 3.01
Change in net asset value from operations (2.28 ) (2.39 ) (8.76 ) 6.40 2.33 3.24
Net asset value, at September 30, 2023 $ 16.20 $ 25.01 $ 16.86 $ 61.46 $ 31.43 $ 32.14
Market value per share, at June 30, 2023<br>† $ 18.49 $ 27.42 $ 25.70 $ 55.45 $ 29.11 $ 28.96
Market value per share, at September 30, 2023<br>† $ 16.21 $ 25.00 $ 16.82 $ 61.04 $ 31.43 $ 32.20
Total Return, at net asset value^ (12.4 )% (8.7 )% (34.2 )% 11.6 % 8 .0 % 11.2 %
Total Return, at market value^ (12.3 )% (8.8 )% (34.6 )% 10.1 % 8 .0 % 11.2 %
Ratios to Average Net Assets**
Expense ratio^^ 1.68 % 0.95 % 1.04 % 1.44 % 0.95 % 0.98 %
Net investment income gain (loss) 2.16 % 3.66 % 3.47 % 3.16 % 3.51 % 3.13 %
* See Note 1 of these Notes to Financial Statements.
--- ---
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 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.
--- ---

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

Per Share Operating Performance UltraShort<br>Silver UltraShort<br>Yen VIX Mid-Term<br><br>Futures<br><br><br>ETF VIX Short-<br>Term Futures<br>ETF*
Net asset value, at June 30, 2023 $ 20.49 $ 67.94 $ 20.49 $ 24.95
Net investment income (loss) 0.14 0.61 0.17 0.19
Net realized and unrealized gain (loss)# 0.81 6.53 (1.24 ) (1.83 )
Change in net asset value from operations 0.95 7.14 (1.07 ) (1.64 )
Net asset value, at September 30, 2023 $ 21.44 $ 75.08 $ 19.42 $ 23.31
Market value per share, at June 30, 2023<br>† $ 20.58 $ 67.95 $ 20.48 $ 24.96
Market value per share, at September 30, 2023<br>† $ 21.55 $ 75.08 $ 19.41 $ 23.30
Total Return, at net asset value^ 4.6 % 10.5 % (5.2 )% (6.6 )%
Total Return, at market value^ 4.7 % 10.5 % (5.2 )% (6.6 )%
Ratios to Average Net Assets**
Expense ratio^^ 1.12 % 0.95 % 0.99 % 1.04 %
Net investment income gain (loss) 2.98 % 3.48 % 3.35 % 3.27 %
* See Note 1 of these Notes to Financial Statements.
--- ---
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 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.
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Selected data for a Share outstanding throughout the three months ended September 30, 2022

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

Per Share Operating Performance Short VIX<br><br>Short-Term<br><br>Futures ETF Ultra<br>Bloomberg<br>Crude Oil Ultra<br>Bloomberg<br>Natural Gas* Ultra Euro Ultra Gold Ultra Silver
Net asset value, at June 30, 2022 $ 48.14 $ 41.61 $ 790.70 $ 11.08 $ 56.46 $ 24.78
Net investment income (loss) (0.01 ) 0.01 0.58 0.00 (1) 0.05 0.00 (2)
Net realized and unrealized gain (loss)# 0.38 (15.41 ) 273.12 (1.51 ) (9.44 ) (3.94 )
Change in net asset value from operations 0.37 (15.40 ) 273.70 (1.51 ) (9.39 ) (3.94 )
Net asset value, at September 30, 2022 $ 48.51 $ 26.21 $ 1064.40 $ 9.57 $ 47.07 $ 20.84
Market value per share, at June 30, 2022<br>† $ 48.21 $ 41.86 $ 842.00 $ 11.11 $ 56.50 $ 24.47
Market value per share, at September 30, 2022<br>† $ 48.59 $ 26.26 $ 1073.20 $ 9.57 $ 46.93 $ 20.76
Total Return, at net asset value^ 0.8 % (37.0 )% 34.6 % (13.7 )% (16.6 )% (15.9 )%
Total Return, at market value^ 0.8 % (37.3 )% 27.5 % (13.9 )% (16.9 )% (15.2 )%
Ratios to Average Net Assets**
Expense ratio^^ 1.14 % 1 .01 % 1 .16 % 0.96 % 0.97 % 1.00 %
Net investment income gain (loss) (0.09 )% 0 .07 % 0 .15 % 0.16 % 0.38 % (0.02 )%
* See Note 1 of these Notes to Financial Statements.
--- ---
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 2022.
--- ---
^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
--- ---
(1) Amount represents less than $0.005.
--- ---
(2) Amount represents greater than $(0.005).
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For the Three Months Ended September 30, 2022 (unaudited)

Per Share Operating Performance Ultra VIX<br><br>Short-Term<br><br>Futures ETF* Ultra Yen UltraShort<br>Bloomberg<br>Crude Oil UltraShort<br>Bloomberg<br>Natural Gas UltraShort<br>Euro UltraShort<br>Gold
Net asset value, at June 30, 2022 $ 145.13 $ 33.51 $ 23.04 $ 42.65 $ 30.38 $ 31.55
Net investment income (loss) (0.04 ) 0.01 0.02 0.00 (1) 0.01 (0.01 )
Net realized and unrealized gain (loss)# (16.35 ) (4.49 ) 7.28 (25.30 ) 4.45 5.64
Change in net asset value from operations (16.39 ) (4.48 ) 7.30 (25.30 ) 4.46 5.63
Net asset value, at September 30, 2022 $ 128.74 $ 29.03 $ 30.34 $ 17.35 $ 34.84 $ 37.18
Market value per share, at June 30, 2022<br>† $ 145.30 $ 33.49 $ 22.93 $ 40.02 $ 30.41 $ 31.59
Market value per share, at September 30, 2022<br>† $ 128.50 $ 29.06 $ 30.28 $ 17.21 $ 34.88 $ 37.30
Total Return, at net asset value^ (11.3 )% (13.3 )% 31.7 % (59.3 )% 14.7 % 17.9 %
Total Return, at market value^ (11.6 )% (13.2 )% 32.1 % (57.0 )% 14.7 % 18.1 %
Ratios to Average Net Assets**
Expense ratio^^ 1 .46 % 0.96 % 1.11 % 1 .25 % 0.96 % 1.00 %
Net investment income gain (loss) (0.14 )% 0.18 % 0.32 % (0.01 )% 0.12 % (0.11 )%
* See Note 1 of these Notes to Financial Statements.
--- ---
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 2022.
--- ---
^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
--- ---
(1) Amount represents greater than $(0.005).
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For the Three Months Ended September 30, 2022 (unaudited)

Per Share Operating Performance UltraShort<br> Silver UltraShort<br> Yen VIX Mid-<br><br> <br>Term Futures<br> ETF VIX Short-<br> Term Futures<br> ETF*
Net asset value, at June 30, 2022 $ 31.74 $ 57.06 $ 35.29 $ 91.09
Net investment income (loss) (0.02 ) 0.01 0.00 (1) 0.05
Net realized and unrealized gain (loss)# 2.34 7.97 0.19 (5.63 )
Change in net asset value from operations 2.32 7.98 0.19 (5.58 )
Net asset value, at September 30, 2022 $ 34.06 $ 65.04 $ 35.48 $ 85.51
Market value per share, at June 30, 2022<br>† $ 32.19 $ 57.13 $ 35.38 $ 91.25
Market value per share, at September 30, 2022<br>† $ 34.15 $ 65.02 $ 35.50 $ 85.50
Total Return, at net asset value^ 7 .3 % 14.0 % 0 .6 % (6.1 )%
Total Return, at market value^ 6 .1 % 13.8 % 0 .3 % (6.3 )%
Ratios to Average Net Assets**
Expense ratio^^ 1.08 % 0.96 % 0.93 % 1.11 %
Net investment income gain (loss) (0.19 )% 0.07 % (0.01 )% 0.25 %
* See Note 1 of these Notes to Financial Statements.
--- ---
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 2022.
--- ---
^^ The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
--- ---
(1) Amount represents greater than $(0.005).
--- ---

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S elected Data for a Share Outstanding Throughout the nine Months Ended September

30, 2023

For the Nine Months Ended September 30, 2023 (unaudited)

Per Share Operating Performance Short VIX<br><br>Short-Term<br><br>Futures ETF Ultra<br>Bloomberg<br>Crude Oil Ultra<br>Bloomberg<br>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) 1.41 0.43 1.18 0.27 1.33 0.57
Net realized and unrealized gain (loss)# 26.13 4.55 (310.26 ) (0.67 ) (3.67 ) (7.56 )
Change in net asset value from operations 27.54 4.98 (309.08 ) (0.40 ) (2.34 ) (6.99 )
Net asset value, at September 30, 2023 $ 86.25 $ 35.24 $ 54.00 $ 10.87 $ 52.75 $ 24.76
Market value per share, at December 31, 2022<br>† $ 58.68 $ 30.31 $ 355.60 $ 11.26 $ 55.27 $ 32.00
Market value per share, at September 30, 2023<br>† $ 86.34 $ 35.28 $ 54.38 $ 10.85 $ 52.60 $ 24.61
Total Return, at net asset value^ 46.9 % 16.5 % (85.1 )% (3.5 )% (4.3 )% (22.0 )%
Total Return, at market value^ 47.1 % 16.4 % (84.7 )% (3.6 )% (4.8 )% (23.1 )%
Ratios to Average Net Assets**
Expense ratio^^ 1.15 % 0.99 % 1 .38 % 0.95 % 0.97 % 0.99 %
Net investment income gain (loss) 2.59 % 2.12 % 2 .16 % 3.19 % 2.98 % 2.63 %
* See Note 1 of these Notes to Financial Statements.
--- ---
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 2023.
--- ---
^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if <br>non-recurring<br> fees and expenses, and brokerage commissions and futures account fees were excluded.
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For the Nine Months Ended September 30, 2023 (unaudited)

Per Share Operating Performance Ultra VIX<br><br>Short-Term<br><br>Futures ETF* Ultra Yen UltraShort<br>Bloomberg<br>Crude Oil UltraShort<br>Bloomberg<br>Natural Gas UltraShort<br>Euro UltraShort<br>Gold
Net asset value, at December 31, 2022 $ 68.69 $ 34.54 $ 23.93 $ 27.00 $ 29.46 $ 31.10
Net investment income (loss) 0.40 0.74 0.53 1.11 0.70 0.61
Net realized and unrealized gain (loss)# (52.89 ) (10.27 ) (7.60 ) 33.35 1.27 0.43
Change in net asset value from operations (52.49 ) (9.53 ) (7.07 ) 34.46 1.97 1.04
Net asset value, at September 30, 2023 $ 16.20 $ 25.01 $ 16.86 $ 61.46 $ 31.43 $ 32.14
Market value per share, at December 31, 2022<br>† $ 68.60 $ 34.56 $ 23.85 $ 27.56 $ 29.45 $ 30.99
Market value per share, at September 30, 2023<br>† $ 16.21 $ 25.00 $ 16.82 $ 61.04 $ 31.43 $ 32.20
Total Return, at net asset value^ (76.4 )% (27.6 )% (29.6 )% 127.7 % 6.7 % 3.4 %
Total Return, at market value^ (76.4 )% (27.7 )% (29.5 )% 121.5 % 6.7 % 3.9 %
Ratios to Average Net Assets**
Expense ratio^^ 1 .58 % 0 .95 % 1.07 % 1.64 % 0.95 % 0.98 %
Net investment income gain (loss) 1 .77 % 3 .28 % 3.14 % 2.57 % 3.20 % 2.90 %
* See Note 1 of these Notes to Financial Statements.
--- ---
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 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.
--- ---

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For the Nine Months Ended September 30, 2023 (unaudited)

Per Share Operating Performance UltraShort<br> Silver UltraShort<br> Yen VIX Mid-<br><br> <br>Term Futures<br> ETF VIX Short-<br> Term Futures<br> ETF*
Net asset value, at December 31, 2022 $ 19.46 $ 53.68 $ 30.41 $ 57.00
Net investment income (loss) 0.38 1.47 0.54 0.70
Net realized and unrealized gain (loss)# 1.60 19.93 (11.53 ) (34.39 )
Change in net asset value from operations 1.98 21.40 (10.99 ) (33.69 )
Net asset value, at September 30, 2023 $ 21.44 $ 75.08 $ 19.42 $ 23.31
Market value per share, at December 31, 2022<br>† $ 19.30 $ 53.57 $ 30.36 $ 56.90
Market value per share, at September 30, 2023<br>† $ 21.55 $ 75.08 $ 19.41 $ 23.30
Total Return, at net asset value^ 10.2 % 39.9 % (36.1 )% (59.1 )%
Total Return, at market value^ 11.7 % 40.2 % (36.1 )% (59.1 )%
Ratios to Average Net Assets**
Expense ratio^^ 1.07 % 0.95 % 0 .98 % 1 .07 %
Net investment income gain (loss) 2.63 % 3.20 % 3 .03 % 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 September 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.
--- ---

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

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

Per Share Operating Performance Short VIX<br><br>Short-Term<br><br>Futures ETF Ultra<br>Bloomberg<br>Crude Oil Ultra<br>Bloomberg<br>Natural Gas<br>* 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) (0.31 ) (0.16 ) (5.33 ) (0.02 ) (0.19 ) (0.13 )
Net realized and unrealized gain (loss)# (12.74 ) 4.83 558.65 (3.73 ) (12.43 ) (13.87 )
Change in net asset value from operations (13.05 ) 4.67 553.32 (3.75 ) (12.62 ) (14.00 )
Net asset value, at September 30, 2022 $ 48.51 $ 26.21 $ 1,064.40 $ 9.57 $ 47.07 $ 20.84
Market value per share, at December 31, 2021<br>† $ 61.55 $ 21.70 $ 521.80 $ 13.33 $ 59.81 $ 34.74
Market value per share, at September 30, 2022<br>† $ 48.59 $ 26.26 $ 1,073.20 $ 9.57 $ 46.93 $ 20.76
Total Return, at net asset value^ (21.2 )% 21.7 % 108.3 % (28.2 )% (21.1 )% (40.2 )%
Total Return, at market value^ (21.1 )% 21.0 % 105.7 % (28.2 )% (21.5 )% (40.2 )%
Ratios to Average Net Assets**
Expense ratio^^ 1 .23 % 1.04 % 1 .24 % 0.95 % 0 .99 % 0 .99 %
Net investment income gain (loss) (0.80 )% (0.59 )% (0 .58 )% (0.27 )% (0.43 )% (0.56 )%
* See Note 1 of these Notes to Financial Statements.
--- ---
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 2022.
--- ---
^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if <br>non-recurring<br> fees and expenses, and brokerage commissions and futures account fees were excluded.
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For the Nine Months Ended September 30, 2022 (unaudited)

Per Share Operating Performance Ultra VIX<br><br>Short-Term<br><br>Futures ETF<br>* Ultra Yen UltraShort<br>Bloomberg<br>Crude Oil UltraShort<br>Bloomberg<br>Natural Gas UltraShort<br>Euro UltraShort<br>Gold
Net asset value, at December 31, 2021 $ 124.06 $ 47.29 $ 64.26 $ 247.40 $ 25.84 $ 31.71
Net investment income (loss) (0.94 ) (0.04 ) (0.07 ) (0.14 ) (0.08 ) (0.13 )
Net realized and unrealized gain (loss)# 5.62 (18.22 ) (33.85 ) (229.91 ) 9.08 5.60
Change in net asset value from operations 4.68 (18.26 ) (33.92 ) (230.05 ) 9.00 5.47
Net asset value, at September 30, 2022 $ 128.74 $ 29.03 $ 30.34 $ 17.35 $ 34.84 $ 37.18
Market value per share, at December 31, 2021<br>† $ 124.30 $ 47.29 $ 63.75 $ 242.20 $ 25.86 $ 31.66
Market value per share, at September 30, 2022<br>† $ 128.50 $ 29.06 $ 30.28 $ 17.21 $ 34.88 $ 37.30
Total Return, at net asset value^ 3.7 % (38.6 )% (52.8 )% (93.0 )% 34.8 % 17.3 %
Total Return, at market value^ 3.4 % (38.6 )% (52.5 )% (92.9 )% 34.9 % 17.8 %
Ratios to Average Net Assets**
Expense ratio^^ 1.57 % 0.96 % 1.15 % 1.38 % 0.95 % 1.00 %
Net investment income gain (loss) (0.97 )% (0.15 )% (0.38 )% (0.77 )% (0.37 )% (0.56 )%
* See Note 1 of these Notes to Financial Statements.
--- ---
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 2022.
--- ---
^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if <br>non-recurring<br> fees and expenses, and brokerage commissions and futures account fees were excluded.
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For the Nine Months Ended September 30, 2022 (unaudited)

Per Share Operating Performance UltraShort<br>Silver UltraShort<br>Yen VIX<br><br>Mid-Term<br><br>Futures ETF VIX Short-<br>Term Futures<br>ETF<br>*
Net asset value, at December 31, 2021 $ 26.77 $ 41.50 $ 30.61 $ 75.62
Net investment income (loss) (0.13 ) (0.16 ) (0.15 ) (0.35 )
Net realized and unrealized gain (loss)# 7.42 23.70 5.02 10.24
Change in net asset value from operations 7.29 23.54 4.87 9.89
Net asset value, at September 30, 2022 $ 34.06 $ 65.04 $ 35.48 $ 85.51
Market value per share, at December 31, 2021<br>† $ 26.84 $ 41.50 $ 30.57 $ 75.85
Market value per share, at September 30, 2022<br>† $ 34.15 $ 65.02 $ 35.50 $ 85.50
Total Return, at net asset value^ 27.2 % 56.7 % 15.9 % 13.1 %
Total Return, at market value^ 27.2 % 56.7 % 16.1 % 12.7 %
Ratios to Average Net Assets**
Expense ratio^^ 1.08 % 0.95 % 0.99 % 1.16 %
Net investment income gain (loss) (0.63 )% (0.40 )% (0.59 )% (0.56 )%
* See Note 1 of these Notes to Financial Statements.
--- ---
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 2022.
--- ---
^^ The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if <br>non-recurring<br> fees and expenses, and brokerage commissions and futures account fees were excluded.
--- ---

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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.

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.

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Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.

Counterparty Risk

Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to 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.

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.

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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 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.

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“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 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 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 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 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.

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, the markets for gold, silver, oil, natural gas and other commodities, and the price of Financial Instruments based on such commodities, and other markets. As the war continues, sanctions on Russian exports in the future could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of the Financial Instruments in which each Fund invests may fluctuate widely as a result of the conflict and related events. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflict and related events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.

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

Extreme market volatility and economic turbulence in the first part of 2020 has led to 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.

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 September 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 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”).

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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 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

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Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2023 and 2022, each of the Funds earned interest income as follows:

Fund Interest Income<br><br><br>Three Months<br><br><br>Ended<br><br><br>September 30, 2023 Interest Income<br><br><br>Three Months<br><br><br>Ended<br><br><br>September 30, 2022 Interest Income<br><br><br>Nine Months<br><br><br>Ended<br><br><br>September 30, 2023 Interest Income<br><br><br>Nine Months<br><br><br>Ended<br><br><br>September 30, 2022
ProShares Short VIX Short-Term Futures ETF $ 2,624,180 $ 1,006,499 $ 7,170,512 $ 1,325,976
ProShares Ultra Bloomberg Crude Oil 5,340,428 2,391,191 17,226,428 3,964,082
ProShares Ultra Bloomberg Natural Gas 9,098,504 909,204 26,923,732 1,095,255
ProShares Ultra Euro 80,746 36,856 266,165 47,965
ProShares Ultra Gold 1,837,846 678,282 5,470,056 1,092,549
ProShares Ultra Silver 3,343,905 824,171 10,419,483 1,386,134
ProShares Ultra VIX Short-Term Futures ETF 3,255,531 3,945,136 12,422,781 4,471,067
ProShares Ultra Yen 174,354 25,362 409,452 29,299
ProShares UltraShort Bloomberg Crude Oil 2,609,417 1,748,548 6,172,654 2,091,754
ProShares UltraShort Bloomberg Natural Gas 1,476,050 953,050 4,007,691 1,131,063
ProShares UltraShort Euro 523,684 230,824 1,764,550 285,240
ProShares UltraShort Gold 142,707 72,261 459,321 101,921
ProShares UltraShort Silver 337,096 63,222 860,908 90,885
ProShares UltraShort Yen 274,125 115,191 733,679 151,503
ProShares VIX <br>Mid-Term<br> Futures ETF 597,040 220,211 1,895,545 296,960
ProShares VIX Short-Term Futures ETF 2,271,345 1,400,201 6,832,197 1,678,813

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

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would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.

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

Credit Risk

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

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

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

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

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

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;
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• not posting margin directly with a counterparty;
--- ---
• requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;
--- ---
• limiting the amount of margin or premium posted at a FCM; and
--- ---
• ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.
--- ---

Off-Balance Sheet Arrangements and Contractual Obligations

As of November 6, 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.

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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.

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 September 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.

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.

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Results of Operations for the Three Months Ended September 30, 2023 Compared to the Three Months Ended September 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 September 30, 2023 and 2022:

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 282,353,267 $ 403,644,956
NAV end of period $ 261,698,747 $ 321,831,051
Percentage change in NAV (7.3) % (20.3) %
Shares outstanding beginning of period 3,334,307 8,384,307
Shares outstanding end of period 3,034,307 6,634,307
Percentage change in shares outstanding (9.0) % (20.9) %
Shares created 650,000 450,000
Shares redeemed 950,000 2,200,000
Per share NAV beginning of period $ 84.68 $ 48.14
Per share NAV end of period $ 86.25 $ 48.51
Percentage change in per share NAV 1.9 % 0.8 %
Percentage change in benchmark (6.1) % (5.7) %
Benchmark annualized volatility 52.0 % 51.0 %

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,334,307 outstanding Shares at June 30, 2023 to 3,034,307 outstanding Shares at September 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 September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,384,307 outstanding Shares at June 30, 2022 to 6,634,307 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 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 1.9% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 0.8% for the three months ended September 30, 2022, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 6.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 5.7% for the three months ended September 30, 2022, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2023.

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Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 1,851,366 $ (90,304 )
Management fee 634,871 914,054
Brokerage commission 137,943 152,661
Futures account fees — 23,966
Non-recurring<br> fees and expenses — 6,122
Net realized gain (loss) 30,285,323 27,694,574
Change in net unrealized appreciation (depreciation) (26,317,147 ) (17,470,190 )
Net Income (loss) $ 5,819,542 $ 10,134,080

The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a greater decrease in the value of futures prices, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2023.

ProShares Ultra Bloomberg Crude Oil

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 738,194,368 $ 1,060,867,238
NAV end of period $ 604,124,332 $ 724,595,262
Percentage change in NAV (18.2 )% (31.7 )%
Shares outstanding beginning of period 31,093,096 25,493,096
Shares outstanding end of period 17,143,096 27,643,096
Percentage change in shares outstanding (44.9 )% 8.4 %
Shares created — 10,400,000
Shares redeemed 13,950,000 8,250,000
Per share NAV beginning of period $ 23.74 $ 41.61
Per share NAV end of period $ 35.24 $ 26.21
Percentage change in per share NAV 48.4 % (37.0 )%
Percentage change in benchmark 22.1 % (18.6 )%
Benchmark annualized volatility 18.4 % 42.8 %

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 31,093,096 outstanding Shares at June 30, 2023 to 17,143,096 outstanding Shares at September 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 Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . The decrease in the Fund’s NAV was offset by an increase from 25,493,096 outstanding Shares at June 30, 2022 to 27,643,096 outstanding Shares at September 30, 2022.

For the three months ended September 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 48.4% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 37.0% for the three months ended September 30, 2022, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

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The benchmark’s rise of 22.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 18.6% for the three months ended September 30, 2022, can be attributed to an increase in the value of WTI Crude Oil during the period ended September 30, 2023.

Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 3,659,529 $ 153,992
Management fee 1,629,737 2,118,088
Brokerage commission 51,162 85,906
Futures account fees — 19,466
Non-recurring<br> fees and expenses — 13,739
Net realized gain (loss) 244,550,243 (344,578,932 )
Change in net unrealized appreciation (depreciation) 28,176,972 (33,248,174 )
Net Income (loss) $ 276,386,744 $ (377,673,114 )

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

ProShares Ultra Bloomberg Natural Gas*

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 1,141,021,278 $ 187,297,842
NAV end of period $ 870,339,281 $ 289,386,097
Percentage change in NAV (23.7 )% 54.5 %
Shares outstanding beginning of period 16,421,876 236,876
Shares outstanding end of period 16,118,544 271,876
Percentage change in shares outstanding (1.8 )% 14.8 %
Shares created 12,950,000 300,000
Shares redeemed 13,253,332 265,000
Per share NAV beginning of period $ 69.48 $ 790.70
Per share NAV end of period $ 54.00 $ 1064.40
Percentage change in per share NAV (22.3 )% 34.6 %
Percentage change in benchmark (9.2 )% 25.3 %
Benchmark annualized volatility 39.6 % 76.6 %

During the three months ended September 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 Natural Gas Subindex SM . The decrease in the Fund’s NAV also resulted in part from a decrease from 16,421,876 outstanding Shares at June 30, 2023 to 16,118,544 outstanding Shares at September 30, 2023. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . The increase in the Fund’s NAV also resulted in part from an increase from 236,876 outstanding Shares at June 30, 2022 to 271,876 outstanding Shares at September 30, 2022.

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For the three months ended September 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 22.3% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 34.6% for the three months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 9.2% for the three months ended September 30, 2023, as compared to the benchmark’s rise of 25.3% for the three months ended September 30, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2023.

Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 6,034,053 $ 104,679
Management fee 2,303,082 658,525
Brokerage commission 629,541 97,589
Futures account fees 131,828 43,620
Non-recurring<br> fees and expenses — 4,791
Net realized gain (loss) 237,080,036 (5,893,297 )
Change in net unrealized appreciation (depreciation) (410,472,245 ) 97,221,527
Net Income (loss) $ (167,358,156 ) $ 91,432,909

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

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ProShares Ultra Euro

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 7,535,435 $ 9,415,626
NAV end of period $ 6,523,481 $ 13,869,371
Percentage change in NAV (13.4 )% 47.3 %
Shares outstanding beginning of period 650,000 850,000
Shares outstanding end of period 600,000 1,450,000
Percentage change in shares outstanding (7.7 )% 70.6 %
Shares created — 700,000
Shares redeemed 50,000 100,000
Per share NAV beginning of period $ 11.59 $ 11.08
Per share NAV end of period $ 10.87 $ 9.57
Percentage change in per share NAV (6.2 )% (13.7 )%
Percentage change in benchmark (3.1 )% (6.0 )%
Benchmark annualized volatility 6.7 % 10.5 %

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 650,000 outstanding Shares at June 30, 2023 to 600,000 outstanding Shares at September 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 (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 850,000 outstanding Shares at June 30, 2022 to 1,450,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 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 6.2% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 13.7% for the three months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 3.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.0% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2023.

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Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 63,747 $ 5,288
Management fee 16,999 31,331
Non-recurring<br> fees and expenses — 237
Net realized gain (loss) (22,385 ) (1,618,381 )
Change in net unrealized appreciation (depreciation) (462,400 ) (95,012 )
Net Income (loss) $ (421,038 ) $ (1,708,105 )

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

ProShares Ultra Gold

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 180,916,531 $ 239,938,853
NAV end of period $ 147,696,557 $ 160,022,292
Percentage change in NAV (18.4 )% (33.3 )%
Shares outstanding beginning of period 3,100,000 4,250,000
Shares outstanding end of period 2,800,000 3,400,000
Percentage change in shares outstanding (9.7 )% (20.0 )%
Shares created 50,000 50,000
Shares redeemed 350,000 900,000
Per share NAV beginning of period $ 58.36 $ 56.46
Per share NAV end of period $ 52.75 $ 47.07
Percentage change in per share NAV (9.6 )% (16.6 )%
Percentage change in benchmark (3.9 )% (7.9 )%
Benchmark annualized volatility 9.5 % 13.4 %

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,100,000 outstanding Shares at June 30, 2023 to 2,800,000 outstanding Shares at September 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 (2x) the daily performance of the Bloomberg Gold Subindex SM . By comparison, during the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2022 to 3,400,000 outstanding Shares September 30, 2022.

For the three months ended September 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 9.6% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 16.6% for the three months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 3.9% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 7.9% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of gold futures contracts during the period ended September 30, 2023.

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Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 1,415,082 $ 191,709
Management fee 417,418 475,457
Brokerage commission 5,346 8,176
Non-recurring<br> fees and expenses — 2,940
Net realized gain (loss) (16,875,865 ) (39,826,294 )
Change in net unrealized appreciation (depreciation) (540,686 ) 2,222,833
Net Income (loss) $ (16,001,469 ) $ (37,411,752 )

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

ProShares Ultra Silver

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 356,791,659 $ 355,577,515
NAV end of period $ 327,996,075 $ 323,970,863
Percentage change in NAV (8.1 )% (8.9 )%
Shares outstanding beginning of period 13,196,526 14,346,526
Shares outstanding end of period 13,246,526 15,546,526
Percentage change in shares outstanding 0.4 % 8.4 %
Shares created 1,500,000 2,450,000
Shares redeemed 1,450,000 1,250,000
Per share NAV beginning of period $ 27.04 $ 24.78
Per share NAV end of period $ 24.76 $ 20.84
Percentage change in per share NAV (8.4 )% (15.9 )%
Percentage change in benchmark (2.6 )% (6.5 )%
Benchmark annualized volatility 23.4 % 31.8 %

During the three months ended September 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 was offset by an increase from 13,196,526 outstanding Shares at June 30, 2023 to 13,246,526 outstanding Shares at September 30, 2023. By comparison, during the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 14,346,526 outstanding Shares at June 30, 2022 to 15,546,526 outstanding Shares at September 30, 2022.

For the three months ended September 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 8.4% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 15.9% for the three months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

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The benchmark’s decline of 2.6% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.5% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended September 30, 2023.

Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 2,424,022 $ (15,349 )
Management fee 892,009 798,802
Brokerage commission 27,874 34,796
Non-recurring<br> fees and expenses — 5,922
Net realized gain (loss) (30,251,410 ) (147,391,314 )
Change in net unrealized appreciation (depreciation) 218,274 91,477,472
Net Income (loss) $ (27,609,114 ) $ (55,929,191 )

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

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 387,764,059 $ 975,683,533
NAV end of period $ 283,050,691 $ 995,489,778
Percentage change in NAV (27.0 )% 2.0 %
Shares outstanding beginning of period 20,977,842 6,722,842
Shares outstanding end of period 17,474,459 7,732,842
Percentage change in shares outstanding (16.7 )% 15.0 %
Shares created 13,400,000 9,340,000
Shares redeemed 16,903,383 8,330,000
Per share NAV beginning of period $ 18.48 $ 145.13
Per share NAV end of period $ 16.20 $ 128.74
Percentage change in per share NAV (12.4 )% (11.3 )%
Percentage change in benchmark (6.1 )% (5.7 )%
Benchmark annualized volatility 52.0 % 51.0 %

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,977,842 outstanding Shares at June 30, 2023 to 17,474,459 outstanding Shares at September 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 one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 6,722,842 outstanding Shares at June 30, 2022 to 7,732,842 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.

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For the three months ended September 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 12.4% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 11.3% for the three months ended September 30, 2022, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 6.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 5.7% for the three months ended September 30, 2022, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2023.

Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 1,830,246 $ (402,633 )
Management fee 803,793 2,831,005
Brokerage commission 517,699 1,276,819
Futures account fees 103,793 219,828
Non-recurring<br> fees and expenses — 20,117
Net realized gain (loss) (142,584,256 ) (289,873,754 )
Change in net unrealized appreciation (depreciation) 108,851,219 161,745,283
Net Income (loss) $ (31,902,791 ) $ (128,531,104 )

The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 30, 2022, primarily due to a greater decrease in the value of futures prices, in conjunction with a significant decrease in average shares outstanding, during the three months ended September 30, 2023.

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

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ProShares Ultra Yen

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 12,330,974 $ 5,024,773
NAV end of period $ 17,508,248 $ 10,159,189
Percentage change in NAV 42.0 % 102.2 %
Shares outstanding beginning of period 449,970 149,970
Shares outstanding end of period 699,970 349,970
Percentage change in shares outstanding 55.6 % 133.4 %
Shares created 300,000 250,000
Shares redeemed 50,000 50,000
Per share NAV beginning of period $ 27.40 $ 33.51
Per share NAV end of period $ 25.01 $ 29.03
Percentage change in per share NAV (8.7 )% (13.3 )%
Percentage change in benchmark (3.4 )% (6.5 )%
Benchmark annualized volatility 8.9 % 11.2 %

During the three months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 449,970 outstanding Shares at June 30, 2023 to 699,970 outstanding Shares at September 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 September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 149,970 outstanding Shares at June 30, 2022 to 349,970 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended September 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 8.7% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 13.3% for the three months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 3.4% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.5% for the three months ended September 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 September 30, 2023.

Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 138,386 $ 3,923
Management fee 35,968 21,245
Non-recurring<br> fees and expenses — 194
Net realized gain (loss) (1,854,770 ) (1,652,590 )
Change in net unrealized appreciation (depreciation) 277,206 (14,681 )
Net Income (loss) $ (1,439,178 ) $ (1,663,348 )

The Fund’s net income increased for the three months ended September 30, 2023 as compared to the three months ended September 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 September 30, 2023.

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ProShares UltraShort Bloomberg Crude Oil

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 112,854,952 $ 501,157,304
NAV end of period $ 296,776,466 $ 368,791,089
Percentage change in NAV 163.0 % (26.4 )%
Shares outstanding beginning of period 4,405,220 21,755,220
Shares outstanding end of period 17,605,220 12,155,220
Percentage change in shares outstanding 299.6 % (44.1 )%
Shares created 17,250,000 11,050,000
Shares redeemed 4,050,000 20,650,000
Per share NAV beginning of period $ 25.62 $ 23.04
Per share NAV end of period $ 16.86 $ 30.34
Percentage change in per share NAV (34.2 )% 31.7 %
Percentage change in benchmark 22.1 % (18.6 )%
Benchmark annualized volatility 18.4 % 42.8 %

During the three months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 4,405,220 outstanding Shares at June 30, 2023 to 17,605,220 outstanding Shares at September 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 Commodity Balanced WTI Crude Oil Index SM . By comparison, during the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 21,755,220 outstanding Shares at June 30, 2022 to 12,155,220 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM .

For the three months ended September 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 34.2% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 31.7% for the three months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s rise of 22.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 18.6% for the three months ended September 30, 2022, can be attributed to an increase in the value of WTI Crude Oil during the period ended September 30, 2023.

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Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 2,006,197 $ 392,570
Management fee 548,671 1,160,746
Brokerage commission 54,549 148,121
Futures account fees — 39,563
Non-recurring<br> fees and expenses — 7,548
Net realized gain (loss) (47,764,760 ) 66,444,885
Change in net unrealized appreciation (depreciation) (38,018,359 ) 76,987,949
Net Income (loss) $ (83,776,922 ) $ 143,825,404

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

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 141,324,963 $ 211,823,446
NAV end of period $ 111,663,062 $ 242,389,998
Percentage change in NAV (21.0 )% 14.4 %
Shares outstanding beginning of period 2,566,856 4,966,856
Shares outstanding end of period 1,816,856 13,966,856
Percentage change in shares outstanding (29.2 )% 181.2 %
Shares created 5,500,000 58,900,000
Shares redeemed 6,250,000 49,900,000
Per share NAV beginning of period $ 55.06 $ 42.65
Per share NAV end of period $ 61.46 $ 17.35
Percentage change in per share NAV 11.6 % (59.3 )%
Percentage change in benchmark (9.2 )% 25.3 %
Benchmark annualized volatility 39.6 % 76.6 %

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,566,856 outstanding Shares at June 30, 2023 to 1,816,856 outstanding Shares at September 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 Natural Gas Subindex SM . By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 4,966,856 outstanding Shares at June 30, 2022 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM .

For the three months ended September 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 11.6% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 59.3% for the three months ended September 30, 2022, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

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The benchmark’s decline of 9.2% for the three months ended September 30, 2023, as compared to the benchmark’s rise of 25.3% for the three months ended September 30, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2023.

Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 1,013,760 $ (5,144 )
Management fee 304,567 730,949
Brokerage commission 133,782 173,386
Futures account fees 23,941 48,485
Non-recurring<br> fees and expenses — 5,374
Net realized gain (loss) (10,798,625 ) 8,115,767
Change in net unrealized appreciation (depreciation) 44,086,822 (23,467,384 )
Net Income (loss) $ 34,301,957 $ (15,356,761 )

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

ProShares UltraShort Euro

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 50,931,301 $ 62,270,097
NAV end of period $ 44,004,408 $ 90,584,278
Percentage change in NAV (13.6 )% 45.5 %
Shares outstanding beginning of period 1,750,000 2,050,000
Shares outstanding end of period 1,400,000 2,600,000
Percentage change in shares outstanding (20.0 )% 26.8 %
Shares created — 1,100,000
Shares redeemed 350,000 550,000
Per share NAV beginning of period $ 29.10 $ 30.38
Per share NAV end of period $ 31.43 $ 34.84
Percentage change in per share NAV 8.0 % 14.7 %
Percentage change in benchmark (3.1 )% (6.5 )%
Benchmark annualized volatility 6.7 % 11.2 %

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During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,750,000 outstanding Shares at June 30, 2023 to 1,400,000 outstanding Shares at September 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 spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,050,000 outstanding Shares at June 30, 2022 to 2,600,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 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 8.0% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 14.7% for the three months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 3.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.5% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2023.

Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 412,212 $ 25,953
Management fee 111,472 203,036
Non-recurring<br> fees and expenses — 1,835
Net realized gain (loss) (122,866 ) 11,086,708
Change in net unrealized appreciation (depreciation) 3,207,102 (292,818 )
Net Income (loss) $ 3,496,448 $ 10,819,843

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

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ProShares UltraShort Gold

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 15,809,378 $ 34,611,284
NAV end of period $ 14,365,869 $ 29,634,725
Percentage change in NAV (9.1 )% (14.4 )%
Shares outstanding beginning of period 546,977 1,096,977
Shares outstanding end of period 446,977 796,977
Percentage change in shares outstanding (18.3 )% (27.3 )%
Shares created 100,000 350,000
Shares redeemed 200,000 650,000
Per share NAV beginning of period $ 28.90 $ 31.55
Per share NAV end of period $ 32.14 $ 37.18
Percentage change in per share NAV 11.2 % 17.9 %
Percentage change in benchmark (3.9 )% (7.9 )%
Benchmark annualized volatility 9.5 % 13.4 %

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 546,977 outstanding Shares at June 30, 2023 to 446,977 outstanding Shares at September 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 September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,096,977 outstanding Shares at June 30, 2022 to 796,977 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM .

For the three months ended September 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 11.2% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 17.9% for the three months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 3.9% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 7.9% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of gold futures contracts during the period ended September 30, 2023.

Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 108,638 $ (8,595 )
Management fee 32,970 76,652
Brokerage commission 1,099 3,565
Non-recurring<br> fees and expenses — 639
Net realized gain (loss) 1,436,424 4,988,228
Change in net unrealized appreciation (depreciation) (251,606 ) 841,546
Net Income (loss) $ 1,293,456 $ 5,821,179

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

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ProShares UltraShort Silver

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 19,290,473 $ 33,052,840
NAV end of period $ 16,967,517 $ 33,763,052
Percentage change in NAV (12.0 )% 2.1 %
Shares outstanding beginning of period 941,329 1,041,329
Shares outstanding end of period 791,329 991,329
Percentage change in shares outstanding (15.9 )% (4.8 )%
Shares created 2,950,000 1,000,000
Shares redeemed 3,100,000 1,050,000
Per share NAV beginning of period $ 20.49 $ 31.74
Per share NAV end of period $ 21.44 $ 34.06
Percentage change in per share NAV 4.6 % 7.3 %
Percentage change in benchmark (2.6 )% (6.5 )%
Benchmark annualized volatility 23.4 % 31.8 %

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 941,329 outstanding Shares at June 30, 2023 to 791,329 outstanding Shares at September 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 September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 1,041,329 outstanding Shares at June 30, 2022 to 991,329 outstanding Shares at September 30, 2022.

For the three months ended September 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 4.6% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 7.3% for the three months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 2.6% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.5% for the three months ended September 30, 2022, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended September 30, 2023.

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Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 245,155 $ (13,304 )
Management fee 78,166 67,215
Brokerage commission 13,775 8,699
Non-recurring<br> fees and expenses — 612
Net realized gain (loss) 6,921,431 6,215,407
Change in net unrealized appreciation (depreciation) 61,770 (4,075,524 )
Net Income (loss) $ 7,228,356 $ 2,126,579

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

ProShares UltraShort Yen

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 27,077,656 $ 45,568,882
NAV end of period $ 26,172,191 $ 51,937,338
Percentage change in NAV (3.3 )% 14.0 %
Shares outstanding beginning of period 398,580 798,580
Shares outstanding end of period 348,580 798,580
Percentage change in shares outstanding (12.5 )% – %
Shares created — 250,000
Shares redeemed 50,000 250,000
Per share NAV beginning of period $ 67.94 $ 57.06
Per share NAV end of period $ 75.08 $ 65.04
Percentage change in per share NAV 10.5 % 14.0 %
Percentage change in benchmark (3.4 )% (6.5 )%
Benchmark annualized volatility 8.9 % 11.2 %

During the three months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 398,580 outstanding Shares at June 30, 2023 to 348,580 outstanding Shares at September 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 spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2022 to September 30, 2022.

For the three months ended September 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 10.5% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 14.0% for the three months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 3.4% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 6.5% for the three months ended September 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 September 30, 2023.

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Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 215,363 $ 7,640
Management fee 58,762 106,598
Non-recurring<br> fees and expenses — 953
Net realized gain (loss) 3,079,208 5,879,873
Change in net unrealized appreciation (depreciation) (1,059,246 ) (523,871 )
Net Income (loss) $ 2,235,325 $ 5,363,642

The Fund’s net income decreased for the three months ended September 30, 2023 as compared to the three months ended September 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 September 30, 2023.

ProShares VIX Mid-Term Futures ETF

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 49,421,413 $ 95,721,271
NAV end of period $ 59,968,024 $ 110,420,574
Percentage change in NAV 21.3 % 15.4 %
Shares outstanding beginning of period 2,412,403 2,712,403
Shares outstanding end of period 3,087,403 3,112,403
Percentage change in shares outstanding 28.0 % 14.7 %
Shares created 850,000 850,000
Shares redeemed 175,000 450,000
Per share NAV beginning of period $ 20.49 $ 35.29
Per share NAV end of period $ 19.42 $ 35.48
Percentage change in per share NAV (5.2 )% 0.6 %
Percentage change in benchmark (4.6 )% 1.1 %
Benchmark annualized volatility 23.8 % 22.1 %

During the three months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 2,412,403 outstanding Shares at June 30, 2023 to 3,087,403 outstanding Shares at September 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 Mid-Term Futures Index. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,712,403 outstanding Shares at June 30, 2022 to 3,112,403 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

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For the three months ended September 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 5.2% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 0.6% for the three months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 4.6% for the three months ended September 30, 2023, as compared to the benchmark’s rise of 1.1% for the three months ended September 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 September 30, 2023.

Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 461,209 $ (1,269 )
Management fee 117,018 201,508
Brokerage commission 8,822 17,922
Futures account fees 9,991 —
Non-recurring<br> fees and expenses — 2,050
Net realized gain (loss) (12,244,511 ) (1,349,272 )
Change in net unrealized appreciation (depreciation) 8,934,542 3,368,209
Net Income (loss) $ (2,848,760 ) $ 2,017,668

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

ProShares VIX Short-Term Futures ETF *

Fund Performance

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 230,227,830 $ 341,714,316
NAV end of period $ 211,604,428 $ 437,536,628
Percentage change in NAV (8.2 )% 28.0 %
Shares outstanding beginning of period 9,226,565 3,751,565
Shares outstanding end of period 9,075,947 5,116,565
Percentage change in shares outstanding (1.6 )% 36.4 %
Shares created 2,475,000 3,555,000
Shares redeemed 2,625,618 2,190,000
Per share NAV beginning of period $ 24.95 $ 91.09
Per share NAV end of period $ 23.31 $ 85.51
Percentage change in per share NAV (6.6 )% (6.1 )%
Percentage change in benchmark (6.1 )% (5.7 )%
Benchmark annualized volatility 52.0 % 51.0 %

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During the three months ended September 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 also resulted in part from a decrease from 9,226,565 outstanding Shares at June 30, 2023 to 9,075,947 outstanding Shares at September 30, 2023. By comparison, during the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,751,565 outstanding Shares at June 30, 2022 to 5,116,565 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 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 6.6% for the three months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 6.1% for the three months ended September 30, 2022, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2023.

The benchmark’s decline of 6.1% for the three months ended September 30, 2023, as compared to the benchmark’s decline of 5.7% for the three months ended September 30, 2022, can be attributed to a greater decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2023.

Net Income/Loss

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

Three Months Ended<br><br><br>September 30, 2023 Three Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 1,721,249 $ 259,392
Management fee 447,560 874,070
Brokerage commission 58,426 203,095
Futures account fees 44,110 54,944
Non-recurring<br> fees and expenses — 8,700
Net realized gain (loss) (54,950,042 ) (45,457,319 )
Change in net unrealized appreciation (depreciation) 41,841,191 51,698,947
Net Income (loss) $ (11,387,602 ) $ 6,501,020

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

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

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Results of Operations for the Nine Months Ended September 30, 2023 Compared to the Nine Months Ended September 30, 2022

ProShares Short VIX Short-Term Futures ETF

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 339,591,638 $ 423,812,594
NAV end of period $ 261,698,747 $ 321,831,051
Percentage change in NAV (22.9 )% (24.1 )%
Shares outstanding beginning of period 5,784,307 6,884,307
Shares outstanding end of period 3,034,307 6,634,307
Percentage change in shares outstanding (47.5 )% (3.6 )%
Shares created 3,650,000 5,050,000
Shares redeemed 6,400,000 5,300,000
Per share NAV beginning of period $ 58.71 $ 61.56
Per share NAV end of period $ 86.25 $ 48.51
Percentage change in per share NAV 46.9 % (21.2 )%
Percentage change in benchmark (58.4 )% 14.7 %
Benchmark annualized volatility 56.0 % 86.1 %

During the nine months ended September 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 3,034,307 outstanding Shares at September 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 nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 6,884,307 outstanding Shares at December 31, 2021 to 6,634,307 outstanding Shares at September 30, 2022.

For the nine months ended September 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 46.9% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 21.2% for the nine months ended September 30, 2022, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 58.4% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 14.7% for the nine months ended September 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 September 30, 2023.

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Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 4,964,960 $ (2,481,226 )
Management fee 1,817,684 2,934,952
Brokerage commission 387,868 517,911
Futures account fees — 348,217
Non-recurring<br> fees and expenses — 6,122
Net realized gain (loss) 125,091,802 (26,521,746 )
Change in net unrealized appreciation (depreciation) (13,488,869 ) (47,680,063 )
Net Income (loss) $ 116,567,893 $ (76,683,035 )

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

ProShares Ultra Bloomberg Crude Oil

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 859,094,274 $ 1,103,783,570
NAV end of period $ 604,124,332 $ 724,595,262
Percentage change in NAV (29.7 )% (34.4 )%
Shares outstanding beginning of period 28,393,096 51,243,096
Shares outstanding end of period 17,143,096 27,643,096
Percentage change in shares outstanding (39.6 )% (46.1 )%
Shares created 34,650,000 20,700,000
Shares redeemed 45,900,000 44,300,000
Per share NAV beginning of period $ 30.26 $ 21.54
Per share NAV end of period $ 35.24 $ 26.21
Percentage change in per share NAV 16.5 % 21.7 %
Percentage change in benchmark 10.5 % 18.7 %
Benchmark annualized volatility 28.0 % 45.6 %

During the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 28,393,096 outstanding Shares at December 31, 2022 to 17,143,096 outstanding Shares at September 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 Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 51,243,096 outstanding Shares at December 31, 2021 to 27,643,096 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM .

For the nine months ended September 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 16.5% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 21.7% for the nine months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

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The benchmark’s rise of 10.5% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 18.7% for the nine months ended September 30, 2022, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2023.

Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 11,737,266 $ (5,154,872 )
Management fee 5,249,353 8,301,804
Brokerage commission 239,809 421,657
Futures account fees — 381,754
Non-recurring<br> fees and expenses — 13,739
Net realized gain (loss) 253,915,875 818,132,441
Change in net unrealized appreciation (depreciation) (64,494,313 ) (339,456,270 )
Net Income (loss) $ 201,158,828 $ 473,521,299

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

ProShares Ultra Bloomberg Natural Gas *

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 586,151,113 $ 193,892,178
NAV end of period $ 870,339,281 $ 289,386,097
Percentage change in NAV 48.5 % 49.3 %
Shares outstanding beginning of period 1,614,376 379,376
Shares outstanding end of period 16,118,544 271,876
Percentage change in shares outstanding 898.4 % (28.3 )%
Shares created 45,715,000 755,000
Shares redeemed 31,210,832 862,500
Per share NAV beginning of period $ 363.08 $ 511.08
Per share NAV end of period $ 54.00 $ 1064.40
Percentage change in per share NAV (85.1 )% 108.3 %
Percentage change in benchmark (54.0 )% 86.6 %
Benchmark annualized volatility 60.8 % 71.7 %

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During the nine months ended September 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 16,118,544 outstanding Shares at September 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 nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 379,376 outstanding Shares at December 31, 2021 to 271,876 outstanding Shares at September 30, 2022.

For the nine months ended September 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 85.1% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 108.3% for the nine months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 54.0% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 86.6% for the nine months ended September 30, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2023.

Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 16,444,672 $ (977,992 )
Management fee 7,220,063 1,589,759
Brokerage commission 2,727,691 300,747
Futures account fees 531,306 177,950
Non-recurring<br> fees and expenses — 4,791
Net realized gain (loss) (1,441,441,743 ) 235,314,633
Change in net unrealized appreciation (depreciation) 194,575,089 (89,199,198 )
Net Income (loss) $ (1,230,421,982 ) $ 145,137,443

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

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ProShares Ultra Euro

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 10,704,662 $ 8,659,095
NAV end of period $ 6,523,481 $ 13,869,371
Percentage change in NAV (39.1 )% 60.2 %
Shares outstanding beginning of period 950,000 650,000
Shares outstanding end of period 600,000 1,450,000
Percentage change in shares outstanding (36.8 )% 123.1 %
Shares created 200,000 1,250,000
Shares redeemed 550,000 450,000
Per share NAV beginning of period $ 11.27 $ 13.32
Per share NAV end of period $ 10.87 $ 9.57
Percentage change in per share NAV (3.5 )% (28.2 )%
Percentage change in benchmark (1.2 )% (13.2 )%
Benchmark annualized volatility 7.6 % 9.4 %

During the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 600,000 outstanding Shares at September 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 (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 1,450,000 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 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 3.5% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 28.2% for the nine months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 1.2% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 13.2% for the nine months ended September 30, 2022, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2023.

Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 205,069 $ (18,918 )
Management fee 61,096 66,646
Non-recurring<br> fees and expenses — 237
Net realized gain (loss) 336,185 (2,511,725 )
Change in net unrealized appreciation (depreciation) (638,368 ) (514,727 )
Net Income (loss) $ (97,114 ) $ (3,045,370 )

The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due a lesser decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2023.

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ProShares Ultra Gold

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 173,524,136 $ 232,780,534
NAV end of period $ 147,696,557 $ 160,022,292
Percentage change in NAV (14.9 )% (31.3 )%
Shares outstanding beginning of period 3,150,000 3,900,000
Shares outstanding end of period 2,800,000 3,400,000
Percentage change in shares outstanding (11.1 )% (12.8 )%
Shares created 500,000 1,650,000
Shares redeemed 850,000 2,150,000
Per share NAV beginning of period $ 55.09 $ 59.69
Per share NAV end of period $ 52.75 $ 47.07
Percentage change in per share NAV (4.3 )% (21.1 )%
Percentage change in benchmark 1.3 % (9.3 )%
Benchmark annualized volatility 12.9 % 17.4 %

During the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,150,000 outstanding Shares at December 31, 2022 to 2,800,000 outstanding Shares at September 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 (2x) the daily performance of the Bloomberg Gold Subindex SM . By comparison, during the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The decrease in the Fund’s NAV also resulted in part from a decrease from 3,900,000 outstanding Shares at December 31, 2021 to 3,400,000 outstanding Shares at September 30, 2022.

For the nine months ended September 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 4.3% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 21.1% for the nine months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s rise of 1.3% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 9.3% for the nine months ended September 30, 2022, can be attributed to an increase in the value of gold futures contracts during the period ended September 30, 2023.

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Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 4,130,377 $ (845,479 )
Management fee 1,318,793 1,863,020
Brokerage commission 20,886 43,899
Futures account fees — 28,169
Non-recurring<br> fees and expenses — 2,940
Net realized gain (loss) 11,092,138 (39,908,781 )
Change in net unrealized appreciation (depreciation) (22,707,149 ) (17,626,635 )
Net Income (loss) $ (7,484,634 ) $ (58,380,895 )

The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to an increase in average net assets, which was offset by an increase in futures prices, during the nine months ended September 30, 2023.

ProShares Ultra Silver

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 414,285,878 $ 515,453,594
NAV end of period $ 327,996,075 $ 323,970,863
Percentage change in NAV (20.8 )% (37.1 )%
Shares outstanding beginning of period 13,046,526 14,796,526
Shares outstanding end of period 13,246,526 15,546,526
Percentage change in shares outstanding 1.5 % 5.1 %
Shares created 4,100,000 4,250,000
Shares redeemed 3,900,000 3,500,000
Per share NAV beginning of period $ 31.75 $ 34.84
Per share NAV end of period $ 24.76 $ 20.84
Percentage change in per share NAV (22.0 )% (40.2 )%
Percentage change in benchmark (6.9 )% (19.0 )%
Benchmark annualized volatility 25.0 % 31.7 %

During the nine months ended September 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 was offset by an increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,246,526 outstanding Shares at September 30, 2023. By comparison, during the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 14,796,526 outstanding Shares at December 31, 2021 to 15,546,526 outstanding Shares at September 30, 2022.

For the nine months ended September 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 22.0% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 40.2% for the nine months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

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The benchmark’s decline of 6.9% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 19.0% for the nine months ended September 30, 2022, can be attributed to a lesser decrease in the value of silver futures contracts during the period ended September 30, 2023.

Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 7,577,899 $ (1,839,301 )
Management fee 2,740,073 3,098,741
Brokerage commission 101,511 94,079
Futures account fees — 26,693
Non-recurring<br> fees and expenses — 5,922
Net realized gain (loss) 5,620,169 (186,949,626 )
Change in net unrealized appreciation (depreciation) (96,446,948 ) (16,694,572 )
Net Income (loss) $ (83,248,880 ) $ (205,483,499 )

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

ProShares Ultra VIX Short-Term Futures ETF *

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 639,318,362 $ 816,679,636
NAV end of period $ 283,050,691 $ 995,489,778
Percentage change in NAV (55.7 )% 21.9 %
Shares outstanding beginning of period 9,307,842 6,582,842
Shares outstanding end of period 17,474,459 7,732,842
Percentage change in shares outstanding 87.7 % 17.5 %
Shares created 34,710,000 23,490,000
Shares redeemed 26,543,383 22,340,000
Per share NAV beginning of period $ 68.69 $ 124.06
Per share NAV end of period $ 16.20 $ 128.74
Percentage change in per share NAV (76.4 )% 3.7 %
Percentage change in benchmark (58.4 )% 14.7 %
Benchmark annualized volatility 56.0 % 86.1 %

During the nine months ended September 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 17,474,459 outstanding Shares at September 30, 2023. By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 6,582,842 outstanding Shares at December 31, 2021 to 7,732,842 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.

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For the nine months ended September 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 76.4% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 3.7% for the nine months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 58.4% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 14.7% for the nine months ended September 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 September 30, 2023.

Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 6,553,073 $ (7,265,397 )
Management fee 3,507,644 7,085,920
Brokerage commission 2,007,911 3,183,788
Futures account fees 354,153 1,446,639
Non-recurring<br> fees and expenses — 20,117
Net realized gain (loss) (751,125,820 ) 81,807,278
Change in net unrealized appreciation (depreciation) 65,573,569 323,479,748
Net Income (loss) $ (678,999,178 ) $ 398,021,629

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

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

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ProShares Ultra Yen

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 13,814,796 $ 2,362,849
NAV end of period $ 17,508,248 $ 10,159,189
Percentage change in NAV 26.7 % 330.0 %
Shares outstanding beginning of period 399,970 49,970
Shares outstanding end of period 699,970 349,970
Percentage change in shares outstanding 75.0 % 600.4 %
Shares created 500,000 350,000
Shares redeemed 200,000 50,000
Per share NAV beginning of period $ 34.54 $ 47.29
Per share NAV end of period $ 25.01 $ 29.03
Percentage change in per share NAV (27.6 )% (38.6 )%
Percentage change in benchmark (12.2 )% (20.3 )%
Benchmark annualized volatility 10.2 % 10.1 %

During the nine months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 399,970 outstanding Shares at December 31, 2022 to 699,970 outstanding Shares at September 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 nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 349,970 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the nine months ended September 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 27.6% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 38.6% for the nine months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 12.2% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 20.3% for the nine months ended September 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 September 30, 2023.

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Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 317,594 $ (5,605 )
Management fee 91,858 34,710
Non-recurring<br> fees and expenses — 194
Net realized gain (loss) (2,923,720 ) (2,531,291 )
Change in net unrealized appreciation (depreciation) (1,564,970 ) (3,861 )
Net Income (loss) $ (4,171,096 ) $ (2,540,757 )

The Fund’s net income decreased for the nine months ended September 30, 2023 as compared to the nine months ended September 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 nine months ended September 30, 2023.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 222,697,337 $ 114,167,602
NAV end of period $ 296,776,466 $ 368,791,089
Percentage change in NAV 33.3 % 223.0 %
Shares outstanding beginning of period 9,305,220 1,776,760
Shares outstanding end of period 17,605,220 12,155,220
Percentage change in shares outstanding 89.2 % 584.1 %
Shares created 28,800,000 38,940,000
Shares redeemed 20,500,000 28,561,540
Per share NAV beginning of period $ 23.93 $ 64.26
Per share NAV end of period $ 16.86 $ 30.34
Percentage change in per share NAV (29.6 )% (52.8 )%
Percentage change in benchmark 10.5 % 18.7 %
Benchmark annualized volatility 28.0 % 45.6 %

During the nine months ended September 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 9,305,220 outstanding Shares at December 31, 2022 to 17,605,220 outstanding Shares at September 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 Commodity Balanced WTI Crude Oil Index SM . By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 12,155,220 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM .

For the nine months ended September 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 29.6% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 52.8% for the nine months ended September 30, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

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The benchmark’s rise of 10.5% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 18.7% for the nine months ended September 30, 2022, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended September 30, 2023.

Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 4,599,541 $ (1,043,095 )
Management fee 1,392,728 2,599,503
Brokerage commission 180,385 332,256
Futures account fees — 195,542
Non-recurring<br> fees and expenses — 7,548
Net realized gain (loss) 7,884,531 (142,631,216 )
Change in net unrealized appreciation (depreciation) (35,278,737 ) 113,674,105
Net Income (loss) $ (22,794,665 ) $ (30,000,206 )

The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due a lesser increase in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2023.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 134,109,520 $ 242,145,130
NAV end of period $ 111,663,062 $ 242,389,998
Percentage change in NAV (16.7 )% 0.1 %
Shares outstanding beginning of period 4,966,856 978,742
Shares outstanding end of period 1,816,856 13,966,856
Percentage change in shares outstanding (63.4 )% 1,327.0 %
Shares created 19,350,000 82,240,000
Shares redeemed 22,500,000 69,251,886
Per share NAV beginning of period $ 27.00 $ 247.40
Per share NAV end of period $ 61.46 $ 17.35
Percentage change in per share NAV 127.7 % (93.0 )%
Percentage change in benchmark (54.0 )% 86.6 %
Benchmark annualized volatility 60.8 % 71.7 %

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During the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,966,856 outstanding Shares at December 31, 2022 to 1,816,856 outstanding Shares at September 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 Natural Gas Subindex SM . By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 978,742 outstanding Shares at December 31, 2021 to 13,966,856 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM .

For the nine months ended September 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 127.7% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV decrease of 93.0% for the nine months ended September 30, 2022, was primarily due to an appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 54.0% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 86.6% for the nine months ended September 30, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended September 30, 2023.

Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 2,446,610 $ (1,452,942 )
Management fee 903,703 1,784,017
Brokerage commission 577,070 539,244
Futures account fees 80,308 255,370
Non-recurring<br> fees and expenses — 5,374
Net realized gain (loss) 221,345,184 (389,255,425 )
Change in net unrealized appreciation (depreciation) (62,123,076 ) 116,824,672
Net Income (loss) $ 161,668,718 $ (273,883,695 )

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

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ProShares UltraShort Euro

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 75,113,179 $ 54,263,045
NAV end of period $ 44,004,408 $ 90,584,278
Percentage change in NAV (41.4 )% 66.9 %
Shares outstanding beginning of period 2,550,000 2,100,000
Shares outstanding end of period 1,400,000 2,600,000
Percentage change in shares outstanding (45.1 )% 23.8 %
Shares created 100,000 1,650,000
Shares redeemed 1,250,000 1,150,000
Per share NAV beginning of period $ 29.46 $ 25.84
Per share NAV end of period $ 31.43 $ 34.84
Percentage change in per share NAV 6.7 % 34.8 %
Percentage change in benchmark (1.2 )% (13.2 )%
Benchmark annualized volatility 7.6 % 9.4 %

During the nine months ended September 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 1,400,000 outstanding Shares at September 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 spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 2,100,000 outstanding Shares at December 31, 2021 to 2,600,000 outstanding Shares at September 30, 2022.

For the nine months ended September 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 6.7% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 34.8% for the nine months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 1.2% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 13.2% for the nine months ended September 30, 2022, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2023.

Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 1,360,409 $ (184,021 )
Management fee 404,141 467,426
Non-recurring<br> fees and expenses — 1,835
Net realized gain (loss) (2,576,119 ) 16,904,945
Change in net unrealized appreciation (depreciation) 3,904,782 3,015,661
Net Income (loss) $ 2,689,072 $ 19,736,585

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

ProShares UltraShort Gold

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 15,456,037 $ 26,859,844
NAV end of period $ 14,365,869 $ 29,634,725
Percentage change in NAV (7.1 )% 10.3 %
Shares outstanding beginning of period 496,977 846,977
Shares outstanding end of period 446,977 796,977
Percentage change in shares outstanding (10.1 )% (5.9 )%
Shares created 700,000 1,500,000
Shares redeemed 750,000 1,550,000
Per share NAV beginning of period $ 31.10 $ 31.71
Per share NAV end of period $ 32.14 $ 37.18
Percentage change in per share NAV 3.4 % 17.3 %
Percentage change in benchmark 1.3 % (9.3 )%
Benchmark annualized volatility 12.9 % 17.4 %

During the nine months ended September 30, 2023, the decrease in the Fund’s NAV resulted from a decrease from 496,977 outstanding Shares at December 31, 2022 to 446,977 outstanding Shares at September 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 nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 846,977 outstanding Shares at December 31, 2021 to 796,977 outstanding Shares at September 30, 2022.

For the nine months ended September 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 3.4% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 17.3% for the nine months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s rise of 1.3% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 9.3% for the nine months ended September 30, 2022, can be attributed to an increase in the value of gold futures contracts during the period ended September 30, 2023.

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Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 343,044 $ (128,991 )
Management fee 112,212 218,466
Brokerage commission 4,065 9,361
Futures account fees — 2,446
Non-recurring<br> fees and expenses — 639
Net realized gain (loss) (1,147,608 ) 3,237,429
Change in net unrealized appreciation (depreciation) 1,851,613 3,160,276
Net Income (loss) $ 1,047,049 $ 6,268,714

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

ProShares UltraShort Silver

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 31,932,799 $ 26,537,000
NAV end of period $ 16,967,517 $ 33,763,052
Percentage change in NAV (46.9 )% 27.2 %
Shares outstanding beginning of period 1,641,329 991,329
Shares outstanding end of period 791,329 991,329
Percentage change in shares outstanding (51.8 )% — %
Shares created 6,050,000 2,800,000
Shares redeemed 6,900,000 2,800,000
Per share NAV beginning of period $ 19.46 $ 26.77
Per share NAV end of period $ 21.44 $ 34.06
Percentage change in per share NAV 10.2 % 27.2 %
Percentage change in benchmark (6.9 )% (19.0 )%
Benchmark annualized volatility 25.0 % 31.7 %

During the nine months ended September 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 791,329 outstanding Shares at September 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 nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . There was no net change in the Fund’s outstanding Shares from December 31, 2021 to September 30, 2022.

For the nine months ended September 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 10.2% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 27.2% for the nine months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

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The benchmark’s decline of 6.9% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 19.0% for the nine months ended September 30, 2022, can be attributed to a lesser decrease in the value of the silver futures contracts during the period ended September 30, 2023.

Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 611,721 $ (125,396 )
Management fee 220,751 190,549
Brokerage commission 28,436 20,677
Futures account fees — 4,443
Non-recurring<br> fees and expenses — 612
Net realized gain (loss) 10,747,744 8,252,703
Change in net unrealized appreciation (depreciation) 4,528,828 1,567,440
Net Income (loss) $ 15,888,293 $ 9,694,747

The Fund’s net income increased for the nine months ended September 30, 2023 as compared to the nine months ended September 30, 2022, primarily due to a lesser decrease in the value of futures prices in conjunction with the timing of shareholder activity, during the nine months ended September 30, 2023.

ProShares UltraShort Yen

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 21,397,736 $ 24,840,784
NAV end of period $ 26,172,191 $ 51,937,338
Percentage change in NAV 22.3 % 109.1 %
Shares outstanding beginning of period 398,580 598,580
Shares outstanding end of period 348,580 798,580
Percentage change in shares outstanding (12.5 )% 33.4 %
Shares created 450,000 1,100,000
Shares redeemed 500,000 900,000
Per share NAV beginning of period $ 53.68 $ 41.50
Per share NAV end of period $ 75.08 $ 65.04
Percentage change in per share NAV 39.9 % 56.7 %
Percentage change in benchmark (12.2 )% (20.3 )%
Benchmark annualized volatility 10.2 % 10.1 %

During the nine months ended September 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 398,580 outstanding Shares at December 31, 2022 to 348,580 outstanding Shares at September 30, 2023. By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 598,580 outstanding Shares at December 31, 2021 to 798,580 outstanding Shares at September 30, 2022.

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For the nine months ended September 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 39.9% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 56.7% for the nine months ended September 30, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 12.2% for the nine months ended September 30, 2023, as compared to the benchmark’s decline of 20.3% for the nine months ended September 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 September 30, 2023.

Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 565,926 $ (109,049 )
Management fee 167,753 259,599
Non-recurring<br> fees and expenses — 953
Net realized gain (loss) 3,422,003 14,980,187
Change in net unrealized appreciation (depreciation) 3,945,278 (453,336 )
Net Income (loss) $ 7,933,207 $ 14,417,802

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

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ProShares VIX Mid-Term Futures ETF

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 84,014,959 $ 112,875,680
NAV end of period $ 59,968,024 $ 110,420,574
Percentage change in NAV (28.6 )% (2.2 )%
Shares outstanding beginning of period 2,762,403 3,687,403
Shares outstanding end of period 3,087,403 3,112,403
Percentage change in shares outstanding 11.8 % (15.6 )%
Shares created 1,700,000 1,850,000
Shares redeemed 1,375,000 2,425,000
Per share NAV beginning of period $ 30.41 $ 30.61
Per share NAV end of period $ 19.42 $ 35.48
Percentage change in per share NAV (36.1 )% 15.9 %
Percentage change in benchmark (35.0 )% 17.8 %
Benchmark annualized volatility 28.2 % 32.5 %

During the nine months ended September 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 was offset by an increase from 2,762,403 outstanding Shares at December 31, 2022 to 3,087,403 outstanding Shares at September 30, 2023. By comparison, during the nine months ended September 30, 2022, the decrease in the Fund’s NAV resulted from a decrease from 3,687,403 outstanding Shares at December 31, 2021 to 3,112,403 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the nine months ended September 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 36.1% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 15.9% for the nine months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 35.0% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 17.8% for the nine months ended September 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 September 30, 2023.

Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 1,430,860 $ (437,530 )
Management fee 401,207 627,755
Brokerage commission 30,191 58,291
Futures account fees 33,287 46,394
Non-recurring<br> fees and expenses — 2,050
Net realized gain (loss) (35,008,564 ) 11,304,277
Change in net unrealized appreciation (depreciation) 3,841,900 6,887,044
Net Income (loss) $ (29,735,804 ) $ 17,753,791

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

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ProShares VIX Short-Term Futures ETF *

Fund Performance

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
NAV beginning of period $ 266,580,320 $ 269,703,164
NAV end of period $ 211,604,428 $ 437,536,628
Percentage change in NAV (20.6 )% 62.2 %
Shares outstanding beginning of period 4,676,565 3,566,565
Shares outstanding end of period 9,075,947 5,116,565
Percentage change in shares outstanding 94.1 % 43.5 %
Shares created 9,235,000 7,180,000
Shares redeemed 4,835,618 5,630,000
Per share NAV beginning of period $ 57.00 $ 75.62
Per share NAV end of period $ 23.31 $ 85.51
Percentage change in per share NAV (59.1 )% 13.1 %
Percentage change in benchmark (58.4 )% 14.7 %
Benchmark annualized volatility 56.0 % 86.1 %

During the nine months ended September 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 9,075,947 outstanding Shares at September 30, 2023. By comparison, during the nine months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,566,565 outstanding Shares at December 31, 2021 to 5,116,565 outstanding Shares at September 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 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 59.1% for the nine months ended September 30, 2023, as compared to the Fund’s per Share NAV increase of 13.1% for the nine months ended September 30, 2022, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2023.

The benchmark’s decline of 58.4% for the nine months ended September 30, 2023, as compared to the benchmark’s rise of 14.7% for the nine months ended September 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 September 30, 2023.

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Net Income/Loss

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

Nine Months Ended<br><br><br>September 30, 2023 Nine Months Ended<br><br><br>September 30, 2022
Net investment income (loss) $ 4,942,508 $ (1,545,500 )
Management fee 1,495,874 2,353,478
Brokerage commission 250,314 490,751
Futures account fees 143,501 371,384
Non-recurring<br> fees and expenses — 8,700
Net realized gain (loss) (228,286,648 ) 31,935,690
Change in net unrealized appreciation (depreciation) 21,667,964 84,851,343
Net Income (loss) $ (201,676,176 ) $ 115,241,533

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

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

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Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

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

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

The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of September 30, 2023 and 2022, each of the Fund’s positions were as follows:

ProShares Short VIX Short-Term Futures ETF

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

Futures Positions as of September 30, 2023
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
VIX Futures (Cboe) Short October 2023 4,373 $ 17.77 1,000 $ (77,713,457 )
VIX Futures (Cboe) Short November 2023 2,906 18.25 1,000 (53,023,748 )
Futures Positions as of September 30, 2022
--- --- --- --- --- --- --- --- --- --- --- --- ---
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
VIX Futures (Cboe) Short October 2022 3,083 $ 31.52 1,000 $ (97,163,828 )
VIX Futures (Cboe) Short November 2022 2,052 31.07 1,000 (63,759,128 )

The September 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.

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ProShares Ultra Bloomberg Crude Oil:

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

Futures Positions as of September 30, 2023
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
WTI Crude Oil (NYMEX) Long December 2023 879 $ 88.80 1,000 $ 78,055,200
WTI Crude Oil (NYMEX) Long June 2024 920 81.12 1,000 74,630,400
WTI Crude Oil (NYMEX) Long December 2024 956 77.86 1,000 74,434,160
Swap Agreements as of September 30, 2023
--- --- --- --- --- --- ---
Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Commodity Balanced WTI Crude Oil Index Citibank, N.A. Long $ 93.5651 $ 210,901,349
Bloomberg Commodity Balanced WTI Crude Oil Index Goldman Sachs International Long 93.5651 262,218,064
Bloomberg Commodity Balanced WTI Crude Oil Index Morgan Stanley & Co.<br>International PLC Long 93.5651 151,363,911
Bloomberg Commodity Balanced WTI Crude Oil Index Societe Generale Long 93.5651 199,041,224
Bloomberg Commodity Balanced WTI Crude Oil Index UBS AG Long 93.5651 157,428,427
Futures Positions as of September 30, 2022
--- --- --- --- --- --- --- --- --- --- ---
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
WTI Crude Oil (NYMEX) Long December 2022 1,450 $ 78.72 1,000 $ 114,144,000
WTI Crude Oil (NYMEX) Long June 2023 1,535 73.00 1,000 112,055,000
WTI Crude Oil (NYMEX) Long December 2023 1,610 69.66 1,000 112,152,600
Swap Agreements as of September 30, 2022
--- --- --- --- --- --- ---
Reference Index Counterparty Long or<br>Short Index<br>Close Notional Amount<br><br><br>at Value
Bloomberg Commodity Balanced WTI Crude Oil Index Citibank, N.A. Long $ 77.9524 $ 175,709,387
Bloomberg Commodity Balanced WTI Crude Oil Index Goldman Sachs International Long 77.9524 218,463,160
Bloomberg Commodity Balanced WTI Crude Oil Index Morgan Stanley & Co.<br>International PLC Long 77.9524 304,335,914
Bloomberg Commodity Balanced WTI Crude Oil Index Societe Generale Long 77.9524 165,828,296
Bloomberg Commodity Balanced WTI Crude Oil Index UBS AG Long 77.9524 246,871,587

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

Futures Positions as of September 30, 2023
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
Natural Gas (NYMEX) Long November<br><br>2023 50,182 $ 2.93 10,000 $ 1,469,830,780
Swap Agreements as of September 30, 2023
--- --- --- --- --- --- ---
Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Natural Gas Subindex Citibank, N.A. Long $ 0.0799 $ 132,651,213
Bloomberg Natural Gas Subindex Goldman Sachs International Long 0.0799 90,634,449
Bloomberg Natural Gas Subindex Societe General Long 0.0799 47,221,373
Bloomberg Natural Gas Subindex UBS AG Long 0.0799 725,704
Futures Positions as of September 30, 2022
--- --- --- --- --- --- --- --- --- --- ---
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
Natural Gas (NYMEX) Long November<br><br>2022 8,556 $ 6.77 10,000 $ 578,898,960

The September 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 September 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.

ProShares Ultra Euro:

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

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Foreign Currency Forward Contracts as of September 30, 2023
Reference<br><br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward Rate MarketValue
Euro Goldman Sachs International Long 10/06/23 7,691,921 1.0752
Euro UBS AG Long 10/06/23 4,954,502 1.0752
Euro UBS AG Short 10/06/23 (323,000 ) 1.0602 )

All values are in US Dollars.

Foreign Currency Forward Contracts as of September 30, 2022
Reference<br><br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward Rate Market Value
Euro Goldman Sachs International Long 10/07/22 12,276,921 0.9964
Euro UBS AG Long 10/07/22 17,572,502 0.9940
Euro UBS AG Short 10/07/22 (1,566,000 ) 0.9801 )

All values are in US Dollars.

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

Futures Positions as of September 30, 2023
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
Gold Futures (COMEX) Long December 2023 264 $ 1,866.10 100 $ 49,265,040
Swap Agreements as of September 30, 2023
--- --- --- --- --- --- ---
Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Gold Subindex Citibank, N.A. Long $ 190.8900 $ 105,703,033
Bloomberg Gold Subindex Goldman Sachs International Long 190.8900 50,205,597
Bloomberg Gold Subindex UBS AG Long 190.8900 90,264,166
Futures Positions as of September 30, 2022
--- --- --- --- --- --- --- --- --- --- ---
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
Gold Futures (COMEX) Long December 2022 409 $ 1,672.00 100 $ 68,384,800
Swap Agreements as of September 30, 2022
--- --- --- --- --- --- ---
Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Gold Subindex Citibank, N.A. Long $ 180.7152 $ 100,068,860
Bloomberg Gold Subindex Goldman Sachs International Long 180.7152 47,529,603
Bloomberg Gold Subindex UBS AG Long 180.7152 104,098,025

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

Futures Positions as of September 30, 2023
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
Silver Futures (COMEX) Long December 2023 1,756 $ 22.45 5,000 $ 197,111,000
Swap Agreements as of September 30, 2023
--- --- --- --- --- --- ---
Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Silver Subindex Citibank, N.A. Long $ 190.6601 $ 159,867,323
Bloomberg Silver Subindex Goldman Sachs International Long 190.6601 21,119,991
Bloomberg Silver Subindex Morgan Stanley & Co.<br>International PLC Long 190.6601 143,290,980
Bloomberg Silver Subindex UBS AG Long 190.6601 134,864,794
Futures Positions as of September 30, 2022
--- --- --- --- --- --- --- --- --- --- ---
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
Silver Futures (COMEX) Long December 2022 2,163 $ 19.04 5,000 $ 205,906,785
Swap Agreements as of September 30, 2022
--- --- --- --- --- --- ---
Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Silver Subindex Citibank, N.A. Long $ 169.7456 $ 142,330,643
Bloomberg Silver Subindex Goldman Sachs International Long 169.7456 18,803,260
Bloomberg Silver Subindex Morgan Stanley & Co.<br>International PLC Long 169.7456 156,302,767
Bloomberg Silver Subindex UBS AG Long 169.7456 124,719,934

The September 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 September 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.

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ProShares Ultra VIX Short-Term Futures ETF

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

Futures Positions as of September 30, 2023
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
VIX Futures (Cboe) Long October 2023 14,181 $ 17.77 1,000 $ 252,013,387
VIX Futures (Cboe) Long November 2023 9,464 18.25 1,000 172,682,983
Futures Positions as of September 30, 2022
--- --- --- --- --- --- --- --- --- --- ---
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
VIX Futures (Cboe) Long October 2022 28,597 $ 31.52 1,000 $ 901,263,052
VIX Futures (Cboe) Long November 2022 19,065 31.07 1,000 592,381,961

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

ProShares Ultra Yen:

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

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Foreign Currency Forward Contracts as of September 30, 2023
Reference<br><br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward<br>Rate Market Value
Yen Goldman Sachs International Long 10/06/23 2,355,724,056 0.006813
Yen UBS AG Long 10/06/23 2,976,699,856 0.006807
Yen UBS AG Short 10/06/23 (97,972,000 ) 0.006790 )

All values are in US Dollars.

Foreign Currency Forward Contracts as of September 30, 2022
Reference<br><br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward<br>Rate Market Value
Yen Goldman Sachs International Long 10/07/22 1,186,245,517 0.006949
Yen UBS AG Long 10/07/22 1,919,545,856 0.006945
Yen Goldman Sachs International Short 10/07/22 (33,368,000 ) 0.006974 )
Yen UBS AG Short 10/07/22 (133,030,000 ) 0.006945 )

All values are in US Dollars.

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

Futures Positions as of September 30, 2023
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
WTI Crude Oil (NYMEX) Short December 2023 2,296 $ 88.80 1,000 $ (203,884,800 )
WTI Crude Oil (NYMEX) Short June 2024 2,404 81.12 1,000 (195,012,480 )
WTI Crude Oil (NYMEX) Short December 2024 2,500 77.86 1,000 (194,650,000 )
Futures Positions as of September 30, 2022
--- --- --- --- --- --- --- --- --- --- --- ---
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
WTI Crude Oil (NYMEX) Short December 2022 3,174 $ 78.72 1,000 $ (249,857,280 )
WTI Crude Oil (NYMEX) Short June 2023 3,344 73.00 1,000 (244,112,000 )
WTI Crude Oil (NYMEX) Short December 2023 3,500 69.66 1,000 (243,810,000 )

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The September 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. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Natural Gas:

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

Futures Positions as of September 30, 2023
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
Natural Gas (NYMEX) Short November<br><br>2023 7,624 $ 2.93 10,000 $ (223,306,960 )
Futures Positions as of September 30, 2022
--- --- --- --- --- --- --- --- --- --- --- ---
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
Natural Gas (NYMEX) Short November<br>2022 7,167 $ 6.77 10,000 $ (484,919,220 )

The September 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.

ProShares UltraShort Euro:

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

Foreign Currency Forward Contracts as of September 30, 2023
Reference<br><br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward Rate Market Value
Euro Goldman Sachs International Long 10/06/23 486,000 1.0694
Euro UBS AG Long 10/06/23 10,804,000 1.0696
Euro Goldman Sachs International Short 10/06/23 (43,752,263 ) 1.0751 )
Euro UBS AG Short 10/06/23 (50,970,199 ) 1.0735 )

All values are in US Dollars.

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Foreign Currency Forward Contracts as of September 30, 2022
Reference<br><br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward Rate Market Value
Euro UBS AG Long 10/07/22 38,000,000 0.9876
Euro Goldman Sachs International Short 10/07/22 (78,612,263 ) 0.9970 )
Euro UBS AG Short 10/07/22 (144,189,199 ) 0.9931 )

All values are in US Dollars.

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

Futures Positions as of September 30, 2023
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
Gold Futures (COMEX) Short December 2023 71 $ 1,866.10 100 $ (13,249,310 )
Swap Agreements as of September 30, 2023
--- --- --- --- --- --- --- ---
Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Gold Subindex Citibank, N.A. Short $ 190.8900 $ (3,588,216 )
Bloomberg Gold Subindex Goldman Sachs International Short 190.8900 (4,702,766 )
Bloomberg Gold Subindex UBS AG Short 190.8900 (7,273,894 )
Futures Positions as of September 30, 2022
--- --- --- --- --- --- --- --- --- --- --- ---
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
Gold Futures (COMEX) Short December 2022 157 $ 1,672.00 100 $ (26,250,400 )
Swap Agreements as of September 30, 2022
--- --- --- --- --- --- --- ---
Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Gold Subindex Citibank, N.A. Short $ 180.7152 $ (13,547,911 )
Bloomberg Gold Subindex Goldman Sachs International Short 180.7152 (8,863,141 )
Bloomberg Gold Subindex UBS AG Short 180.7152 (10,598,433 )

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

Futures Positions as of September 30, 2023
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
Silver Futures (COMEX) Short December 2023 109 $ 22.45 5,000 $ (12,235,250 )
Swap Agreements as of September 30, 2023
--- --- --- --- --- --- --- ---
Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Silver Subindex Citibank, N.A. Short $ 190.6601 $ (2,570,998 )
Bloomberg Silver Subindex Goldman Sachs International Short 190.6601 (9,365,796 )
Bloomberg Silver Subindex Morgan Stanley & Co.<br>International PLC Short 190.6601 (7,405,429 )
Bloomberg Silver Subindex UBS AG Short 190.6601 (2,368,019 )
Futures Positions as of September 30, 2022
--- --- --- --- --- --- --- --- --- --- --- ---
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
Silver Futures (COMEX) Short December 2022 506 $ 19.04 5,000 $ (48,168,670 )
Swap Agreements as of September 30, 2022
--- --- --- --- --- --- --- ---
Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Silver Subindex Citibank, N.A. Short $ 169.7456 $ (2,288,972 )
Bloomberg Silver Subindex Goldman Sachs International Short 169.7456 (8,338,415 )
Bloomberg Silver Subindex Morgan Stanley & Co.<br>International PLC Short 169.7456 (6,593,089 )
Bloomberg Silver Subindex UBS AG Short 169.7456 (2,108,259 )

The September 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 September 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

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

Foreign Currency Forward Contracts as of September 30, 2023
Reference<br><br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward<br>Rate Market Value
Yen UBS AG Long 10/06/23 428,237,000 0.006813
Yen Goldman Sachs International Short 10/06/23 (3,330,184,165 ) 0.006821 )
Yen UBS AG Short 10/06/23 (4,908,633,574 ) 0.006814 )

All values are in US Dollars.

Foreign Currency Forward Contracts as of September 30, 2022
Reference<br><br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward<br>Rate Market Value
Yen Goldman Sachs International Long 10/07/22 513,732,000 0.007033
Yen UBS AG Long 10/07/22 1,169,990,000 0.006995
Yen Goldman Sachs International Short 10/07/22 (4,358,922,165 ) 0.006949 )
Yen UBS AG Short 10/07/22 (12,349,528,574 ) 0.006949 )

All values are in US Dollars.

The September 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 September 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 September 30, 2023 and 2022, which were sensitive to equity market volatility risk.

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Futures Positions as of September 30, 2023
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
VIX Futures (Cboe) Long January 2024 617 $ 19.10 1,000 $ 11,784,515
VIX Futures (Cboe) Long February 2024 1,028 19.30 1,000 19,841,839
VIX Futures (Cboe) Long March 2024 1,028 19.60 1,000 20,146,847
VIX Futures (Cboe) Long April 2024 411 19.90 1,000 8,178,119
Futures Positions as of September 30, 2022
--- --- --- --- --- --- --- --- --- --- ---
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
VIX Futures (Cboe) Long January 2023 728 $ 30.70 1,000 $ 22,351,129
VIX Futures (Cboe) Long February 2023 1,214 30.31 1,000 36,796,340
VIX Futures (Cboe) Long March 2023 1,214 30.18 1,000 36,638,520
VIX Futures (Cboe) Long April 2023 486 30.25 1,000 14,700,868

The September 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.

ProShares VIX Short-Term Futures ETF

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

Futures Positions as of September 30, 2023
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
VIX Futures (Cboe) Long October 2023 7,067 $ 17.77 1,000 $ 125,589,070
VIX Futures (Cboe) Long November<br><br>2023 4,719 18.25 1,000 86,104,290
Futures Positions as of September 30, 2022
--- --- --- --- --- --- --- --- --- --- ---
Contract Long or<br><br><br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
VIX Futures (Cboe) Long October 2022 8,381 $ 31.52 1,000 $ 264,135,596
VIX Futures (Cboe) Long November<br>2022 5,587 31.07 1,000 173,597,588

The September 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.

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Qualitative Disclosure

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

Primary Market Risk Exposure

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

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

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

Commodity Price Sensitivity

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

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1

-1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1

-4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect

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the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1

-1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1

-4% period Fund return (rather than simply two times the period return of the benchmark).

Equity Market Volatility Sensitivity

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

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-0.5x,

-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).

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 September 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.

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Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 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.

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Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

As of September 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 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 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.

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, the markets for gold, silver, oil, natural gas and other commodities, and the price of Financial Instruments based on such commodities, and other markets. As the war continues, sanctions on Russian exports in the future could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of the Financial Instruments in which each Fund invests may fluctuate widely as a result of the conflict and related events. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflict and related events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.

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

Extreme market volatility and economic turbulence in the first part of 2020 has led to 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.

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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 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 September 30, 2023:

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Title of Securities Registered<br>* Total Number of<br>Shares Redeemed Average Price<br>Per Share
ProShares Short VIX Short-Term Futures ETF
Common Units of Beneficial Interest
07/01/23 to 07/31/23 450,000 $ 88.08
08/01/23 to 08/31/23 450,000 $ 86.17
09/01/23 to 09/30/23 50,000 $ 92.61
ProShares Ultra Bloomberg Crude Oil
Common Units of Beneficial Interest
07/01/23 to 07/31/23 7,950,000 $ 26.87
08/01/23 to 08/31/23 1,950,000 $ 30.67
09/01/23 to 09/30/23 4,050,000 $ 35.16
ProShares Ultra Bloomberg Natural Gas
Common Units of Beneficial Interest
07/01/23 to 07/31/23 3,353,332 $ 63.97
08/01/23 to 08/31/23 6,000,000 $ 66.70
09/01/23 to 09/30/23 3,900,000 $ 55.93
ProShares Ultra Euro
Common Units of Beneficial Interest
07/01/23 to 07/31/23 50,000 $ 11.82
08/01/23 to 08/31/23 — $ —
09/01/23 to 09/30/23 — $ —
ProShares Ultra Gold
Common Units of Beneficial Interest
07/01/23 to 07/31/23 100,000 $ 58.94
08/01/23 to 08/31/23 100,000 $ 57.47
09/01/23 to 09/30/23 150,000 $ 57.69
ProShares Ultra Silver
Common Units of Beneficial Interest
07/01/23 to 07/31/23 600,000 $ 30.85
08/01/23 to 08/31/23 600,000 $ 29.62
09/01/23 to 09/30/23 250,000 $ 27.58
ProShares Ultra VIX Short-Term Futures ETF
Common Units of Beneficial Interest
07/01/23 to 07/31/23 2,353,383 $ 18.57
08/01/23 to 08/31/23 5,050,000 $ 18.29
09/01/23 to 09/30/23 9,500,000 $ 16.29
ProShares Ultra Yen
Common Units of Beneficial Interest
07/01/23 to 07/31/23 50,000 $ 28.94
08/01/23 to 08/31/23 — $ —
09/01/23 to 09/30/23 — $ —
ProShares UltraShort Bloomberg Crude Oil
Common Units of Beneficial Interest
07/01/23 to 07/31/23 1,000,000 $ 21.53
08/01/23 to 08/31/23 1,650,000 $ 19.97
09/01/23 to 09/30/23 1,400,000 $ 16.73
ProShares UltraShort Bloomberg Natural Gas
Common Units of Beneficial Interest
07/01/23 to 07/31/23 1,750,000 $ 60.64
08/01/23 to 08/31/23 3,050,000 $ 54.57
09/01/23 to 09/30/23 1,450,000 $ 62.25
ProShares UltraShort Euro
Common Units of Beneficial Interest
07/01/23 to 07/31/23 100,000 $ 29.02
08/01/23 to 08/31/23 100,000 $ 29.31
09/01/23 to 09/30/23 150,000 $ 30.60
ProShares UltraShort Gold
Common Units of Beneficial Interest
07/01/23 to 07/31/23 50,000 $ 27.73
08/01/23 to 08/31/23 150,000 $ 29.27
09/01/23 to 09/30/23 — $ —
ProShares UltraShort Silver
Common Units of Beneficial Interest
07/01/23 to 07/31/23 50,000 $ 20.33
08/01/23 to 08/31/23 2,750,000 $ 19.57
09/01/23 to 09/30/23 300,000 $ 20.32
ProShares UltraShort Yen
Common Units of Beneficial Interest
07/01/23 to 07/31/23 50,000 $ 62.82
08/01/23 to 08/31/23 — $ —
09/01/23 to 09/30/23 — $ —
ProShares VIX <br>Mid-Term<br> Futures ETF
Common Units of Beneficial Interest
07/01/23 to 07/31/23 100,000 $ 20.17
08/01/23 to 08/31/23 75,000 $ 19.32
09/01/23 to 09/30/23 — $ —
ProShares VIX Short-Term Futures ETF
Common Units of Beneficial Interest
07/01/23 to 07/31/23 125,618 $ 25.62
08/01/23 to 08/31/23 2,025,000 $ 24.51
09/01/23 to 09/30/23 475,000 $ 23.28

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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 September 30, 2023.

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Item 6. Exhibits.

Exhibit<br>No. Description of Document
31.1 Certification by Principal Executive Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
31.2 Certification by Principal Financial Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)
32.1* Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
32.2* Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)
101.INS XBRL Instance Document (1)
101.SCH XBRL Taxonomy Extension Schema (1)
101.CAL XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB XBRL Taxonomy Extension Label Linkbase (1)
101.PRE XBRL Taxonomy Extension Presentation Linkbase (1)
104.1 Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.
(1) Filed herewith.
--- ---
* These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing.
--- ---

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Signatures

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

PROSHARES TRUST II
/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: November 6, 2023
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: November 6, 2023

192

EX-31.1

Exhibit 31.1

Certification of Principal Executive Officer

Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

I, Todd Johnson, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q of ProShares Trust<br>II and each of its Funds;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a<br>material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
--- ---
3. Based on my knowledge, the financial statements, and other financial information included in this report,<br>fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
--- ---
4. The registrant’s other certifying officer and I are responsible for establishing and maintaining<br>disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act<br>Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
--- ---
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be<br>designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is<br>being prepared;
--- ---
(b) Designed such internal control over financial reporting, or caused such internal control over financial<br>reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting<br>principles;
--- ---
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this<br>report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
--- ---
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that<br>occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal<br>control over financial reporting; and
--- ---
5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of<br>internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
--- ---
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over<br>financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
--- ---
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in<br>the registrant’s internal control over financial reporting.
--- ---
Date: November 6, 2023 By: /s/ Todd Johnson
--- --- ---
Name: Todd Johnson
Title: Principal Executive Officer
ProShares Trust II

EX-31.2

Exhibit 31.2

Certification of Principal Financial Officer

Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

I, Edward Karpowicz, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q of ProShares Trust<br>II and each of its Funds;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a<br>material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
--- ---
3. Based on my knowledge, the financial statements, and other financial information included in this report,<br>fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
--- ---
4. The registrant’s other certifying officer and I are responsible for establishing and maintaining<br>disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act<br>Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
--- ---
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be<br>designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is<br>being prepared;
--- ---
(b) Designed such internal control over financial reporting, or caused such internal control over financial<br>reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting<br>principles;
--- ---
(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this<br>report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
--- ---
(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that<br>occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal<br>control over financial reporting; and
--- ---
5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of<br>internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
--- ---
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over<br>financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
--- ---
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in<br>the registrant’s internal control over financial reporting.
--- ---
Date: November 6, 2023 By: /s/ Edward Karpowicz
--- --- ---
Name: Edward Karpowicz
Title: Principal Financial and Accounting Officer
ProShares Trust II

EX-32.1

Exhibit 32.1

Certification of Principal Executive Officer

Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

In connection with this Quarterly Report on Form 10-Q for the quarter ended September 30, 2023 (the “Report”) of ProShares Trust II (the “Registrant”) and each of its Funds, as filed with the U.S. Securities and Exchange Commission on the date hereof, I, Todd Johnson, the Principal Executive Officer of the Registrant, hereby certify, to the best of my knowledge, that:

(1) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act<br>of 1934, as amended; and
(2) The information contained in the Report fairly presents, in all material respects, the financial condition and<br>results of operations of the Registrant.
--- ---
Date: November 6, 2023 By: /s/ Todd Johnson
--- --- ---
Name: Todd Johnson
Title: Principal Executive Officer
ProShares Trust II

EX-32.2

Exhibit 32.2

Certification of Principal Financial Officer

Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

In connection with this Quarterly Report on Form 10-Q for the quarter ended September 30, 2023 (the “Report”) of ProShares Trust II (the “Registrant”) and each of its Funds, as filed with the U.S. Securities and Exchange Commission on the date hereof, I, Edward Karpowicz, the Principal Financial and Accounting Officer of the Registrant, hereby certify, to the best of my knowledge, that:

(3) The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act<br>of 1934, as amended; and
(4) The information contained in the Report fairly presents, in all material respects, the financial condition and<br>results of operations of the Registrant.
--- ---
Date: November 6, 2023 By: /s/ Edward Karpowicz
--- --- ---
Name: Edward Karpowicz
Title: Principal Financial and Accounting Officer
ProShares Trust II

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