Equibles

10-Q

ProShares Trust II (AGQ)

10-Q 2021-11-05 For: 2021-09-30
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, 2021.

or

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

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 Ave, 21st 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 exchange<br> <br>on which registered
ProShares Short Euro EUFX NYSE Arca
ProShares Short VIX Short-Term Futures ETF SVXY Cboe BZX Exchange
ProShares Ultra Bloomberg Crude Oil UCO NYSE Arca
ProShares Ultra Bloomberg Natural Gas BOIL NYSE Arca
ProShares Ultra Euro ULE NYSE Arca
ProShares Ultra Gold UGL NYSE Arca
ProShares Ultra Silver AGQ NYSE Arca
ProShares Ultra VIX Short-Term Futures ETF UVXY Cboe BZX Exchange
ProShares Ultra Yen YCL NYSE Arca
ProShares UltraShort Australian Dollar CROC NYSE Arca
ProShares UltraShort Bloomberg Crude Oil SCO NYSE Arca
ProShares UltraShort Bloomberg Natural Gas KOLD NYSE Arca
ProShares UltraShort Euro EUO NYSE Arca
ProShares UltraShort Gold GLL NYSE Arca
ProShares UltraShort Silver ZSL NYSE Arca
ProShares UltraShort Yen YCS NYSE Arca
ProShares VIX <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<br> Filer ☐ Smaller Reporting Company ☐
Emerging Growth Company ☐

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

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act.).    ☐  Yes    ☒  No

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

As of October 26, 2021, the registrant had 165,148,980 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 3
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 138
Item 3. Quantitative and Qualitative Disclosures About Market Risk 204
Item 4. Controls and Procedures 219
Part II. OTHER INFORMATION
Item 1. Legal Proceedings 221
Item 1A. Risk Factors 221
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 223
Item 3. Defaults Upon Senior Securities 225
Item 4. Mine Safety Disclosures 225
Item 5. Other Information 225
Item 6. Exhibits 226

2

Table of Contents

Part I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Index
Documents Page
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows:
ProShares Short Euro 4
ProShares Short VIX Short-Term Futures ETF 9
ProShares Ultra Bloomberg Crude Oil 14
ProShares Ultra Bloomberg Natural Gas 19
ProShares Ultra Euro 24
ProShares Ultra Gold 29
ProShares Ultra Silver 34
ProShares Ultra VIX Short-Term Futures ETF 39
ProShares Ultra Yen 44
ProShares UltraShort Australian Dollar 49
ProShares UltraShort Bloomberg Crude Oil 54
ProShares UltraShort Bloomberg Natural Gas 59
ProShares UltraShort Euro 64
ProShares UltraShort Gold 69
ProShares UltraShort Silver 74
ProShares UltraShort Yen 79
ProShares VIX Mid-Term Futures ETF 84
ProShares VIX Short-Term Futures ETF 89
ProShares Trust II 94
Notes to Financial Statements 98

3

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PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31,<br> 2020
Assets
Cash $ 2,168,859 $ 4,105,781
Segregated cash balances with brokers for futures contracts 36,300 68,310
Receivable on open futures contracts 3,562 21,094
Interest receivable 87 175
Total assets 2,208,808 4,195,360
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts 281 —
Payable to Sponsor 1,695 3,391
Non-recurring<br> fees and expenses payable 14 14
Total liabilities 1,990 3,405
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 2,206,818 4,191,955
Total liabilities and shareholders’ equity $ 2,208,808 $ 4,195,360
Shares outstanding 50,000 100,000
Net asset value per share $ 44.14 $ 41.92
Market value per share (Note 2) $ 44.16 $ 41.35

See accompanying notes to financial statements.

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PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Futures Contracts Sold

Number of<br><br><br>Contracts Notional Amount<br><br><br>at Value Unrealized<br>Appreciation<br>(Depreciation)/Value
Euro Fx Currency Futures - CME, expires December 2021 15 $ 2,175,000 $ 46,781

See accompanying notes to financial statements.

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PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2021 2020 2021 2020
Investment Income
Interest $ 269 $ 127 $ 1,175 $ 7,776
Expenses
Management fee 5,193 5,247 19,278 16,266
Brokerage commissions 79 82 339 272
Non-recurring<br> fees and expenses — 65 — 65
Total expenses 5,272 5,394 19,617 16,603
Net investment income (loss) (5,003 ) (5,267 ) (18,442 ) (8,827 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts 57,489 (77,567 ) 88,710 (116,225 )
Net realized gain (loss) 57,489 (77,567 ) 88,710 (116,225 )
Change in net unrealized appreciation (depreciation) on
Futures contracts (4,770 ) (14,989 ) 91,407 31,531
Short-term U.S. government and agency obligations — — — (30 )
Change in net unrealized appreciation (depreciation) (4,770 ) (14,989 ) 91,407 31,501
Net realized and unrealized gain (loss) 52,719 (92,556 ) 180,117 (84,724 )
Net income (loss) $ 47,716 $ (97,823 ) $ 161,675 $ (93,551 )

See accompanying notes to financial statements.

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PROSHARES SHORT EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 2,159,102 $ 2,286,467 $ 4,191,955 $ 2,282,195
Redemption of –, –, 50,000 and – shares, respectively — — (2,146,812 ) —
Net addition (redemption) of –, –, (50,000) and – shares, respectively — — (2,146,812 ) —
Net investment income (loss) (5,003 ) (5,267 ) (18,442 ) (8,827 )
Net realized gain (loss) 57,489 (77,567 ) 88,710 (116,225 )
Change in net unrealized appreciation (depreciation) (4,770 ) (14,989 ) 91,407 31,501
Net income (loss) 47,716 (97,823 ) 161,675 (93,551 )
Shareholders’ equity, end of period $ 2,206,818 $ 2,188,644 $ 2,206,818 $ 2,188,644

See accompanying notes to financial statements.

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PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2021 2020
Cash flow from operating activities
Net income (loss) $ 161,675 $ (93,551 )
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations (1,999,562 ) —
Proceeds from sales or maturities of short-term U.S. government and agency obligations 2,000,000 747,000
Net amortization and accretion on short-term U.S. government and agency obligations (438 ) (1,225 )
Change in unrealized appreciation (depreciation) on investments — 30
Decrease (Increase) in receivable on futures contracts 17,532 (3,844 )
Decrease (Increase) in interest receivable 88 2,347
Increase (Decrease) in payable to Sponsor (1,696 ) (167 )
Increase (Decrease) in payable on futures contracts 281 (5,100 )
Net cash provided by (used in) operating activities 177,880 645,490
Cash flow from financing activities
Payment on shares redeemed (2,146,812 ) —
Net cash provided by (used in) financing activities (2,146,812 ) —
Net increase (decrease) in cash (1,968,932 ) 645,490
Cash, beginning of period 4,174,091 1,540,916
Cash, end of period $ 2,205,159 $ 2,186,406

See accompanying notes to financial statements.

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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $129,993,650 and $69,998,727, respectively) $ 129,992,467 $ 69,999,639
Cash 57,127,931 132,392,153
Segregated cash balances with brokers for futures contracts 130,619,573 134,187,067
Receivable on open futures contracts 71,173,354 74,226,825
Interest receivable 1,773 4,384
Total assets 388,915,098 410,810,068
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts — 996,159
Brokerage commissions and futures account fees payable 85,856 114,522
Payable to Sponsor 304,044 326,566
Non-recurring<br> fees and expenses payable 1,353 1,353
Total liabilities 391,253 1,438,600
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 388,523,845 409,371,468
Total liabilities and shareholders’ equity $ 388,915,098 $ 410,810,068
Shares outstanding 7,134,307 9,884,307
Net asset value per share $ 54.46 $ 41.42
Market value per share (Note 2) $ 54.39 $ 41.44

See accompanying notes to financial statements.

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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(33% of shareholders’ equity)
U.S. Treasury Bills^^:
0.006% due 10/21/21 20,000,000 $ 19,999,112
0.029% due 11/18/21 70,000,000 69,996,731
0.043% due 12/16/21 40,000,000 39,996,624
Total short-term U.S. government and agency obligations(cost 129,993,650) $ 129,992,467

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 2021 4,341 $ 99,269,120 $ (2,399,545 )
VIX Futures - Cboe, expires November 2021 4,001 94,767,286 (3,782,433 )
$ (6,181,978 )
^^ Rates shown represent discount rate at the time of purchase.
--- ---

See accompanying notes to financial statements.

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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,
2021 2020 2021 2020
Investment Income
Interest $ 8,152 $ 53,301 $ 75,729 $ 909,185
Expenses
Management fee 1,055,823 1,116,999 3,415,545 3,592,232
Brokerage commissions 208,885 167,648 638,744 585,356
Futures account fees 209,717 291,350 795,836 752,869
Non-recurring<br> fees and expenses — 22,038 — 22,038
Total expenses 1,474,425 1,598,035 4,850,125 4,952,495
Net investment income (loss) (1,466,273 ) (1,544,734 ) (4,774,396 ) (4,043,310 )
Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on
Futures contracts 34,573,906 60,593,315 168,120,340 (129,091,526 )
Short-term U.S. government and agency obligations (1,303 ) (10 ) (1,303 ) (768 )
Net realized gain (loss) 34,572,603 60,593,305 168,119,037 (129,092,294 )
Change in net unrealized appreciation (depreciation) on
Futures contracts (43,362,244 ) (1,463,210 ) (14,530,761 ) (2,706,204 )
Short-term U.S. government and agency obligations 12,400 (189 ) (2,095 ) (2,866 )
Change in net unrealized appreciation (depreciation) (43,349,844 ) (1,463,399 ) (14,532,856 ) (2,709,070 )
Net realized and unrealized gain (loss) (8,777,241 ) 59,129,906 153,586,181 (131,801,364 )
Net income (loss) $ (10,243,514 ) $ 57,585,172 $ 148,811,785 $ (135,844,674 )

See accompanying notes to financial statements.

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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,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 588,615,946 $ 509,811,853 $ 409,371,468 $ 284,437,179
Addition of 550,000, –, 3,400,000 and 25,850,000 shares, respectively 30,777,084 — 150,390,026 914,411,669
Redemption of 4,000,000, 6,750,000, 6,150,000 and 20,700,000 shares, respectively (220,625,671 ) (231,931,959 ) (320,049,434 ) (727,539,108 )
Net addition (redemption) of (3,450,000), (6,750,000), (2,750,000) and 5,150,000 shares, respectively (189,848,587 ) (231,931,959 ) (169,659,408 ) 186,872,561
Net investment income (loss) (1,466,273 ) (1,544,734 ) (4,774,396 ) (4,043,310 )
Net realized gain (loss) 34,572,603 60,593,305 168,119,037 (129,092,294 )
Change in net unrealized appreciation (depreciation) (43,349,844 ) (1,463,399 ) (14,532,856 ) (2,709,070 )
Net income (loss) (10,243,514 ) 57,585,172 148,811,785 (135,844,674 )
Shareholders’ equity, end of period $ 388,523,845 $ 335,465,066 $ 388,523,845 $ 335,465,066

See accompanying notes to financial statements.

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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2021 2020
Cash flow from operating activities
Net income (loss) $ 148,811,785 $ (135,844,674 )
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 (411,950,977 ) (509,581,499 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 351,997,423 446,998,196
Net amortization and accretion on short-term U.S. government and agency obligations (42,672 ) (466,825 )
Net realized gain (loss) on investments 1,303 768
Change in unrealized appreciation (depreciation) on investments 2,095 2,866
Decrease (Increase) in receivable on futures contracts 3,053,471 (38,580,764 )
Decrease (Increase) in interest receivable 2,611 120,515
Increase (Decrease) in payable to Sponsor (22,522 ) 86,957
Increase (Decrease) in brokerage commissions and futures account fees payable (28,666 ) 92,881
Increase (Decrease) in payable on futures contracts (996,159 ) 1,344,400
Net cash provided by (used in) operating activities 90,827,692 (235,827,179 )
Cash flow from financing activities
Proceeds from addition of shares 150,390,026 914,411,669
Payment on shares redeemed (320,049,434 ) (697,482,198 )
Net cash provided by (used in) financing activities (169,659,408 ) 216,929,471
Net increase (decrease) in cash (78,831,716 ) (18,897,708 )
Cash, beginning of period 266,579,220 167,544,087
Cash, end of period $ 187,747,504 $ 148,646,379

See accompanying notes to financial statements.

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PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31,<br> 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $834,947,719 and $219,996,153, respectively) $ 834,942,326 $ 219,998,394
Cash 59,467,995 491,732,847
Segregated cash balances with brokers for futures contracts 140,365,174 175,526,749
Unrealized appreciation on swap agreements 70,885,762 18,242,195
Receivable on open futures contracts 2,775,359 1,611,608
Interest receivable 14,763 21,388
Total assets 1,108,451,379 907,133,181
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed 16,894,746 3,627,934
Brokerage commissions and futures account fees payable 21,834 —
Payable to Sponsor 856,541 728,955
Non-recurring<br> fees and expenses payable 64,542 37,042
Total liabilities 17,837,663 4,393,931
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 1,090,613,716 902,739,250
Total liabilities and shareholders’ equity $ 1,108,451,379 $ 907,133,181
Shares outstanding 12,910,774 24,810,774
Net asset value per share $ 84.47 $ 36.38
Market value per share (Note 2) $ 84.22 $ 36.27

See accompanying notes to financial statements.

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PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(77% of shareholders’ equity)
U.S. Treasury Bills^^:
0.018% due 10/14/21† 145,000,000 $ 144,998,695
0.039% due 10/21/21† 90,000,000 89,996,004
0.033% due 11/18/21† 150,000,000 149,992,995
0.043% due 12/16/21† 325,000,000 324,972,570
0.037% due 01/20/22 75,000,000 74,990,752
0.028% due 02/17/22 50,000,000 49,991,310
Total short-term U.S. government and agency obligations(cost 834,947,719) $ 834,942,326

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 2021 5,657 $ 422,577,900 $ 158,475,710
WTI Crude Oil - NYMEX, expires June 2022 5,843 415,729,450 89,351,620
WTI Crude Oil - NYMEX, expires December 2022 6,063 410,465,100 20,176,983
$ 268,004,313

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 % 10/06/21 $ 143,554,545 $ 10,910,833
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 10/06/21 203,094,978 15,436,191
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 10/06/21 248,642,399 18,898,011
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.25 10/06/21 135,481,695 10,305,144
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.30 10/06/21 201,694,052 15,335,583
Total<br>Unrealized<br> <br>Appreciation $ 70,885,762
† All or partial amount pledged as collateral for swap agreements.
--- ---
^ The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
--- ---
^^ Rates shown represent discount rate at the time of purchase.
--- ---
* Reflects the floating financing rate, as of September 30, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
--- ---
** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
--- ---

See accompanying notes to financial statements.

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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,
2021 2020 2021 2020
Investment Income
Interest $ 86,370 $ 50,356 $ 365,778 $ 1,817,563
Expenses
Management fee 2,775,351 3,210,517 8,104,728 6,887,044
Brokerage commissions 198,498 600,233 701,710 1,744,115
Futures account fees 215,514 635,311 632,199 1,172,060
Non-recurring<br> fees and expenses 27,500 24,637 27,500 24,637
Total expenses 3,216,863 4,470,698 9,466,137 9,827,856
Net investment income (loss) (3,130,493 ) (4,420,342 ) (9,100,359 ) (8,010,293 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts 92,637,432 294,310,497 539,758,995 174,272,485
Swap agreements 13,693,131 (8,356,234 ) 221,428,455 (1,065,452,045 )
Short-term U.S. government and agency obligations (4,742 ) — (4,742 ) 159,318
Net realized gain (loss) 106,325,821 285,954,263 761,182,708 (891,020,242 )
Change in net unrealized appreciation (depreciation) on
Futures contracts (48,048,297 ) (222,585,432 ) 123,440,274 127,961,958
Swap agreements 31,138,258 (10,038,323 ) 52,643,567 (21,814,590 )
Short-term U.S. government and agency obligations 31,451 (6,531 ) (7,634 ) (20,469 )
Change in net unrealized appreciation (depreciation) (16,878,588 ) (232,630,286 ) 176,076,207 106,126,899
Net realized and unrealized gain (loss) 89,447,233 53,323,977 937,258,915 (784,893,343 )
Net income (loss) $ 86,316,740 $ 48,903,635 $ 928,158,556 $ (792,903,636 )

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,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 1,303,530,902 $ 1,508,661,459 $ 902,739,250 $ 309,844,582
Addition of 950,000, 21,500,000, 4,350,000 and 109,662,000 shares, respectively 62,865,806 659,253,641 240,118,659 3,612,784,316
Redemption of 4,700,000, 32,650,000, 16,250,000 and 68,659,679 shares, respectively (362,099,732 ) (1,020,933,679 ) (980,402,749 ) (1,933,840,206 )
Net addition (redemption) of (3,750,000), (11,150,000), (11,900,000) and 41,002,321 shares, respectively (299,233,926 ) (361,680,038 ) (740,284,090 ) 1,678,944,110
Net investment income (loss) (3,130,493 ) (4,420,342 ) (9,100,359 ) (8,010,293 )
Net realized gain (loss) 106,325,821 285,954,263 761,182,708 (891,020,242 )
Change in net unrealized appreciation (depreciation) (16,878,588 ) (232,630,286 ) 176,076,207 106,126,899
Net income (loss) 86,316,740 48,903,635 928,158,556 (792,903,636 )
Shareholders’ equity, end of period $ 1,090,613,716 $ 1,195,885,056 $ 1,090,613,716 $ 1,195,885,056

See accompanying notes to financial statements.

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PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2021 2020
Cash flow from operating activities
Net income (loss) $ 928,158,556 $ (792,903,636 )
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 (2,012,720,434 ) (609,752,656 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,397,994,503 611,325,151
Net amortization and accretion on short-term U.S. government and agency obligations (230,377 ) (1,266,463 )
Net realized gain (loss) on investments 4,742 (159,318 )
Change in unrealized appreciation (depreciation) on investments (52,635,933 ) 21,835,059
Decrease (Increase) in receivable on futures contracts (1,163,751 ) (43,615,866 )
Decrease (Increase) in interest receivable 6,625 93,028
Increase (Decrease) in payable to Sponsor 127,586 699,847
Increase (Decrease) in brokerage commissions and futures account fees payable 21,834 —
Increase (Decrease) in payable on futures contracts — (266,056 )
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable 27,500 —
Net cash provided by (used in) operating activities 259,590,851 (814,010,910 )
Cash flow from financing activities
Proceeds from addition of shares 240,118,659 3,605,599,295
Payment on shares redeemed (967,135,937 ) (1,933,840,206 )
Net cash provided by (used in) financing activities (727,017,278 ) 1,671,759,089
Net increase (decrease) in cash (467,426,427 ) 857,748,179
Cash, beginning of period 667,259,596 88,315,563
Cash, end of period $ 199,833,169 $ 946,063,742

See accompanying notes to financial statements.

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PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $32,997,075 and $29,999,585, respectively) $ 32,997,127 $ 29,999,889
Cash 57,275,787 92,972,312
Segregated cash balances with brokers for futures contracts 29,792,570 44,320,410
Receivable from capital shares sold 12,521,135 —
Receivable on open futures contracts 12,504,114 13,775,851
Interest receivable 1,065 4,326
Total assets 145,091,798 181,072,788
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed — 11,132,546
Brokerage commissions and futures account fees payable 145 —
Payable to Sponsor 52,856 139,455
Non-recurring<br> fees and expenses payable 416 416
Total liabilities 53,417 11,272,417
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 145,038,381 169,800,371
Total liabilities and shareholders’ equity $ 145,091,798 $ 181,072,788
Shares outstanding 1,737,527 8,087,527
Net asset value per share $ 83.47 $ 21.00
Market value per share (Note 2) $ 82.30 $ 21.07

See accompanying notes to financial statements.

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PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(23% of shareholders’ equity)
U.S. Treasury Bills^^:
0.043% due 11/18/21 8,000,000 $ 7,999,626
0.044% due 12/16/21 15,000,000 14,998,734
0.037% due 01/20/22 10,000,000 9,998,767
Total short-term U.S. government and agency obligations(cost 32,997,075) $ 32,997,127

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
Natural Gas - NYMEX, expires November 2021 4,944 $ 290,064,480 $ 42,185,730
^^  Rates shown represent discount rate at the time of purchase.
---

See accompanying notes to financial statements.

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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,
2021 2020 2021 2020
Investment Income
Interest $ 7,355 $ 15,347 $ 32,714 $ 191,160
Expenses
Management fee 161,130 199,772 568,903 378,784
Brokerage commissions 40,472 106,449 195,831 214,255
Futures account fees 18,263 31,540 112,998 44,182
Non-recurring<br> fees and expenses — 1,129 — 1,129
Total expenses 219,865 338,890 877,732 638,350
Net investment income (loss) (212,510 ) (323,543 ) (845,018 ) (447,190 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts 33,925,711 41,156,156 80,409,384 2,225,390
Short-term U.S. government and agency obligations 12 — 563 977
Net realized gain (loss) 33,925,723 41,156,156 80,409,947 2,226,367
Change in net unrealized appreciation (depreciation) on
Futures contracts 25,134,988 (4,754,372 ) 35,685,009 (4,336,578 )
Short-term U.S. government and agency obligations 720 (455 ) (252 ) (2,014 )
Change in net unrealized appreciation (depreciation) 25,135,708 (4,754,827 ) 35,684,757 (4,338,592 )
Net realized and unrealized gain (loss) 59,061,431 36,401,329 116,094,704 (2,112,225 )
Net income (loss) $ 58,848,921 $ 36,077,786 $ 115,249,686 $ (2,559,415 )

See accompanying notes to financial statements.

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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,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 70,213,227 $ 50,599,783 $ 169,800,371 $ 45,160,205
Addition of 1,150,000, 4,350,000, 5,200,000 and 5,835,000 shares, respectively 79,122,213 139,174,605 169,309,627 193,426,833
Redemption of 1,400,000, 3,250,000, 11,550,000 and 3,485,288 shares, respectively (63,145,980 ) (126,648,412 ) (309,321,303 ) (136,823,861 )
Net addition (redemption) of (250,000), 1,100,000, (6,350,000) and 2,349,712 shares, respectively 15,976,233 12,526,193 (140,011,676 ) 56,602,972
Net investment income (loss) (212,510 ) (323,543 ) (845,018 ) (447,190 )
Net realized gain (loss) 33,925,723 41,156,156 80,409,947 2,226,367
Change in net unrealized appreciation (depreciation) 25,135,708 (4,754,827 ) 35,684,757 (4,338,592 )
Net income (loss) 58,848,921 36,077,786 115,249,686 (2,559,415 )
Shareholders’ equity, end of period $ 145,038,381 $ 99,203,762 $ 145,038,381 $ 99,203,762

See accompanying notes to financial statements.

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PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2021 2020
Cash flow from operating activities
Net income (loss) $ 115,249,686 $ (2,559,415 )
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 (143,979,838 ) (115,881,108 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 140,999,619 83,563,843
Net amortization and accretion on short-term U.S. government and agency obligations (16,708 ) (144,767 )
Net realized gain (loss) on investments (563 ) (977 )
Change in unrealized appreciation (depreciation) on investments 252 2,014
Decrease (Increase) in receivable on futures contracts 1,271,737 37,024
Decrease (Increase) in interest receivable 3,261 9,758
Increase (Decrease) in payable to Sponsor (86,599 ) 29,126
Increase (Decrease) in brokerage commissions and futures account fees payable 145 —
Increase (Decrease) in payable on futures contracts — 2,392,727
Net cash provided by (used in) operating activities 113,440,992 (32,551,775 )
Cash flow from financing activities
Proceeds from addition of shares 156,788,492 193,426,833
Payment on shares redeemed (320,453,849 ) (136,823,861 )
Net cash provided by (used in) financing activities (163,665,357 ) 56,602,972
Net increase (decrease) in cash (50,224,365 ) 24,051,197
Cash, beginning of period 137,292,722 17,619,062
Cash, end of period $ 87,068,357 $ 41,670,259

See accompanying notes to financial statements.

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PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $999,912 and $–, respectively) $ 999,916 $ —
Cash 2,644,602 4,045,092
Segregated cash balances with brokers for foreign currency forward contracts — 607,000
Unrealized appreciation on foreign currency forward contracts 2,136 89,103
Interest receivable 100 162
Total assets 3,646,754 4,741,357
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor 2,813 3,625
Unrealized depreciation on foreign currency forward contracts 164,822 367
Non-recurring<br> fees and expenses payable 15 15
Total liabilities 167,650 4,007
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 3,479,104 4,737,350
Total liabilities and shareholders’ equity $ 3,646,754 $ 4,741,357
Shares outstanding 250,000 300,000
Net asset value per share $ 13.92 $ 15.79
Market value per share (Note 2) $ 13.92 $ 15.81

See accompanying notes to financial statements.

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PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(29% of shareholders’ equity)
U.S. Treasury Bills^^:
0.043% due 12/16/21† 1,000,000 $ 999,916
Total short-term U.S. government and agency obligations (cost 999,912) $ 999,916

All values are in US Dollars.

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 10/08/21 3,388,921 $ 3,925,672 $ (90,545 )
Euro with UBS AG 10/08/21 2,801,502 3,245,215 (74,277 )
Total Unrealized<br> Depreciation $ (164,822 )
Contracts to Sell
Euro with Goldman Sachs International 10/08/21 (93,000 ) $ (107,730 ) $ 941
Euro with UBS AG 10/08/21 (84,000 ) (97,304 ) 1,195
Total Unrealized <br>Appreciation $ 2,136
† All or partial amount pledged as collateral for foreign currency forwards.
--- ---
^ The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
--- ---
^^ Rates shown represent discount rate at the time of purchase.
--- ---

See accompanying notes to financial statements.

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PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2021 2020 2021 2020
Investment Income
Interest $ 393 $ 357 $ 1,415 $ 16,350
Expenses
Management fee 8,664 12,404 28,158 33,852
Non-recurring<br> fees and expenses — 108 — 108
Total expenses 8,664 12,512 28,158 33,960
Net investment income (loss) (8,271 ) (12,155 ) (26,743 ) (17,610 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts (254,219 ) 441,714 (186,149 ) 369,811
Net realized gain (loss) (254,219 ) 441,714 (186,149 ) 369,811
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts 72,810 (84,317 ) (251,422 ) (208,243 )
Short-term U.S. government and agency obligations 43 — 4 (208 )
Change in net unrealized appreciation (depreciation) 72,853 (84,317 ) (251,418 ) (208,451 )
Net realized and unrealized gain (loss) (181,366 ) 357,397 (437,567 ) 161,360
Net income (loss) $ (189,637 ) $ 345,242 $ (464,310 ) $ 143,750

See accompanying notes to financial statements.

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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,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 3,668,741 $ 4,067,686 $ 4,737,350 $ 6,204,424
Addition of –, 100,000, 100,000 and 200,000 shares, respectively — 1,470,669 1,488,793 2,838,707
Redemption of –, 100,000, 150,000 and 350,000 shares, respectively — (1,485,922 ) (2,282,729 ) (4,789,206 )
Net addition (redemption) of –, –, (50,000) and (150,000) shares, respectively — (15,253 ) (793,936 ) (1,950,499 )
Net investment income (loss) (8,271 ) (12,155 ) (26,743 ) (17,610 )
Net realized gain (loss) (254,219 ) 441,714 (186,149 ) 369,811
Change in net unrealized appreciation (depreciation) 72,853 (84,317 ) (251,418 ) (208,451 )
Net income (loss) (189,637 ) 345,242 (464,310 ) 143,750
Shareholders’ equity, end of period $ 3,479,104 $ 4,397,675 $ 3,479,104 $ 4,397,675

See accompanying notes to financial statements.

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PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2021 2020
Cash flow from operating activities
Net income (loss) $ (464,310 ) $ 143,750
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations (3,999,381 ) (1,395,795 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 3,000,000 5,375,000
Net amortization and accretion on short-term U.S. government and agency obligations (531 ) (9,001 )
Change in unrealized appreciation (depreciation) on investments 251,418 208,451
Decrease (Increase) in interest receivable 62 1,304
Increase (Decrease) in payable to Sponsor (812 ) (830 )
Net cash provided by (used in) operating activities (1,213,554 ) 4,322,879
Cash flow from financing activities
Proceeds from addition of shares 1,488,793 2,838,707
Payment on shares redeemed (2,282,729 ) (4,789,206 )
Net cash provided by (used in) financing activities (793,936 ) (1,950,499 )
Net increase (decrease) in cash (2,007,490 ) 2,372,380
Cash, beginning of period 4,652,092 2,127,437
Cash, end of period $ 2,644,602 $ 4,499,817

See accompanying notes to financial statements.

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PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31,<br> 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $185,989,826 and $74,998,283, respectively) $ 185,985,614 $ 74,999,467
Cash 45,172,246 164,381,859
Segregated cash balances with brokers for futures contracts 7,404,375 11,581,250
Segregated cash balances with brokers for swap agreements — 7,489,000
Unrealized appreciation on swap agreements — 5,140,980
Receivable on open futures contracts 2,711,621 148,784
Interest receivable 2,629 6,531
Total assets 241,276,485 263,747,871
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed 2,781,899 —
Brokerage commissions and futures account fees payable 5,068 —
Payable to Sponsor 163,803 206,394
Unrealized depreciation on swap agreements 7,406,864 —
Non-recurring<br> fees and expenses payable 1,004 1,004
Total liabilities 10,358,638 207,398
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 230,917,847 263,540,473
Total liabilities and shareholders’ equity $ 241,276,485 $ 263,747,871
Shares outstanding 4,150,000 3,900,000
Net asset value per share $ 55.64 $ 67.57
Market value per share (Note 2) $ 55.59 $ 68.20

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(81% of shareholders’ equity)
U.S. Treasury Bills^^:
0.013% due 10/14/21† 50,000,000 $ 49,999,550
0.006% due 10/21/21† 25,000,000 24,998,890
0.028% due 11/18/21† 31,000,000 30,998,553
0.037% due 01/20/22† 50,000,000 49,993,835
0.028% due 02/17/22 30,000,000 29,994,786
Total short-term U.S. government and agency obligations(cost 185,989,826) $ 185,985,614

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 2021 856 $ 150,399,200 $ (3,936,408 )

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 Gold Subindex 0.25 % 10/06/21 $ 107,235,945 $ (2,550,199 )
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.25 10/06/21 92,669,240 (2,203,785 )
Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 10/06/21 111,553,685 (2,652,880 )
Total<br>Unrealized<br>Depreciation $ (7,406,864 )
† All or partial amount pledged as collateral for swap agreements.
--- ---
^ The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
--- ---
^^ Rates shown represent discount rate at the time of purchase.
--- ---
* Reflects the floating financing rate, as of September 30, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
--- ---
** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
--- ---

See accompanying notes to financial statements.

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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,
2021 2020 2021 2020
Investment Income
Interest $ 14,338 $ 59,354 $ 70,259 $ 543,895
Expenses
Management fee 582,103 640,992 1,718,350 1,269,866
Brokerage commissions 9,421 12,115 32,974 28,599
Futures account fees 19,008 20,487 64,764 30,683
Non-recurring<br> fees and expenses — 3,751 — 3,751
Total expenses 610,532 677,345 1,816,088 1,332,899
Net investment income (loss) (596,194 ) (617,991 ) (1,745,829 ) (789,004 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (3,125,004 ) 2,752,270 (12,636,331 ) 5,806,708
Swap agreements (18,733,085 ) 22,990,026 (14,963,523 ) 45,798,972
Short-term U.S. government and agency obligations — — 245 —
Net realized gain (loss) (21,858,089 ) 25,742,296 (27,599,609 ) 51,605,680
Change in net unrealized appreciation (depreciation) on
Futures contracts 319,305 1,046,895 (6,583,282 ) 3,086,565
Swap agreements 15,245,013 (19,104,511 ) (12,547,844 ) (14,343,779 )
Short-term U.S. government and agency obligations 9,966 3,025 (5,396 ) (1,725 )
Change in net unrealized appreciation (depreciation) 15,574,284 (18,054,591 ) (19,136,522 ) (11,258,939 )
Net realized and unrealized gain (loss) (6,283,805 ) 7,687,705 (46,736,131 ) 40,346,741
Net income (loss) $ (6,879,999 ) $ 7,069,714 $ (48,481,960 ) $ 39,557,737

See accompanying notes to financial statements.

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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,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 243,456,703 $ 165,689,050 $ 263,540,473 $ 110,726,032
Addition of 250,000, 1,700,000, 1,250,000 and 3,150,000 shares, respectively 14,836,141 120,448,172 75,112,671 204,437,233
Redemption of 350,000, 250,000, 1,000,000 and 1,400,000 shares, respectively (20,494,998 ) (17,756,330 ) (59,253,337 ) (79,270,396 )
Net addition (redemption) of (100,000), 1,450,000, 250,000 and 1,750,000 shares, respectively (5,658,857 ) 102,691,842 15,859,334 125,166,837
Net investment income (loss) (596,194 ) (617,991 ) (1,745,829 ) (789,004 )
Net realized gain (loss) (21,858,089 ) 25,742,296 (27,599,609 ) 51,605,680
Change in net unrealized appreciation (depreciation) 15,574,284 (18,054,591 ) (19,136,522 ) (11,258,939 )
Net income (loss) (6,879,999 ) 7,069,714 (48,481,960 ) 39,557,737
Shareholders’ equity, end of period $ 230,917,847 $ 275,450,606 $ 230,917,847 $ 275,450,606

See accompanying notes to financial statements.

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STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2021 2020
Cash flow from operating activities
Net income (loss) $ (48,481,960 ) $ 39,557,737
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations (502,945,919 ) (491,677,717 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 391,999,771 313,257,000
Net amortization and accretion on short-term U.S. government and agency obligations (45,150 ) (364,129 )
Net realized gain (loss) on investments (245 ) —
Change in unrealized appreciation (depreciation) on investments 12,553,240 14,345,504
Decrease (Increase) in receivable on futures contracts (2,562,837 ) 170,073
Decrease (Increase) in interest receivable 3,902 44,228
Increase (Decrease) in payable to Sponsor (42,591 ) 141,074
Increase (Decrease) in brokerage commissions and futures account fees payable 5,068 —
Increase (Decrease) in payable on futures contracts — 746,800
Net cash provided by (used in) operating activities (149,516,721 ) (123,779,430 )
Cash flow from financing activities
Proceeds from addition of shares 75,112,671 204,437,233
Payment on shares redeemed (56,471,438 ) (79,270,396 )
Net cash provided by (used in) financing activities 18,641,233 125,166,837
Net increase (decrease) in cash (130,875,488 ) 1,387,407
Cash, beginning of period 183,452,109 38,526,723
Cash, end of period $ 52,576,621 $ 39,914,130

See accompanying notes to financial statements.

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PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $494,973,149 and $244,987,251, respectively) $ 494,966,819 $ 244,993,989
Cash 62,548,518 301,951,458
Segregated cash balances with brokers for futures contracts 15,865,625 66,062,502
Segregated cash balances with brokers for swap agreements — 78,388,000
Unrealized appreciation on swap agreements — 56,752,666
Receivable on open futures contracts 421,500 —
Interest receivable 3,756 10,698
Total assets 573,806,218 748,159,313
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts 274,804 2,312,939
Brokerage commissions and futures account fees payable 9,969 —
Payable to Sponsor 449,040 539,986
Unrealized depreciation on swap agreements 92,760,569 —
Non-recurring<br> fees and expenses payable 2,360 2,360
Total liabilities 93,496,742 2,855,285
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 480,309,476 745,304,028
Total liabilities and shareholders’ equity $ 573,806,218 $ 748,159,313
Shares outstanding 15,146,526 14,696,526
Net asset value per share $ 31.71 $ 50.71
Market value per share (Note 2) $ 31.99 $ 51.28

See accompanying notes to financial statements.

34

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PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(103% of shareholders’ equity)
U.S. Treasury Bills^^:
0.015% due 10/14/21† 130,000,000 $ 129,998,830
0.039% due 10/21/21† 60,000,000 59,997,336
0.032% due 11/18/21† 90,000,000 89,995,797
0.041% due 12/16/21† 100,000,000 99,991,560
0.037% due 01/20/22† 65,000,000 64,991,986
0.028% due 02/17/22 50,000,000 49,991,310
Total short-term U.S. government and agency obligations (cost 494,973,149) $ 494,966,819

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
Silver Futures - COMEX, expires December 2021 1,213 $ 133,715,055 $ (5,439,801 )

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 % 10/06/21 $ 219,572,067 $ (28,588,785 )
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.30 10/06/21 219,657,055 (23,220,141 )
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 10/06/21 204,665,509 (21,635,372 )
Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 10/06/21 182,787,599 (19,316,271 )
Total<br> Unrealized<br> Depreciation $ (92,760,569 )
† All or partial amount pledged as collateral for swap agreements.
--- ---
^ The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
--- ---
^^ Rates shown represent discount rate at the time of purchase.
--- ---
* Reflects the floating financing rate, as of September 30, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
--- ---
** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
--- ---

See accompanying notes to financial statements.

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PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2021 2020 2021 2020
Investment Income
Interest $ 44,511 $ 103,976 $ 208,169 $ 1,018,578
Expenses
Management fee 1,394,627 1,462,400 4,640,919 2,369,293
Brokerage commissions 27,419 54,812 114,716 99,986
Futures account fees 47,170 80,036 258,250 100,982
Non-recurring<br> fees and expenses — 3,943 — 3,943
Total expenses 1,469,216 1,601,191 5,013,885 2,574,204
Net investment income (loss) (1,424,705 ) (1,497,215 ) (4,805,716 ) (1,555,626 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (49,762,947 ) 97,830,248 (32,273,408 ) 107,671,815
Swap agreements (151,552,363 ) 192,408,549 (47,760,872 ) 190,255,641
Short-term U.S. government and agency obligations (4,720 ) — (4,529 ) —
Net realized gain (loss) (201,320,030 ) 290,238,797 (80,038,809 ) 297,927,456
Change in net unrealized appreciation (depreciation) on
Futures contracts 9,589,898 (53,237,345 ) (42,630,013 ) (52,855,325 )
Swap agreements (15,630,674 ) (146,084,199 ) (149,513,235 ) (162,217,464 )
Short-term U.S. government and agency obligations 22,486 7,772 (13,068 ) (754 )
Change in net unrealized appreciation (depreciation) (6,018,290 ) (199,313,772 ) (192,156,316 ) (215,073,543 )
Net realized and unrealized gain (loss) (207,338,320 ) 90,925,025 (272,195,125 ) 82,853,913
Net income (loss) $ (208,763,025 ) $ 89,427,810 $ (277,000,841 ) $ 81,298,287

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,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 661,778,727 $ 249,671,968 $ 745,304,028 $ 239,254,842
Addition of 1,050,000, 8,050,000, 4,450,000 and 10,300,000 shares, respectively 38,538,861 383,530,355 205,312,655 439,990,085
Redemption of 300,000, 1,800,000, 4,000,000 and 3,150,000 shares, respectively (11,245,087 ) (101,746,977 ) (193,306,366 ) (139,660,058 )
Net addition (redemption) of 750,000, 6,250,000, 450,000 and 7,150,000 shares, respectively 27,293,774 281,783,378 12,006,289 300,330,027
Net investment income (loss) (1,424,705 ) (1,497,215 ) (4,805,716 ) (1,555,626 )
Net realized gain (loss) (201,320,030 ) 290,238,797 (80,038,809 ) 297,927,456
Change in net unrealized appreciation (depreciation) (6,018,290 ) (199,313,772 ) (192,156,316 ) (215,073,543 )
Net income (loss) (208,763,025 ) 89,427,810 (277,000,841 ) 81,298,287
Shareholders’ equity, end of period $ 480,309,476 $ 620,883,156 $ 480,309,476 $ 620,883,156

See accompanying notes to financial statements.

37

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PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2021 2020
Cash flow from operating activities
Net income (loss) $ (277,000,841 ) $ 81,298,287
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 (1,369,823,802 ) (874,359,830 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,119,994,333 465,705,000
Net amortization and accretion on short-term U.S. government and agency obligations (160,958 ) (692,431 )
Net realized gain (loss) on investments 4,529 —
Change in unrealized appreciation (depreciation) on investments 149,526,303 162,218,218
Decrease (Increase) in receivable on futures contracts (421,500 ) —
Decrease (Increase) in interest receivable 6,942 84,307
Increase (Decrease) in payable to Sponsor (90,946 ) 391,121
Increase (Decrease) in brokerage commissions and futures account fees payable 9,969 —
Increase (Decrease) in payable on futures contracts (2,038,135 ) 9,328,727
Net cash provided by (used in) operating activities (379,994,106 ) (156,026,601 )
Cash flow from financing activities
Proceeds from addition of shares 205,312,655 439,990,085
Payment on shares redeemed (193,306,366 ) (135,435,342 )
Net cash provided by (used in) financing activities 12,006,289 304,554,743
Net increase (decrease) in cash (367,987,817 ) 148,528,142
Cash, beginning of period 446,401,960 79,058,662
Cash, end of period $ 78,414,143 $ 227,586,804

See accompanying notes to financial statements.

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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $274,983,511 and $244,990,791, respectively) $ 274,984,707 $ 244,995,969
Cash 175,755,806 181,991,996
Segregated cash balances with brokers for futures contracts 531,626,515 879,704,000
Segregated cash balances with brokers for swap agreements — 7,976,000
Unrealized appreciation on swap agreements 7,933,765 —
Receivable from capital shares sold — 49,086,388
Receivable on open futures contracts 64,382,858 16,422,512
Interest receivable 5,331 7,054
Total assets 1,054,688,982 1,380,183,919
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed 26,870,187 —
Payable on open futures contracts 5,927,604 22,424,475
Brokerage commissions and futures account fees payable 244,898 485,039
Payable to Sponsor 795,603 1,040,582
Unrealized depreciation on swap agreements — 24,807
Non-recurring<br> fees and expenses payable 4,817 4,817
Total liabilities 33,843,109 23,979,720
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 1,020,845,873 1,356,204,199
Total liabilities and shareholders’ equity $ 1,054,688,982 $ 1,380,183,919
Shares outstanding (Note 1) 41,778,420 12,713,091
Net asset value per share (Note 1) $ 24.43 $ 106.68
Market value per share (Note 1)(Note 2) $ 24.55 $ 106.50

See accompanying notes to financial statements.

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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(27% of shareholders’ equity)
U.S. Treasury Bills^^:
0.030% due 10/14/21 100,000,000 $ 99,999,100
0.042% due 11/18/21 10,000,000 9,999,533
0.043% due 12/16/21† 165,000,000 164,986,074
Total short-term U.S. government and agency obligations(cost 274,983,511) $ 274,984,707

All values are in US Dollars.

Futures Contracts Purchased

Number of<br><br><br>Contracts Notional Amount<br><br><br>at Value Unrealized<br><br><br>Appreciation<br><br><br>(Depreciation)/Value
VIX Futures - Cboe, expires October 2021 32,595 $ 745,375,941 $ 62,929,777
VIX Futures - Cboe, expires November 2021 30,104 713,040,334 27,089,105
$ 90,018,882

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 Goldman Sachs International based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index 0.94 % 10/06/21 $ 73,401,625 $ 7,933,765
Total<br>Unrealized<br>Appreciation $ 7,933,765
† All or partial amount pledged as collateral for futures contracts.
--- ---
^ The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
--- ---
^^ Rates shown represent discount rate at the time of purchase.
--- ---
* Reflects the floating financing rate, as of September 30, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
--- ---
** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
--- ---

See accompanying notes to financial statements.

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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,
2021 2020 2021 2020
Investment Income
Interest $ 11,979 $ 88,621 $ 328,504 $ 1,601,884
Expenses
Management fee 2,221,755 2,969,740 8,897,953 5,646,893
Brokerage commissions 1,095,975 1,102,235 4,225,879 2,282,095
Futures account fees 688,048 1,143,160 3,243,304 1,614,431
Non-recurring<br> fees and expenses — 10,480 — 10,480
Total expenses 4,005,778 5,225,615 16,367,136 9,553,899
Net investment income (loss) (3,993,799 ) (5,136,994 ) (16,038,632 ) (7,952,015 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (185,968,398 ) (541,559,555 ) (1,650,738,359 ) 43,875,522
Swap agreements (12,412,592 ) (17,978,295 ) (106,689,716 ) 14,791,068
Short-term U.S. government and agency obligations — — 20,657 —
Net realized gain (loss) (198,380,990 ) (559,537,850 ) (1,757,407,418 ) 58,666,590
Change in net unrealized appreciation (depreciation) on
Futures contracts 178,803,476 11,342,353 138,543,548 66,121,853
Swap agreements 7,933,765 3,959,662 7,958,572 209,784
Short-term U.S. government and agency obligations 4,980 1,112 (3,982 ) (12,474 )
Change in net unrealized appreciation (depreciation) 186,742,221 15,303,127 146,498,138 66,319,163
Net realized and unrealized gain (loss) (11,638,769 ) (544,234,723 ) (1,610,909,280 ) 124,985,753
Net income (loss) $ (15,632,568 ) $ (549,371,717 ) $ (1,626,947,912 ) $ 117,033,738

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,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 840,870,703 $ 992,156,607 $ 1,356,204,199 $ 527,636,003
Addition of 37,800,000, 4,280,000, 70,385,000 and 7,755,000 shares, respectively (Note 1) 923,628,398 1,066,976,088 3,297,406,475 2,276,625,957
Redemption of 26,150,000, 805,000, 41,319,671 and 5,430,000 shares, respectively (Note 1) (728,020,660 ) (202,149,457 ) (2,005,816,889 ) (1,613,684,177 )
Net addition (redemption) of 11,650,000, 3,475,000, 29,065,329 and 2,325,000 shares, respectively (Note 1) 195,607,738 864,826,631 1,291,589,586 662,941,780
Net investment income (loss) (3,993,799 ) (5,136,994 ) (16,038,632 ) (7,952,015 )
Net realized gain (loss) (198,380,990 ) (559,537,850 ) (1,757,407,418 ) 58,666,590
Change in net unrealized appreciation (depreciation) 186,742,221 15,303,127 146,498,138 66,319,163
Net income (loss) (15,632,568 ) (549,371,717 ) (1,626,947,912 ) 117,033,738
Shareholders’ equity, end of period $ 1,020,845,873 $ 1,307,611,521 $ 1,020,845,873 $ 1,307,611,521

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,
2021 2020
Cash flow from operating activities
Net income (loss) $ (1,626,947,912 ) $ 117,033,738
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 (1,136,829,195 ) (965,269,478 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,106,989,987 701,000,000
Net amortization and accretion on short-term U.S. government and agency obligations (132,855 ) (901,502 )
Net realized gain (loss) on investments (20,657 ) —
Change in unrealized appreciation (depreciation) on investments (7,954,590 ) (197,310 )
Decrease (Increase) in securities sold receivable — (246,192 )
Decrease (Increase) in receivable on futures contracts (47,960,346 ) (72,257,550 )
Decrease (Increase) in interest receivable 1,723 203,751
Increase (Decrease) in payable to Sponsor (244,979 ) 633,542
Increase (Decrease) in brokerage commissions and futures account fees payable (240,141 ) 419,056
Increase (Decrease) in payable on futures contracts (16,496,871 ) (34,019,820 )
Net cash provided by (used in) operating activities (1,729,835,836 ) (253,601,765 )
Cash flow from financing activities
Proceeds from addition of shares 3,346,492,863 2,248,489,431
Payment on shares redeemed (1,978,946,702 ) (1,613,684,177 )
Net cash provided by (used in) financing activities 1,367,546,161 634,805,254
Net increase (decrease) in cash (362,289,675 ) 381,203,489
Cash, beginning of period 1,069,671,996 361,561,329
Cash, end of period $ 707,382,321 $ 742,764,818

See accompanying notes to financial statements.

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PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $999,970 and $–, respectively) $ 999,953 $ —
Cash 1,601,167 2,618,696
Segregated cash balances with brokers for foreign currency forward contracts — 306,000
Unrealized appreciation on foreign currency forward contracts 757 67,235
Interest receivable 66 111
Total assets 2,601,943 2,992,042
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor 2,029 2,384
Unrealized depreciation on foreign currency forward contracts 60,023 148
Non-recurring<br> fees and expenses payable 11 11
Total liabilities 62,063 2,543
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 2,539,880 2,989,499
Total liabilities and shareholders’ equity $ 2,601,943 $ 2,992,042
Shares outstanding 49,970 49,970
Net asset value per share $ 50.83 $ 59.83
Market value per share (Note 2) $ 50.82 $ 59.82

See accompanying notes to financial statements.

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PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(39% of shareholders’ equity)
U.S. Treasury Bills^^:
0.023% due 11/18/21† 1,000,000 $ 999,953
Total short-term U.S. government and agency obligations(cost 999,970) $ 999,953

All values are in US Dollars.

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)/ Value
Contracts to Purchase
Yen with Goldman Sachs International 10/08/21 327,930,517 $ 2,946,301 $ (34,305 )
Yen with UBS AG 10/08/21 253,562,756 2,278,140 (25,718 )
Total<br>Unrealized<br>Depreciation $ (60,023 )
Contracts to Sell
Yen with Goldman Sachs International 10/08/21 (6,319,000 ) $ (56,773 ) $ (182 )
Yen with UBS AG 10/08/21 (10,090,000 ) (90,654 ) 939
Total<br>Unrealized<br>Appreciation $ 757
† All or partial amount pledged as collateral for foreign currency forward contracts.
--- ---
^ The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
--- ---
^^ Rates shown represent discount rate at the time of purchase.
--- ---

See accompanying notes to financial statements.

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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,
2021 2020 2021 2020
Investment Income
Interest $ 260 $ 171 $ 923 $ 9,100
Expenses
Management fee 6,233 6,813 19,144 20,655
Non-recurring<br> fees and expenses — 78 — 78
Total expenses 6,233 6,891 19,144 20,733
Net investment income (loss) (5,973 ) (6,720 ) (18,221 ) (11,633 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts (25,554 ) 126,569 (305,028 ) 11,333
Net realized gain (loss) (25,554 ) 126,569 (305,028 ) 11,333
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts 10,988 (1,524 ) (126,353 ) 48,104
Short-term U.S. government and agency obligations 71 — (17 ) (74 )
Change in net unrealized appreciation (depreciation) 11,059 (1,524 ) (126,370 ) 48,030
Net realized and unrealized gain (loss) (14,495 ) 125,045 (431,398 ) 59,363
Net income (loss) $ (20,468 ) $ 118,325 $ (449,619 ) $ 47,730

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,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 2,560,348 $ 2,764,355 $ 2,989,499 $ 5,580,964
Redemption of –, –, – and 50,000 shares, respectively — — — (2,746,014 )
Net addition (redemption) of –, –, – and (50,000) shares, respectively — — — (2,746,014 )
Net investment income (loss) (5,973 ) (6,720 ) (18,221 ) (11,633 )
Net realized gain (loss) (25,554 ) 126,569 (305,028 ) 11,333
Change in net unrealized appreciation (depreciation) 11,059 (1,524 ) (126,370 ) 48,030
Net income (loss) (20,468 ) 118,325 (449,619 ) 47,730
Shareholders’ equity, end of period $ 2,539,880 $ 2,882,680 $ 2,539,880 $ 2,882,680

See accompanying notes to financial statements.

47

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PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2021 2020
Cash flow from operating activities
Net income (loss) $ (449,619 ) $ 47,730
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations (1,499,740 ) (99,700 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 500,000 1,911,000
Net amortization and accretion on short-term U.S. government and agency obligations (230 ) (3,270 )
Change in unrealized appreciation (depreciation) on investments 126,370 (48,030 )
Decrease (Increase) in interest receivable 45 4,622
Increase (Decrease) in payable to Sponsor (355 ) (2,235 )
Net cash provided by (used in) operating activities (1,323,529 ) 1,810,117
Cash flow from financing activities
Payment on shares redeemed — (2,746,014 )
Net cash provided by (used in) financing activities — (2,746,014 )
Net increase (decrease) in cash (1,323,529 ) (935,897 )
Cash, beginning of period 2,924,696 3,783,138
Cash, end of period $ 1,601,167 $ 2,847,241

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Cash $ 4,739,816 $ 2,133,707
Segregated cash balances with brokers for futures contracts 239,360 100,320
Interest receivable 187 119
Total assets 4,979,363 2,234,146
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts 61,327 9,118
Payable to Sponsor 3,748 2,370
Non-recurring<br> fees and expenses payable 19 19
Total liabilities 65,094 11,507
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 4,914,269 2,222,639
Total liabilities and shareholders’ equity $ 4,979,363 $ 2,234,146
Shares outstanding 100,000 50,000
Net asset value per share $ 49.14 $ 44.45
Market value per share (Note 2) $ 49.16 $ 43.89

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Futures Contracts Sold

Number of<br><br><br>Contracts Notional Amount<br><br><br>at Value Unrealized<br><br><br>Appreciation<br><br><br>(Depreciation)/Value
Australian Dollar Fx Currency Futures - CME, expires December 2021 136 $ 9,838,240 $ 182,163

See accompanying notes to financial statements.

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STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2021 2020 2021 2020
Investment Income
Interest $ 443 $ 289 $ 961 $ 20,385
Expenses
Management fee 8,860 12,478 19,191 42,496
Brokerage commissions 962 928 1,722 3,766
Non-recurring<br> fees and expenses — 177 — 177
Total expenses 9,822 13,583 20,913 46,439
Net investment income (loss) (9,379 ) (13,294 ) (19,952 ) (26,054 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts 188,884 (432,100 ) 17,207 (799,054 )
Net realized gain (loss) 188,884 (432,100 ) 17,207 (799,054 )
Change in net unrealized appreciation (depreciation) on
Futures contracts 56,770 5,020 321,113 390,370
Short-term U.S. government and agency obligations — — — (206 )
Change in net unrealized appreciation (depreciation) 56,770 5,020 321,113 390,164
Net realized and unrealized gain (loss) 245,654 (427,080 ) 338,320 (408,890 )
Net income (loss) $ 236,275 $ (440,374 ) $ 318,368 $ (434,944 )

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 2,304,732 $ 5,614,042 $ 2,222,639 $ 5,608,612
Addition of 50,000, –, 50,000 and – shares, respectively 2,373,262 — 2,373,262 —
Net addition (redemption) of 50,000, –, 50,000 and – shares, respectively 2,373,262 — 2,373,262 —
Net investment income (loss) (9,379 ) (13,294 ) (19,952 ) (26,054 )
Net realized gain (loss) 188,884 (432,100 ) 17,207 (799,054 )
Change in net unrealized appreciation (depreciation) 56,770 5,020 321,113 390,164
Net income (loss) 236,275 (440,374 ) 318,368 (434,944 )
Shareholders’ equity, end of period $ 4,914,269 $ 5,173,668 $ 4,914,269 $ 5,173,668

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2021 2020
Cash flow from operating activities
Net income (loss) $ 318,368 $ (434,944 )
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations — (498,498 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations — 4,436,000
Net amortization and accretion on short-term U.S. government and agency obligations — (6,234 )
Change in unrealized appreciation (depreciation) on investments — 206
Decrease (Increase) in interest receivable (68 ) 1,510
Increase (Decrease) in payable to Sponsor 1,378 (759 )
Increase (Decrease) in payable on futures contracts 52,209 6,830
Net cash provided by (used in) operating activities 371,887 3,504,111
Cash flow from financing activities
Proceeds from addition of shares 2,373,262 —
Net cash provided by (used in) financing activities 2,373,262 —
Net increase (decrease) in cash 2,745,149 3,504,111
Cash, beginning of period 2,234,027 1,717,873
Cash, end of period $ 4,979,176 $ 5,221,984

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $32,997,250 and $<br>–<br>, respectively) $ 32,997,116 $ —
Cash 37,673,178 74,317,150
Segregated cash balances with brokers for futures contracts 23,127,496 22,608,223
Segregated cash balances with brokers for swap agreements — 188,000
Receivable on open futures contracts — 60,902
Interest receivable 1,383 3,299
Total assets 93,799,173 97,177,574
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts 143,515 257,410
Brokerage commissions and futures account fees payable 12,910 —
Payable to Sponsor 67,184 80,580
Non-recurring<br> fees and expenses payable 351 351
Total liabilities 223,960 338,341
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 93,575,213 96,839,233
Total liabilities and shareholders’ equity $ 93,799,173 $ 97,177,574
Shares outstanding (Note 1) 6,183,799 2,084,971
Net asset value per share (Note 1) $ 15.13 $ 46.45
Market value per share (Note 1)(Note 2) $ 15.18 $ 46.56

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(35% of shareholders’ equity)
U.S. Treasury Bills^^:
0.043% due 10/14/21 5,000,000 $ 4,999,955
0.043% due 11/18/21 8,000,000 7,999,627
0.037% due 01/20/22 20,000,000 19,997,534
Total short-term U.S. government and agency obligations(cost 32,997,250) $ 32,997,116

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 2021 848 $ 63,345,600 $ (10,110,286 )
WTI Crude Oil - NYMEX, expires June 2022 876 62,327,400 (7,616,511 )
WTI Crude Oil - NYMEX, expires December 2022 909 61,539,300 (2,739,363 )
$ (20,466,160 )
^^ 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,
2021 2020 2021 2020
Investment Income
Interest $ 6,891 $ 4,832 $ 36,069 $ 259,750
Expenses
Management fee 201,146 238,038 603,444 789,307
Brokerage commissions 29,277 64,657 100,902 488,442
Futures account fees 18,193 39,565 83,373 132,868
Non-recurring<br> fees and expenses — 4,892 — 4,892
Total expenses 248,616 347,152 787,719 1,415,509
Net investment income (loss) (241,725 ) (342,320 ) (751,650 ) (1,155,759 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (11,449,562 ) (12,932,125 ) (86,637,748 ) (13,146,261 )
Swap agreements — (3,364,704 ) — 41,576,107
Short-term U.S. government and agency obligations — — — (20 )
Net realized gain (loss) (11,449,562 ) (16,296,829 ) (86,637,748 ) 28,429,826
Change in net unrealized appreciation (depreciation) on
Futures contracts (1,521,543 ) 3,752,436 (5,829,347 ) 3,196,977
Swap agreements — 2,095,678 — 4,033,931
Short-term U.S. government and agency obligations 650 — (134 ) (3,162 )
Change in net unrealized appreciation (depreciation) (1,520,893 ) 5,848,114 (5,829,481 ) 7,227,746
Net realized and unrealized gain (loss) (12,970,455 ) (10,448,715 ) (92,467,229 ) 35,657,572
Net income (loss) $ (13,212,180 ) $ (10,791,035 ) $ (93,218,879 ) $ 34,501,813

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,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 79,400,059 $ 117,821,898 $ 96,839,233 $ 125,451,681
Addition of 3,350,000, 1,075,000, 7,237,500 and 6,662,500 shares, respectively (Note 1) 56,590,239 69,006,205 164,074,678 737,435,154
Redemption of 1,550,000, 1,475,000, 3,138,672 and 8,025,000 shares, respectively (Note 1) (29,202,905 ) (95,618,902 ) (74,119,819 ) (816,970,482 )
Net addition (redemption) of 1,800,000, (400,000), 4,098,828 and (1,362,500) shares, respectively (Note 1) 27,387,334 (26,612,697 ) 89,954,859 (79,535,328 )
Net investment income (loss) (241,725 ) (342,320 ) (751,650 ) (1,155,759 )
Net realized gain (loss) (11,449,562 ) (16,296,829 ) (86,637,748 ) 28,429,826
Change in net unrealized appreciation (depreciation) (1,520,893 ) 5,848,114 (5,829,481 ) 7,227,746
Net income (loss) (13,212,180 ) (10,791,035 ) (93,218,879 ) 34,501,813
Shareholders’ equity, end of period $ 93,575,213 $ 80,418,166 $ 93,575,213 $ 80,418,166

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,
2021 2020
Cash flow from operating activities
Net income (loss) $ (93,218,879 ) $ 34,501,813
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 (117,984,270 ) (32,897,274 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 85,000,000 95,246,647
Net amortization and accretion on short-term U.S. government and agency obligations (12,980 ) (153,272 )
Net realized gain (loss) on investments — 20
Change in unrealized appreciation (depreciation) on investments 134 (4,030,769 )
Decrease (Increase) in receivable on futures contracts 60,902 281,879
Decrease (Increase) in interest receivable 1,916 51,970
Increase (Decrease) in payable to Sponsor (13,396 ) (20,975 )
Increase (Decrease) in brokerage commissions and futures account fees payable 12,910 —
Increase (Decrease) in payable on futures contracts (113,895 ) 3,316,805
Net cash provided by (used in) operating activities (126,267,558 ) 96,296,844
Cash flow from financing activities
Proceeds from addition of shares 164,074,678 741,702,169
Payment on shares redeemed (74,119,819 ) (816,970,482 )
Net cash provided by (used in) financing activities 89,954,859 (75,268,313 )
Net increase (decrease) in cash (36,312,699 ) 21,028,531
Cash, beginning of period 97,113,373 61,909,177
Cash, end of period $ 60,800,674 $ 82,937,708

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $56,994,979 and $9,999,612, respectively) $ 56,993,148 $ 9,999,861
Cash 84,342,212 12,600,775
Segregated cash balances with brokers for futures contracts 29,635,820 6,546,607
Interest receivable 2,662 548
Total assets 170,973,842 29,147,791
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed 16,371,629 2,604,177
Payable on open futures contracts 15,998,799 1,543,700
Brokerage commissions and futures account fees payable 27,103 —
Payable to Sponsor 107,494 22,029
Non-recurring<br> fees and expenses payable 140 140
Total liabilities 32,505,165 4,170,046
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 138,468,677 24,977,745
Total liabilities and shareholders’ equity $ 170,973,842 $ 29,147,791
Shares outstanding 19,724,832 524,832
Net asset value per share $ 7.02 $ 47.59
Market value per share (Note 2) $ 7.12 $ 47.38

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(41% of shareholders’ equity)
U.S. Treasury Bills^^:
0.043% due 10/14/21 5,000,000 $ 4,999,955
0.043% due 11/18/21 7,000,000 6,999,673
0.044% due 12/16/21 15,000,000 14,998,734
0.028% due 02/17/22 30,000,000 29,994,786
Total short-term U.S. government and agency obligations(cost 56,994,979) $ 56,993,148

All values are in US Dollars.

Futures Contracts Sold

Number of<br><br><br>Contracts Notional Amount<br><br><br>at Value Unrealized<br><br><br>Appreciation<br><br><br>(Depreciation)/Value
Natural Gas - NYMEX, expires November 2021 4,720 $ 276,922,400 $ (35,288,843 )
^^ 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,
2021 2020 2021 2020
Investment Income
Interest $ 9,879 $ 8,136 $ 25,512 $ 51,939
Expenses
Management fee 258,824 138,507 609,472 207,544
Brokerage commissions 67,808 98,416 249,831 177,159
Futures account fees 42,064 20,454 99,190 25,803
Non-recurring<br> fees and expenses — 345 — 345
Total expenses 368,696 257,722 958,493 410,851
Net investment income (loss) (358,817 ) (249,586 ) (932,981 ) (358,912 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (95,609,878 ) (31,450,011 ) (112,274,576 ) (20,587,193 )
Short-term U.S. government and agency obligations — 19 — (531 )
Net realized gain (loss) (95,609,878 ) (31,449,992 ) (112,274,576 ) (20,587,724 )
Change in net unrealized appreciation (depreciation) on
Futures contracts (17,870,697 ) 8,968,702 (35,668,153 ) 9,530,001
Short-term U.S. government and agency obligations (839 ) 435 (2,080 ) 108
Change in net unrealized appreciation (depreciation) (17,871,536 ) 8,969,137 (35,670,233 ) 9,530,109
Net realized and unrealized gain (loss) (113,481,414 ) (22,480,855 ) (147,944,809 ) (11,057,615 )
Net income (loss) $ (113,840,231 ) $ (22,730,441 ) $ (148,877,790 ) $ (11,416,527 )

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,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 97,525,300 $ 28,552,210 $ 24,977,745 $ 12,515,603
Addition of 20,500,000, 3,200,000, 28,050,000 and 4,400,000 shares, respectively 210,189,776 130,455,301 446,153,207 198,730,524
Redemption of 5,300,000, 2,400,000, 8,850,000 and 3,500,000 shares, respectively (55,406,168 ) (89,339,084 ) (183,784,485 ) (152,891,614 )
Net addition (redemption) of 15,200,000, 800,000, 19,200,000 and 900,000 shares, respectively 154,783,608 41,116,217 262,368,722 45,838,910
Net investment income (loss) (358,817 ) (249,586 ) (932,981 ) (358,912 )
Net realized gain (loss) (95,609,878 ) (31,449,992 ) (112,274,576 ) (20,587,724 )
Change in net unrealized appreciation (depreciation) (17,871,536 ) 8,969,137 (35,670,233 ) 9,530,109
Net income (loss) (113,840,231 ) (22,730,441 ) (148,877,790 ) (11,416,527 )
Shareholders’ equity, end of period $ 138,468,677 $ 46,937,986 $ 138,468,677 $ 46,937,986

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,
2021 2020
Cash flow from operating activities
Net income (loss) $ (148,877,790 ) $ (11,416,527 )
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 (144,983,115 ) (54,978,482 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 98,000,000 28,159,767
Net amortization and accretion on short-term U.S. government and agency obligations (12,252 ) (21,483 )
Net realized gain (loss) on investments — 531
Change in unrealized appreciation (depreciation) on investments 2,080 (108 )
Decrease (Increase) in receivable on futures contracts — (1,269,994 )
Decrease (Increase) in interest receivable (2,114 ) 5,726
Increase (Decrease) in payable to Sponsor 85,465 40,651
Increase (Decrease) in brokerage commissions and futures account fees payable 27,103 —
Increase (Decrease) in payable on futures contracts 14,455,099 (6,826 )
Net cash provided by (used in) operating activities (181,305,524 ) (39,486,745 )
Cash flow from financing activities
Proceeds from addition of shares 446,153,207 198,730,524
Payment on shares redeemed (170,017,033 ) (130,442,926 )
Net cash provided by (used in) financing activities 276,136,174 68,287,598
Net increase (decrease) in cash 94,830,650 28,800,853
Cash, beginning of period 19,147,382 7,370,891
Cash, end of period $ 113,978,032 $ 36,171,744

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $34,997,966 and $9,999,612, respectively) $ 34,997,817 $ 9,999,861
Cash 11,552,843 42,133,228
Segregated cash balances with brokers for foreign currency forward contracts — 1,999,000
Unrealized appreciation on foreign currency forward contracts 2,284,006 5,705
Interest receivable 396 2,148
Total assets 48,835,062 54,139,942
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor 36,822 43,974
Unrealized depreciation on foreign currency forward contracts 157,203 1,142,409
Non-recurring<br> fees and expenses payable 220 220
Total liabilities 194,245 1,186,603
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 48,640,817 52,953,339
Total liabilities and shareholders’ equity $ 48,835,062 $ 54,139,942
Shares outstanding 1,950,000 2,350,000
Net asset value per share $ 24.94 $ 22.53
Market value per share (Note 2) $ 24.93 $ 22.52

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(72% of shareholders’ equity)
U.S. Treasury Bills^^:
0.043% due 10/14/21† 5,000,000 $ 4,999,955
0.039% due 10/21/21† 10,000,000 9,999,555
0.043% due 11/18/21† 5,000,000 4,999,767
0.044% due 12/16/21 10,000,000 9,999,156
0.037% due 01/20/22 5,000,000 4,999,384
Total short-term U.S. government and agency obligations(cost 34,997,966) $ 34,997,817

All values are in US Dollars.

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)/Value
Contracts to Purchase
Euro with UBS AG 10/08/21 5,650,000 $ 6,544,869 $ (157,203 )
Total<br>Unrealized<br>Depreciation $ (157,203 )
Contracts to Sell
Euro with Goldman Sachs International 10/08/21 (39,458,263 ) $ (45,707,819 ) $ 1,000,511
Euro with UBS AG 10/08/21 (49,895,199 ) (57,797,799 ) 1,283,495
Total<br>Unrealized<br>Appreciation $ 2,284,006
† All or partial amount pledged as collateral for foreign currency forward contracts.
--- ---
^ The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
--- ---
^^ Rates shown represent discount rate at the time of purchase.
--- ---

See accompanying notes to financial statements.

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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,
2021 2020 2021 2020
Investment Income
Interest $ 5,008 $ 18,939 $ 17,814 $ 486,623
Expenses
Management fee 116,733 161,145 355,451 638,218
Non-recurring<br> fees and expenses — 2,622 — 2,622
Total expenses 116,733 163,767 355,451 640,840
Net investment income (loss) (111,725 ) (144,828 ) (337,637 ) (154,217 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts 2,974,466 (7,511,153 ) 2,249,236 (8,749,738 )
Short-term U.S. government and agency obligations — (14 ) — (14 )
Net realized gain (loss) 2,974,466 (7,511,167 ) 2,249,236 (8,749,752 )
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts (618,447 ) 1,523,931 3,263,507 3,449,397
Short-term U.S. government and agency obligations 489 1,860 (398 ) (3,038 )
Change in net unrealized appreciation (depreciation) (617,958 ) 1,525,791 3,263,109 3,446,359
Net realized and unrealized gain (loss) 2,356,508 (5,985,376 ) 5,512,345 (5,303,393 )
Net income (loss) $ 2,244,783 $ (6,130,204 ) $ 5,174,708 $ (5,457,610 )

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,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 48,820,440 $ 78,848,965 $ 52,953,339 $ 120,581,173
Addition of 100,000, 1,000,000, 300,000 and 1,350,000 shares, respectively 2,387,142 24,186,298 7,000,386 34,244,548
Redemption of 200,000, 1,150,000, 700,000 and 3,050,000 shares, respectively (4,811,548 ) (28,327,526 ) (16,487,616 ) (80,790,578 )
Net addition (redemption) of (100,000), (150,000), (400,000) and (1,700,000) shares, respectively (2,424,406 ) (4,141,228 ) (9,487,230 ) (46,546,030 )
Net investment income (loss) (111,725 ) (144,828 ) (337,637 ) (154,217 )
Net realized gain (loss) 2,974,466 (7,511,167 ) 2,249,236 (8,749,752 )
Change in net unrealized appreciation (depreciation) (617,958 ) 1,525,791 3,263,109 3,446,359
Net income (loss) 2,244,783 (6,130,204 ) 5,174,708 (5,457,610 )
Shareholders’ equity, end of period $ 48,640,817 $ 68,577,533 $ 48,640,817 $ 68,577,533

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,
2021 2020
Cash flow from operating activities
Net income (loss) $ 5,174,708 $ (5,457,610 )
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations (89,988,404 ) (198,751,004 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 65,000,000 220,684,953
Net amortization and accretion on short-term U.S. government and agency obligations (9,950 ) (338,406 )
Net realized gain (loss) on investments — 14
Change in unrealized appreciation (depreciation) on investments (3,263,109 ) (3,446,359 )
Decrease (Increase) in interest receivable 1,752 59,976
Increase (Decrease) in payable to Sponsor (7,152 ) (47,737 )
Net cash provided by (used in) operating activities (23,092,155 ) 12,703,827
Cash flow from financing activities
Proceeds from addition of shares 7,000,386 34,244,548
Payment on shares redeemed (16,487,616 ) (78,341,410 )
Net cash provided by (used in) financing activities (9,487,230 ) (44,096,862 )
Net increase (decrease) in cash (32,579,385 ) (31,393,035 )
Cash, beginning of period 44,132,228 44,280,278
Cash, end of period $ 11,552,843 $ 12,887,243

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $17,999,022 and $–, respectively) $ 17,998,972 $ —
Cash 8,368,137 16,935,121
Segregated cash balances with brokers for futures contracts 860,625 1,503,750
Segregated cash balances with brokers for swap agreements — 2,194,500
Unrealized appreciation on swap agreements 830,123 —
Receivable on open futures contracts — 1,317
Interest receivable 299 742
Total assets 28,058,156 20,635,430
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts 306,991 12,410
Brokerage commissions and futures account fees payable 211 —
Payable to Sponsor 19,851 16,835
Unrealized depreciation on swap agreements — 268,728
Non-recurring<br> fees and expenses payable 81 81
Total liabilities 327,134 298,054
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 27,731,022 20,337,376
Total liabilities and shareholders’ equity $ 28,058,156 $ 20,635,430
Shares outstanding 796,977 646,977
Net asset value per share $ 34.80 $ 31.43
Market value per share (Note 2) $ 34.82 $ 31.14

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(65% of shareholders’ equity)
U.S. Treasury Bills^^:
0.043% due 10/14/21 5,000,000 $ 4,999,955
0.039% due 10/21/21† 3,000,000 2,999,867
0.043% due 11/18/21† 5,000,000 4,999,767
0.037% due 01/20/22 5,000,000 4,999,383
Total short-term U.S. government and agency obligations(cost 17,999,022) $ 17,998,972

All values are in US Dollars.

Futures Contracts Sold

Number of<br><br><br>Contracts Notional Amount<br><br><br>at Value Unrealized<br><br><br>Appreciation<br><br><br>(Depreciation)/Value
Gold Futures - COMEX, expires December 2021 114 $ 20,029,800 $ 432,050

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 Gold Subindex 0.25 % 10/06/21 $ (14,518,233 ) $ 340,577
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.20 10/06/21 (9,497,933 ) 223,115
Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 10/06/21 (11,357,509 ) 266,431
Total<br>Unrealized<br>Appreciation $ 830,123
† All or partial amount pledged as collateral for swap agreements.
--- ---
^ The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
--- ---
^^ Rates shown represent discount rate at the time of purchase.
--- ---
* Reflects the floating financing rate, as of September 30, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
--- ---
** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
--- ---

See accompanying notes to financial statements.

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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,
2021 2020 2021 2020
Investment Income
Interest $ 3,075 $ 1,831 $ 9,213 $ 65,111
Expenses
Management fee 66,304 45,591 199,999 129,451
Brokerage commissions 3,301 1,980 9,174 5,743
Futures account fees 1,856 1,232 8,344 2,597
Non-recurring<br> fees and expenses — 499 — 499
Total expenses 71,461 49,302 217,517 138,290
Net investment income (loss) (68,386 ) (47,471 ) (208,304 ) (73,179 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (883,113 ) (1,305,687 ) (1,598,368 ) (5,001,545 )
Swap agreements 2,096,834 (2,715,850 ) (169,268 ) (7,040,145 )
Short-term U.S. government and agency obligations — — 169 —
Net realized gain (loss) 1,213,721 (4,021,537 ) (1,767,467 ) (12,041,690 )
Change in net unrealized appreciation (depreciation) on
Futures contracts (153,889 ) 782,022 628,980 893,052
Swap agreements (1,744,696 ) 1,906,708 1,098,851 1,834,548
Short-term U.S. government and agency obligations 166 331 (50 ) (496 )
Change in net unrealized appreciation (depreciation) (1,898,419 ) 2,689,061 1,727,781 2,727,104
Net realized and unrealized gain (loss) (684,698 ) (1,332,476 ) (39,686 ) (9,314,586 )
Net income (loss) $ (753,084 ) $ (1,379,947 ) $ (247,990 ) $ (9,387,765 )

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,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 32,835,014 $ 15,851,043 $ 20,337,376 $ 21,047,560
Addition of 650,000, 750,000, 1,700,000 and 1,100,000 shares, respectively 21,916,482 23,162,997 59,279,388 38,594,844
Redemption of 800,000, 350,000, 1,550,000 and 650,000 shares, respectively (26,267,390 ) (10,494,112 ) (51,637,752 ) (23,114,658 )
Net addition (redemption) of (150,000), 400,000, 150,000 and 450,000 shares, respectively (4,350,908 ) 12,668,885 7,641,636 15,480,186
Net investment income (loss) (68,386 ) (47,471 ) (208,304 ) (73,179 )
Net realized gain (loss) 1,213,721 (4,021,537 ) (1,767,467 ) (12,041,690 )
Change in net unrealized appreciation (depreciation) (1,898,419 ) 2,689,061 1,727,781 2,727,104
Net income (loss) (753,084 ) (1,379,947 ) (247,990 ) (9,387,765 )
Shareholders’ equity, end of period $ 27,731,022 $ 27,139,981 $ 27,731,022 $ 27,139,981

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,
2021 2020
Cash flow from operating activities
Net income (loss) $ (247,990 ) $ (9,387,765 )
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 (40,994,386 ) (19,981,048 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 22,999,935 27,371,000
Net amortization and accretion on short-term U.S. government and agency obligations (4,402 ) (34,425 )
Net realized gain (loss) on investments (169 ) —
Change in unrealized appreciation (depreciation) on investments (1,098,801 ) (1,834,052 )
Decrease (Increase) in receivable on futures contracts 1,317 (55,281 )
Decrease (Increase) in interest receivable 443 11,119
Increase (Decrease) in payable to Sponsor 3,016 472
Increase (Decrease) in brokerage commissions and futures account fees payable 211 —
Increase (Decrease) in payable on futures contracts 294,581 (25,211 )
Net cash provided by (used in) operating activities (19,046,245 ) (3,935,191 )
Cash flow from financing activities
Proceeds from addition of shares 59,279,388 38,594,844
Payment on shares redeemed (51,637,752 ) (23,114,658 )
Net cash provided by (used in) financing activities 7,641,636 15,480,186
Net increase (decrease) in cash (11,404,609 ) 11,544,995
Cash, beginning of period 20,633,371 9,895,915
Cash, end of period $ 9,228,762 $ 21,440,910

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $21,999,135 and $–, respectively) $ 21,998,799 $ —
Cash 11,285,816 18,919,314
Segregated cash balances with brokers for futures contracts 4,768,750 1,503,250
Segregated cash balances with brokers for swap agreements — 11,732,485
Unrealized appreciation on swap agreements 4,090,510 —
Receivable from capital shares sold 1,563,293 —
Receivable on open futures contracts — 39,445
Interest receivable 479 814
Total assets 43,707,647 32,195,308
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed 3,126,586 —
Payable on open futures contracts 176,667 86,282
Brokerage commissions and futures account fees payable 1,471 —
Payable to Sponsor 28,913 25,557
Unrealized depreciation on swap agreements — 3,197,561
Non-recurring<br> fees and expenses payable 133 133
Total liabilities 3,333,770 3,309,533
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 40,373,877 28,885,775
Total liabilities and shareholders’ equity $ 43,707,647 $ 32,195,308
Shares outstanding (Note 1) 1,291,329 1,041,744
Net asset value per share (Note 1) $ 31.27 $ 27.73
Market value per share (Note 1)(Note 2) $ 30.97 $ 27.40

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(54% of shareholders’ equity)
U.S. Treasury Bills^^:
0.043% due 10/14/21† 5,000,000 $ 4,999,955
0.013% due 10/21/21† 9,000,000 8,999,600
0.043% due 11/18/21† 3,000,000 2,999,860
0.037% due 01/20/22 5,000,000 4,999,384
Total short-term U.S. government and agency obligations (cost 21,999,135) $ 21,998,799

All values are in US Dollars.

Futures Contracts Sold

Number of<br><br> <br>Contracts Notional Amount<br><br> <br>at Value Unrealized<br><br> <br>Appreciation<br><br> <br>(Depreciation)/Value
Silver Futures - COMEX, expires December 2021 380 $ 41,889,300 $ 2,955,976

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 % 10/06/21 $ (7,432,206 ) $ 782,817
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.25 10/06/21 (9,839,512 ) 1,036,372
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 10/06/21 (7,779,988 ) 819,178
Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 10/06/21 (13,786,912 ) 1,452,143
Total<br> Unrealized<br> Appreciation $ 4,090,510
† All or partial amount pledged as collateral for swap agreements.
--- ---
^ The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
--- ---
^^ Rates shown represent discount rate at the time of purchase.
--- ---
* Reflects the floating financing rate, as of September 30, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
--- ---
** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
--- ---

See accompanying notes to financial statements.

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STATEMENTS OF OPERATIONS

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2021 2020 2021 2020
Investment Income
Interest $ 3,100 $ 3,192 $ 8,895 $ 48,379
Expenses
Management fee 90,963 84,377 248,539 147,262
Brokerage commissions 8,141 8,539 19,409 16,460
Futures account fees 6,528 4,945 20,726 6,620
Non-recurring<br> fees and expenses — 321 — 321
Total expenses 105,632 98,182 288,674 170,663
Net investment income (loss) (102,532 ) (94,990 ) (279,779 ) (122,284 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts 523,159 (6,023,570 ) (929,991 ) (5,016,408 )
Swap agreements 6,138,986 (9,873,250 ) (1,216,671 ) (13,915,911 )
Short-term U.S. government and agency obligations — — 85 —
Net realized gain (loss) 6,662,145 (15,896,820 ) (2,146,577 ) (18,932,319 )
Change in net unrealized appreciation (depreciation) on
Futures contracts 2,684,085 4,674,780 3,176,052 4,541,796
Swap agreements 1,237,760 6,454,866 7,288,071 8,024,939
Short-term U.S. government and agency obligations 751 88 (336 ) (616 )
Change in net unrealized appreciation (depreciation) 3,922,596 11,129,734 10,463,787 12,566,119
Net realized and unrealized gain (loss) 10,584,741 (4,767,086 ) 8,317,210 (6,366,200 )
Net income (loss) $ 10,482,209 $ (4,862,076 ) $ 8,037,431 $ (6,488,484 )

See accompanying notes to financial statements.

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STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 34,859,763 $ 10,145,625 $ 28,885,775 $ 13,834,163
Addition of 1,000,000, 2,825,000, 3,750,000 and 3,025,000 shares, respectively (Note 1) 26,169,229 102,544,682 91,351,542 122,851,884
Redemption of 1,200,000, 1,637,500, 3,500,415 and 1,837,500 shares, respectively (Note 1) (31,137,324 ) (56,772,556 ) (87,900,871 ) (79,141,888 )
Net addition (redemption) of (200,000), 1,187,500, 249,585 and 1,187,500 shares, respectively (Note 1) (4,968,095 ) 45,772,126 3,450,671 43,709,996
Net investment income (loss) (102,532 ) (94,990 ) (279,779 ) (122,284 )
Net realized gain (loss) 6,662,145 (15,896,820 ) (2,146,577 ) (18,932,319 )
Change in net unrealized appreciation (depreciation) 3,922,596 11,129,734 10,463,787 12,566,119
Net income (loss) 10,482,209 (4,862,076 ) 8,037,431 (6,488,484 )
Shareholders’ equity, end of period $ 40,373,877 $ 51,055,675 $ 40,373,877 $ 51,055,675

See accompanying notes to financial statements.

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STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2021 2020
Cash flow from operating activities
Net income (loss) $ 8,037,431 $ (6,488,484 )
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 (49,994,362 ) (19,382,698 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 27,999,988 13,574,000
Net amortization and accretion on short-term U.S. government and agency obligations (4,676 ) (27,476 )
Net realized gain (loss) on investments (85 ) —
Change in unrealized appreciation (depreciation) on investments (7,287,735 ) (8,024,323 )
Decrease (Increase) in receivable on futures contracts 39,445 (499,230 )
Decrease (Increase) in interest receivable 335 3,740
Increase (Decrease) in payable to Sponsor 3,356 22,693
Increase (Decrease) in brokerage commissions and futures account fees payable 1,471 —
Increase (Decrease) in payable on futures contracts 90,385 774,314
Net cash provided by (used in) operating activities (21,114,447 ) (20,047,464 )
Cash flow from financing activities
Proceeds from addition of shares 89,788,249 122,851,884
Payment on shares redeemed (84,774,285 ) (79,141,888 )
Net cash provided by (used in) financing activities 5,013,964 43,709,996
Net increase (decrease) in cash (16,100,483 ) 23,662,532
Cash, beginning of period 32,155,049 6,646,212
Cash, end of period $ 16,054,566 $ 30,308,744

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $16,998,654 and $–, respectively) $ 16,998,447 $ —
Cash 5,846,465 21,470,564
Segregated cash balances with brokers for foreign currency forward contracts — 2,804,000
Unrealized appreciation on foreign currency forward contracts 549,354 7,008
Interest receivable 361 914
Total assets 23,394,627 24,282,486
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor 17,831 19,348
Unrealized depreciation on foreign currency forward contracts 47,780 571,974
Non-recurring<br> fees and expenses payable 94 94
Total liabilities 65,705 591,416
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 23,328,922 23,691,070
Total liabilities and shareholders’ equity $ 23,394,627 $ 24,282,486
Shares outstanding 299,290 349,290
Net asset value per share $ 77.95 $ 67.83
Market value per share (Note 2) $ 77.96 $ 67.81

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(73% of shareholders’ equity)
U.S. Treasury Bills^^:
0.006% due 10/21/21† 3,000,000 $ 2,999,867
0.043% due 11/18/21 4,000,000 3,999,813
0.037% due 01/20/22 10,000,000 9,998,767
Total short-term U.S. government and agency obligations(cost 16,998,654) $ 16,998,447

All values are in US Dollars.

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 10/08/21 32,600,000 $ 292,895 $ (5,286 )
Yen with UBS AG 10/08/21 373,110,000 3,352,216 (42,494 )
Total Unrealized<br>Depreciation $ (47,780 )
Contracts to Sell
Yen with Goldman Sachs International 10/08/21 (1,558,854,165 ) $ (14,005,562 ) $ 143,685
Yen with UBS AG 10/08/21 (4,049,118,875 ) (36,379,405 ) 405,669
Total Unrealized<br>Appreciation $ 549,354
† All or partial amount pledged as collateral for foreign currency forward contracts.
--- ---
^ The positions and counterparties herein are as of September 30, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
--- ---
^^ Rates shown represent discount rate at the time of purchase.
--- ---

See accompanying notes to financial statements.

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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,
2021 2020 2021 2020
Investment Income
Interest $ 2,392 $ 5,085 $ 9,558 $ 136,411
Expenses
Management fee 57,037 60,238 196,036 209,105
Non-recurring<br> fees and expenses — 717 — 717
Total expenses 57,037 60,955 196,036 209,822
Net investment income (loss) (54,645 ) (55,870 ) (186,478 ) (73,411 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts 197,444 (1,451,651 ) 3,055,103 (1,847,423 )
Net realized gain (loss) 197,444 (1,451,651 ) 3,055,103 (1,847,423 )
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts (190,261 ) 200,915 1,066,540 (427,974 )
Short-term U.S. government and agency obligations 329 606 (207 ) (1,113 )
Change in net unrealized appreciation (depreciation) (189,932 ) 201,521 1,066,333 (429,087 )
Net realized and unrealized gain (loss) 7,512 (1,250,130 ) 4,121,436 (2,276,510 )
Net income (loss) $ (47,133 ) $ (1,306,000 ) $ 3,934,958 $ (2,349,921 )

See accompanying notes to financial statements.

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STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

Three Months Ended<br><br> <br>September 30, Nine Months Ended<br><br> <br>September 30,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 27,231,748 $ 29,787,034 $ 23,691,070 $ 38,132,320
Addition of –, –, 100,000 and 100,000 shares, respectively — — 7,132,412 7,806,745
Redemption of 50,000, 50,000, 150,000 and 250,000 shares, respectively (3,855,693 ) (3,700,271 ) (11,429,518 ) (18,808,381 )
Net addition (redemption) of (50,000), (50,000), (50,000) and (150,000) shares, respectively (3,855,693 ) (3,700,271 ) (4,297,106 ) (11,001,636 )
Net investment income (loss) (54,645 ) (55,870 ) (186,478 ) (73,411 )
Net realized gain (loss) 197,444 (1,451,651 ) 3,055,103 (1,847,423 )
Change in net unrealized appreciation (depreciation) (189,932 ) 201,521 1,066,333 (429,087 )
Net income (loss) (47,133 ) (1,306,000 ) 3,934,958 (2,349,921 )
Shareholders’ equity, end of period $ 23,328,922 $ 24,780,763 $ 23,328,922 $ 24,780,763

See accompanying notes to financial statements.

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STATEMENTS OF CASH FLOWS

(unaudited)

Nine Months Ended<br><br> <br>September 30,
2021 2020
Cash flow from operating activities
Net income (loss) $ 3,934,958 $ (2,349,921 )
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 (43,494,229 ) (46,753,062 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 26,500,000 59,374,000
Net amortization and accretion on short-term U.S. government and agency obligations (4,425 ) (78,419 )
Change in unrealized appreciation (depreciation) on investments (1,066,333 ) 429,087
Decrease (Increase) in interest receivable 553 18,897
Increase (Decrease) in payable to Sponsor (1,517 ) (13,487 )
Net cash provided by (used in) operating activities (14,130,993 ) 10,627,095
Cash flow from financing activities
Proceeds from addition of shares 7,132,412 7,806,745
Payment on shares redeemed (11,429,518 ) (18,808,381 )
Net cash provided by (used in) financing activities (4,297,106 ) (11,001,636 )
Net increase (decrease) in cash (18,428,099 ) (374,541 )
Cash, beginning of period 24,274,564 12,507,112
Cash, end of period $ 5,846,465 $ 12,132,571

See accompanying notes to financial statements.

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PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $61,995,381 and $44,999,073, respectively) $ 61,995,036 $ 44,999,732
Cash 43,870,674 14,723,084
Segregated cash balances with brokers for futures contracts 21,337,800 13,079,750
Receivable on open futures contracts 551,816 247,077
Interest receivable 1,638 643
Total assets 127,756,964 73,050,286
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed — 915,787
Brokerage commissions and futures account fees payable 9,018 10,395
Payable to Sponsor 74,809 49,009
Total liabilities 83,827 975,191
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 127,673,137 72,075,095
Total liabilities and shareholders’ equity $ 127,756,964 $ 73,050,286
Shares outstanding 3,962,403 1,962,403
Net asset value per share $ 32.22 $ 36.73
Market value per share (Note 2) $ 32.31 $ 36.70

See accompanying notes to financial statements.

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PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(49% of shareholders’ equity)
U.S. Treasury Bills^^:
0.006% due 10/21/21 10,000,000 $ 9,999,556
0.042% due 11/18/21 12,000,000 11,999,440
0.043% due 12/16/21 25,000,000 24,997,890
0.037% due 01/20/22 15,000,000 14,998,150
Total short-term U.S. government and agency obligations(cost 61,995,381) $ 61,995,036

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 January 2022 872 $ 21,626,210 $ 1,256,557
VIX Futures - Cboe, expires February 2022 1,677 42,304,841 1,690,707
VIX Futures - Cboe, expires March 2022 1,677 43,023,603 1,475,197
VIX Futures - Cboe, expires April 2022 804 20,765,953 394,387
$ 4,816,848
^^ Rates shown represent discount rate at the time of purchase.
--- ---

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,
2021 2020 2021 2020
Investment Income
Interest $ 8,914 $ 13,590 $ 27,487 $ 199,491
Expenses
Management fee 221,356 172,587 586,702 391,147
Brokerage commissions 20,803 19,350 48,211 51,973
Futures account fees 28,911 26,113 86,674 46,624
Total expenses 271,070 218,050 721,587 489,744
Net investment income (loss) (262,156 ) (204,460 ) (694,100 ) (290,253 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (4,024,133 ) 755,845 (14,890,359 ) 21,708,785
Net realized gain (loss) (4,024,133 ) 755,845 (14,890,359 ) 21,708,785
Change in net unrealized appreciation (depreciation) on
Futures contracts 10,651,835 1,751,675 5,950,464 5,422,315
Short-term U.S. government and agency obligations 1,117 405 (1,004 ) (898 )
Change in net unrealized appreciation (depreciation) 10,652,952 1,752,080 5,949,460 5,421,417
Net realized and unrealized gain (loss) 6,628,819 2,507,925 (8,940,899 ) 27,130,202
Net income (loss) $ 6,366,663 $ 2,303,465 $ (9,634,999 ) $ 26,839,949

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,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 92,662,734 $ 59,085,470 $ 72,075,095 $ 45,986,584
Addition of 1,200,000, 1,150,000, 2,625,000 and 2,250,000 shares, respectively 37,425,551 45,600,053 87,035,790 85,866,144
Redemption of 275,000, 125,000, 625,000 and 1,925,000 shares, respectively (8,781,811 ) (5,031,468 ) (21,802,749 ) (56,735,157 )
Net addition (redemption) of 925,000, 1,025,000, 2,000,000 and 325,000 shares, respectively 28,643,740 40,568,585 65,233,041 29,130,987
Net investment income (loss) (262,156 ) (204,460 ) (694,100 ) (290,253 )
Net realized gain (loss) (4,024,133 ) 755,845 (14,890,359 ) 21,708,785
Change in net unrealized appreciation (depreciation) 10,652,952 1,752,080 5,949,460 5,421,417
Net income (loss) 6,366,663 2,303,465 (9,634,999 ) 26,839,949
Shareholders’ equity, end of period $ 127,673,137 $ 101,957,520 $ 127,673,137 $ 101,957,520

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,
2021 2020
Cash flow from operating activities
Net income (loss) $ (9,634,999 ) $ 26,839,949
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 (112,984,923 ) (116,503,878 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 96,000,000 70,600,000
Net amortization and accretion on short-term U.S. government and agency obligations (11,385 ) (104,027 )
Change in unrealized appreciation (depreciation) on investments 1,004 898
Decrease (Increase) in receivable on futures contracts (304,739 ) (1,087,170 )
Decrease (Increase) in interest receivable (995 ) 32,512
Increase (Decrease) in payable to Sponsor 25,800 40,237
Increase (Decrease) in brokerage commissions and futures account fees payable (1,377 ) 12,012
Increase (Decrease) in payable on futures contracts — (1,129,877 )
Net cash provided by (used in) operating activities (26,911,614 ) (21,299,344 )
Cash flow from financing activities
Proceeds from addition of shares 87,035,790 85,866,144
Payment on shares redeemed (22,718,536 ) (56,735,157 )
Net cash provided by (used in) financing activities 64,317,254 29,130,987
Net increase (decrease) in cash 37,405,640 7,831,643
Cash, beginning of period 27,802,834 33,130,653
Cash, end of period $ 65,208,474 $ 40,962,296

See accompanying notes to financial statements.

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PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $127,990,453 and $84,998,436, respectively) $ 127,990,204 $ 84,999,583
Cash 107,057,042 71,736,247
Segregated cash balances with brokers for futures contracts 133,904,930 134,825,900
Receivable on open futures contracts 1,461,435 2,295,585
Interest receivable 3,891 2,815
Total assets 370,417,502 293,860,130
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts 1,413,813 231,900
Brokerage commissions and futures account fees payable 52,197 81,049
Payable to Sponsor 174,159 156,632
Total liabilities 1,640,169 469,581
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 368,777,333 293,390,549
Total liabilities and shareholders’ equity $ 370,417,502 $ 293,860,130
Shares outstanding (Note 1) 16,257,826 5,331,579
Net asset value per share (Note 1) $ 22.68 $ 55.03
Market value per share (Note 1)(Note 2) $ 22.80 $ 54.96

See accompanying notes to financial statements.

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PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2021

(unaudited)

Value
Short-term U.S. government and agency obligations
(35% of shareholders’ equity)
U.S. Treasury Bills^^:
0.016% due 10/14/21 30,000,000 $ 29,999,730
0.043% due 11/18/21 8,000,000 7,999,626
0.043% due 12/16/21 50,000,000 49,995,780
0.037% due 01/20/22 40,000,000 39,995,068
Total short-term U.S. government and agency obligations(cost 127,990,453) $ 127,990,204

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 2021 8,245 $ 188,545,011 $ 15,851,921
VIX Futures - Cboe, expires November 2021 7,617 180,415,500 5,515,175
$ 21,367,096
^^ 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,
2021 2020 2021 2020
Investment Income
Interest $ 11,739 $ 34,770 $ 91,187 $ 1,117,617
Expenses
Management fee 660,051 560,301 2,154,874 1,584,861
Brokerage commissions 97,516 66,969 365,013 311,826
Futures account fees 151,758 165,725 591,272 278,752
Total expenses 909,325 792,995 3,111,159 2,175,439
Net investment income (loss) (897,586 ) (758,225 ) (3,019,972 ) (1,057,822 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (51,868,433 ) (75,120,135 ) (304,349,667 ) 249,771,936
Net realized gain (loss) (51,868,433 ) (75,120,135 ) (304,349,667 ) 249,771,936
Change in net unrealized appreciation (depreciation) on
Futures contracts 42,164,263 555,267 27,731,186 16,595,465
Short-term U.S. government and agency obligations 4,034 1,199 (1,396 ) (5,725 )
Change in net unrealized appreciation (depreciation) 42,168,297 556,466 27,729,790 16,589,740
Net realized and unrealized gain (loss) (9,700,136 ) (74,563,669 ) (276,619,877 ) 266,361,676
Net income (loss) $ (10,597,722 ) $ (75,321,894 ) $ (279,639,849 ) $ 265,303,854

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,
2021 2020 2021 2020
Shareholders’ equity, beginning of period $ 272,352,675 $ 221,343,175 $ 293,390,549 $ 279,792,503
Addition of 6,300,000, 1,662,500, 16,556,250 and 4,331,250 shares, respectively (Note 1) 142,476,815 156,332,956 593,853,539 342,792,630
Redemption of 1,350,000, 243,750, 5,630,003 and 6,618,750 shares, respectively (Note 1) (35,454,435 ) (23,081,940 ) (238,826,906 ) (608,616,690 )
Net addition (redemption) of 4,950,000, 1,418,750, 10,926,247 and (2,287,500) shares, respectively (Note 1) 107,022,380 133,251,016 355,026,633 (265,824,060 )
Net investment income (loss) (897,586 ) (758,225 ) (3,019,972 ) (1,057,822 )
Net realized gain (loss) (51,868,433 ) (75,120,135 ) (304,349,667 ) 249,771,936
Change in net unrealized appreciation (depreciation) 42,168,297 556,466 27,729,790 16,589,740
Net income (loss) (10,597,722 ) (75,321,894 ) (279,639,849 ) 265,303,854
Shareholders’ equity, end of period $ 368,777,333 $ 279,272,297 $ 368,777,333 $ 279,272,297

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,
2021 2020
Cash flow from operating activities
Net income (loss) $ (279,639,849 ) $ 265,303,854
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 (425,941,319 ) (390,519,095 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 383,000,000 348,000,000
Net amortization and accretion on short-term U.S. government and agency obligations (50,698 ) (589,708 )
Change in unrealized appreciation (depreciation) on investments 1,396 5,725
Decrease (Increase) in receivable on futures contracts 834,150 (6,431,358 )
Decrease (Increase) in interest receivable (1,076 ) 120,780
Increase (Decrease) in payable to Sponsor 17,527 52,310
Increase (Decrease) in brokerage commissions and futures account fees payable (28,852 ) 59,366
Increase (Decrease) in payable on futures contracts 1,181,913 (12,920,593 )
Net cash provided by (used in) operating activities (320,626,808 ) 203,081,281
Cash flow from financing activities
Proceeds from addition of shares 593,853,539 342,792,630
Payment on shares redeemed (238,826,906 ) (608,616,690 )
Net cash provided by (used in) financing activities 355,026,633 (265,824,060 )
Net increase (decrease) in cash 34,399,825 (62,742,779 )
Cash, beginning of period 206,562,147 194,935,341
Cash, end of period $ 240,961,972 $ 132,192,562

See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

September 30, 2021<br><br> <br>(unaudited) December 31, 2020
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $2,327,857,652 and $1,034,967,523, respectively) $ 2,327,838,468 $ 1,034,986,384
Cash 778,499,094 1,651,161,384
Segregated cash balances with brokers for futures contracts 1,069,584,913 1,491,618,088
Segregated cash balances with brokers for foreign currency forward contracts — 5,716,000
Segregated cash balances with brokers for swap agreements — 107,967,985
Unrealized appreciation on swap agreements 83,740,160 80,135,841
Unrealized appreciation on foreign currency forward contracts 2,836,253 169,051
Receivable from capital shares sold 14,084,428 49,086,388
Receivable on open futures contracts 155,985,619 108,851,000
Interest receivable 40,866 66,871
Total assets 4,432,609,801 4,529,758,992
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed 66,045,047 18,280,444
Payable on open futures contracts 24,303,801 27,874,393
Brokerage commissions and futures account fees payable 470,680 691,005
Payable to Sponsor 3,159,235 3,407,672
Unrealized depreciation on swap agreements 100,167,433 3,491,096
Unrealized depreciation on foreign currency forward contracts 429,828 1,714,898
Non-recurring<br> fees and expenses payable 75,570 48,070
Total liabilities 194,651,594 55,507,578
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity 4,237,958,207 4,474,251,414
Total liabilities and shareholders’ equity $ 4,432,609,801 $ 4,529,758,992
Shares outstanding (Note 1) 133,773,980 228,676,695

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,
2021 2020* 2021 2020*
Investment Income
Interest $ 225,068 $ 462,274 $ 1,311,362 $ 8,985,252
Expenses
Management fee 9,892,153 11,098,146 32,386,686 24,755,322
Brokerage commissions 1,808,557 2,304,413 6,704,455 6,308,753
Futures account fees 1,447,030 2,459,918 5,996,930 4,208,471
Non-recurring<br> fees and expenses 27,500 75,802 27,500 75,802
Total expenses 13,175,240 15,938,279 45,115,571 35,348,348
Net investment income (loss) (12,950,172 ) (15,476,005 ) (43,804,209 ) (26,363,096 )
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts (240,784,887 ) (171,502,419 ) (1,427,934,171 ) 110,215,750
Swap agreements (160,769,089 ) 173,110,242 50,628,405 (794,321,232 )
Options — — — (9,707,000 )
Foreign currency forward contracts 2,892,137 (8,394,521 ) 4,813,162 (10,216,017 )
Short-term U.S. government and agency obligations (10,753 ) (5 ) 11,145 296,893
Net realized gain (loss) (398,672,592 ) (6,786,703 ) (1,372,481,459 ) (703,731,606 )
Change in net unrealized appreciation (depreciation) on
Futures contracts 158,443,180 (249,176,198 ) 230,326,477 178,965,282
Swap agreements 38,179,426 (160,810,119 ) (93,072,018 ) (184,272,631 )
Foreign currency forward contracts (724,910 ) 1,639,005 3,952,272 2,861,284
Short-term U.S. government and agency obligations 88,814 9,658 (38,045 ) (61,092 )
Change in net unrealized appreciation (depreciation) 195,986,510 (408,337,654 ) 141,168,686 (2,507,157 )
Net realized and unrealized gain (loss) (202,686,082 ) (415,124,357 ) (1,231,312,773 ) (706,238,763 )
Net income (loss) $ (215,636,254 ) $ (430,600,362 ) $ (1,275,116,982 ) $ (732,601,859 )
* The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
--- ---

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,
2021 2020* 2021 2020*
Shareholders’ equity, beginning of period $ 4,404,846,864 $ 4,052,758,690 $ 4,474,251,414 $ 2,356,325,101
Addition of 74,900,000, 51,642,500, 149,503,750 and 373,420,750 shares, respectively (Note 1) 1,649,296,999 2,922,142,022 5,597,393,110 9,686,341,059
Redemption of 47,625,000, 53,036,250, 104,613,761 and 328,406,123 shares, respectively (Note 1) (1,600,549,402 ) (2,015,018,595 ) (4,558,569,335 ) (6,780,782,546 )
Net addition (redemption) of 27,275,000, (1,393,750), 44,889,989 and 45,014,627 shares, respectively<br> (Note 1) 48,747,597 907,123,427 1,038,823,775 2,905,558,513
Net investment income (loss) (12,950,172 ) (15,476,005 ) (43,804,209 ) (26,363,096 )
Net realized gain (loss) (398,672,592 ) (6,786,703 ) (1,372,481,459 ) (703,731,606 )
Change in net unrealized appreciation (depreciation) 195,986,510 (408,337,654 ) 141,168,686 (2,507,157 )
Net income (loss) (215,636,254 ) (430,600,362 ) (1,275,116,982 ) (732,601,859 )
Shareholders’ equity, end of period $ 4,237,958,207 $ 4,529,281,755 $ 4,237,958,207 $ 4,529,281,755
* The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
--- ---

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,
2021 2020*
Cash flow from operating activities
Net income (loss) $ (1,275,116,982 ) $ (732,601,859 )
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 (6,612,113,856 ) (4,582,922,901 )
Proceeds from sales or maturities of short-term U.S. government and agency obligations 5,319,975,559 3,736,919,081
Net amortization and accretion on short-term U.S. government and agency obligations (740,687 ) (5,453,567 )
Net realized gain (loss) on investments (11,145 ) (296,893 )
Change in unrealized appreciation (depreciation) on investments 89,157,791 181,472,439
Decrease (Increase) in securities sold receivable — (242,309 )
Decrease (Increase) in receivable on futures contracts (47,134,619 ) (161,192,003 )
Decrease (Increase) in interest receivable 26,005 916,323
Increase (Decrease) in payable to Sponsor (248,437 ) 1,913,708
Increase (Decrease) in brokerage commissions and futures account fees payable (220,325 ) 583,315
Increase (Decrease) in payable on futures contracts (3,570,592 ) (32,538,644 )
Increase (Decrease) in <br>non-recurring<br> fees and expenses payable 27,500 —
Net cash provided by (used in) operating activities (2,529,969,788 ) (1,593,443,310 )
Cash flow from financing activities
Proceeds from addition of shares 5,632,395,070 9,655,286,527
Payment on shares redeemed (4,510,804,732 ) (6,721,603,064 )
Net cash provided by (used in) financing activities 1,121,590,338 2,933,683,463
Net increase (decrease) in cash (1,408,379,450 ) 1,340,240,153
Cash, beginning of period 3,256,463,457 1,190,195,205
Cash, end of period $ 1,848,084,007 $ 2,530,435,358
* The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares 3x UltraPro Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
--- ---

See accompanying notes to financial statements.

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

September 30, 2021

(unaudited)

NOTE 1 - ORGANIZATION

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2021, the following eighteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

On March 15, 2020, ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.

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

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

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

The Geared Funds do not seek to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g., -0.5x,

-1x,

-2x, 1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly.

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Share Splits and Reverse Share Splits

The table below includes reverse Share splits for the Funds during the nine months ended September 30, 2021, and during the year ended December 31, 2020. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.

Fund Execution Date<br> <br>(Prior to Opening<br> <br>of Trading) Type of Split Date Trading<br> Resumed at Post-<br> Split Price
ProShares Ultra Bloomberg Crude Oil April 20, 2020 1-for-25 reverse Share split April 21, 2020
ProShares Ultra Bloomberg Natural Gas April 20, 2020 1-for-10 reverse Share split April 21, 2020
ProShares Ultra VIX Short-Term Futures ETF May 25, 2021 1-for-10 reverse Share split May 26, 2021
ProShares UltraShort Bloomberg Crude Oil May 25, 2021 1-for-4 reverse Share split May 26, 2021
ProShares UltraShort Silver May 25, 2021 1-for-4 reverse Share split May 26, 2021
ProShares VIX Short-Term Futures ETF May 25, 2021 1-for-4 reverse Share split May 26, 2021

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

NOTE 2 - SIGNIFICANT ACCOUNTING POLICIES

Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2020, as filed with the SEC on February 19, 2021.

Use of Estimates & Indemnifications

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

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

Basis of Presentation

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

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Statements of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated September 30, 2021 and 2020, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

Final Net Asset Value for Fiscal Period

The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months ended September 30, 2021 were typically as follows. All times are Eastern Standard Time:

Create/Redeem NAV Calculation NAV
Fund Cut-off* Time Calculation Date
Ultra Silver and UltraShort Silver 1:00 p.m. 1:25 p.m. September 30, 2021
Ultra Gold and UltraShort Gold 1:00 p.m. 1:30 p.m. September 30, 2021
Ultra Bloomberg Crude Oil,
Ultra Bloomberg Natural Gas,
UltraShort Bloomberg Crude Oil and
UltraShort Bloomberg Natural Gas 2:00 p.m. 2:30 p.m. September 30, 2021
Short Euro,
Ultra Euro,
Ultra Yen,
UltraShort Australian Dollar,
UltraShort Euro and
UltraShort Yen 3:00 p.m. 4:00 p.m. September 30, 2021
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 30, 2021
* Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, 2021.
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** On Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time).
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Please see Note 8 in these Notes to Financial Statements for more information.

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

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the nine months ended September 30, 2021.

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Investment Valuation

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

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

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

Fair Value of Financial Instruments

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

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

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

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

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

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

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The following table summarizes the valuation of investments at September 30, 2021 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 Euro $ — $ 46,781 $ — $ — $ 46,781
ProShares Short VIX Short-Term Fut<br>u<br>res ETF 129,992,467 (6,181,978 ) — — 123,810,489
ProShares Ultra Bloomberg Crude Oil 834,942,326 268,004,313 — 70,885,762 1,173,832,401
ProShares Ultra Bloomberg Natural Gas 32,997,127 42,185,730 — — 75,182,857
ProShares Ultra Euro 999,916 — (162,686 ) — 837,230
ProShares Ultra Gold 185,985,614 (3,936,408 ) — (7,406,864 ) 174,642,342
ProShares Ultra Silver 494,966,819 (5,439,801 ) — (92,760,569 ) 396,766,449
ProShares Ultra VIX Short-Term Futures ETF 274,984,707 90,018,882 — 7,933,765 372,937,354
ProShares Ultra Yen 999,953 — (59,266 ) — 940,687
ProShares UltraShort Australian Dollar — 182,163 — — 182,163
ProShares UltraShort Bloomberg Crude Oil 32,997,116 (20,466,160 ) — — 12,530,956
ProShares UltraShort Bloomberg Natural Gas 56,993,148 (35,288,843 ) — — 21,704,305
ProShares UltraShort Euro 34,997,817 — 2,126,803 — 37,124,620
ProShares UltraShort Gold 17,998,972 432,050 — 830,123 19,261,145
ProShares UltraShort Silver 21,998,799 2,955,976 — 4,090,510 29,045,285
ProShares UltraShort Yen 16,998,447 — 501,574 — 17,500,021
ProShares VIX <br>Mid-Term<br> Futures ETF 61,995,036 4,816,848 — — 66,811,884
ProShares VIX Short-Term Futures ETF 127,990,204 21,367,096 — — 149,357,300
Total Trust $ 2,327,838,468 $ 358,696,649 $ 2,406,425 $ (16,427,273 ) $ 2,672,514,269
* 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 inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes the valuation of investments at December 31, 2020 using the fair value hierarchy:
Level I - Quoted Prices Level II - Other Significant<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 Euro $ — $ (44,626 ) $ — $ — $ (44,626 )
ProShares Short VIX Short-Term Futures ETF 69,999,639 8,348,783 — — 78,348,422
ProShares Ultra Bloomberg Crude Oil 219,998,394 144,564,039 — 18,242,195 382,804,628
ProShares Ultra Bloomberg Natural Gas 29,999,889 6,500,721 — — 36,500,610
ProShares Ultra Euro — — 88,736 — 88,736
ProShares Ultra Gold 74,999,467 2,646,874 — 5,140,980 82,787,321
ProShares Ultra Silver 244,993,989 37,190,212 — 56,752,666 338,936,867
ProShares Ultra VIX Short-Term Futures ETF 244,995,969 (48,524,666 ) — (24,807 ) 196,446,496
ProShares Ultra Yen — — 67,087 — 67,087
ProShares UltraShort Australian Dollar — (138,950 ) — — (138,950 )
ProShares UltraShort Bloomberg Crude Oil — (14,636,813 ) — — (14,636,813 )
ProShares UltraShort Bloomberg Natural Gas 9,999,861 379,310 — — 10,379,171
ProShares UltraShort Euro 9,999,861 — (1,136,704 ) — 8,863,157
ProShares UltraShort Gold — (196,930 ) — (268,728 ) (465,658 )
ProShares UltraShort Silver — (220,076 ) — (3,197,561 ) (3,417,637 )
ProShares UltraShort Yen — — (564,966 ) — (564,966 )
ProShares VIX <br>Mid-Term<br> Futures ETF 44,999,732 (1,133,616 ) — — 43,866,116
ProShares VIX Short-Term Futures ETF 84,999,583 (6,364,090 ) — — 78,635,493
Total Trust $ 1,034,986,384 $ 128,370,172 $ (1,545,847 ) $ 76,644,745 $ 1,238,455,454
* 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 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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New Accounting Pronouncement

In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 840): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides entities with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., LIBOR) that are expected to be discontinued. ASU 2020-04 allows, among other things, certain contract modifications to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Funds will consider this optional guidance prospectively, if applicable.

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 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, 2021

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.

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The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated

tri-party

account at the Custodian to protect the counterparty against

non-payment

by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2021, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

Forward Contracts

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

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

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

The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at a third party custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2021, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

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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.

Fair Value of Derivative Instruments as of September 30, 2021

Asset Derivatives Liability Derivatives
Derivatives Not Accounted<br> for as 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 Receivables on open futures contracts, unrealized appreciation on swap agreements Payable on open futures contracts, unrealized depreciation on swap agreements
ProShares Short VIX Short-Term Futures ETF $ — $ 6,181,978 *
ProShares Ultra VIX Short-Term Futures ETF 97,952,647 * —
ProShares VIX <br>Mid-Term<br> Futures ETF 4,816,848 * —
ProShares VIX Short-Term Futures ETF 21,367,096 * —
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 338,890,075 * —
ProShares Ultra Bloomberg Natural Gas 42,185,730 * —
ProShares Ultra Gold — 11,343,272 *
ProShares Ultra Silver — 98,200,370 *
ProShares UltraShort Bloomberg Crude Oil — 20,466,160 *
ProShares UltraShort Bloomberg Natural Gas — 35,288,843 *
ProShares UltraShort Gold 1,262,173 * —
ProShares UltraShort Silver 7,046,486 * —
Foreign Exchange Contracts Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
ProShares Short Euro 46,781 * –
ProShares Ultra Euro 2,136 164,822
ProShares Ultra Yen 757 60,023
ProShares UltraShort Australian Dollar 182,163 * –
ProShares UltraShort Euro 2,284,006 157,203
ProShares UltraShort Yen 549,354 47,780
Total Trust $ 516,586,252 * $ 171,910,451 *
* 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 <br>open<br>futures.
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Fair Value of Derivative Instruments as of December 31, 2020

Asset Derivatives Liability Derivatives
Derivatives Not Accounted for<br> as 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 Receivables on open futures contracts, unrealized appreciation on swap agreements Payable on open futures contracts, unrealized depreciation on swap agreements
ProShares Short VIX Short-Term Futures ETF $ 8,348,783 * $ —
ProShares Ultra VIX Short-Term Futures ETF — 48,549,473 *
ProShares VIX <br>Mid-Term<br> Futures ETF 147,915 * 1,281,531 *
ProShares VIX Short-Term Futures ETF — 6,364,090 *
Commodities Contracts Receivables on open futures contracts and/or unrealized appreciation on swap agreements Payable on open futures contracts and/or unrealized depreciation on swap agreements
ProShares Ultra Bloomberg Crude Oil 162,806,234 * —
ProShares Ultra Bloomberg Natural Gas 6,500,721 * —
ProShares Ultra Gold 7,787,854 * —
ProShares Ultra Silver 93,942,878 * —
ProShares UltraShort Bloomberg Crude Oil — 14,636,813 *
ProShares UltraShort Bloomberg Natural Gas 379,310 * —
ProShares UltraShort Gold — 465,658 *
ProShares UltraShort Silver — 3,417,637 *
Foreign Exchange Contracts Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
ProShares Short Euro — 44,626 *
ProShares Ultra Euro 89,103 367
ProShares Ultra Yen 67,235 148
ProShares UltraShort Australian Dollar — 138,950 *
ProShares UltraShort Euro 5,705 1,142,409
ProShares UltraShort Yen 7,008 571,974
Total Trust $ 280,082,746 * $ 76,613,676 *

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The Effect of Derivative Instruments on the Statement of Operations

For the three months ended September 30, 2021

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 $ 34,573,906 $ (43,362,244 )
ProShares Ultra VIX Short-Term Futures ETF (198,380,990 ) 186,737,241
ProShares VIX <br>Mid-Term<br> Futures ETF (4,024,133 ) 10,651,835
ProShares VIX Short-Term Futures ETF (51,868,433 ) 42,164,263
Commodities Contracts Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
ProShares Ultra Bloomberg Crude Oil 106,330,563 (16,910,039 )
ProShares Ultra Bloomberg Natural Gas 33,925,711 25,134,988
ProShares Ultra Gold (21,858,089 ) 15,564,318
ProShares Ultra Silver (201,315,310 ) (6,040,776 )
ProShares UltraShort Bloomberg Crude Oil (11,449,562 ) (1,521,543 )
ProShares UltraShort Bloomberg Natural Gas (95,609,878 ) (17,870,697 )
ProShares UltraShort Gold 1,213,721 (1,898,585 )
ProShares UltraShort Silver 6,662,145 3,921,845
Foreign Exchange Contracts Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
ProShares Short Euro 57,489 (4,770 )
ProShares Ultra Euro (254,219 ) 72,810
ProShares Ultra Yen (25,554 ) 10,988
ProShares UltraShort Australian Dollar 188,884 56,770
ProShares UltraShort Euro 2,974,466 (618,447 )
ProShares UltraShort Yen 197,444 (190,261 )
Total Trust $ (398,661,839 ) $ 195,897,696
* 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 nine months ended September 30, 2021

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 $ 168,120,340 $ (14,530,761 )
ProShares Ultra VIX Short-Term Futures ETF (1,757,428,075 ) 146,502,120
ProShares VIX <br>Mid-Term<br> Futures ETF (14,890,359 ) 5,950,464
ProShares VIX Short-Term Futures ETF (304,349,667 ) 27,731,186
Commodities Contracts Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
ProShares Ultra Bloomberg Crude Oil 761,187,450 176,083,841
ProShares Ultra Bloomberg Natural Gas 80,409,384 35,685,009
ProShares Ultra Gold (27,599,854 ) (19,131,126 )
ProShares Ultra Silver (80,034,280 ) (192,143,248 )
ProShares UltraShort Bloomberg Crude Oil (86,637,748 ) (5,829,347 )
ProShares UltraShort Bloomberg Natural Gas (112,274,576 ) (35,668,153 )
ProShares UltraShort Gold (1,767,636 ) 1,727,831
ProShares UltraShort Silver (2,146,662 ) 10,464,123
Foreign Exchange Contracts Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
ProShares Short Euro 88,710 91,407
ProShares Ultra Euro (186,149 ) (251,422 )
ProShares Ultra Yen (305,028 ) (126,353 )
ProShares UltraShort Australian Dollar 17,207 321,113
ProShares UltraShort Euro 2,249,236 3,263,507
ProShares UltraShort Yen 3,055,103 1,066,540
Total Trust $ (1,372,492,604 ) $ 141,206,731

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The Effect of Derivative Instruments on the Statement of Operations

For the three months ended September 30, 2020

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 $ 60,593,315 $ (1,463,210 )
ProShares Ultra VIX Short-Term Futures ETF (559,537,850 ) 15,302,015
ProShares VIX <br>Mid-Term<br> Futures ETF 755,845 1,751,675
ProShares VIX Short-Term Futures ETF (75,120,135 ) 555,267
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 285,954,263 (232,623,755 )
ProShares Ultra Bloomberg Natural Gas 41,156,156 (4,754,372 )
ProShares Ultra Gold 25,742,296 (18,057,616 )
ProShares Ultra Silver 290,238,797 (199,321,544 )
ProShares UltraShort Bloomberg Crude Oil (16,296,829 ) 5,848,114
ProShares UltraShort Bloomberg Natural Gas (31,450,011 ) 8,968,702
ProShares UltraShort Gold (4,021,537 ) 2,688,730
ProShares UltraShort Silver (15,896,820 ) 11,129,646
Foreign Exchange Contracts Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
ProShares Short Euro (77,567 ) (14,989 )
ProShares Ultra Euro 441,714 (84,317 )
ProShares Ultra Yen 126,569 (1,524 )
ProShares UltraShort Australian Dollar (432,100 ) 5,020
ProShares UltraShort Euro (7,511,153 ) 1,523,931
ProShares UltraShort Yen (1,451,651 ) 200,915
Total Trust $ (6,786,698 ) $ (408,347,312 )

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The Effect of Derivative Instruments on the Statement of Operations

For the nine months ended September 30, 2020

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 $ (129,091,526 ) $ (2,706,204 )
ProShares Ultra VIX Short-Term Futures ETF 58,666,590 66,331,637
ProShares VIX <br>Mid-Term<br> Futures ETF 21,708,785 5,422,315
ProShares VIX Short-Term Futures ETF 249,771,936 16,595,465
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 (891,179,560 ) 106,147,368
ProShares Ultra Bloomberg Natural Gas 2,225,390 (4,336,578 )
ProShares Ultra Gold 51,605,680 (11,257,214 )
ProShares Ultra Silver 297,927,456 (215,072,789 )
ProShares UltraShort Bloomberg Crude Oil 28,429,846 7,230,908
ProShares UltraShort Bloomberg Natural Gas (20,587,193 ) 9,530,001
ProShares UltraShort Gold (12,041,690 ) 2,727,600
ProShares UltraShort Silver (18,932,319 ) 12,566,735
Foreign Exchange Contracts Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
ProShares Short Euro (116,225 ) 31,531
ProShares Ultra Euro 369,811 (208,243 )
ProShares Ultra Yen 11,333 48,104
ProShares UltraShort Australian Dollar (799,054 ) 390,370
ProShares UltraShort Euro (8,749,738 ) 3,449,397
ProShares UltraShort Yen (1,847,423 ) (427,974 )
Total Trust $ (372,627,901 ) $ (3,537,571 )

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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, 2021.

Fair Values of Derivative Instruments as of September 30, 2021
Assets Liabilities
Fund Gross Amounts<br> of Recognized<br> Assets 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 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 $ 70,885,762 $ — $ 70,885,762 $ — $ — $ —
ProShares Ultra Euro
Foreign currency forward contracts 2,136 — 2,136 164,822 — 164,822
ProShares Ultra Gold
Swap agreements — — — 7,406,864 — 7,406,864
ProShares Ultra Silver
Swap agreements — — — 92,760,569 — 92,760,569
ProShares Ultra VIX Short-Term Futures ETF
Swap agreements 7,933,765 — 7,933,765 — — —
ProShares Ultra Yen
Foreign currency forward contracts 757 — 757 60,023 — 60,023
ProShares UltraShort Euro
Foreign currency forward contracts 2,284,006 — 2,284,006 157,203 — 157,203
ProShares UltraShort Gold
Swap agreements 830,123 — 830,123 — — —
ProShares UltraShort Silver
Swap agreements 4,090,510 — 4,090,510 — — —
ProShares UltraShort Yen
Foreign currency forward contracts 549,354 — 549,354 47,780 — 47,780

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2021. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

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Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2021
Fund Amounts of Recognized Assets /<br> (Liabilities) presented in the<br> Statements of Financial Condition Financial Instruments<br> for the Benefit of (the<br> Funds) / the<br> Counterparties Cash Collateral<br> for the Benefit<br> of (the Funds) / the<br> Counterparties Net<br> Amount
ProShares Ultra Bloomberg Crude Oil
Citibank, N.A. $ 10,910,833 $ — $ (10,820,000 ) $ 90,833
Goldman Sachs International 15,436,191 (15,436,191 ) — —
Morgan Stanley & Co. International PLC 18,898,011 — (18,898,011 ) —
Societe Generale 10,305,144 (10,302,497 ) (2,648 ) —
UBS AG 15,335,583 — (15,200,000 ) 135,583
ProShares Ultra Euro
Goldman Sachs International (89,604 ) 89,604 — —
UBS AG (73,082 ) 73,082 — —
ProShares Ultra Gold
Citibank, N.A. (2,550,199 ) 2,550,199 — —
Goldman Sachs International (2,203,785 ) 2,203,785 — —
UBS AG (2,652,880 ) 2,652,880 — —
ProShares Ultra Silver
Citibank, N.A. (28,588,785 ) 28,588,785 — —
Goldman Sachs International (23,220,141 ) 23,220,141 — —
Morgan Stanley & Co. International PLC (21,635,372 ) 21,635,372 — —
UBS AG (19,316,271 ) 19,316,271 — —
ProShares Ultra VIX Short-Term Futures ETF
Goldman Sachs & Co. 7,933,765 (7,933,765 ) — —
ProShares Ultra Yen
Goldman Sachs International (34,487 ) 34,487 — —
UBS AG (24,779 ) 24,779 — —
ProShares UltraShort Euro
Goldman Sachs International 1,000,511 (970,612 ) — 29,899
UBS AG 1,126,292 — (1,070,000 ) 56,292
ProShares UltraShort Gold
Citibank, N.A. 340,577 — (340,577 ) —
Goldman Sachs International 223,115 (223,115 ) — —
UBS AG 266,431 — (266,431 ) —
ProShares UltraShort Silver
Citibank, N.A. 782,817 — (782,817 ) —
Goldman Sachs International 1,036,372 (1,036,372 ) — —
Morgan Stanley & Co. International PLC 819,178 — (819,178 ) —
UBS AG 1,452,143 — (1,452,143 ) —
ProShares UltraShort Yen
Goldman Sachs International 138,399 — — 138,399
UBS AG 363,175 — (363,175 ) —

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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, 2020:

Fair Values of Derivative Instruments as of December 31, 2020
Assets Liabilities
Fund Gross Amounts<br><br> <br>of Recognized<br><br> <br>Assets presented<br><br> <br>in the<br><br> <br>Statements of<br> Financial<br><br> <br>Condition Gross Amounts<br> Offset in the<br> Statements of<br> Financial<br><br> <br>Condition Net Amounts of<br> Assets<br> presented<br><br> <br>in the<br><br> <br>Statements of<br> Financial<br><br> <br>Condition Gross Amounts<br><br> <br>of Recognized<br> Liabilities<br><br> <br>presented in<br> the Statements<br> of Financial<br><br> <br>Condition Gross Amounts<br> Offset in the<br> Statements of<br> Financial<br><br> <br>Condition Net Amounts of<br> Liabilities<br><br> <br>presented in<br> the Statements<br> of Financial<br><br> <br>Condition
ProShares Ultra Bloomberg Crude Oil Swap agreements $ 18,242,195 $ — $ 18,242,195 $ — $ — $ —
ProShares Ultra Euro Foreign currency forward contracts 89,103 — 89,103 367 — 367
ProShares Ultra Gold Swap agreements 5,140,980 — 5,140,980 — — —
ProShares Ultra Silver Swap agreements 56,752,666 — 56,752,666 — — —
ProShares Ultra VIX Short-Term Futures ETF Swap agreements — — — 24,807 — 24,807
ProShares Ultra Yen Foreign currency forward contracts 67,235 — 67,235 148 — 148
ProShares UltraShort Euro Foreign currency forward contracts 5,705 — 5,705 1,142,409 — 1,142,409
ProShares UltraShort Gold Swap agreements — — — 268,728 — 268,728
ProShares UltraShort Silver Swap agreements — — — 3,197,561 — 3,197,561
ProShares UltraShort Yen Foreign currency forward contracts 7,008 — 7,008 571,974 — 571,974

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2020. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

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Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020
Amounts of Recognized<br> Assets / (Liabilities)<br> presented in the<br> Statements of Financial<br> Condition Financial Instruments<br> for the Benefit of (the<br> Funds) / the<br> Counterparties Cash Collateral for the<br> Benefit of (the Funds)<br> / the Counterparties Net Amount
ProShares Ultra Bloomberg Crude Oil
Goldman Sachs International $ 1,377,243 $ (1,281,309 ) $ — $ 95,934
Morgan Stanley & Co. Internatio<br>n<br>al PLC 10,959,227 — (10,629,000 ) 330,227
Societe Generale 1,679,334 (1,679,334 ) — —
UBS AG 4,226,391 (4,151,442 ) (6,270 ) 68,679
ProShares Ultra Euro
Goldman Sachs International 22,950 — — 22,950
UBS AG 65,786 — — 65,786
ProShares Ultra Gold
Citibank, N.A. 1,770,050 — (1,670,000 ) 100,050
Goldman Sachs International 1,529,612 (1,497,203 ) — 32,409
UBS AG 1,841,318 — — 1,841,318
ProShares Ultra Silver
Citibank, N.A. 18,010,776 — (18,010,776 ) —
Goldman Sachs International 12,930,574 (12,930,574 ) — —
Morgan Stanley & Co. International PLC 12,353,706 — (12,353,706 ) —
UBS AG 13,457,610 (4,126,610 ) (9,331,000 ) —
ProShares Ultra VIX Short-Term Futures ETF
Goldman Sachs & Co. (24,807 ) — 24,807 —
ProShares Ultra Yen
Goldman Sachs International 34,265 — — 34,265
UBS AG 32,822 — — 32,822
ProShares UltraShort Euro
Goldman Sachs International (388,233 ) — 388,233 —
UBS AG (748,471 ) 748,471 — —
ProShares UltraShort Gold
Citibank, N.A. (80,068 ) — 80,068 —
Goldman Sachs International (82,645 ) — 82,645 —
UBS AG (106,015 ) — 106,015 —
ProShares UltraShort Silver
Citibank, N.A. (1,208,988 ) — 1,208,988 —
Goldman Sachs International (927,829 ) — 927,829 —
Morgan Stanley & Co. International PLC (579,421 ) — 579,421 —
UBS AG (481,323 ) — 481,323 —
ProShares UltraShort Yen
Goldman Sachs International (207,021 ) — 207,021 —
UBS AG (357,945 ) — 357,945 —

NOTE 4 —  AGREEMENTS

Management Fee

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

The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to, (i) the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, accounting and auditing fees and expenses, (ii) any Index licensors for the Funds; and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations. Fees associated with a Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses.

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Non-Recurring Fees and Expenses

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

The Administrator

BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds. The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.

The Custodian

BNY Mellon serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.

The Transfer Agent

BNY Mellon serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor.

The Distributor

SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds.

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.

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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, 2021 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

Fund Three Months Ended<br> September 30, 2021 Nine Months Ended<br> September 30, 2021
ProShares Short Euro $ — $ —
ProShares Short VIX Short-Term Futures ETF 75,629 139,978
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 908,895 2,277,545
ProShares Ultra Yen — —
ProShares UltraShort Australian Dollar — —
ProShares UltraShort Bloomberg Crude Oil — —
ProShares UltraShort Bloomberg Natural Gas — —
ProShares UltraShort Euro — —
ProShares UltraShort Gold — —
ProShares UltraShort Silver — —
ProShares UltraShort Yen — —
ProShares VIX <br>Mid-Term<br> Futures ETF 13,723 32,535
ProShares VIX Short-Term Futures ETF 81,985 314,310
Total Trust $ 1,080,232 $ 2,764,368

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NOTE 7 – FINANCIAL HIGHLIGHTS

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

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

Per Share Operating<br> <br>Performance Short Euro 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
Net asset value, at June 30, 2021 $ 43.18 $ 55.61 $ 78.24 $ 35.33 $ 14.67 $ 57.28
Net investment income (loss) (0.10 ) (0.19 ) (0.20 ) (0.14 ) (0.03 ) (0.14 )
Net realized and unrealized gain (loss)# 1.06 (0.96 ) 6.43 48.28 (0.72 ) (1.50 )
Change in net asset value from operations 0.96 (1.15 ) 6.23 48.14 (0.75 ) (1.64 )
Net asset value, at September 30, 2021 $ 44.14 $ 54.46 $ 84.47 $ 83.47 $ 13.92 $ 55.64
Market value per share, at June 30, 2021<br>† $ 43.14 $ 55.55 $ 78.23 $ 37.17 $ 14.66 $ 57.22
Market value per share, at September 30, 2021<br>† $ 44.16 $ 54.39 $ 84.22 $ 82.30 $ 13.92 $ 55.59
Total Return, at net asset value^ 2.3 % (2.1 )% 8.0 % 136.3 % (5.1 )% (2.9 )%
Total Return, at market value^ 2.4 % (2.1 )% 7.7 % 121.4 % (5.1 )% (2.9 )%
Ratios to Average Net Assets**
Expense ratio^^ 0.96 % 1.33 % 1.10 % 1.30 % 0.95 % 1.00 %
Net investment income gain (loss) (0.92 )% (1.32 )% (1.07 )% (1.25 )% (0.91 )% (0.97 )%
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 2021.
--- ---
^^ The expense ratio would be<br>0.95<br>%, 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, 2021 (unaudited)

Per Share Operating<br> <br>Performance Ultra Silver Ultra VIX<br> <br>Short-Term<br><br> Futures ETF<br>* Ultra Yen UltraShort<br> Australian<br> Dollar UltraShort<br> Bloomberg<br> Crude Oil<br>* UltraShort<br> Bloomberg<br> Natural Gas
Net asset value, at June 30, 2021 $ 45.97 $ 27.91 $ 51.24 $ 46.09 $ 18.11 $ 21.55
Net investment income (loss) (0.10 ) (0.11 ) (0.12 ) (0.12 ) (0.05 ) (0.05 )
Net realized and unrealized gain (loss)# (14.16 ) (3.37 ) (0.29 ) 3.17 (2.93 ) (14.48 )
Change in net asset value from operations (14.26 ) (3.48 ) (0.41 ) 3.05 (2.98 ) (14.53 )
Net asset value, at September 30, 2021 $ 31.71 $ 24.43 $ 50.83 $ 49.14 $ 15.13 $ 7.02
Market value per share, at June 30, 2021<br>† $ 46.12 $ 27.98 $ 51.26 $ 45.96 $ 18.11 $ 20.44
Market value per share, at September 30, 2021<br>† $ 31.99 $ 24.55 $ 50.82 $ 49.16 $ 15.18 $ 7.12
Total Return, at net asset value^ (31.0 )% (12.5 )% (0.8 )% 6.6 % (16.5 )% (67.4 )%
Total Return, at market value^ (30.6 )% (12.3 )% (0.9 )% 7.0 % (16.2 )% (65.2 )%
Ratios to Average Net Assets**
Expense ratio^^ 1.00 % 1.71 % 0.95 % 1.05 % 1.17 % 1.35 %
Net investment income gain (loss) (0.97 )% (1.71 )% (0.91 )% (1.01 )% (1.14 )% (1.32 )%
* See Note 1 of these Notes to Financial Statements.
--- ---
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 2021.
--- ---
^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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For the Three Months Ended September 30, 2021 (unaudited)

Per Share Operating<br> <br>Performance UltraShort<br> Euro UltraShort<br> Gold UltraShort<br> Silver<br>* UltraShort<br> Yen VIX Mid-<br><br> <br>Term Futures<br> ETF VIX Short-<br> Term Futures<br> ETF<br>*
Net asset value, at June 30, 2021 $ 23.81 $ 34.67 $ 23.37 $ 77.96 $ 30.51 $ 24.09
Net investment income (loss) (0.06 ) (0.08 ) (0.07 ) (0.17 ) (0.08 ) (0.07 )
Net realized and unrealized gain (loss)# 1.19 0.21 7.97 0.16 1.79 (1.34 )
Change in net asset value from operations 1.13 0.13 7.90 (0.01 ) 1.71 (1.41 )
Net asset value, at September 30, 2021 $ 24.94 $ 34.80 $ 31.27 $ 77.95 $ 32.22 $ 22.68
Market value per share, at June 30, 2021<br>† $ 23.82 $ 34.69 $ 23.28 $ 77.98 $ 30.54 $ 24.08
Market value per share, at September 30, 2021<br>† $ 24.93 $ 34.82 $ 30.97 $ 77.96 $ 32.31 $ 22.80
Total Return, at net asset value^ 4.8 % 0.4 % 33.8 % (0.0 )%<br>@ 5.6 % (5.8 )%
Total Return, at market value^ 4.7 % 0.4 % 33.0 % (0.0 )%<br>@ 5.8 % (5.3 )%
Ratios to Average Net Assets**
Expense ratio^^ 0.95 % 1.02 % 1.10 % 0.95 % 1.04 % 1.17 %
Net investment income gain (loss) (0.91 )% (0.98 )% (1.07 )% (0.91 )% (1.01 )% (1.16 )%
* See Note 1 of these Notes to Financial Statements.
--- ---
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 2021.
--- ---
^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
--- ---
@ Amount represents greater than (0.05)%.
--- ---

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Selected data for a Share outstanding throughout the three months ended September 30, 2020

For the Three Months Ended September 30, 2020 (unaudited)

Per Share Operating<br> <br>Performance Short Euro 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
Net asset value, at June 30, 2020 $ 45.73 $ 31.40 $ 28.59 $ 28.31 $ 13.56 $ 64.98
Net investment income (loss) (0.11 ) (0.11 ) (0.10 ) (0.14 ) (0.03 ) (0.17 )
Net realized and unrealized gain (loss)# (1.85 ) 4.08 0.25 6.19 1.13 4.05
Change in net asset value from operations (1.96 ) 3.97 0.15 6.05 1.10 3.88
Net asset value, at September 30, 2020 $ 43.77 $ 35.37 $ 28.74 $ 34.36 $ 14.66 $ 68.86
Market value per share, at June 30, 2020<br>† $ 44.83 $ 31.50 $ 28.68 $ 28.36 $ 13.57 $ 64.83
Market value per share, at September 30, 2020<br>† $ 43.28 $ 35.50 $ 28.45 $ 34.63 $ 14.64 $ 68.58
Total Return, at net asset value^ (4.3 )% 12.6 % 0.5 % 21.4 % 8.1 % 6.0 %
Total Return, at market value^ (3.5 )% 12.7 % (0.8 )% 22.1 % 7.9 % 5.8 %
Ratios to Average Net Assets**
Expense ratio^^ 0.98 % 1.36 % 1.32 % 1.61 % 0.96 % 1.00 %
Net investment income gain (loss) (0.95 )% (1.31 )% (1.31 )% (1.54 )% (0.93 )% (0.92 )%
** 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, 2020.
--- ---
^^ 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, 2020 (unaudited)

Per Share Operating<br> <br>Performance Ultra Silver Ultra VIX<br> <br>Short-Term<br><br> Futures ETF<br>* Ultra Yen UltraShort<br> Australian<br> Dollar UltraShort<br> Bloomberg<br> Crude Oil<br>* UltraShort<br> Bloomberg<br> Natural Gas
Net asset value, at June 30, 2020 $ 29.56 $ 329.28 $ 55.32 $ 56.14 $ 73.18 $ 67.21
Net investment income (loss) (0.12 ) (0.97 ) (0.13 ) (0.13 ) (0.22 ) (0.16 )
Net realized and unrealized gain (loss)# 12.81 (126.77 ) 2.50 (4.27 ) (6.50 ) (28.73 )
Change in net asset value from operations 12.69 (127.74 ) 2.37 (4.40 ) (6.72 ) (28.89 )
Net asset value, at September 30, 2020 $ 42.25 $ 201.54 $ 57.69 $ 51.74 $ 66.46 $ 38.32
Market value per share, at June 30, 2020<br>† $ 29.33 $ 327.70 $ 55.31 $ 56.06 $ 73.00 $ 67.21
Market value per share, at September 30, 2020<br>† $ 41.77 $ 199.20 $ 57.69 $ 51.67 $ 67.08 $ 38.01
Total Return, at net asset value^ 42.9 % (38.8 )% 4.3 % (7.8 )% (9.2 )% (43.0 )%
Total Return, at market value^ 42.4 % (39.2 )% 4.3 % (7.8 )% (8.1 )% (43.5 )%
Ratios to Average Net Assets**
Expense ratio^^ 1.04 % 1.67 % 0.96 % 1.03 % 1.39 % 1.77 %
Net investment income gain (loss) (0.97 )% (1.64 )% (0.94 )% (1.01 )% (1.37 )% (1.71 )%
* 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, 2020.
--- ---
^^ 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, 2020 (unaudited)

Per Share Operating<br> <br>Performance UltraShort<br> Euro UltraShort<br> Gold UltraShort<br> Silver<br>* UltraShort<br> Yen VIX Mid-<br><br> <br>Term Futures<br> ETF VIX Short-<br> Term Futures<br> ETF<br>*
Net asset value, at June 30, 2020 $ 26.73 $ 35.46 $ 78.50 $ 74.60 $ 40.40 $ 111.70
Net investment income (loss) (0.05 ) (0.08 ) (0.09 ) (0.16 ) (0.10 ) (0.26 )
Net realized and unrealized gain (loss)# (2.19 ) (3.34 ) (39.64 ) (3.49 ) 0.69 (29.31 )
Change in net asset value from operations (2.24 ) (3.42 ) (39.73 ) (3.65 ) 0.59 (29.57 )
Net asset value, at September 30, 2020 $ 24.49 $ 32.04 $ 38.77 $ 70.95 $ 40.99 $ 82.13
Market value per share, at June 30, 2020<br>† $ 26.73 $ 35.57 $ 79.08 $ 74.58 $ 40.24 $ 111.04
Market value per share, at September 30, 2020<br>† $ 24.49 $ 32.19 $ 39.24 $ 70.93 $ 40.68 $ 81.64
Total Return, at net asset value^ (8.4 )% (9.7 )% (50.6 )% (4.9 )% 1.5 % (26.5 )%
Total Return, at market value^ (8.4 )% (9.5 )% (50.4 )% (4.9 )% 1.1 % (26.5 )%
Ratios to Average Net Assets**
Expense ratio^^ 0.97 % 1.03 % 1.11 % 0.96 % 1.07 % 1.20 %
Net investment income gain (loss) (0.85 )% (0.99 )% (1.07 )% (0.88 )% (1.01 )% (1.15 )%
* 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, 2020.
--- ---
^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
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Selected data for a Share outstanding throughout the nine months ended September 30, 2021

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

Per Share Operating<br> <br>Performance Short Euro 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
Net asset value, at December 31, 2020 $ 41.92 $ 41.42 $ 36.38 $ 21.00 $ 15.79 $ 67.57
Net investment income (loss) (0.29 ) (0.49 ) (0.49 ) (0.29 ) (0.10 ) (0.43 )
Net realized and unrealized gain (loss)# 2.51 13.53 48.58 62.76 (1.77 ) (11.50 )
Change in net asset value from operations 2.22 13.04 48.09 62.47 (1.87 ) (11.93 )
Net asset value, at September 30, 2021 $ 44.14 $ 54.46 $ 84.47 $ 83.47 $ 13.92 $ 55.64
Market value per share, at December 31, 2020<br>† $ 41.35 $ 41.44 $ 36.27 $ 21.07 $ 15.81 $ 68.20
Market value per share, at September 30, 2021<br>† $ 44.16 $ 54.39 $ 84.22 $ 82.30 $ 13.92 $ 55.59
Total Return, at net asset value^ 5.2 % 31.5 % 132.2 % 297.6 % (11.9 )% (17.7 )%
Total Return, at market value^ 6.8 % 31.3 % 132.2 % 290.7 % (11.9 )% (18.5 )%
Ratios to Average Net Assets**
Expense ratio^^ 0.97 % 1.35 % 1.11 % 1.47 % 0.95 % 1.00 %
Net investment income gain (loss) (0.91 )% (1.33 )% (1.07 )% (1.41 )% (0.90 )% (0.97 )%
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 2021.
--- ---
^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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For the Nine Months Ended September 30, 2021 (unaudited)

Per Share Operating<br> <br>Performance Ultra Silver Ultra VIX<br> <br>Short-Term<br><br> Futures ETF<br>* Ultra Yen UltraShort<br> Australian<br> Dollar UltraShort<br> Bloomberg<br> Crude Oil<br>* UltraShort<br> Bloomberg<br> Natural Gas
Net asset value, at December 31, 2020 $ 50.71 $ 106.68 $ 59.83 $ 44.45 $ 46.45 $ 47.59
Net investment income (loss) (0.33 ) (0.59 ) (0.36 ) (0.34 ) (0.21 ) (0.23 )
Net realized and unrealized gain (loss)# (18.67 ) (81.66 ) (8.64 ) 5.03 (31.11 ) (40.34 )
Change in net asset value from operations (19.00 ) (82.25 ) (9.00 ) 4.69 (31.32 ) (40.57 )
Net asset value, at September 30, 2021 $ 31.71 $ 24.43 $ 50.83 $ 49.14 $ 15.13 $ 7.02
Market value per share, at December 31, 2020<br>† $ 51.28 $ 106.50 $ 59.82 $ 43.89 $ 46.56 $ 47.38
Market value per share, at September 30, 2021<br>† $ 31.99 $ 24.55 $ 50.82 $ 49.16 $ 15.18 $ 7.12
Total Return, at net asset value^ (37.5 )% (77.1 )% (15.0 )% 10.6 % (67.4 )% (85.3 )%
Total Return, at market value^ (37.6 )% (77.0 )% (15.1 )% 12.0 % (67.4 )% (85.0 )%
Ratios to Average Net Assets**
Expense ratio^^ 1.03 % 1.75 % 0.95 % 1.04 % 1.24 % 1.49 %
Net investment income gain (loss) (0.98 )% (1.71 )% (0.90 )% (0.99 )% (1.18 )% (1.45 )%
* See Note 1 of these Notes to Financial Statements.
--- ---
** Percentages are annualized.
--- ---
# The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
--- ---
† Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
--- ---
^ Percentages are not annualized for the period ended September 30, 2021.
--- ---
^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
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For the Nine Months Ended September 30, 2021 (unaudited)

Per Share Operating<br> <br>Performance UltraShort<br> Euro UltraShort<br> Gold UltraShort<br> Silver<br>* UltraShort<br> Yen VIX Mid-<br><br> <br>Term Futures<br> ETF VIX Short-<br> Term Futures<br> ETF<br>*
Net asset value, at December 31, 2020 $ 22.53 $ 31.43 $ 27.73 $ 67.83 $ 36.73 $ 55.03
Net investment income (loss) (0.16 ) (0.25 ) (0.20 ) (0.50 ) (0.25 ) (0.28 )
Net realized and unrealized gain (loss)# 2.57 3.62 3.74 10.62 (4.26 ) (32.07 )
Change in net asset value from operations 2.41 3.37 3.54 10.12 (4.51 ) (32.35 )
Net asset value, at September 30, 2021 $ 24.94 $ 34.80 $ 31.27 $ 77.95 $ 32.22 $ 22.68
Market value per share, at December 31, 2020<br>† $ 22.52 $ 31.14 $ 27.40 $ 67.81 $ 36.70 $ 54.96
Market value per share, at September 30, 2021<br>† $ 24.93 $ 34.82 $ 30.97 $ 77.96 $ 32.31 $ 22.80
Total Return, at net asset value^ 10.7 % 10.7 % 12.8 % 14.9 % (12.3 )% (58.8 )%
Total Return, at market value^ 10.7 % 11.8 % 13.0 % 15.0 % (12.0 )% (58.5 )%
Ratios to Average Net Assets**
Expense ratio^^ 0.95 % 1.03 % 1.10 % 0.95 % 1.05 % 1.23 %
Net investment income gain (loss) (0.90 )% (0.99 )% (1.07 )% (0.90 )% (1.01 )% (1.19 )%
* See Note 1 of these Notes to Financial Statements.
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** Percentages are annualized.
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# 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.
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† 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.
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^ Percentages are not annualized for the period ended September 30, 2021.
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^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
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Selected data for a Share outstanding throughout the nine months ended September 30, 2020

For the Nine Months Ended September 30, 2020 (unaudited)

Per Share Operating<br> <br>Performance Short Euro 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
Net asset value, at December 31, 2019 $ 45.64 $ 65.62 $ 509.23 $ 83.97 $ 13.79 $ 49.21
Net investment income (loss) (0.18 ) (0.28 ) (0.25 ) (0.35 ) (0.05 ) (0.28 )
Net realized and unrealized gain (loss)# (1.69 ) (29.97 ) (480.24 ) (49.26 ) 0.92 19.93
Change in net asset value from operations (1.87 ) (30.25 ) (480.49 ) (49.61 ) 0.87 19.65
Net asset value, at September 30, 2020 $ 43.77 $ 35.37 $ 28.74 $ 34.36 $ 14.66 $ 68.86
Market value per share, at December 31, 2019<br>† $ 45.69 $ 65.23 $ 511.50 $ 83.40 $ 13.77 $ 49.05
Market value per share, at September 30, 2020<br>† $ 43.28 $ 35.50 $ 28.45 $ 34.63 $ 14.64 $ 68.58
Total Return, at net asset value^ (4.1 )% (46.1 )% (94.4 )% (59.1 )% 6.3 % 39.9 %
Total Return, at market value^ (5.3 )% (45.6 )% (94.4 )% (58.5 )% 6.3 % 39.8 %
Ratios to Average Net Assets**
Expense ratio^^ 0.97 % 1.31 % 1.35 % 1.60 % 0.95 % 1.00 %
Net investment income gain (loss) (0.52 )% (1.07 )% (1.10 )% (1.12 )% (0.49 )% (0.59 )%
** Percentages are annualized.
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# 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.
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† 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.
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^ Percentages are not annualized for the period ended September 30, 2020.
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^^ 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, 2020 (unaudited)

Per Share Operating<br> <br>Performance Ultra Silver Ultra VIX<br> <br>Short-Term<br><br> Futures ETF<br>* Ultra Yen UltraShort<br> Australian<br> Dollar UltraShort<br> Bloomberg<br> Crude Oil<br>* UltraShort<br> Bloomberg<br> Natural Gas
Net asset value, at December 31, 2019 $ 31.70 $ 126.74 $ 55.83 $ 56.09 $ 48.77 $ 38.53
Net investment income (loss) (0.17 ) (2.43 ) (0.22 ) (0.26 ) (0.86 ) (0.52 )
Net realized and unrealized gain (loss)# 10.72 77.23 2.08 (4.09 ) 18.55 0.31
Change in net asset value from operations 10.55 74.80 1.86 (4.35 ) 17.69 (0.21 )
Net asset value, at September 30, 2020 $ 42.25 $ 201.54 $ 57.69 $ 51.74 $ 66.46 $ 38.32
Market value per share, at December 31, 2019<br>† $ 31.65 $ 128.90 $ 55.83 $ 55.88 $ 48.60 $ 38.82
Market value per share, at September 30, 2020<br>† $ 41.77 $ 199.20 $ 57.69 $ 51.67 $ 67.08 $ 38.01
Total Return, at net asset value^ 33.3 % 59.0 % 3.3 % (7.8 )% 36.3 % (0.5 )%
Total Return, at market value^ 32.0 % 54.5 % 3.3 % (7.5 )% 38.0 % (2.1 )%
Ratios to Average Net Assets**
Expense ratio^^ 1.03 % 1.61 % 0.95 % 1.04 % 1.70 % 1.88 %
Net investment income gain (loss) (0.62 )% (1.34 )% (0.54 )% (0.58 )% (1.39 )% (1.64 )%
* See Note 1 of these Notes to Financial Statements.
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** Percentages are annualized.
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# 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.
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† 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.
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^ Percentages are not annualized for the period ended September 30, 2020.
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^^ 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, 2020 (unaudited)

Per Share Operating<br> <br>Performance UltraShort<br> Euro UltraShort<br> Gold UltraShort<br> Silver<br>* UltraShort<br> Yen VIX Mid-<br><br> <br>Term Futures<br> ETF VIX Short-<br> Term Futures<br> ETF<br>*
Net asset value, at December 31, 2019 $ 26.80 $ 53.02 $ 107.04 $ 76.37 $ 21.27 $ 49.19
Net investment income (loss) (0.05 ) (0.15 ) (0.29 ) (0.19 ) (0.16 ) (0.34 )
Net realized and unrealized gain (loss)# (2.26 ) (20.83 ) (67.98 ) (5.23 ) 19.88 33.28
Change in net asset value from operations (2.31 ) (20.98 ) (68.27 ) (5.42 ) 19.72 32.94
Net asset value, at September 30, 2020 $ 24.49 $ 32.04 $ 38.77 $ 70.95 $ 40.99 $ 82.13
Market value per share, at December 31, 2019<br>† $ 26.80 $ 53.21 $ 107.20 $ 76.35 $ 21.29 $ 49.72
Market value per share, at September 30, 2020<br>† $ 24.49 $ 32.19 $ 39.24 $ 70.93 $ 40.68 $ 81.64
Total Return, at net asset value^ (8.6 )% (39.6 )% (63.8 )% (7.1 )% 92.8 % 67.0 %
Total Return, at market value^ (8.6 )% (39.5 )% (63.4 )% (7.1 )% 91.1 % 64.2 %
Ratios to Average Net Assets**
Expense ratio^^ 0.95 % 1.02 % 1.10 % 0.95 % 1.06 % 1.17 %
Net investment income gain (loss) (0.23 )% (0.54 )% (0.79 )% (0.33 )% (0.63 )% (0.57 )%
* See Note 1 of these Notes to Financial Statements.
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** Percentages are annualized.
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# 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.
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† 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.
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^ Percentages are not annualized for the period ended September 30, 2020.
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^^ The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
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NOTE 8 – RISK

Correlation and Compounding Risk

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from one-half the inverse (-0.5x), the inverse (-1x), two times the inverse (-2x), one and one-half times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the period. A Geared Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short or UltraShort), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Geared Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Geared Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective over time.

Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and one-half or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of an UltraShort Fund is designed to return two times the inverse (-2x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -0.5x,

-1x,

-2x, 1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.

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

Counterparty Risk

Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks.

Regulatory Treatment

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

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

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

Counterparty Credit Risk

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

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

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

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

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

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

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

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

Leverage Risk

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

For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and one-half times multiplier) include a two times the inverse (-2x), or a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50% at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund or upward single-day or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.

Liquidity Risk

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

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“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2019 may specify a January 2020 expiration. As that contract nears expiration, it may be replaced by selling the January 2020 contract and purchasing the contract expiring in March 2020. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.

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

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

In April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. If such event were to occur, and the price of the applicable futures contracts subsequently reversed, investors in the Short or an UltraShort Fund could suffer significant losses or lose their entire investment. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and may cause significant losses.

Change to Investment Strategies

In anticipation of the benchmark’s upcoming roll, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, each Oil Fund adjusted its portfolio exposure as described below.

• By the close of business on Tuesday, June 30, 2020, ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil Funds”), had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020.
• In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020.
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Following this portfolio transition each Oil Fund had exposure to WTI crude oil futures contracts that are not included in the current benchmark. The performance of each Fund should not be expected to correspond to two times (2x), or two times the inverse (-2x), as applicable, of the daily performance of its current benchmark. Each Fund’s performance could differ significantly from its stated investment objective.

In addition, to the extent an Oil Fund has exposure to longer-dated crude oil futures contracts or other Financial Instruments, the performance of the Fund should be expected to deviate to a greater extent from the “spot” price of crude oil than if the Fund had exposure to shorter-dated futures contracts or Financial Instruments. For these and other reasons, the Oil Funds should be expected to perform very differently from the spot price of crude oil and may underperform investments that are linked to the “spot” price of crude oil.

Change to the Oil Funds Benchmark Index

Effective September 17, 2020, the Oil Funds changed their benchmark from the Bloomberg WTI Crude Oil Subindex SM to the Bloomberg Commodity Balanced WTI Crude Oil Index SM (the “New Benchmark”). The investment objective of each of these two funds is to seek daily investment results, before fees and expenses, that correspond either to two times (2x) or two times the inverse (-2x), as applicable, of the daily performance of the New Benchmark for a single day, not for any other period.

In order to have exposure to the WTI crude oil futures contracts included in the New Benchmark in a manner designed to achieve its respective investment objective by the beginning of business on September 17, 2020, each Oil Fund transitioned half of its then current exposure to the December 2020 WTI crude oil futures contract into exposure to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020. As a result of this transition, each Oil Fund had approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the June 2021 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020.

Description of the New Benchmark

The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date, one-third of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below one-third between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.

The methodology for determining the composition of the New Benchmark and for calculating its level may be changed at any time by Bloomberg without notice. The daily performance of the New Benchmark is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker symbol: BCBCLI Index.

Natural Disaster/Epidemic Risk

Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these

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circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your investment.

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

The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. In March 2020, U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets. Contemporaneous with the onset of the COVID-19 pandemic in the US, oil experienced shocks to supply and demand, impacting the price and volatility of oil. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses.

Change to the VIX Funds Benchmark Indices

Change to VIX Futures Contracts Settlement Time \ Index Methodology.

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500 ® VIX Mid-Term Futures Index, the benchmark for ProShares VIX Mid-Term Futures ETF, and the S&P 500 ® VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.

Change to the Fund’s Net Asset Value (“NAV”) Calculation Time.

As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information

about the calculation of NAV is included in each Fund’s Prospectus.

Change to the VIX Funds Exchange Listing.

On December 16, 2020, each of the Matching VIX Funds and Geared VIX Funds transferred its listing from the NYSE Arca to the Cboe BZX Exchange.

NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.

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

This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.

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

Introduction

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2021, the following eighteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”.

On March 15, 2020 ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on or about April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020.

On April 3, 2020, the Trust announced a 1-for-25 reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Crude Oil (ticker symbol: UCO) and a 1-for-10 reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Natural Gas (ticker symbol: BOIL). The reverse splits were effective prior to market open on April 21, 2020, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulting in a proportionate increase in the price per share and per share information of these funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.

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

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

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

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

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

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

Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from -0.5x,

-1x,

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

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

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

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

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

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2021 and 2020, 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, 2021 Interest Income<br><br><br>Three Months<br><br><br>Ended<br><br><br>September 30, 2020 Interest Income<br><br><br>Nine Months<br><br><br>Ended<br><br><br>September 30, 2021 Interest Income<br><br><br>Nine Months<br><br><br>Ended<br><br><br>September 30, 2020
ProShares Short Euro $ 269 $ 127 $ 1,175 $ 7,776
ProShares Short VIX Short-Term Futures ETF 8,152 53,301 75,729 909,185
ProShares Ultra Bloomberg Crude Oil 86,370 50,356 365,778 1,817,563
ProShares Ultra Bloomberg Natural Gas 7,355 15,347 32,714 191,160
ProShares Ultra Euro 393 357 1,415 16,350
ProShares Ultra Gold 14,338 59,354 70,259 543,895
ProShares Ultra Silver 44,511 103,976 208,169 1,018,578
ProShares Ultra VIX Short-Term Futures ETF 11,979 88,621 328,504 1,601,884
ProShares Ultra Yen 260 171 923 9,100
ProShares UltraPro 3x Crude Oil ETF* — — — 346,326
ProShares UltraPro 3x Short Crude Oil ETF* — — — 166,789
ProShares UltraShort Australian Dollar 443 289 961 20,385
ProShares UltraShort Bloomberg Crude Oil 6,891 4,832 36,069 259,750
ProShares UltraShort Bloomberg Natural Gas 9,879 8,136 25,512 51,939
ProShares UltraShort Euro 5,008 18,939 17,814 486,623
ProShares UltraShort Gold 3,075 1,831 9,213 65,111
ProShares UltraShort Silver 3,100 3,192 8,895 48,379
ProShares UltraShort Yen 2,392 5,085 9,558 136,411
ProShares VIX <br>Mid-Term<br> Futures ETF 8,914 13,590 27,487 199,491
ProShares VIX Short-Term Futures ETF 11,739 34,770 91,187 1,117,617
* The operations include the activity of ProShares UltraPro 3x Crude Oil ETF through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through April 13, 2020, the date of liquidation, respectively.
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Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.

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

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

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

Market Risk

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

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

Credit Risk

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

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

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.

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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;
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• 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.
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Off-Balance Sheet Arrangements and Contractual Obligations

As of November 5, 2021, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

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

Critical Accounting Policies

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

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

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

For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended September 30, 2021.

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

Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is

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determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

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

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

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

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

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

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

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Results of Operations for the Three Months Ended September 30, 2021 Compared to the Three Months Ended September 30, 2020

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 2,159,102 $ 2,286,467
NAV end of period $ 2,206,818 $ 2,188,644
Percentage change in NAV 2.2 % (4.3 )%
Shares outstanding beginning of period 50,000 50,000
Shares outstanding end of period 50,000 50,000
Percentage change in shares outstanding — % — %
Shares created — —
Shares redeemed — —
Per share NAV beginning of period $ 43.18 $ 45.73
Per share NAV end of period $ 44.14 $ 43.77
Percentage change in per share NAV 2.3 % (4.3 )%
Percentage change in benchmark (2.3 )% 4.4 %
Benchmark annualized volatility 4.5 % 6.3 %

During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020.

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.3% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 4.3% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 2.3% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 4.4% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (5,003 ) $ (5,267 )
Management fee 5,193 5,247
Brokerage commission 79 82
Non-recurring<br> fees and expenses — 65
Net realized gain (loss) 57,489 (77,567 )
Change in net unrealized appreciation (depreciation) (4,770 ) (14,989 )
Net Income (loss) $ 47,716 $ (97,823 )

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2021.

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 588,615,946 $ 509,811,853
NAV end of period $ 388,523,845 $ 335,465,066
Percentage change in NAV (34.0 )% (34.2 )%
Shares outstanding beginning of period 10,584,307 16,234,307
Shares outstanding end of period 7,134,307 9,484,307
Percentage change in shares outstanding (32.6 )% (41.6 )%
Shares created 550,000 —
Shares redeemed 4,000,000 6,750,000
Per share NAV beginning of period $ 55.61 $ 31.40
Per share NAV end of period $ 54.46 $ 35.37
Percentage change in per share NAV (2.1 )% 12.6 %
Percentage change in benchmark (5,6 )% (26.3 )%
Benchmark annualized volatility 69.6 % 56.2 %

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500 ® VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.

As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.

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During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,584,307 outstanding Shares at June 30, 2021 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 16,234,307 outstanding Shares at June 30, 2020 to 9,484,307 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to 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, 2021 and 2020, 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 decrease of 2.1% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 12.6% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 5.6% for the three months ended September 30, 2021, as compared to the benchmark’s decline of 26.3% for the three months ended September 30, 2020, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (1,466,273 ) $ (1,544,734 )
Management fee 1,055,823 1,116,999
Brokerage commission 208,885 167,648
Non-recurring<br> fees and expenses — 22,038
Net realized gain (loss) 34,572,603 60,593,305
Change in net unrealized appreciation (depreciation) (43,349,844 ) (1,463,399 )
Net Income (loss) $ (10,243,514 ) $ 57,585,172

The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a lesser decrease in the value of futures prices during the three months ended September 30, 2021.

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ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 1,303,530,902 $ 1,508,661,459
NAV end of period $ 1,090,613,716 $ 1,195,885,056
Percentage change in NAV (16.3 )% (20.7 )%
Shares outstanding beginning of period 16,660,774 52,760,774
Shares outstanding end of period 12,910,774 41,610,774
Percentage change in shares outstanding (22.5 )% (21.1 )%
Shares created 950,000 21,500,000
Shares redeemed 4,700,000 32,650,000
Per share NAV beginning of period $ 78.24 $ 28.59
Per share NAV end of period $ 84.47 $ 28.74
Percentage change in per share NAV 8.0 % 0.5 %
Percentage change in benchmark 5.4 % 2.6 %
Benchmark annualized volatility 30.9 % 26.3 %

On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index SM (ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex SM . The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark.

The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date, one-third of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below one-third between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.

During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 16,660,774 outstanding Shares at June 30, 2021 to 12,910,774 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 52,760,774 outstanding Shares at June 30, 2020 to 41,610,774 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM .

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.0% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 0.5% for the three months ended September 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

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The benchmark’s rise of 5.4% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.6% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of WTI Crude Oil during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (3,130,493 ) $ (4,420,342 )
Management fee 2,775,351 3,210,517
Brokerage commission 198,498 600,233
Non-recurring<br> fees and expenses 27,500 24,637
Net realized gain (loss) 106,325,821 285,954,263
Change in net unrealized appreciation (depreciation) (16,878,588 ) (232,630,286 )
Net Income (loss) $ 86,316,740 $ 48,903,635

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of WTI Crude Oil during the three months ended September 30, 2021.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 70,213,227 $ 50,599,783
NAV end of period $ 145,038,381 $ 99,203,762
Percentage change in NAV 106.6 % 96.1 %
Shares outstanding beginning of period 1,987,527 1,787,527
Shares outstanding end of period 1,737,527 2,887,527
Percentage change in shares outstanding (12.6 )% 61.5 %
Shares created 1,150,000 4,350,000
Shares redeemed 1,400,000 3,250,000
Per share NAV beginning of period $ 35.33 $ 28.31
Per share NAV end of period $ 83.47 $ 34.36
Percentage change in per share NAV 136.3 % 21.4 %
Percentage change in benchmark 58.6 % 15.0 %
Benchmark annualized volatility 48.6 % 58.7 %

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During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 1,987,527 outstanding Shares at June 30, 2021 to 1,737,527 outstanding Shares at September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,787,527 outstanding Shares at June 30, 2020 to 2,887,527 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM .

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 136.3% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 21.4% for the three months ended September 30, 2020, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s rise of 58.6% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 15.0% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (212,510 ) $ (323,543 )
Management fee 161,130 199,772
Brokerage commission 40,472 106,449
Non-recurring<br> fees and expenses — 1,129
Net realized gain (loss) 33,925,723 41,156,156
Change in net unrealized appreciation (depreciation) 25,135,708 (4,754,827 )
Net Income (loss) $ 58,848,921 $ 36,077,786

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2021.

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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, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 3,668,741 $ 4,067,686
NAV end of period $ 3,479,104 $ 4,397,675
Percentage change in NAV (5.2 )% 8.1 %
Shares outstanding beginning of period 250,000 300,000
Shares outstanding end of period 250,000 300,000
Percentage change in shares outstanding — % — %
Shares created — 100,000
Shares redeemed — 100,000
Per share NAV beginning of period $ 14.67 $ 13.56
Per share NAV end of period $ 13.92 $ 14.66
Percentage change in per share NAV (5.1 )% 8.1 %
Percentage change in benchmark (2.3 )% 4.4 %
Benchmark annualized volatility 4.5 % 6.3 %

During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2021 to September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020.

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.1% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 8.1% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 2.3% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 4.4% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (8,271 ) $ (12,155 )
Management fee 8,664 12,404
Non-recurring<br> fees and expenses — 108
Net realized gain (loss) (254,219 ) 441,714
Change in net unrealized appreciation (depreciation) 72,853 (84,317 )
Net Income (loss) $ (189,637 ) $ 345,242

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The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2021.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 243,456,703 $ 165,689,050
NAV end of period $ 230,917,847 $ 275,450,606
Percentage change in NAV (5.2 )% 66.2 %
Shares outstanding beginning of period 4,250,000 2,550,000
Shares outstanding end of period 4,150,000 4,000,000
Percentage change in shares outstanding (2.4 )% 56.9 %
Shares created 250,000 1,700,000
Shares redeemed 350,000 250,000
Per share NAV beginning of period $ 57.28 $ 64.98
Per share NAV end of period $ 55.64 $ 68.86
Percentage change in per share NAV (2.9 )% 6.0 %
Percentage change in benchmark (1.0 )% 3.6 %
Benchmark annualized volatility 13.8 % 25.4 %

During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The decrease in the Fund’s NAV also resulted in part from a decrease from 4,250,000 outstanding Shares at June 30, 2021 to 4,150,000 outstanding Shares at September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 2,550,000 outstanding Shares at June 30, 2020 to 4,000,000 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM .

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.9% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 6.0% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 1.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 3.6% for the three months ended September 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (596,194 ) $ (617,991 )
Management fee 582,103 640,992
Brokerage commission 9,421 12,115
Non-recurring<br> fees and expenses — 3,751
Net realized gain (loss) (21,858,089 ) 25,742,296
Change in net unrealized appreciation (depreciation) 15,574,284 (18,054,591 )
Net Income (loss) $ (6,879,999 ) $ 7,069,714

The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the three months ended September 30, 2021.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 661,778,727 $ 249,671,968
NAV end of period $ 480,309,476 $ 620,883,156
Percentage change in NAV (27.4 )% 148.7 %
Shares outstanding beginning of period 14,396,526 8,446,526
Shares outstanding end of period 15,146,526 14,696,526
Percentage change in shares outstanding 5.2 % 74.0 %
Shares created 1,050,000 8,050,000
Shares redeemed 300,000 1,800,000
Per share NAV beginning of period $ 45.97 $ 29.56
Per share NAV end of period $ 31.71 $ 42.25
Percentage change in per share NAV (31.0 )% 42.9 %
Percentage change in benchmark (16.0 )% 25.1 %
Benchmark annualized volatility 26.7 % 33.8 %

During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 14,396,526 outstanding Shares at June 30, 2021 to 15,146,526 outstanding Shares at September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 8,446,526 outstanding Shares at June 30, 2020 to 14,696,526 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM .

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For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 31.0% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 42.9% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 16.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 25.1% for the three months ended September 30, 2020, can be attributed to a decrease in the value of silver futures contracts during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (1,424,705 ) $ (1,497,215 )
Management fee 1,394,627 1,462,400
Brokerage commission 27,419 54,812
Non-recurring<br> fees and expenses — 3,943
Net realized gain (loss) (201,320,030 ) 290,238,797
Change in net unrealized appreciation (depreciation) (6,018,290 ) (199,313,772 )
Net Income (loss) $ (208,763,025 ) $ 89,427,810

The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the three months ended September 30, 2021.

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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, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 840,870,703 $ 992,156,607
NAV end of period $ 1,020,845,873 $ 1,307,611,521
Percentage change in NAV 21.4 % 31.8 %
Shares outstanding beginning of period 30,128,420 3,013,091
Shares outstanding end of period 41,778,420 6,488,091
Percentage change in shares outstanding 38.7 % 115.3 %
Shares created 37,800,000 4,280,000
Shares redeemed 26,150,000 805,000
Per share NAV beginning of period $ 27.91 $ 329.28
Per share NAV end of period $ 24.43 $ 201.54
Percentage change in per share NAV (12.5 )% (38.8 )%
Percentage change in benchmark (5.6 )% (26.3 )%
Benchmark annualized volatility 69.6 % 56.2 %

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500 ® VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.

As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.

During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 30,128,420 outstanding Shares at June 30, 2021 to 41,778,420 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 3,013,091 outstanding Shares at June 30, 2020 to 6,488,091 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2021 and 2020, 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 12.5% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 38.8% for the three months ended September 30, 2020, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 5.6% for the three months ended September 30, 2021, as compared to the benchmark’s decline of 26.3% for the three months ended September 30, 2020, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (3,993,799 ) $ (5,136,994 )
Management fee 2,221,755 2,969,740
Brokerage commission 1,095,975 1,102,235
Non-recurring<br> fees and expenses — 10,480
Net realized gain (loss) (198,380,990 ) (559,537,850 )
Change in net unrealized appreciation (depreciation) 186,742,221 15,303,127
Net Income (loss) $ (15,632,568 ) $ (549,371,717 )

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a lesser decrease in the value of futures prices, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2021.

* 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.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 2,560,348 $ 2,764,355
NAV end of period $ 2,539,880 $ 2,882,680
Percentage change in NAV (0.8 )% 4.3 %
Shares outstanding beginning of period 49,970 49,970
Shares outstanding end of period 49,970 49,970
Percentage change in shares outstanding — % — %
Shares created — —
Shares redeemed — —
Per share NAV beginning of period $ 51.24 $ 55.32
Per share NAV end of period $ 50.83 $ 57.69
Percentage change in per share NAV (0.8 )% 4.3 %
Percentage change in benchmark (0.2 )% 2.4 %
Benchmark annualized volatility 5.5 % 5.8 %

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

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For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 4.3% for the three months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 0.2% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.4% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (5,973 ) $ (6,720 )
Management fee 6,233 6,813
Non-recurring<br> fees and expenses — 78
Net realized gain (loss) (25,554 ) 126,569
Change in net unrealized appreciation (depreciation) 11,059 (1,524 )
Net Income (loss) $ (20,468 ) $ 118,325

The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2021.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 2,304,732 $ 5,614,042
NAV end of period $ 4,914,269 $ 5,173,668
Percentage change in NAV 113.2 % (7.8 )%
Shares outstanding beginning of period 50,000 100,000
Shares outstanding end of period 100,000 100,000
Percentage change in shares outstanding 100.0 % — %
Shares created 50,000 —
Shares redeemed — —
Per share NAV beginning of period $ 46.09 $ 56.14
Per share NAV end of period $ 49.14 $ 51.74
Percentage change in per share NAV 6.6 % (7.8 )%
Percentage change in benchmark (3.6 )% 3.8 %
Benchmark annualized volatility 8.8 % 9.0 %

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During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 50,000 outstanding Shares at June 30, 2021 to 100,000 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2020 to September 30, 2020.

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.6% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 7.8% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 3.6% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 3.8% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the Australian dollar versus the U.S. dollar during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (9,379 ) $ (13,294 )
Management fee 8,860 12,478
Brokerage commission 962 928
Non-recurring<br> fees and expenses — 177
Net realized gain (loss) 188,884 (432,100 )
Change in net unrealized appreciation (depreciation) 56,770 5,020
Net Income (loss) $ 236,275 $ (440,374 )

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2021.

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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, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 79,400,059 $ 117,821,898
NAV end of period $ 93,575,213 $ 80,418,166
Percentage change in NAV 17.9 % (31.7 )%
Shares outstanding beginning of period 4,383,799 1,609,971
Shares outstanding end of period 6,183,799 1,209,971
Percentage change in shares outstanding 41.1 % (24.8 )%
Shares created 3,350,000 1,075,000
Shares redeemed 1,550,000 1,475,000
Per share NAV beginning of period $ 18.11 $ 73.18
Per share NAV end of period $ 15.13 $ 66.46
Percentage change in per share NAV (16.5 )% (9.2 )%
Percentage change in benchmark 5.4 % 2.6 %
Benchmark annualized volatility 30.9 % 26.3 %

On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark. The ProShares UltraShort Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund is the Bloomberg Commodity Balanced WTI Crude Oil Index SM (ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex SM . The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the New Benchmark.

The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date, one-third of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below one-third between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.

During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 4,383,799 outstanding Shares at June 30, 2021 to 6,183,799 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,609,971 outstanding Shares at June 30, 2020 to 1,209,971 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM .

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.5% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 9.2% for the three months ended September 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

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The benchmark’s rise of 5.4% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.6% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of WTI Crude Oil during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (241,725 ) $ (342,320 )
Management fee 201,146 238,038
Brokerage commission 29,277 64,657
Non-recurring<br> fees and expenses — 4,892
Net realized gain (loss) (11,449,562 ) (16,296,829 )
Change in net unrealized appreciation (depreciation) (1,520,893 ) 5,848,114
Net Income (loss) $ (13,212,180 ) $ (10,791,035 )

The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of WTI Crude Oil during the three months ended September 30, 2021.

* 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 UltraShort Bloomberg Crude Oil.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 97,525,300 $ 28,552,210
NAV end of period $ 138,468,677 $ 46,937,986
Percentage change in NAV 42.0 % 64.4 %
Shares outstanding beginning of period 4,524,832 424,832
Shares outstanding end of period 19,724,832 1,224,832
Percentage change in shares outstanding 335.9 % 188.3 %
Shares created 20,500,000 3,200,000
Shares redeemed 5,300,000 2,400,000
Per share NAV beginning of period $ 21.55 $ 67.21
Per share NAV end of period $ 7.02 $ 38.32
Percentage change in per share NAV (67.4 )% (43.0 )%
Percentage change in benchmark 58.6 % 15.0 %
Benchmark annualized volatility 48.6 % 58.7 %

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During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 4,524,832 outstanding Shares at June 30, 2021 to 19,724,832 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 424,832 outstanding Shares at June 30, 2020 to 1,224,832 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM .

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 67.4% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 43.0% for the three months ended September 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s rise of 58.6% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 15.0% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (358,817 ) $ (249,586 )
Management fee 258,824 138,507
Brokerage commission 67,808 98,416
Non-recurring<br> fees and expenses — 345
Net realized gain (loss) (95,609,878 ) (31,449,992 )
Change in net unrealized appreciation (depreciation) (17,871,536 ) 8,969,137
Net Income (loss) $ (113,840,231 ) $ (22,730,441 )

The Fund’s net income decreased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2021.

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ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 48,820,440 $ 78,848,965
NAV end of period $ 48,640,817 $ 68,577,533
Percentage change in NAV (0.4 )% (13.0 )%
Shares outstanding beginning of period 2,050,000 2,950,000
Shares outstanding end of period 1,950,000 2,800,000
Percentage change in shares outstanding (4.9 )% (5.1 )%
Shares created 100,000 1,000,000
Shares redeemed 200,000 1,150,000
Per share NAV beginning of period $ 23.81 $ 26.73
Per share NAV end of period $ 24.94 $ 24.49
Percentage change in per share NAV 4.8 % (8.4 )%
Percentage change in benchmark (2.3 )% 4.4 %
Benchmark annualized volatility 4.5 % 6.3 %

During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,050,000 outstanding Shares at June 30, 2021 to 1,950,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,950,000 outstanding Shares at June 30, 2020 to 2,800,000 outstanding Shares at September 30, 2020.

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 8.4% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 2.3% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 4.4% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (111,725 ) $ (144,828 )
Management fee 116,733 161,145
Non-recurring<br> fees and expenses — 2,622
Net realized gain (loss) 2,974,466 (7,511,167 )
Change in net unrealized appreciation (depreciation) (617,958 ) 1,525,791
Net Income (loss) $ 2,244,783 $ (6,130,204 )

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The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended September 30, 2021.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 32,835,014 $ 15,851,043
NAV end of period $ 27,731,022 $ 27,139,981
Percentage change in NAV (15.5 )% 71.2 %
Shares outstanding beginning of period 946,977 446,977
Shares outstanding end of period 796,977 846,977
Percentage change in shares outstanding (15.8 )% 89.5 %
Shares created 650,000 750,000
Shares redeemed 800,000 350,000
Per share NAV beginning of period $ 34.67 $ 35.46
Per share NAV end of period $ 34.80 $ 32.04
Percentage change in per share NAV 0.4 % (9.6 )%
Percentage change in benchmark (1.0 )% 3.6 %
Benchmark annualized volatility 13.8 % 19.1 %

During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 946,977 outstanding Shares at June 30, 2021 to 796,977 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 446,977 outstanding Shares at June 30, 2020 to 846,977 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM .

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.4% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 9.6% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 1.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 3.6% for the three months ended September 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (68,386 ) $ (47,471 )
Management fee 66,304 45,591
Brokerage commission 3,301 1,980
Non-recurring<br> fees and expenses — 499
Net realized gain (loss) 1,213,721 (4,021,537 )
Change in net unrealized appreciation (depreciation) (1,898,419 ) 2,689,061
Net Income (loss) $ (753,084 ) $ (1,379,947 )

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the futures prices during the three months ended September 30, 2021.

ProShares UltraShort Silver *

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 34,859,763 $ 10,145,625
NAV end of period $ 40,373,877 $ 51,055,675
Percentage change in NAV 15.8 % 403.2 %
Shares outstanding beginning of period 1,491,329 129,244
Shares outstanding end of period 1,291,329 1,316,744
Percentage change in shares outstanding (13.4 )% 918.8 %
Shares created 1,000,000 2,825,000
Shares redeemed 1,200,000 1,637,500
Per share NAV beginning of period $ 23.37 $ 78.50
Per share NAV end of period $ 31.27 $ 38.77
Percentage change in per share NAV 33.8 % (50.6 )%
Percentage change in benchmark (16.0 )% 25.1 %
Benchmark annualized volatility 26.7 % 57.7 %

During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 1,491,329 outstanding Shares at June 30, 2021 to 1,291,329 outstanding Shares at September 30, 2021. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 129,244 outstanding Shares at June 30, 2020 to 1,316,744 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM .

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For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 33.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 50.6% for the three months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 16.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 25.1% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the silver futures contracts during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (102,532 ) $ (94,990 )
Management fee 90,963 84,377
Brokerage commission 8,141 8,539
Non-recurring<br> fees and expenses — 321
Net realized gain (loss) 6,662,145 (15,896,820 )
Change in net unrealized appreciation (depreciation) 3,922,596 11,129,734
Net Income (loss) $ 10,482,209 $ (4,862,076 )

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the three months ended September 30, 2021.

* 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 UltraShort Silver.

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ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 27,231,748 $ 29,787,034
NAV end of period $ 23,328,922 $ 24,780,763
Percentage change in NAV (14.3 )% (16.8 )%
Shares outstanding beginning of period 349,290 399,290
Shares outstanding end of period 299,290 349,290
Percentage change in shares outstanding (14.3 )% (12.5 )%
Shares created — —
Shares redeemed 50,000 50,000
Per share NAV beginning of period $ 77.96 $ 74.60
Per share NAV end of period $ 77.95 $ 70.95
Percentage change in per share NAV (0.0 )%@ (4.9 )%
Percentage change in benchmark (0.2 )% 2.4 %
Benchmark annualized volatility 5.5 % 5.8 %
@ Amount represents greater than (0.05)%.
--- ---

During the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 349,290 outstanding Shares at June 30, 2021 to 299,290 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times 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, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 399,290 outstanding Shares at June 30, 2020 to 349,290 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.0% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 4.9% for the three months ended September 30, 2020, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 0.2% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 2.4% for the three months ended September 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (54,645 ) $ (55,870 )
Management fee 57,037 60,238
Non-recurring<br> fees and expenses — 717
Net realized gain (loss) 197,444 (1,451,651 )
Change in net unrealized appreciation (depreciation) (189,932 ) 201,521
Net Income (loss) $ (47,133 ) $ (1,306,000 )

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The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2021.

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, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 92,662,734 $ 59,085,470
NAV end of period $ 127,673,137 $ 101,957,520
Percentage change in NAV 37.7 % 72.6 %
Shares outstanding beginning of period 3,037,403 1,462,403
Shares outstanding end of period 3,962,403 2,487,403
Percentage change in shares outstanding 30.5 % 70.1 %
Shares created 1,200,000 1,150,000
Shares redeemed 275,000 125,000
Per share NAV beginning of period $ 30.51 $ 40.40
Per share NAV end of period $ 32.22 $ 40.99
Percentage change in per share NAV 5.6 % 1.5 %
Percentage change in benchmark 6.0 % 1.8 %
Benchmark annualized volatility 22.9 % 26.2 %

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500 ® VIX Short-Term Futures Index, the benchmark for ProShares VIX Mid-Term Futures ETF, to reflect the new settlement time.

As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.

During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 3,037,403 outstanding Shares at June 30, 2021 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,462,403 outstanding Shares at June 30, 2020 to 2,487,403 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

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For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.6% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 1.5% for the three months ended September 30, 2020, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s rise of 6.0% for the three months ended September 30, 2021, as compared to the benchmark’s rise of 1.8% for the three months ended September 30, 2020, can be attributed to a greater increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (262,156 ) $ (204,460 )
Management fee 221,356 172,587
Brokerage commission 20,803 19,350
Net realized gain (loss) (4,024,133 ) 755,845
Change in net unrealized appreciation (depreciation) 10,652,952 1,752,080
Net Income (loss) $ 6,366,663 $ 2,303,465

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a greater increase in the value of the futures prices during the three months ended September 30, 2021.

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, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 272,352,675 $ 221,343,175
NAV end of period $ 368,777,333 $ 279,272,297
Percentage change in NAV 35.3 % 26.2 %
Shares outstanding beginning of period 11,307,826 1,981,579
Shares outstanding end of period 16,257,826 3,400,329
Percentage change in shares outstanding 43.8 % 71.6 %
Shares created 6,300,000 1,662,500
Shares redeemed 1,350,000 243,750
Per share NAV beginning of period $ 24.09 $ 111.70
Per share NAV end of period $ 22.68 $ 82.13
Percentage change in per share NAV (5.8 )% (26.5 )%
Percentage change in benchmark (5.6 )% (26.3 )%
Benchmark annualized volatility 69.6 % 56.2 %

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On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500 ® VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.

As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.

During the three months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 11,307,826 outstanding Shares at June 30, 2021 to 16,257,826 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 1,981,579 outstanding Shares at June 30, 2020 to 3,400,329 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.8% for the three months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 26.5% for the three months ended September 30, 2020, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2021.

The benchmark’s decline of 5.6% for the three months ended September 30, 2021, as compared to the benchmark’s decline of 26.3% for the three months ended September 30, 2020, can be attributed to a lesser decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2021 and 2020:

Three Months Ended<br><br><br>September 30, 2021 Three Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (897,586 ) $ (758,225 )
Management fee 660,051 560,301
Brokerage commission 97,516 66,969
Net realized gain (loss) (51,868,433 ) (75,120,135 )
Change in net unrealized appreciation (depreciation) 42,168,297 556,466
Net Income (loss) $ (10,597,722 ) $ (75,321,894 )

The Fund’s net income increased for the three months ended September 30, 2021 as compared to the three months ended September 30, 2020, primarily due to a lesser decrease in the value of the futures prices, in conjunction with the timing of shareholder activity, during the three months ended September 30, 2021.

* 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, 2021 Compared to the Nine Months Ended September 30, 2020

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 4,191,955 $ 2,282,195
NAV end of period $ 2,206,818 $ 2,188,644
Percentage change in NAV (47.4 )% (4.1 )%
Shares outstanding beginning of period 100,000 50,000
Shares outstanding end of period 50,000 50,000
Percentage change in shares outstanding (50.0 )% – %
Shares created — —
Shares redeemed 50,000 —
Per share NAV beginning of period $ 41.92 $ 45.64
Per share NAV end of period $ 44.14 $ 43.77
Percentage change in per share NAV 5.2 % (4.1 )%
Percentage change in benchmark (5.2 )% 4.5 %
Benchmark annualized volatility 5.6 % 7.9 %

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 100,000 outstanding Shares at December 31, 2020 to 50,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) 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, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to September 30, 2020.

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.2% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 4.1% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 5.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 4.5% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (18,442 ) $ (8,827 )
Management fee 19,278 16,266
Brokerage commission 339 272
Non-recurring<br> fees and expenses — 65
Net realized gain (loss) 88,710 (116,225 )
Change in net unrealized appreciation (depreciation) 91,407 31,501
Net Income (loss) $ 161,675 $ (93,551 )

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2021.

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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, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 409,371,468 $ 284,437,179
NAV end of period $ 388,523,845 $ 335,465,066
Percentage change in NAV (5.1 )% 17.9 %
Shares outstanding beginning of period 9,884,307 4,334,307
Shares outstanding end of period 7,134,307 9,484,307
Percentage change in shares outstanding (27.8 )% 118.8 %
Shares created 3,400,000 25,850,000
Shares redeemed 6,150,000 20,700,000
Per share NAV beginning of period $ 41.42 $ 65.62
Per share NAV end of period $ 54.46 $ 35.37
Percentage change in per share NAV 31.5 % (46.1 )%
Percentage change in benchmark (58.4 )% 68.5 %
Benchmark annualized volatility 73.8 % 112.9 %

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500 ® VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time.

As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,884,307 outstanding Shares at December 31, 2020 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,334,307 outstanding Shares at December 31, 2019 to 9,484,307 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 31.5% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 46.1% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 58.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 68.5% for the nine months ended September 30, 2020, 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, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (4,774,396 ) $ (4,043,310 )
Management fee 3,415,545 3,592,232
Brokerage commission 638,744 585,356
Non-recurring<br> fees and expenses — 22,038
Net realized gain (loss) 168,119,037 (129,092,294 )
Change in net unrealized appreciation (depreciation) (14,532,856 ) (2,709,070 )
Net Income (loss) $ 148,811,785 $ (135,844,674 )

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2021.

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ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 902,739,250 $ 309,844,582
NAV end of period $ 1,090,613,716 $ 1,195,885,056
Percentage change in NAV 20.8 % 286.0 %
Shares outstanding beginning of period 24,810,774 608,453
Shares outstanding end of period 12,910,774 41,610,774
Percentage change in shares outstanding (48.0 )% 6,738.8 %
Shares created 4,350,000 109,662,000
Shares redeemed 16,250,000 68,659,679
Per share NAV beginning of period $ 36.38 $ 509.23
Per share NAV end of period $ 84.47 $ 28.74
Percentage change in per share NAV 132.2 % (94.4 )%
Percentage change in benchmark 58.2 % (33.6 )%
Benchmark annualized volatility 29.1 % 90.6 %

On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude Oil Fund would change its benchmark. The ProShares Ultra Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg Commodity Balanced WTI Crude Oil Index SM (ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares Ultra Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex SM . The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times (2x) of the daily performance of the New Benchmark.

The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date, one-third of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below one-third between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.

During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index SM . The increase in the Fund’s NAV was offset by a decrease from 24,810,774 outstanding Shares at December 31, 2020 to 12,910,774 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 608,453 outstanding Shares at December 31, 2019 to 41,610,774 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM .

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For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 132.2% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 94.4% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s rise of 58.2% for the nine months ended September 30, 2021, as compared to the benchmark’s decline of 33.6% for the nine months ended September 30, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (9,100,359 ) $ (8,010,293 )
Management fee 8,104,728 6,887,044
Brokerage commission 701,710 1,744,115
Non-recurring<br> fees and expenses 27,500 24,637
Net realized gain (loss) 761,182,708 (891,020,242 )
Change in net unrealized appreciation (depreciation) 176,076,207 106,126,899
Net Income (loss) $ 928,158,556 $ (792,903,636 )

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to an increase in the value of WTI Crude Oil during the nine months ended September 30, 2021.

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ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 169,800,371 $ 45,160,205
NAV end of period $ 145,038,381 $ 99,203,762
Percentage change in NAV (14.6 )% 119.7 %
Shares outstanding beginning of period 8,087,527 537,815
Shares outstanding end of period 1,737,527 2,887,527
Percentage change in shares outstanding (78.5 )% 436.9 %
Shares created 5,200,000 5,835,000
Shares redeemed 11,550,000 3,485,288
Per share NAV beginning of period $ 21.00 $ 83.97
Per share NAV end of period $ 83.47 $ 34.36
Percentage change in per share NAV 297.6 % (59.1 )%
Percentage change in benchmark 113.0 % (28.5 )%
Benchmark annualized volatility 40.5 % 53.5 %

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 1,737,527 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by a decrease from 537,815 outstanding Shares at December 31, 2019 to 2,887,527 outstanding Shares at September 30, 2020.

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 297.6% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 59.1% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

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The benchmark’s rise of 113.0% for the nine months ended September 30, 2021, as compared to the benchmark’s decline of 28.5% for the nine months ended September 30, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (845,018 ) $ (447,190 )
Management fee 568,903 378,784
Brokerage commission 195,831 214,255
Non-recurring<br> fees and expenses — 1,129
Net realized gain (loss) 80,409,947 2,226,367
Change in net unrealized appreciation (depreciation) 35,684,757 (4,338,592 )
Net Income (loss) $ 115,249,686 $ (2,559,415 )

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas during the nine months ended September 30, 2021.

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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, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 4,737,350 $ 6,204,424
NAV end of period $ 3,479,104 $ 4,397,675
Percentage change in NAV (26.6 )% (29.1 )%
Shares outstanding beginning of period 300,000 450,000
Shares outstanding end of period 250,000 300,000
Percentage change in shares outstanding (16.7 )% (33.3 )%
Shares created 100,000 200,000
Shares redeemed 150,000 350,000
Per share NAV beginning of period $ 15.79 $ 13.79
Per share NAV end of period $ 13.92 $ 14.66
Percentage change in per share NAV (11.9 )% 6.3 %
Percentage change in benchmark (5.2 )% 4.5 %
Benchmark annualized volatility 5.6 % 7.9 %

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2020 to 250,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 450,000 outstanding Shares at December 31, 2019 to 300,000 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.9% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 6.3% for the nine months ended September 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

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The benchmark’s decline of 5.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 4.5% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (26,743 ) $ (17,610 )
Management fee 28,158 33,852
Non-recurring<br> fees and expenses — 108
Net realized gain (loss) (186,149 ) 369,811
Change in net unrealized appreciation (depreciation) (251,418 ) (208,451 )
Net Income (loss) $ (464,310 ) $ 143,750

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2021.

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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, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 263,540,473 $ 110,726,032
NAV end of period $ 230,917,847 $ 275,450,606
Percentage change in NAV (12.4 )% 148.8 %
Shares outstanding beginning of period 3,900,000 2,250,000
Shares outstanding end of period 4,150,000 4,000,000
Percentage change in shares outstanding 6.4 % 77.8 %
Shares created 1,250,000 3,150,000
Shares redeemed 1,000,000 1,400,000
Per share NAV beginning of period $ 67.57 $ 49.21
Per share NAV end of period $ 55.64 $ 68.86
Percentage change in per share NAV (17.7 )% 39.9 %
Percentage change in benchmark (7.9 )% 21.4 %
Benchmark annualized volatility 15.7 % 22.6 %

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 4,150,000 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 2,250,000 outstanding Shares at December 31, 2019 to 4,000,000 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM .

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 17.7% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 39.9% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 7.9% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 21.4% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (1,745,829 ) $ (789,004 )
Management fee 1,718,350 1,269,866
Brokerage commission 32,974 28,599
Non-recurring<br> fees and expenses — 3,751
Net realized gain (loss) (27,599,609 ) 51,605,680
Change in net unrealized appreciation (depreciation) (19,136,522 ) (11,258,939 )
Net Income (loss) $ (48,481,960 ) $ 39,557,737

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2021.

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ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 745,304,028 $ 239,254,842
NAV end of period $ 480,309,476 $ 620,883,156
Percentage change in NAV (35.6 )% 159.5 %
Shares outstanding beginning of period 14,696,526 7,546,526
Shares outstanding end of period 15,146,526 14,696,526
Percentage change in shares outstanding 3.1 % 94.7 %
Shares created 4,450,000 10,300,000
Shares redeemed 4,000,000 3,150,000
Per share NAV beginning of period $ 50.71 $ 31.70
Per share NAV end of period $ 31.71 $ 42.25
Percentage change in per share NAV (37.5 )% 33.3 %
Percentage change in benchmark (17.0 )% 27.4 %
Benchmark annualized volatility 33.0 % 48.6 %

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 14,696,526 outstanding Shares at December 31, 2020 to 15,146,526 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 7,546,526 outstanding Shares at December 31, 2019 to 14,696,526 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM .

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 37.5% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 33.3% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 17.0% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 27.4% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of silver futures contracts during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (4,805,716 ) $ (1,555,626 )
Management fee 4,640,919 2,369,293
Brokerage commission 114,716 99,986
Non-recurring<br> fees and expenses — 3,943
Net realized gain (loss) (80,038,809 ) 297,927,456
Change in net unrealized appreciation (depreciation) (192,156,316 ) (215,073,543 )
Net Income (loss) $ (277,000,841 ) $ 81,298,287

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2021.

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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, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 1,356,204,199 $ 527,636,003
NAV end of period $ 1,020,845,873 $ 1,307,611,521
Percentage change in NAV (24.7 )% 147.8 %
Shares outstanding beginning of period 12,713,091 4,163,091
Shares outstanding end of period 41,778,420 6,488,091
Percentage change in shares outstanding 228.6 % 55.8 %
Shares created 70,385,000 7,755,000
Shares redeemed 41,319,671 5,430,000
Per share NAV beginning of period $ 106.68 $ 126.74
Per share NAV end of period $ 24.43 $ 201.54
Percentage change in per share NAV (77.1 )% 59.0 %
Percentage change in benchmark (58.4 )% 68.5 %
Benchmark annualized volatility 73.8 % 112.9 %

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500 ® VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term Futures ETF, to reflect the new settlement time.

As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 12,713,091 outstanding Shares at December 31, 2020 to 41,778,420 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 4,163,091 outstanding Shares at December 31, 2019 to 6,488,091 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 77.1% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 59.0% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 58.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 68.5% for the nine months ended September 30, 2020, 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, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (16,038,632 ) $ (7,952,015 )
Management fee 8,897,953 5,646,893
Brokerage commission 4,225,879 2,282,095
Non-recurring<br> fees and expenses — 10,480
Net realized gain (loss) (1,757,407,418 ) 58,666,590
Change in net unrealized appreciation (depreciation) 146,498,138 66,319,163
Net Income (loss) $ (1,626,947,912 ) $ 117,033,738

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2021.

* 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, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 2,989,499 $ 5,580,964
NAV end of period $ 2,539,880 $ 2,882,680
Percentage change in NAV (15.0 )% (48.3 )%
Shares outstanding beginning of period 49,970 99,970
Shares outstanding end of period 49,970 49,970
Percentage change in shares outstanding — % (50.0 )%
Shares created — —
Shares redeemed — 50,000
Per share NAV beginning of period $ 59.83 $ 55.83
Per share NAV end of period $ 50.83 $ 57.69
Percentage change in per share NAV (15.0 )% 3.3 %
Percentage change in benchmark (7.2 )% 3.0 %
Benchmark annualized volatility 5.2 % 10.2 %

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to September 30, 2021. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 99,970 outstanding Shares at December 31, 2019 to 49,970 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 3.3% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 7.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 3.0% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (18,221 ) $ (11,633 )
Management fee 19,144 20,655
Non-recurring<br> fees and expenses — 78
Net realized gain (loss) (305,028 ) 11,333
Change in net unrealized appreciation (depreciation) (126,370 ) 48,030
Net Income (loss) $ (449,619 ) $ 47,730

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2021.

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ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 2,222,639 $ 5,608,612
NAV end of period $ 4,914,269 $ 5,173,668
Percentage change in NAV 121.1 % (7.8 )%
Shares outstanding beginning of period 50,000 100,000
Shares outstanding end of period 100,000 100,000
Percentage change in shares outstanding 100.0 % — %
Shares created 50,000 —
Shares redeemed — —
Per share NAV beginning of period $ 44.45 $ 56.09
Per share NAV end of period $ 49.14 $ 51.74
Percentage change in per share NAV 10.6 % (7.8 )%
Percentage change in benchmark (6.2 )% 2.1 %
Benchmark annualized volatility 9.5 % 13.0 %

During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 50,000 outstanding Shares at December 31, 2020 to 100,000 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2019 to September 30, 2020.

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.6% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 7.8% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 6.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 2.1% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the Australian dollar versus the U.S. dollar during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (19,952 ) $ (26,054 )
Management fee 19,191 42,496
Brokerage commission 1,722 3,766
Non-recurring<br> fees and expenses — 177
Net realized gain (loss) 17,207 (799,054 )
Change in net unrealized appreciation (depreciation) 321,113 390,164
Net Income (loss) $ 318,368 $ (434,944 )

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2021.

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ProShares UltraShort Bloomberg Crude Oil *

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 96,839,233 $ 125,451,681
NAV end of period $ 93,575,213 $ 80,418,166
Percentage change in NAV (3.4 )% (35.9 )%
Shares outstanding beginning of period 2,084,971 2,572,471
Shares outstanding end of period 6,183,799 1,209,971
Percentage change in shares outstanding 196.6 % (53.0 )%
Shares created 7,237,500 6,662,500
Shares redeemed 3,138,672 8,025,000
Per share NAV beginning of period $ 46.45 $ 48.77
Per share NAV end of period $ 15.13 $ 66.46
Percentage change in per share NAV (67.4 )% 36.3 %
Percentage change in benchmark 58.2 % (33.6 )%
Benchmark annualized volatility 29.1 % 90.6 %

On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg Crude Oil Fund would change its benchmark. The ProShares UltraShort Bloomberg Crude Oil Fund struck its NAV using its new benchmark for the first time on September 17, 2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund is the Bloomberg Commodity Balanced WTI Crude Oil Index SM (ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for the ProShares UltraShort Bloomberg Crude Oil Fund was the Bloomberg WTI Crude Oil Subindex SM . The investment objective of Fund is to seek daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the New Benchmark.

The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date, one-third of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below one-third between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil.

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index SM . The decrease in the Fund’s NAV was offset by an increase from 2,084,971 outstanding Shares at December 31, 2020 to 6,183,799 outstanding Shares at September 30, 2021. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,572,471 outstanding Shares at December 31, 2019 to 1,209,971 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM .

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For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 67.4% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 36.3% for the nine months ended September 30, 2020, was primarily due to depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s rise of 58.2% for the nine months ended September 30, 2021, as compared to the benchmark’s decline of 33.6% for the nine months ended September 30, 2020, can be attributed to an increase in the value of WTI Crude Oil during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (751,650 ) $ (1,155,759 )
Management fee 603,444 789,307
Brokerage commission 100,902 488,442
Non-recurring<br> fees and expenses — 4,892
Net realized gain (loss) (86,637,748 ) 28,429,826
Change in net unrealized appreciation (depreciation) (5,829,481 ) 7,227,746
Net Income (loss) $ (93,218,879 ) $ 34,501,813

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to an increase in the value of WTI Crude Oil during the nine months ended September 30, 2021.

* 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 UltraShort Bloomberg Crude Oil.

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ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 24,977,745 $ 12,515,603
NAV end of period $ 138,468,677 $ 46,937,986
Percentage change in NAV 454.4 % 275.0 %
Shares outstanding beginning of period 524,832 324,832
Shares outstanding end of period 19,724,832 1,224,832
Percentage change in shares outstanding 3,658.3 % 277.1 %
Shares created 28,050,000 4,400,000
Shares redeemed 8,850,000 3,500,000
Per share NAV beginning of period $ 47.59 $ 38.53
Per share NAV end of period $ 7.02 $ 38.32
Percentage change in per share NAV (85.3 )% (0.5 )%
Percentage change in benchmark 113.0 % (28.5 )%
Benchmark annualized volatility 40.5 % 53.5 %

During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 524,832 outstanding Shares at December 31, 2020 to 19,724,832 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 324,832 outstanding Shares at December 31, 2019 to 1,224,832 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM .

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 85.3% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 0.5% for the nine months ended September 30, 2020, was primarily due to greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s rise of 113.0% for the nine months ended September 30, 2021, as compared to the benchmark’s decline of 28.5% for the nine months ended September 30, 2020, can be attributed to an increase in the value of Henry Hub Natural Gas during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (932,981 ) $ (358,912 )
Management fee 609,472 207,544
Brokerage commission 249,831 177,159
Non-recurring<br> fees and expenses — 345
Net realized gain (loss) (112,274,576 ) (20,587,724 )
Change in net unrealized appreciation (depreciation) (35,670,233 ) 9,530,109
Net Income (loss) $ (148,877,790 ) $ (11,416,527 )

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to an increase in the value of Henry Hub Natural Gas, during the nine months ended September 30, 2021.

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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, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 52,953,339 $ 120,581,173
NAV end of period $ 48,640,817 $ 68,577,533
Percentage change in NAV (8.1 )% (43.1 )%
Shares outstanding beginning of period 2,350,000 4,500,000
Shares outstanding end of period 1,950,000 2,800,000
Percentage change in shares outstanding (17.0 )% (37.8 )%
Shares created 300,000 1,350,000
Shares redeemed 700,000 3,050,000
Per share NAV beginning of period $ 22.53 $ 26.80
Per share NAV end of period $ 24.94 $ 24.49
Percentage change in per share NAV 10.7 % (8.6 )%
Percentage change in benchmark (5.2 )% 4.5 %
Benchmark annualized volatility 5.6 % 7.9 %

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 1,950,000 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,500,000 outstanding Shares at December 31, 2019 to 2,800,000 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 8.6% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 5.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 4.5% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (337,637 ) $ (154,217 )
Management fee 355,451 638,218
Non-recurring<br> fees and expenses — 2,622
Net realized gain (loss) 2,249,236 (8,749,752 )
Change in net unrealized appreciation (depreciation) 3,263,109 3,446,359
Net Income (loss) $ 5,174,708 $ (5,457,610 )

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2021.

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ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 20,337,376 $ 21,047,560
NAV end of period $ 27,731,022 $ 27,139,981
Percentage change in NAV 36.4 % 28.9 %
Shares outstanding beginning of period 646,977 396,977
Shares outstanding end of period 796,977 846,977
Percentage change in shares outstanding 23.2 % 113.4 %
Shares created 1,700,000 1,100,000
Shares redeemed 1,550,000 650,000
Per share NAV beginning of period $ 31.43 $ 53.02
Per share NAV end of period $ 34.80 $ 32.04
Percentage change in per share NAV 10.7 % (39.6 )%
Percentage change in benchmark (7.9 )% 3.6 %
Benchmark annualized volatility 15.7 % 22.6 %

During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at December 31, 2020 to 796,977 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 396,977 outstanding Shares at December 31, 2019 to 846,977 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM .

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 39.6% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 7.9% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 3.6% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of gold futures contracts during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (208,304 ) $ (73,179 )
Management fee 199,999 129,451
Brokerage commission 9,174 5,743
Non-recurring<br> fees and expenses — 499
Net realized gain (loss) (1,767,467 ) (12,041,690 )
Change in net unrealized appreciation (depreciation) 1,727,781 2,727,104
Net Income (loss) $ (247,990 ) $ (9,387,765 )

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the futures prices during the nine months ended September 30, 2021.

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ProShares UltraShort Silver *

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 28,885,775 $ 13,834,163
NAV end of period $ 40,373,877 $ 51,055,675
Percentage change in NAV 39.8 % 269.1 %
Shares outstanding beginning of period 1,041,744 129,244
Shares outstanding end of period 1,291,329 1,316,744
Percentage change in shares outstanding 24.0 % 918.8 %
Shares created 3,750,000 3,025,000
Shares redeemed 3,500,415 1,837,500
Per share NAV beginning of period $ 27.73 $ 107.04
Per share NAV end of period $ 31.27 $ 38.77
Percentage change in per share NAV 12.8 % (63.8 )%
Percentage change in benchmark (17.0 )% 27.4 %
Benchmark annualized volatility 33.0 % 48.6 %

During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,041,744 outstanding Shares at December 31, 2020 to 1,291,329 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from an increase from 129,244 outstanding Shares at December 31, 2019 to 1,316,744 outstanding Shares at September 30, 2020. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM .

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 12.8% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 63.8% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 17.0% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 27.4% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the silver futures contracts during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (279,779 ) $ (122,284 )
Management fee 248,539 147,262
Brokerage commission 19,409 16,460
Non-recurring<br> fees and expenses — 321
Net realized gain (loss) (2,146,577 ) (18,932,319 )
Change in net unrealized appreciation (depreciation) 10,463,787 12,566,119
Net Income (loss) $ 8,037,431 $ (6,488,484 )

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of futures prices during the nine months ended September 30, 2021.

* 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 UltraShort Silver.

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ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 23,691,070 $ 38,132,320
NAV end of period $ 23,328,922 $ 24,780,763
Percentage change in NAV (1.5 )% (35.0 )%
Shares outstanding beginning of period 349,290 499,290
Shares outstanding end of period 299,290 349,290
Percentage change in shares outstanding (14.3 )% (30.0 )%
Shares created 100,000 100,000
Shares redeemed 150,000 250,000
Per share NAV beginning of period $ 67.83 $ 76.37
Per share NAV end of period $ 77.95 $ 70.95
Percentage change in per share NAV 14.9 % (7.1 )%
Percentage change in benchmark (7.2 )% 3.0 %
Benchmark annualized volatility 5.2 % 10.2 %

During the nine months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 349,290 outstanding Shares at December 31, 2020 to 299,290 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 499,290 outstanding Shares at December 31, 2019 to 349,290 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.9% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV decrease of 7.1% for the nine months ended September 30, 2020, was primarily due to appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 7.2% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 3.0% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the Japanese yen versus the U.S. dollar during the period ended September 30, 2021.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (186,478 ) $ (73,411 )
Management fee 196,036 209,105
Non-recurring<br> fees and expenses — 717
Net realized gain (loss) 3,055,103 (1,847,423 )
Change in net unrealized appreciation (depreciation) 1,066,333 (429,087 )
Net Income (loss) $ 3,934,958 $ (2,349,921 )

The Fund’s net income increased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2021.

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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, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 72,075,095 $ 45,986,584
NAV end of period $ 127,673,137 $ 101,957,520
Percentage change in NAV 77.1 % 121.7 %
Shares outstanding beginning of period 1,962,403 2,162,403
Shares outstanding end of period 3,962,403 2,487,403
Percentage change in shares outstanding 101.9 % 15.0 %
Shares created 2,625,000 2,250,000
Shares redeemed 625,000 1,925,000
Per share NAV beginning of period $ 36.73 $ 21.27
Per share NAV end of period $ 32.22 $ 40.99
Percentage change in per share NAV (12.3 )% 92.8 %
Percentage change in benchmark (11.4 )% 94.3 %
Benchmark annualized volatility 28.3 % 63.0 %

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500 ® VIX Short-Term Futures Index, the benchmark for ProShares VIX Mid-Term Futures ETF, to reflect the new settlement time.

As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.

During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 3,962,403 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the nine months ended September 30, 2020, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 2,162,403 outstanding Shares at December 31, 2019 to 2,487,403 outstanding Shares at September 30, 2020.

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.3% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 92.8% for the nine months ended September 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 11.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 94.3% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (694,100 ) $ (290,253 )
Management fee 586,702 391,147
Brokerage commission 48,211 51,973
Net realized gain (loss) (14,890,359 ) 21,708,785
Change in net unrealized appreciation (depreciation) 5,949,460 5,421,417
Net Income (loss) $ (9,634,999 ) $ 26,839,949

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the futures prices during the nine months ended September 30, 2021.

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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, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
NAV beginning of period $ 293,390,549 $ 279,792,503
NAV end of period $ 368,777,333 $ 279,272,297
Percentage change in NAV 25.7 % (0.2 )%
Shares outstanding beginning of period 5,331,579 5,687,829
Shares outstanding end of period 16,257,826 3,400,329
Percentage change in shares outstanding 204.9 % (40.2 )%
Shares created 16,556,250 4,331,250
Shares redeemed 5,630,003 6,618,750
Per share NAV beginning of period $ 55.03 $ 49.19
Per share NAV end of period $ 22.68 $ 82.13
Percentage change in per share NAV (58.8 )% 67.0 %
Percentage change in benchmark (58.4 )% 68.5 %
Benchmark annualized volatility 73.8 % 112.9 %

On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500 ® VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, to reflect the new settlement time.

As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in the Fund’s Prospectus.

During the nine months ended September 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 5,331,579 outstanding Shares at December 31, 2020 to 16,257,826 outstanding Shares at September 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2020, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,687,829 outstanding Shares at December 31, 2019 to 3,400,329 outstanding Shares at September 30, 2020. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2021 and 2020, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 58.8% for the nine months ended September 30, 2021, as compared to the Fund’s per Share NAV increase of 67.0% for the nine months ended September 30, 2020, was primarily due to a depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2021.

The benchmark’s decline of 58.4% for the nine months ended September 30, 2021, as compared to the benchmark’s rise of 68.5% for the nine months ended September 30, 2020, can be attributed to a decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended September 30, 2021.

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Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2021 and 2020:

Nine Months Ended<br><br><br>September 30, 2021 Nine Months Ended<br><br><br>September 30, 2020
Net investment income (loss) $ (3,019,972 ) $ (1,057,822 )
Management fee 2,154,874 1,584,861
Brokerage commission 365,013 311,826
Net realized gain (loss) (304,349,667 ) 249,771,936
Change in net unrealized appreciation (depreciation) 27,729,790 16,589,740
Net Income (loss) $ (279,639,849 ) $ 265,303,854

The Fund’s net income decreased for the nine months ended September 30, 2021 as compared to the nine months ended September 30, 2020, primarily due to a decrease in the value of the futures prices during the nine months ended September 30, 2021.

* 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, 2021 and 2020, each of the Fund’s positions were as follows:

ProShares Short Euro :

As of September 30, 2021 and 2020, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2021

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
Euro Fx Currency Futures (CME) Short December 2021 15 $ 1.16 125,000 $ (2,175,000 )

Futures Positions as of September 30, 2020

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
Euro Fx Currency Futures (CME) Short December 2020 15 $ 1.17 125,000 $ (2,200,406 )

The September 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Short VIX Short-Term Futures ETF

As of September 30, 2021 and 2020, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2021 and 2020, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2021

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 2021 4,341 $ 22.87 1,000 $ (99,269,120 )
VIX Futures (Cboe) Short November 2021 4,001 23.69 1,000 (94,767,286 )

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Futures Positions as of September 30, 2020

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 2020 2,972 $ 30.38 1,000 $ (90,274,500 )
VIX Futures (Cboe) Short November 2020 2,335 32.88 1,000 (76,763,125 )

The September 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Bloomberg Crude Oil:<br> <br><br> <br>As of September 30, 2021 and 2020, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index<br>SM<br> and Bloomberg WTI Crude Oil Subindex<br>SM<br>, respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021

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 2021 5,657 $ 74.70 1,000 $ 422,577,900
WTI Crude Oil (NYMEX) Long June 2022 5,843 71.15 1,000 415,729,450
WTI Crude Oil (NYMEX) Long December 2022 6,063 67.70 1,000 410,465,100

Swap Agreements as of September 30, 2021

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

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Futures Positions as of September 30, 2020

Contract Long or<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 2020 19,296 $ 40.47 1,000 $ 780,909,120
WTI Crude Oil (NYMEX) Long June 2021 18,635 42.28 1,000 787,887,800
WTI Crude Oil (NYMEX) Long December 2021 18,385 43.12 1,000 792,761,200

Swap Agreements as of September 30, 2020

Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Commodity Balanced WTI Crude Oil Subindex Societe Generale Long $ 35.2114 $ 30,255,607

The September 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2021 and 2020 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Bloomberg Natural Gas:

As of September 30, 2021 and 2020, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021

Contract Long or<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 2021 4,944 $ 5.87 10,000 $ 290,064,480

Futures Positions as of September 30, 2020

Contract Long or<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 2020 7,854 $ 2.53 10,000 $ 198,470,580

The September 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

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ProShares Ultra Euro:

As of September 30, 2021 and 2020, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2021

Reference<br> <br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward Rate Market Value
Euro Goldman Sachs International Long 10/08/21 3,388,921 1.1851
Euro UBS AG Long 10/08/21 2,801,502 1.1849
Euro Goldman Sachs International Short 10/08/21 (93,000 ) 1.1685 )
Euro UBS AG Short 10/08/21 (84,000 ) 1.1726 )

All values are in US Dollars.

Foreign Currency Forward Contracts as of September 30, 2020

Reference<br> <br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward Rate Market Value
Euro Goldman Sachs International Long 10/09/20 3,440,921 1.1835
Euro UBS AG Long 10/09/20 6,830,302 1.1845
Euro UBS AG Short 10/09/20 (2,760,000 ) 1.1801 )

All values are in US Dollars.

The September 30, 2021 and 2020 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Gold:

As of September 30, 2021 and 2020 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021

Contract Long or<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 2021 856 $ 1,757.00 100 $ 150,399,200

Swap Agreements as of September 30, 2021

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

Futures Positions as of September 30, 2020

Contract Long or<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 2020 1,114 $ 1,895.50 100 $ 211,158,700

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Swap Agreements as of September 30, 2020

Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Gold Subindex Citibank, N.A. Long $ 211.1862 $ 116,941,808
Bloomberg Gold Subindex Goldman Sachs International Long 211.1862 101,056,679
Bloomberg Gold Subindex UBS AG Long 211.1862 121,650,344

The September 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2021 and 2020 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Silver:

As of September 30, 2021 and 2020 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021

Contract Long or<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 2021 1,213 $ 22.05 5,000 $ 133,715,055

Swap Agreements as of September 30, 2021

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

Futures Positions as of September 30, 2020

Contract Long or<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 2020 3,288 $ 23.49 5,000 $ 386,241,359

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Swap Agreements as of September 30, 2020

Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Silver Subindex Citibank, N.A. Long $ 215.9803 $ 257,181,535
Bloomberg Silver Subindex Goldman Sachs International Long 215.9803 223,086,085
Bloomberg Silver Subindex Morgan Stanley & Co. International PLC Long 215.9803 205,360,117
Bloomberg Silver Subindex UBS AG Long 215.9803 169,907,857

The September 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2021 and 2020 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra VIX Short-Term Futures ETF

As of September 30, 2021 and 2020, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2021

Contract Long or<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 2021 32,595 $ 22.87 1,000 $ 745,375,941
VIX Futures (Cboe) Long November 2021 30,104 23.69 1,000 713,040,334

Swap Agreements as of September 30, 2021

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

Futures Positions as of September 30, 2020

Contract Long or<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 2020 34,258 $ 30.38 1,000 $ 1,040,586,750
VIX Futures (Cboe) Long November 2020 26,919 32.88 1,000 884,962,125

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Swap Agreements as of September 30, 2020

Reference Index Counterparty Long or<br>Short Index<br>Close Notional Amount<br><br><br>at Value
iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index Goldman Sachs & Co. Long $ 25.0468 $ 38,626,764

The September 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2021 and 2020 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Yen:

As of September 30, 2021 and 2020, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2021

Reference<br> <br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward Rate Market Value
Yen Goldman Sachs International Long 10/08/21 327,930,517 0.009089
Yen UBS AG Long 10/08/21 253,562,756 0.009086
Yen Goldman Sachs International Short 10/08/21 (6,319,000 ) 0.008956 )
Yen UBS AG Short 10/08/21 (10,090,000 ) 0.009078 )

All values are in US Dollars.

Foreign Currency Forward Contracts as of September 30, 2020

Reference<br> <br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward Rate Market Value
Yen Goldman Sachs International Long 10/09/20 332,532,517 0.009418
Yen UBS AG Long 10/09/20 278,602,756 0.009425
Yen UBS AG Short 10/09/20 (2,680,000 ) 0.009488 )

All values are in US Dollars.

The September 30, 2021 and 2020 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

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ProShares UltraShort Australian Dollar:

As of September 30, 2021 and 2020, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2021

Contract Long or<br> <br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
Australian Dollar Fx Currency Futures (CME) Short December 2021 136 $ 72.29 1,000 $ (9,838,240 )

Futures Positions as of September 30, 2020

Contract Long or<br> <br>Short Expiration Contracts Valuation<br><br><br>Price Contract<br><br><br>Multiplier Notional Amount<br><br><br>at Value
Australian Dollar Fx Currency Futures (CME) Short December 2020 145 $ 71.63 1,000 $ (10,386,350 )

The September 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Bloomberg Crude Oil:

As of September 30, 2021 and 2020, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index SM and Bloomberg WTI Crude Oil Subindex SM , respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021

Contract Long or<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 2021 848 $ 74.70 1,000 $ (63,345,600 )
WTI Crude Oil (NYMEX) Short June 2022 876 71.15 1,000 (62,327,400 )
WTI Crude Oil (NYMEX) Short December 2022 909 67.70 1,000 (61,539,300 )

Futures Positions as of September 30, 2020

Contract Long or<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 2020 1,314 $ 40.47 1,000 $ (53,177,580 )
WTI Crude Oil (NYMEX) Short June 2021 1,269 42.28 1,000 (53,653,320 )
WTI Crude Oil (NYMEX) Short December 2021 1,252 43.12 1,000 (53,986,240 )

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The September 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. September 30, 2021 and 2020 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Natural Gas:

As of September 30, 2021 and 2020, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021

Contract Long or<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 2021 4,720 $ 5.87 10,000 $ (276,922,400 )

Futures Positions as of September 30, 2020

Contract Long or<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 2020 3,715 $ 2.53 10,000 $ (93,878,050 )

The September 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of September 30, 2021 and 2020, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to exchange rate price risk.

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Foreign Currency Forward Contracts as of September 30, 2021

Reference<br> <br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward Rate Market Value
Euro UBS AG Long 10/08/21 5,650,000 1.1862
Euro Goldman Sachs International Short 10/08/21 (39,458,263 ) 1.1837 )
Euro UBS AG Short 10/08/21 (49,895,199 ) 1.1841 )

All values are in US Dollars.

Foreign Currency Forward Contracts as of September 30, 2020

Reference<br> <br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward Rate Market Value
Euro Goldman Sachs International Long 10/09/20 3,698,000 1.1727
Euro UBS AG Long 10/09/20 6,700,000 1.1787
Euro Goldman Sachs International Short 10/09/20 (41,689,263 ) 1.1835 )
Euro UBS AG Short 10/09/20 (85,627,199 ) 1.1818 )

All values are in US Dollars.

The September 30, 2021 and 2020 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Gold:

As of September 30, 2021 and 2020 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021

Contract Long or<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 2021 114 $ 1,757.00 100 $ (20,029,800 )

Swap Agreements as of September 30, 2021

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

Futures Positions as of September 30, 2020

Contract Long or<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 2020 111 $ 1,895.50 100 $ (21,040,050 )

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Swap Agreements as of September 30, 2020

Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Gold Subindex Citibank, N.A. Short $ 211.1862 $ (10,138,690 )
Bloomberg Gold Subindex Goldman Sachs International Short 211.1862 (8,325,763 )
Bloomberg Gold Subindex UBS AG Short 211.1862 (14,773,987 )

The September 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2021 and 2020 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Silver:

As of September 30, 2021 and 2020 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2021

Contract Long or<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 2021 380 $ 22.05 5,000 $ (41,889,300 )

Swap Agreements as of September 30, 2021

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

Futures Positions as of September 30, 2020

Contract Long or<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 2020 296 $ 23.49 5,000 $ (34,771,120 )

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Swap Agreements as of September 30, 2020

Reference Index Counterparty Long or<br>Short Index Close Notional Amount<br><br><br>at Value
Bloomberg Silver Subindex Citibank, N.A. Short $ 215.9803 $ (26,820,589 )
Bloomberg Silver Subindex Goldman Sachs International Short 215.9803 (22,073,190 )
Bloomberg Silver Subindex Morgan Stanley & Co. International PLC Short 215.9803 (4,366,690 )
Bloomberg Silver Subindex UBS AG Short 215.9803 (14,081,291 )

The September 30, 2021 and 2020 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2021 and 2020 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Yen:

As of September 30, 2021 and 2020, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2021 and 2020, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2021

Reference<br> <br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward Rate Market Value
Yen Goldman Sachs International Long 10/08/21 32,600,000 0.009147
Yen UBS AG Long 10/08/21 373,110,000 0.009098
Yen Goldman Sachs International Short 10/08/21 (1,558,854,165 ) 0.009077 )
Yen UBS AG Short 10/08/21 (4,049,118,875 ) 0.009085 )

All values are in US Dollars.

Foreign Currency Forward Contracts as of September 30, 2020

Reference<br> <br>Currency Counterparty Long or<br>Short Settlement<br>Date Local Currency Forward Rate Market Value
Yen Goldman Sachs International Long 10/09/20 23,643,000 0.009483
Yen UBS AG Long 10/09/20 223,810,000 0.009506
Yen Goldman Sachs International Short 10/09/20 (2,032,728,165 ) 0.009418 )
Yen UBS AG Short 10/09/20 (3,439,162,875 ) 0.009426 )

All values are in US Dollars.

The September 30, 2021 and 2020 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

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ProShares VIX Mid-Term Futures ETF

As of September 30, 2021 and 2020, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2021 and 2020, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2021

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 2022 872 $ 24.80 1,000 $ 21,626,210
VIX Futures (Cboe) Long February 2022 1,677 25.23 1,000 42,304,841
VIX Futures (Cboe) Long March 2022 1,677 25.66 1,000 43,023,603
VIX Futures (Cboe) Long April 2022 804 25.83 1,000 20,765,953

Futures Positions as of September 30, 2020

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 2021 652 $ 29.88 1,000 $ 19,478,500
VIX Futures (Cboe) Long February 2021 1,165 29.40 1,000 34,251,000
VIX Futures (Cboe) Long March 2021 1,165 28.93 1,000 33,697,625
VIX Futures (Cboe) Long April 2021 512 28.38 1,000 14,528,000

The September 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares VIX Short-Term Futures ETF

As of September 30, 2021 and 2020, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of September 30, 2021 and 2020, which were sensitive to equity market volatility risk.

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Futures Positions as of September 30, 2021

Contract Long or<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 2021 8,245 $ 22.87 1,000 $ 188,545,011
VIX Futures (Cboe) Long November 2021 7,617 23.69 1,000 180,415,500

Futures Positions as of September 30, 2020

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 2020 4,979 $ 30.38 1,000 $ 151,237,125
VIX Futures (Cboe) Long November 2020 3,912 32.88 1,000 128,607,000

The September 30, 2021 and 2020 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

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Qualitative Disclosure

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

Primary Market Risk Exposure

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

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

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

Commodity Price Sensitivity

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

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

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

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

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Exchange Rate Sensitivity

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

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

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

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

Equity Market Volatility Sensitivity

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

Managing Market Risks

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

-1x,

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

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

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

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

Item 4. Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of December 31, 2020, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the 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, 2021 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

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

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Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

The Sponsor and the Trust are named as defendants in the following purported class action lawsuits filed in the United States District Court for the Southern District of New York on the following dates: (i) on January 29, 2019 and captioned Ford v. ProShares Trust II et al.; (ii) on February 27, 2019 and captioned Bittner v. ProShares Trust II, et al.; and (iii) on March 1, 2019 and captioned Mareno v. ProShares Trust II, et al. The allegations in the complaints are substantially the same, namely that the defendants violated Sections 11 and 15 of the 1933 Act, Sections 10(b) and 20(a) and Rule 10b-5 of the 1934 Act, and Items 303 and 105 of Regulation S-K, 17 C.F.R. Section 229.303(a)(3)(ii), 229.105 by issuing untrue statements of material fact and omitting material facts in the prospectus for ProShares Short VIX Short-Term Futures ETF, and allegedly failing to state other facts necessary to make the statements made not misleading. Certain Principals of the Sponsor and Officers of the Trust are also defendants in the actions, along with a number of others. The District Court consolidated the three actions and appointed lead plaintiffs and lead counsel. On January 3, 2020, the District Court granted defendants’ motion to dismiss the consolidated class action in its entirety and ordered the case closed. On January 31, 2020, the plaintiffs filed a notice of appeal to the Second Circuit Court of Appeals. On March 4, 2021, the Second Circuit Court of Appeals heard oral argument. On March 15, 2021, the Second Circuit Court of Appeals found the plaintiffs’ arguments to be without merit and affirmed the District Court’s judgement.

Item 1A. Risk Factors.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

a) None.

Not applicable.

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Title of Securities<br> <br>Registered Amount Registered as of<br>September 30, 2021 Shares Sold For the<br>Three Months Ended<br>September 30, 2021 Sale Price of Shares<br>Sold For the Three<br>Months Ended<br>September 30, 2021 Shares Sold For the<br>Nine Months Ended<br>September 30, 2021 Sale Price of Shares Sold<br>For the Nine Months<br>Ended September 30,<br>2021
ProShares Short Euro
Common Units of Beneficial Interest $ 35,191,282 — $ — — $ —
ProShares Short VIX Short-Term Futures ETF
Common Units of Beneficial Interest $ 1,389,373,514 550,000 $ 30,777,084 3,400,000 $ 150,390,026
ProShares Ultra Bloomberg Crude Oil
Common Units of Beneficial Interest $ 1,385,606,139 950,000 $ 62,865,806 4,350,000 $ 240,118,659
ProShares Ultra Bloomberg Natural Gas
Common Units of Beneficial Interest $ 548,831,164 1,150,000 $ 79,122,213 5,200,000 $ 169,309,627
ProShares Ultra Euro
Common Units of Beneficial Interest $ 12,965,765 — $ — 100,000 $ 1,488,793
ProShares Ultra Gold
Common Units of Beneficial Interest $ 437,056,102 250,000 $ 14,836,141 1,250,000 $ 75,112,671
ProShares Ultra Silver
Common Units of Beneficial Interest $ 382,208,757 1,050,000 $ 38,538,861 4,450,000 $ 205,312,655
ProShares Ultra VIX Short-Term Futures ETF
Common Units of Beneficial Interest $ 6,664,421,573 37,800,000 $ 923,628,398 70,385,000 $ 3,297,406,475
ProShares Ultra Yen
Common Units of Beneficial Interest $ 21,407,176 — $ — — $ —
ProShares UltraShort Australian Dollar
Common Units of Beneficial Interest $ 51,054,751 50,000 $ 2,373,262 50,000 $ 2,373,262
ProShares UltraShort Bloomberg Crude Oil
Common Units of Beneficial Interest $ 447,139,262 3,350,000 $ 56,590,239 7,237,500 $ 164,074,678
ProShares UltraShort Bloomberg Natural Gas
Common Units of Beneficial Interest $ 1,546,810,909 20,500,000 $ 210,189,776 28,050,000 $ 446,153,207
ProShares UltraShort Euro
Common Units of Beneficial Interest $ 115,002,443 100,000 $ 2,387,142 300,000 $ 7,000,386
ProShares UltraShort Gold
Common Units of Beneficial Interest $ 75,106,370 650,000 $ 21,916,482 1,700,000 $ 59,279,388

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Title of Securities<br> <br>Registered Amount Registered as of<br>September 30, 2021 Shares Sold For the<br>Three Months Ended<br>September 30, 2021 Sale Price of Shares<br>Sold For the Three<br>Months Ended<br>September 30, 2021 Shares Sold For the<br>Nine Months Ended<br>September 30, 2021 Sale Price of Shares Sold<br>For the Nine Months<br>Ended September 30,<br>2021
ProShares UltraShort Silver
Common Units of Beneficial Interest $ 316,715,689 1,000,000 $ 26,169,229 3,750,000 $ 91,351,542
ProShares UltraShort Yen
Common Units of Beneficial Interest $ 114,882,391 — $ — 100,000 $ 7,132,412
ProShares VIX <br>Mid-Term<br> Futures ETF
Common Units of Beneficial Interest $ 269,455,873 1,200,000 $ 37,425,551 2,625,000 $ 87,035,790
ProShares VIX Short-Term Futures ETF
Common Units of Beneficial Interest $ 1,884,359,393 6,300,000 $ 142,476,815 16,556,250 $ 593,853,539
Total Trust: $ 15,697,588,553 74,900,000 $ 1,649,296,999 149,503,750 $ 5,597,393,110

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

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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)
Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL
104.1 tags are embedded within the inline XBRL document.
(1) Filed herewith.
--- ---
* These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing.
--- ---

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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 5, 2021
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: November 5, 2021

227

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 5, 2021 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 5, 2021 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, 2021 (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 5, 2021 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, 2021 (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 5, 2021 By: /s/ Edward Karpowicz
--- --- ---
Name: Edward Karpowicz
Title: Principal Financial and Accounting Officer
ProShares Trust II

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