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 March 31, 2022.

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

for the transition period from

Commission file number: 001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

Delaware	87-6284802
(State or other jurisdiction of<br><br>incorporation or organization)	(I.R.S. Employer<br><br>Identification No.)

c/o ProShare Capital Management LLC

7272 Wisconsin Avenue, 21 st Floor

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(240) 497-6400

(Registrant’s telephone number, including area code)

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

Title of each class	Trading<br><br>Symbol(s)	Name of each 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 May 2, 2022, the registrant had 222,523,625 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		132
Item 3. Quantitative and Qualitative Disclosures About Market Risk		169
Item 4. Controls and Procedures		183
Part II. OTHER INFORMATION
Item 1. Legal Proceedings		185
Item 1A. Risk Factors		185
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds		187
Item 3. Defaults Upon Senior Securities		188
Item 4. Mine Safety Disclosures		188
Item 5. Other Information		189
Item 6. Exhibits		190

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<br> <br>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		20
ProShares Ultra Euro		25
ProShares Ultra Gold		30
ProShares Ultra Silver		35
ProShares Ultra VIX Short-Term Futures ETF		40
ProShares Ultra Yen		45
ProShares UltraShort Australian Dollar		50
ProShares UltraShort Bloomberg Crude Oil		55
ProShares UltraShort Bloomberg Natural Gas		60
ProShares UltraShort Euro		65
ProShares UltraShort Gold		70
ProShares UltraShort Silver		75
ProShares UltraShort Yen		80
ProShares VIX Mid-Term Futures ETF		85
ProShares VIX Short-Term Futures ETF		90
ProShares Trust II		95
Notes to Financial Statements		99

Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31, 2021
Assets
Cash	$	4,500,918	$	2,219,932
Segregated cash balances with brokers for futures contracts		87,120		38,720
Receivable on open futures contracts		38,569		—
Interest receivable		—		93
Total assets		4,626,607		2,258,745
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		11,500
Payable to Sponsor		3,207		1,824
Total liabilities		3,207		13,324
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		4,623,400		2,245,421
Total liabilities and shareholders’ equity	$	4,626,607	$	2,258,745
Shares outstanding		100,000		50,000
Net asset value per share	$	46.23	$	44.91
Market value per share (Note 2)	$	46.18	$	44.92

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(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
Euro Fx Currency Futures - CME, expires June 2022		33	$	4,578,338	$	2,656

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	(93	)	$	596
Expenses
Management fee		6,672			9,053
Brokerage commissions		144			181
Total expenses		6,816			9,234
Net investment income (loss)		(6,909	)		(8,638	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		59,419			69,393
Short-term U.S. government and agency obligations		4,452			—
Net realized gain (loss)		63,871			69,393
Change in net unrealized appreciation (depreciation) on
Futures contracts		8,056			78,554
Short-term U.S. government and agency obligations		—			88
Change in net unrealized appreciation (depreciation)		8,056			78,642
Net realized and unrealized gain (loss)		71,927			148,035
Net income (loss)	$	65,018		$	139,397

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	2,245,421		$	4,191,955
Addition of 50,000 and – shares, respectively		2,312,961			—
Redemption of – and 50,000 shares, respectively		—			(2,146,812	)
Net addition (redemption) of 50,000 and (50,000) shares, respectively		2,312,961			(2,146,812	)
Net investment income (loss)		(6,909	)		(8,638	)
Net realized gain (loss)		63,871			69,393
Change in net unrealized appreciation (depreciation)		8,056			78,642
Net income (loss)		65,018			139,397
Shareholders’ equity, end of period	$	4,623,400		$	2,184,540

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	65,018		$	139,397
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		4,452			1,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		—			(323	)
Net realized (gain) loss on investments		(4,452	)		—
Change in unrealized (appreciation) depreciation on investments		—			(88	)
Decrease (Increase) in receivable on open futures contracts		(38,569	)		21,094
Decrease (Increase) in interest receivable		93			108
Increase (Decrease) in payable to Sponsor		1,383			(820	)
Increase (Decrease) in payable on open futures contracts		(11,500	)		1,125
Net cash provided by (used in) operating activities		16,425			(839,069	)
Cash flow from financing activities
Proceeds from addition of shares		2,312,961			—
Payment on shares redeemed		—			(2,146,812	)
Net cash provided by (used in) financing activities		2,312,961			(2,146,812	)
Net increase (decrease) in cash		2,329,386			(2,985,881	)
Cash, beginning of period		2,258,652			4,174,091
Cash, end of period	$	4,588,038		$	1,188,210

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $180,804,059 and $147,851,244, respectively)	$	180,357,257	$	147,815,719
Cash		65,794,655		44,359,519
Segregated cash balances with brokers for futures contracts		165,590,124		138,651,465
Receivable on open futures contracts		96,824,449		99,544,338
Interest receivable		—		2,868
Total assets		508,566,485		430,373,909
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		6,125,130
Payable on open futures contracts		12,542,043		—
Brokerage commissions and futures account fees payable		70,274		104,312
Payable to Sponsor		365,319		331,873
Total liabilities		12,977,636		6,561,315
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		495,588,849		423,812,594
Total liabilities and shareholders’ equity	$	508,566,485	$	430,373,909
Shares outstanding		9,084,307		6,884,307
Net asset value per share	$	54.55	$	61.56
Market value per share (Note 2)	$	54.56	$	61.55

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(36% of shareholders’ equity)
U.S. Treasury Bills^^:
0.021% due 04/21/22	25,000,000	$	24,997,917
0.393% due 07/21/22	79,000,000		78,828,270
0.223% due 11/03/22	77,000,000		76,531,070
Total short-term U.S. government and agency obligations (cost 180,804,059)		$	180,357,257

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 April 2022		4,910	$	115,232,790	$	31,922,101
VIX Futures - Cboe, expires May 2022		5,324		133,034,515		4,062,361
					$	35,984,462
^^	Rates shown represent discount rate at the time of purchase.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	94,343		$	33,890
Expenses
Management fee		986,537			1,042,569
Brokerage commissions		187,698			175,910
Futures accounts fees		217,030			257,777
Total expenses		1,391,265			1,476,256
Net investment income (loss)		(1,296,922	)		(1,442,366	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(41,100,614	)		24,209,417
Short-term U.S. government and agency obligations		(10,494	)		—
Net realized gain (loss)		(41,111,108	)		24,209,417
Change in net unrealized appreciation (depreciation) on
Futures contracts		4,709,184			42,121,892
Short-term U.S. government and agency obligations		(411,277	)		3,226
Change in net unrealized appreciation (depreciation)		4,297,907			42,125,118
Net realized and unrealized gain (loss)		(36,813,201	)		66,334,535
Net income (loss)	$	(38,110,123	)	$	64,892,169

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	423,812,594		$	409,371,468
Addition of 3,000,000 and 2,400,000 shares, respectively		156,515,471			98,109,468
Redemption of 800,000 and 1,100,000 shares, respectively		(46,629,093	)		(45,242,254	)
Net addition (redemption) of 2,200,000 and 1,300,000 shares, respectively		109,886,378			52,867,214
Net investment income (loss)		(1,296,922	)		(1,442,366	)
Net realized gain (loss)		(41,111,108	)		24,209,417
Change in net unrealized appreciation (depreciation)		4,297,907			42,125,118
Net income (loss)		(38,110,123	)		64,892,169
Shareholders’ equity, end of period	$	495,588,849		$	527,130,851

See accompanying notes to financial statements.

Table of Contents

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(38,110,123	)	$	64,892,169
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		(184,846,445	)		(166,972,737	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		151,980,347			145,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(97,211	)		(22,858	)
Net realized (gain) loss on investments		10,494			—
Change in unrealized (appreciation) depreciation on investments		411,277			(3,226	)
Decrease (Increase) in receivable on open futures contracts		2,719,889			(10,518,387	)
Decrease (Increase) in interest receivable		2,868			(625	)
Increase (Decrease) in payable to Sponsor		33,446			58,097
Increase (Decrease) in brokerage commissions and futures account fees payable		(34,038	)		7,205
Increase (Decrease) in payable on open futures contracts		12,542,043			(996,159	)
Net cash provided by (used in) operating activities		(55,387,453	)		31,443,479
Cash flow from financing activities
Proceeds from addition of shares		156,515,471			98,109,468
Payment on shares redeemed		(52,754,223	)		(45,242,254	)
Net cash provided by (used in) financing activities		103,761,248			52,867,214
Net increase (decrease) in cash		48,373,795			84,310,693
Cash, beginning of period		183,010,984			266,579,220
Cash, end of period	$	231,384,779		$	350,889,913

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31,<br> 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $1,016,679,454 and $848,800,309, respectively)	$	1,016,050,654	$	848,757,567
Cash		122,491,540		86,582,912
Segregated cash balances with brokers for futures contracts		198,872,883		130,704,477
Segregated cash balances with brokers for swap agreements		181,812,000		—
Unrealized appreciation on swap agreements		—		63,928,293
Receivable on open futures contracts		187,616		—
Interest receivable		1		3,523
Total assets		1,519,414,694		1,129,976,772
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		15,183,510		—
Payable on open futures contracts		37,639,347		25,317,560
Brokerage commissions and futures account fees payable		99,348		24,677
Payable to Sponsor		1,226,530		850,965
Unrealized depreciation on swap agreements		128,285,274		—
Total liabilities		182,434,009		26,193,202
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		1,336,980,685		1,103,783,570
Total liabilities and shareholders’ equity	$	1,519,414,694	$	1,129,976,772
Shares outstanding		8,810,774		12,810,774
Net asset value per share	$	151.74	$	86.16
Market value per share (Note 2)	$	153.30	$	86.78

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(76% of shareholders’ equity)
U.S. Treasury Bills^^:
0.076% due 04/21/22†	285,000,000	$	284,976,259
0.232% due 05/19/22†	175,000,000		174,939,328
0.321% due 06/16/22†	180,000,000		179,834,706
0.393% due 07/21/22†	47,000,000		46,897,831
0.706% due 08/18/22†	150,000,000		149,504,820
0.637% due 11/03/22†	181,000,000		179,897,710
Total short-term U.S. government and agency obligations(cost 1,016,679,454)		$	1,016,050,654

All values are in US Dollars.

Futures Contracts Purchased

		Notional Amount<br><br><br>at Value		Unrealized<br><br><br>Appreciation<br><br><br>(Depreciation)/Value
WTI Crude Oil - NYMEX, expires June 2022	4,115	$	405,409,800	$	144,895,562
WTI Crude Oil - NYMEX, expires December 2022	4,724		423,270,400		91,533,153
WTI Crude Oil - NYMEX, expires June 2023	5,012		424,065,320		9,162,448
				$	245,591,163

Total Return Swap Agreements ^

	Rate Paid<br><br><br>(Received)<br>*				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	%	04/06/22	$	202,256,578	$	(18,119,250	)
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35		04/06/22		394,073,711		(36,248,743	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35		04/06/22		350,316,746		(31,383,289	)
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.25		04/06/22		190,882,596		(17,086,634	)
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.30		04/06/22		284,170,376		(25,447,358	)
						Total Unrealized<br>Depreciation	$	(128,285,274	)
†	All or partial amount pledged as collateral for swap agreements.
---	---
^	The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
---	---
^^	Rates shown represent discount rate at the time of purchase.
---	---

Table of Contents

*	Reflects the floating financing rate, as of March 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**	For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	308,880		$	168,075
Expenses
Management fee		3,084,812			2,535,085
Brokerage commissions		195,541			293,200
Futures accounts fees		252,687			98,937
Total expenses		3,533,040			2,927,222
Net investment income (loss)		(3,224,160	)		(2,759,147	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		266,409,832			191,676,501
Swap agreements		533,013,238			142,674,727
Short-term U.S. government and agency obligations		(3,136	)		—
Net realized gain (loss)		799,419,934			334,351,228
Change in net unrealized appreciation (depreciation) on
Futures contracts		98,135,638			93,984,872
Swap agreements		(192,213,567	)		(58,990,789	)
Short-term U.S. government and agency obligations		(586,058	)		41,573
Change in net unrealized appreciation (depreciation)		(94,663,987	)		35,035,656
Net realized and unrealized gain (loss)		704,755,947			369,386,884
Net income (loss)	$	701,531,787		$	366,627,737

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	1,103,783,570		$	902,739,250
Addition of 2,150,000 and 2,350,000 shares, respectively		330,317,033			117,044,190
Redemption of 6,150,000 and 6,450,000 shares, respectively		(798,651,705	)		(297,832,084	)
Net addition (redemption) of (4,000,000) and (4,100,000) shares, respectively		(468,334,672	)		(180,787,894	)
Net investment income (loss)		(3,224,160	)		(2,759,147	)
Net realized gain (loss)		799,419,934			334,351,228
Change in net unrealized appreciation (depreciation)		(94,663,987	)		35,035,656
Net income (loss)		701,531,787			366,627,737
Shareholders’ equity, end of period	$	1,336,980,685		$	1,088,579,093

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	701,531,787		$	366,627,737
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		(1,394,562,680	)		(934,851,425	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,226,992,801			465,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(312,402	)		(85,197	)
Net realized (gain) loss on investments		3,136			—
Change in unrealized (appreciation) depreciation on investments		192,799,625			58,949,216
Decrease (Increase) in receivable on open futures contracts		(187,616	)		1,611,608
Decrease (Increase) in interest receivable		3,522			(122,413	)
Increase (Decrease) in payable to Sponsor		375,565			260,388
Increase (Decrease) in brokerage commissions and futures account fees payable		74,671			1,352
Increase (Decrease) in payable on open futures contracts		12,321,787			25,300,245
Net cash provided by (used in) operating activities		739,040,196			(17,308,489	)
Cash flow from financing activities
Proceeds from addition of shares		330,317,033			117,044,190
Payment on shares redeemed		(783,468,195	)		(301,460,018	)
Net cash provided by (used in) financing activities		(453,151,162	)		(184,415,828	)
Net increase (decrease) in cash		285,889,034			(201,724,317	)
Cash, beginning of period		217,287,389			667,259,596
Cash, end of period	$	503,176,423		$	465,535,279

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31,<br> 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $95,926,918 and $90,936,719, respectively)	$	95,749,617	$	90,922,438
Cash		20,472,226		6,846,634
Segregated cash balances with brokers for futures contracts		24,424,860		47,289,091
Receivable from capital shares sold		—		20,448,741
Receivable on open futures contracts		13,001,650		33,998,620
Interest receivable		—		1,130
Total assets		153,648,353		199,506,654
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		8,420,202		—
Payable on open futures contracts		—		5,403,658
Brokerage commissions and futures account fees payable		23,412		63,628
Payable to Sponsor		135,253		147,190
Total liabilities		8,578,867		5,614,476
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		145,069,486		193,892,178
Total liabilities and shareholders’ equity	$	153,648,353	$	199,506,654
Shares outstanding		2,587,527		7,587,527
Net asset value per share	$	56.06	$	25.55
Market value per share (Note 2)	$	56.31	$	26.09

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(66% of shareholders’ equity)
U.S. Treasury Bills^^:
0.106% due 04/21/22	40,000,000	$	39,996,668
0.393% due 07/21/22	24,000,000		23,947,829
0.223% due 11/03/22	32,000,000		31,805,120
Total short-term U.S. government and agency obligations (cost 95,926,918)		$	95,749,617

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 May 2022		5,149	$	290,506,580	$	76,824,603
^^	Rates shown represent discount rate at the time of purchase.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	39,581		$	13,815
Expenses
Management fee		396,610			254,815
Brokerage commissions		88,452			92,297
Futures accounts fees		71,117			81,848
Total expenses		556,179			428,960
Net investment income (loss)		(516,598	)		(415,145	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		76,220,688			41,582,385
Short-term U.S. government and agency obligations		(3,452	)		551
Net realized gain (loss)		76,217,236			41,582,936
Change in net unrealized appreciation (depreciation) on
Futures contracts		85,030,764			(17,800,783	)
Short-term U.S. government and agency obligations		(163,020	)		1,915
Change in net unrealized appreciation (depreciation)		84,867,744			(17,798,868	)
Net realized and unrealized gain (loss)		161,084,980			23,784,068
Net income (loss)	$	160,568,382		$	23,368,923

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	193,892,178		$	169,800,371
Addition of 2,600,000 and 3,400,000 shares, respectively		87,880,355			76,480,823
Redemption of 7,600,000 and 8,000,000 shares, respectively		(297,271,429	)		(195,343,047	)
Net addition (redemption) of (5,000,000) and (4,600,000) shares, respectively		(209,391,074	)		(118,862,224	)
Net investment income (loss)		(516,598	)		(415,145	)
Net realized gain (loss)		76,217,236			41,582,936
Change in net unrealized appreciation (depreciation)		84,867,744			(17,798,868	)
Net income (loss)		160,568,382			23,368,923
Shareholders’ equity, end of period	$	145,069,486		$	74,307,070

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	160,568,382		$	23,368,923
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		(135,944,242	)		(88,986,855	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		130,991,301			84,999,676
Net amortization and accretion on short-term U.S. government and agency obligations		(40,710	)		(9,576	)
Net realized (gain) loss on investments		3,452			(551	)
Change in unrealized (appreciation) depreciation on investments		163,020			(1,915	)
Decrease (Increase) in receivable on open futures contracts		20,996,970			13,775,851
Decrease (Increase) in interest receivable		1,130			3,558
Increase (Decrease) in payable to Sponsor		(11,937	)		(76,137	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(40,216	)		13,490
Increase (Decrease) in payable on open futures contracts		(5,403,658	)		798,217
Net cash provided by (used in) operating activities		171,283,492			33,884,681
Cash flow from financing activities
Proceeds from addition of shares		108,329,096			76,480,823
Payment on shares redeemed		(288,851,227	)		(203,242,570	)
Net cash provided by (used in) financing activities		(180,522,131	)		(126,761,747	)
Net increase (decrease) in cash		(9,238,639	)		(92,877,066	)
Cash, beginning of period		54,135,725			137,292,722
Cash, end of period	$	44,897,086		$	44,415,656

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $4,690,961 and $998,130, respectively)	$	4,685,054	$	997,678
Cash		1,608,252		6,891,458
Segregated cash balances with brokers for foreign currency forward contracts		—		691,000
Unrealized appreciation on foreign currency forward contracts		—		84,150
Interest receivable		—		153
Total assets		6,293,306		8,664,439
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		6,006		3,846
Unrealized depreciation on foreign currency forward contracts		50,318		1,498
Total liabilities		56,324		5,344
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		6,236,982		8,659,095
Total liabilities and shareholders’ equity	$	6,293,306	$	8,664,439
Shares outstanding		500,000		650,000
Net asset value per share	$	12.47	$	13.32
Market value per share (Note 2)	$	12.46	$	13.33

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(75% of shareholders’ equity)
U.S. Treasury Bills^^:
0.393% due 07/21/22	4,000,000	$	3,991,305
0.554% due 11/03/22†	698,000		693,749
Total short-term U.S. government and agency obligations (cost 4,690,961)		$	4,685,054

All values are in US Dollars.

Foreign Currency Forward Contracts ^

	Settlement Date				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		04/08/22	4,422,921		$	4,893,608		$	(7,961	)
Euro with UBS AG		04/08/22	11,991,502			13,267,638			(31,928	)
						Total Unrealized<br> Depreciation		$	(39,889	)
Contracts to Sell
Euro with UBS AG		04/08/22	(5,127,000	)	$	(5,672,615	)	$	(10,429	)
						Total Unrealized <br>Depreciation		$	(10,429	)
†	All or partial amount pledged as collateral for foreign currency forward contracts.
---	---
^	The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
---	---
^^	Rates shown represent discount rate at the time of purchase.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	4,587		$	584
Expenses
Management fee		20,278			10,078
Total expenses		20,278			10,078
Net investment income (loss)		(15,691	)		(9,494	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(441,030	)		(27,342	)
Short-term U.S. government and agency obligations		(5,949	)		—
Net realized gain (loss)		(446,979	)		(27,342	)
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(132,970	)		(311,140	)
Short-term U.S. government and agency obligations		(5,455	)		88
Change in net unrealized appreciation (depreciation)		(138,425	)		(311,052	)
Net realized and unrealized gain (loss)		(585,404	)		(338,394	)
Net income (loss)	$	(601,095	)	$	(347,888	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	8,659,095		$	4,737,350
Addition of 100,000 and – shares, respectively		1,316,267			—
Redemption of 250,000 and 50,000 shares, respectively		(3,137,285	)		(777,738	)
Net addition (redemption) of (150,000) and (50,000) shares, respectively		(1,821,018	)		(777,738	)
Net investment income (loss)		(15,691	)		(9,494	)
Net realized gain (loss)		(446,979	)		(27,342	)
Change in net unrealized appreciation (depreciation)		(138,425	)		(311,052	)
Net income (loss)		(601,095	)		(347,888	)
Shareholders’ equity, end of period	$	6,236,982		$	3,611,724

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(601,095	)	$	(347,888	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(5,984,289	)		(1,999,562	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		2,290,249			1,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(4,740	)		(323	)
Net realized (gain) loss on investments		5,949			—
Change in unrealized (appreciation) depreciation on investments		138,425			311,052
Decrease (Increase) in interest receivable		153			92
Increase (Decrease) in payable to Sponsor		2,160			(614	)
Net cash provided by (used in) operating activities		(4,153,188	)		(1,037,243	)
Cash flow from financing activities
Proceeds from addition of shares		1,316,267			—
Payment on shares redeemed		(3,137,285	)		(777,738	)
Net cash provided by (used in) financing activities		(1,821,018	)		(777,738	)
Net increase (decrease) in cash		(5,974,206	)		(1,814,981	)
Cash, beginning of period		7,582,458			4,652,092
Cash, end of period	$	1,608,252		$	2,837,111

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31,<br> 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $298,652,557 and $207,964,168, respectively)	$	298,473,849	$	207,956,320
Cash		37,818,466		9,328,332
Segregated cash balances with brokers for futures contracts		13,525,200		6,093,750
Segregated cash balances with brokers for swap agreements		11,048,000		—
Unrealized appreciation on swap agreements		—		8,639,188
Receivable on open futures contracts		2,562,814		944,644
Interest receivable		—		690
Total assets		363,428,329		232,962,924
Liabilities and shareholders’ equity
Liabilities
Brokerage commissions and futures account fees payable		10,530		4,034
Payable to Sponsor		277,421		178,356
Unrealized depreciation on swap agreements		8,110,556		—
Total liabilities		8,398,507		182,390
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		355,029,822		232,780,534
Total liabilities and shareholders’ equity	$	363,428,329	$	232,962,924
Shares outstanding		5,300,000		3,900,000
Net asset value per share	$	66.99	$	59.69
Market value per share (Note 2)	$	66.14	$	59.81

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(84% of shareholders’ equity)
U.S. Treasury Bills^^:
0.021% due 04/21/22	50,000,000	$	49,995,835
0.209% due 05/19/22†	25,000,000		24,991,332
0.363% due 06/16/22†	90,000,000		89,917,353
0.393% due 07/21/22†	45,000,000		44,902,179
0.706% due 08/18/22†	75,000,000		74,752,410
0.223% due 11/03/22†	14,000,000		13,914,740
Total short-term U.S. government and agency obligations (cost 298,652,557)		$	298,473,849

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
Gold Futures - COMEX, expires June 2022		1,871	$	365,593,400	$	(7,245,013	)

Total Return Swap Agreements ^

	Rate Paid<br><br> <br>(Received)<br>*				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	%	04/06/22	$	118,728,333	$	(2,792,482	)
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex		0.25		04/06/22		102,600,526		(2,413,156	)
Swap agreement with UBS AG based on Bloomberg Gold Subindex		0.25		04/06/22		123,508,801		(2,904,918	)
						Total Unrealized <br>Depreciation	$	(8,110,556	)
†	All or partial amount pledged as collateral for swap agreements.
---	---
^	The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
---	---
^^	Rates shown represent discount rate at the time of purchase.
---	---
*	Reflects the floating financing rate, as of March 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
---	---
**	For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	95,113		$	35,827
Expenses
Management fee		671,415			568,207
Brokerage commissions		21,659			14,888
Futures accounts fees		19,505			32,402
Total expenses		712,579			615,497
Net investment income (loss)		(617,466	)		(579,670	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		20,190,020			(16,805,897	)
Swap agreements		37,628,576			(34,442,235	)
Short-term U.S. government and agency obligations		—			245
Net realized gain (loss)		57,818,596			(51,247,887	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		(7,899,907	)		(2,253,749	)
Swap agreements		(16,749,744	)		1,019,450
Short-term U.S. government and agency obligations		(170,860	)		1,796
Change in net unrealized appreciation (depreciation)		(24,820,511	)		(1,232,503	)
Net realized and unrealized gain (loss)		32,998,085			(52,480,390	)
Net income (loss)	$	32,380,619		$	(53,060,060	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	232,780,534		$	263,540,473
Addition of 1,500,000 and 600,000 shares, respectively		95,684,676			37,062,261
Redemption of 100,000 and 550,000 shares, respectively		(5,816,007	)		(32,994,618	)
Net addition (redemption) of 1,400,000 and 50,000 shares, respectively		89,868,669			4,067,643
Net investment income (loss)		(617,466	)		(579,670	)
Net realized gain (loss)		57,818,596			(51,247,887	)
Change in net unrealized appreciation (depreciation)		(24,820,511	)		(1,232,503	)
Net income (loss)		32,380,619			(53,060,060	)
Shareholders’ equity, end of period	$	355,029,822		$	214,548,056

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	32,380,619		$	(53,060,060	)
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		(439,592,586	)		(206,969,781	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		349,000,000			194,999,771
Net amortization and accretion on short-term U.S. government and agency obligations		(95,803	)		(27,375	)
Net realized (gain) loss on investments		—			(245	)
Change in unrealized (appreciation) depreciation on investments		16,920,604			(1,021,246	)
Decrease (Increase) in receivable on open futures contracts		(1,618,170	)		(1,456,440	)
Decrease (Increase) in interest receivable		690			4,186
Increase (Decrease) in payable to Sponsor		99,065			(30,328	)
Increase (Decrease) in brokerage commissions and futures account fees payable		6,496			9,172
Net cash provided by (used in) operating activities		(42,899,085	)		(67,552,346	)
Cash flow from financing activities
Proceeds from addition of shares		95,684,676			37,062,261
Payment on shares redeemed		(5,816,007	)		(32,994,618	)
Net cash provided by (used in) financing activities		89,868,669			4,067,643
Net increase (decrease) in cash		46,969,584			(63,484,703	)
Cash, beginning of period		15,422,082			183,452,109
Cash, end of period	$	62,391,666		$	119,967,406

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $465,593,363 and $451,896,236, respectively)	$	465,290,460	$	451,872,982
Cash		22,418,785		10,985,565
Segregated cash balances with brokers for futures contracts		13,190,750		14,502,938
Segregated cash balances with brokers for swap agreements		81,624,040		—
Unrealized appreciation on swap agreements		—		40,591,699
Receivable on open futures contracts		174,600		1,384,919
Interest receivable		—		1,582
Total assets		582,698,635		519,339,685
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		3,483,770
Brokerage commissions and futures account fees payable		9,893		9,833
Payable to Sponsor		462,171		392,488
Unrealized depreciation on swap agreements		23,850,730		—
Total liabilities		24,322,794		3,886,091
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		558,375,841		515,453,594
Total liabilities and shareholders’ equity	$	582,698,635	$	519,339,685
Shares outstanding		14,296,526		14,796,526
Net asset value per share	$	39.06	$	34.84
Market value per share (Note 2)	$	38.53	$	34.74

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(83% of shareholders’ equity)
U.S. Treasury Bills^^:
0.135% due 04/21/22†	75,000,000	$	74,993,752
0.209% due 05/19/22†	150,000,000		149,947,995
0.351% due 06/16/22†	100,000,000		99,908,170
0.393% due 07/21/22†	23,000,000		22,950,003
0.706% due 08/18/22†	75,000,000		74,752,410
0.223% due 11/03/22†	43,000,000		42,738,130
Total short-term U.S. government and agency obligations (cost 465,593,363)		$	465,290,460

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 May 2022		1,351	$	169,773,415	$	9,192,378

Total Return Swap Agreements ^

	Rate Paid<br><br> <br>(Received)<br>*				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	%	04/06/22	$	237,998,246	$	(7,141,286	)
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.30		04/06/22		249,395,557		(5,875,157	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30		04/06/22		232,374,365		(5,474,180	)
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25		04/06/22		227,857,585		(5,360,107	)
						Total Unrealized <br>Depreciation	$	(23,850,730	)
†	All or partial amount pledged as collateral for swap agreements.
---	---
^	The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
---	---
^^	Rates shown represent discount rate at the time of purchase.
---	---
*	Reflects the floating financing rate, as of March 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
---	---
**	For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	140,449		$	98,129
Expenses
Management fee		1,217,599			1,631,135
Brokerage commissions		30,551			46,582
Futures accounts fees		20,505			162,187
Total expenses		1,268,655			1,839,904
Net investment income (loss)		(1,128,206	)		(1,741,775	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(5,744,962	)		6,896,270
Swap agreements		122,381,989			(1,985,719	)
Short-term U.S. government and agency obligations		10			191
Net realized gain (loss)		116,637,037			4,910,742
Change in net unrealized appreciation (depreciation) on
Futures contracts		6,685,833			(52,592,033	)
Swap agreements		(64,442,429	)		(85,173,669	)
Short-term U.S. government and agency obligations		(279,649	)		21,921
Change in net unrealized appreciation (depreciation)		(58,036,245	)		(137,743,781	)
Net realized and unrealized gain (loss)		58,600,792			(132,833,039	)
Net income (loss)	$	57,472,586		$	(134,574,814	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	515,453,594		$	745,304,028
Addition of 1,000,000 and 2,400,000 shares, respectively		39,033,941			120,399,635
Redemption of 1,500,000 and 3,250,000 shares, respectively		(53,584,280	)		(158,627,600	)
Net addition (redemption) of (500,000) and (850,000) shares, respectively		(14,550,339	)		(38,227,965	)
Net investment income (loss)		(1,128,206	)		(1,741,775	)
Net realized gain (loss)		116,637,037			4,910,742
Change in net unrealized appreciation (depreciation)		(58,036,245	)		(137,743,781	)
Net income (loss)		57,472,586			(134,574,814	)
Shareholders’ equity, end of period	$	558,375,841		$	572,501,249

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	57,472,586		$	(134,574,814	)
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		(555,554,828	)		(684,892,324	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		541,999,742			509,999,794
Net amortization and accretion on short-term U.S. government and agency obligations		(142,031	)		(77,206	)
Net realized (gain) loss on investments		(10	)		(191	)
Change in unrealized (appreciation) depreciation on investments		64,722,078			85,151,748
Decrease (Increase) in receivable on open futures contracts		1,210,319			(1,465,450	)
Decrease (Increase) in interest receivable		1,582			6,065
Increase (Decrease) in payable to Sponsor		69,683			(29,124	)
Increase (Decrease) in brokerage commissions and futures account fees payable		60			45,354
Increase (Decrease) in payable on open futures contracts		—			(147,416	)
Net cash provided by (used in) operating activities		109,779,181			(225,983,564	)
Cash flow from financing activities
Proceeds from addition of shares		39,033,941			116,265,208
Payment on shares redeemed		(57,068,050	)		(158,627,600	)
Net cash provided by (used in) financing activities		(18,034,109	)		(42,362,392	)
Net increase (decrease) in cash		91,745,072			(268,345,956	)
Cash, beginning of period		25,488,503			446,401,960
Cash, end of period	$	117,233,575		$	178,056,004

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $193,806,309 and $221,725,609, respectively)	$	193,118,875	$	221,660,593
Cash		70,665,485		108,688,034
Segregated cash balances with brokers for futures contracts		490,761,445		463,432,845
Receivable from capital shares sold		15,544,945		—
Securities sold receivabl<br>e		6,195,418		—
Receivable on open futures contracts		352,266,772		33,597,688
Interest receivable		—		5,060
Total assets		1,128,552,940		827,384,220
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		9,447,456
Brokerage commissions and futures account fees payable		234,366		167,855
Payable to Sponsor		709,933		611,836
Unrealized depreciation on swap agreements		—		477,437
Total liabilities		944,299		10,704,584
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		1,127,608,641		816,679,636
Total liabilities and shareholders’ equity	$	1,128,552,940	$	827,384,220
Shares outstanding (Note 1)		83,528,420		65,828,420
Net asset value per share (Note 1)	$	13.50	$	12.41
Market value per share (Note 1) (Note 2)	$	13.46	$	12.43

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(17% of shareholders’ equity)
U.S. Treasury Bills^^:
0.135% due 04/21/22	50,000,000	$	49,995,835
0.223% due 11/03/22	144,000,000		143,123,040
Total short-term U.S. government and agency obligations (cost 193,806,309)		$	193,118,875

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 April 2022		33,482	$	785,789,058	$	(144,097,149	)
VIX Futures - Cboe, expires May 2022		36,263		906,128,965		(17,115,511	)
					$	(161,212,660	)
^^	Rates shown represent discount rate at the time of purchase.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	95,261		$	113,969
Expenses
Management fee		1,961,177			4,383,077
Brokerage commissions		936,758			1,956,628
Futures accounts fees		782,688			1,843,813
Total expenses		3,680,623			8,183,518
Net investment income (loss)		(3,585,362	)		(8,069,549	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		258,438,098			(653,063,682	)
Swap agreements		22,556,586			(51,454,342	)
Short-term U.S. government and agency obligations		(15,153	)		18,520
Net realized gain (loss)		280,979,531			(704,499,504	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		(34,855,903	)		(284,403,583	)
Swap agreements		477,437			24,807
Short-term U.S. government and agency obligations		(622,418	)		19,445
Change in net unrealized appreciation (depreciation)		(35,000,884	)		(284,359,331	)
Net realized and unrealized gain (loss)		245,978,647			(988,858,835	)
Net income (loss)	$	242,393,285		$	(996,928,384	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	816,679,636		$	1,356,204,199
Addition of 83,100,000 and 19,630,000 shares, respectively (Note 1)		1,171,715,867			1,939,143,031
Redemption of 65,400,000 and 9,540,000 shares, respectively (Note 1)		(1,103,180,147	)		(1,014,045,676	)
Net addition (redemption) of 17,700,000 and 10,090,000 shares, respectively (Note 1)		68,535,720			925,097,355
Net investment income (loss)		(3,585,362	)		(8,069,549	)
Net realized gain (loss)		280,979,531			(704,499,504	)
Change in net unrealized appreciation (depreciation)		(35,000,884	)		(284,359,331	)
Net income (loss)		242,393,285			(996,928,384	)
Shareholders’ equity, end of period	$	1,127,608,641		$	1,284,373,170

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br><br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	242,393,285		$	(996,928,384	)
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		(396,948,446	)		(811,866,867	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		424,952,914			679,996,765
Net amortization and accretion on short-term U.S. government and agency obligations		(100,321	)		(81,137	)
Net realized (gain) loss on investments		15,153			(18,520	)
Change in unrealized (appreciation) depreciation on investments		144,981			(44,252	)
Decrease (Increase) in securities sold receivable		(6,195,418	)		—
Decrease (Increase) in receivable on open futures contracts		(318,669,084	)		(22,894,994	)
Decrease (Increase) in interest receivable		5,060			423
Increase (Decrease) in payable to Sponsor		98,097			312,325
Increase (Decrease) in brokerage commissions and futures account fees payable		66,511			249,748
Increase (Decrease) in payable on open futures contracts		(9,447,456	)		(9,772,407	)
Increase (Decrease) in securities purchased payable		—			38,977,944
Net cash provided by (used in) operating activities		(63,684,724	)		(1,122,069,356	)
Cash flow from financing activities
Proceeds from addition of shares		1,156,170,922			1,988,229,419
Payment on shares redeemed		(1,103,180,147	)		(1,014,045,676	)
Net cash provided by (used in) financing activities		52,990,775			974,183,743
Net increase (decrease) in cash		(10,693,949	)		(147,885,613	)
Cash, beginning of period		572,120,879			1,069,671,996
Cash, end of period	$	561,426,930		$	921,786,383

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31,<br> 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $996,736 and $–, respectively)	$	993,910	$	—
Cash		1,339,246		2,232,820
Segregated cash balances with brokers for foreign currency forward contracts		—		225,000
Unrealized appreciation on foreign currency forward contracts		7,119		821
Interest receivable		—		95
Total assets		2,340,275		2,458,736
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		1,800		1,954
Unrealized depreciation on foreign currency forward contracts		238,770		93,933
Total liabilities		240,570		95,887
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		2,099,705		2,362,849
Total liabilities and shareholders’ equity	$	2,340,275	$	2,458,736
Shares outstanding		49,970		49,970
Net asset value per share	$	42.02	$	47.29
Market value per share (Note 2)	$	42.09	$	47.29

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(47% of shareholders’ equity)
U.S. Treasury Bills^^:
0.554% due 11/03/22†	1,000,000	$	993,910
Total short-term U.S. government and agency obligations (cost 996,736)		$	993,910

All values are in US Dollars.

Foreign Currency Forward Contracts<br>^
	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		04/08/22		321,397,517		$	2,640,512		$	(140,536	)
Yen with UBS AG		04/08/22		234,765,856			1,928,772			(98,234	)
							Total Unrealized<br> Depreciation		$	(238,770	)
Contracts to Sell
Yen with Goldman Sachs International		04/08/22		(6,529,000	)	$	(53,640	)	$	(254	)
Yen with UBS AG		04/08/22		(37,680,000	)		(309,568	)		7,373
							Total Unrealized <br>Appreciation		$	7,119
†	All or partial amount pledged as collateral for foreign currency forward contracts.
---	---
^	The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
---	---
^^	Rates shown represent discount rate at the time of purchase.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	873		$	356
Expenses
Management fee		5,429			6,649
Total expenses		5,429			6,649
Net investment income (loss)		(4,556	)		(6,293	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(118,771	)		(139,467	)
Short-term U.S. government and agency obligations		1,548			—
Net realized gain (loss)		(117,223	)		(139,467	)
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(138,539	)		(256,089	)
Short-term U.S. government and agency obligations		(2,826	)		44
Change in net unrealized appreciation (depreciation)		(141,365	)		(256,045	)
Net realized and unrealized gain (loss)		(258,588	)		(395,512	)
Net income (loss)	$	(263,144	)	$	(401,805	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	2,362,849		$	2,989,499
Net investment income (loss)		(4,556	)		(6,293	)
Net realized gain (loss)		(117,223	)		(139,467	)
Change in net unrealized appreciation (depreciation)		(141,365	)		(256,045	)
Net income (loss)		(263,144	)		(401,805	)
Shareholders’ equity, end of period	$	2,099,705		$	2,587,694

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(263,144	)	$	(401,805	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(995,769	)		(499,849	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,548			—
Net amortization and accretion on short-term U.S. government and agency obligations		(967	)		(93	)
Net realized (gain) loss on investments		(1,548	)		—
Change in unrealized (appreciation) depreciation on investments		141,365			256,045
Decrease (Increase) in interest receivable		95			27
Increase (Decrease) in payable to Sponsor		(154	)		(213	)
Net cash provided by (used in) operating activities		(1,118,574	)		(645,888	)
Net increase (decrease) in cash		(1,118,574	)		(645,888	)
Cash, beginning of period		2,457,820			2,924,696
Cash, end of period	$	1,339,246		$	2,278,808

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $<br>–<br> and $<br>1,999,869<br>, respectively)	$	—	$	1,999,875
Cash		2,144,311		310,565
Segregated cash balances with brokers for futures contracts		108,900		117,920
Receivable on open futures contracts		11,700		—
Interest receivable		—		16
Total assets		2,264,911		2,428,376
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		13,735
Payable to Sponsor		1,886		2,018
Total liabilities		1,886		15,753
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		2,263,025		2,412,623
Total liabilities and shareholders’ equity	$	2,264,911	$	2,428,376
Shares outstanding		50,000		50,000
Net asset value per share	$	45.26	$	48.25
Market value per share (Note 2)	$	45.35	$	48.41

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(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 June 2022		60	$	4,497,900	$	(96,657	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	115		$	258
Expenses
Management fee		5,696			5,139
Brokerage commissions		500			386
Total expenses		6,196			5,525
Net investment income (loss)		(6,081	)		(5,267	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(116,848	)		(164,544	)
Short-term U.S. government and agency obligations		4,839			—
Net realized gain (loss)		(112,009	)		(164,544	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		(31,502	)		206,052
Short-term U.S. government and agency obligations		(6	)		—
Change in net unrealized appreciation (depreciation)		(31,508	)		206,052
Net realized and unrealized gain (loss)		(143,517	)		41,508
Net income (loss)	$	(149,598	)	$	36,241

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	2,412,623		$	2,222,639
Net investment income (loss)		(6,081	)		(5,267	)
Net realized gain (loss)		(112,009	)		(164,544	)
Change in net unrealized appreciation (depreciation)		(31,508	)		206,052
Net income (loss)		(149,598	)		36,241
Shareholders’ equity, end of period	$	2,263,025		$	2,258,880

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br><br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(149,598	)	$	36,241
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Proceeds from sales or maturities of short-term U.S. government and agency obligations		2,004,839			—
Net amortization and accretion on short-term U.S. government and agency obligations		(131	)		—
Net realized (gain) loss on investments		(4,839	)		—
Change in unrealized (appreciation) depreciation on investments		6			—
Decrease (Increase) in receivable on open futures contracts		(11,700	)		—
Decrease (Increase) in interest receivable		16			31
Increase (Decrease) in payable to Sponsor		(132	)		(596	)
Increase (Decrease) in payable on open futures contracts		(13,735	)		(3,718	)
Net cash provided by (used in) operating activities		1,824,726			31,958
Net increase (decrease) in cash		1,824,726			31,958
Cash, beginning of period		428,485			2,234,027
Cash, end of period	$	2,253,211		$	2,265,985

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $172,878,249 and $55,932,300, respectively)	$	172,675,022	$	55,916,023
Cash		74,893,009		29,602,412
Segregated cash balances with brokers for futures contracts		146,472,433		24,841,141
Receivable from capital shares sold		2,335,415		—
Receivable on open futures contracts		24,718,248		4,064,439
Interest receivable		—		1,359
Total assets		421,094,127		114,425,374
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		3,982,086		175,557
Brokerage commissions and futures account fees payable		42,292		7,944
Payable to Sponsor		270,518		74,271
Total liabilities		4,294,896		257,772
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		416,799,231		114,167,602
Total liabilities and shareholders’ equity	$	421,094,127	$	114,425,374
Shares outstanding (Note 1)		71,433,799		8,883,799
Net asset value per share (Note 1)	$	5.83	$	12.85
Market value per share (Note 1) (Note 2)	$	5.79	$	12.75

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(41% of shareholders’ equity)
U.S. Treasury Bills^^:
0.051% due 04/21/22	40,000,000	$	39,996,668
0.209% due 05/19/22	25,000,000		24,991,333
0.389% due 06/16/22	50,000,000		49,954,085
0.393% due 07/21/22	22,000,000		21,952,176
0.223% due 11/03/22	36,000,000		35,780,760
Total short-term U.S. government and agency obligations (cost 172,878,249)		$	172,675,022

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
WTI Crude Oil - NYMEX, expires June 2022		2,737	$	269,649,240	$	(4,110,731	)
WTI Crude Oil - NYMEX, expires December 2022		3,147		281,971,200		(2,299,051	)
WTI Crude Oil - NYMEX, expires June 2023		3,339		282,512,790		116,312
					$	(6,293,470	)
^^	Rates shown represent discount rate at the time of purchase.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	53,907		$	10,835
Expenses
Management fee		492,647			221,263
Brokerage commissions		77,056			43,044
Futures accounts fees		70,177			47,712
Total expenses		639,880			312,019
Net investment income (loss)		(585,973	)		(301,184	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(106,482,101	)		(49,177,765	)
Net realized gain (loss)		(106,482,101	)		(49,177,765	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		2,115,992			5,636,634
Short-term U.S. government and agency obligations		(186,950	)		2,210
Change in net unrealized appreciation (depreciation)		1,929,042			5,638,844
Net realized and unrealized gain (loss)		(104,553,059	)		(43,538,921	)
Net income (loss)	$	(105,139,032	)	$	(43,840,105	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	114,167,602		$	96,839,233
Addition of 77,850,000 and 1,950,000 shares, respectively (Note 1)		510,028,879			64,302,979
Redemption of 15,300,000 and 850,000 shares, respectively (Note 1)		(102,258,218	)		(25,583,717	)
Net addition (redemption) of 62,550,000 and 1,100,000 shares, respectively (Note 1)		407,770,661			38,719,262
Net investment income (loss)		(585,973	)		(301,184	)
Net realized gain (loss)		(106,482,101	)		(49,177,765	)
Change in net unrealized appreciation (depreciation)		1,929,042			5,638,844
Net income (loss)		(105,139,032	)		(43,840,105	)
Shareholders’ equity, end of period	$	416,799,231		$	91,718,390

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(105,139,032	)	$	(43,840,105	)
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		(203,890,683	)		(59,990,524	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		87,000,000			25,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(55,266	)		(6,348	)
Change in unrealized (appreciation) depreciation on investments		186,950			(2,210	)
Decrease (Increase) in receivable on open futures contracts		(20,653,809	)		(2,690,988	)
Decrease (Increase) in interest receivable		1,359			2,099
Increase (Decrease) in payable to Sponsor		196,247			(7,303	)
Increase (Decrease) in brokerage commissions and futures account fees payable		34,348			25,647
Increase (Decrease) in payable on open futures contracts		3,806,529			166,417
Net cash provided by (used in) operating activities		(238,513,357	)		(81,343,315	)
Cash flow from financing activities
Proceeds from addition of shares		507,693,464			64,302,979
Payment on shares redeemed		(102,258,218	)		(25,583,717	)
Net cash provided by (used in) financing activities		405,435,246			38,719,262
Net increase (decrease) in cash		166,921,889			(42,624,053	)
Cash, beginning of period		54,443,553			97,113,373
Cash, end of period	$	221,365,442		$	54,489,320

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $109,916,719 and $123,855,553, respectively)	$	109,627,801	$	123,821,548
Cash		70,201,998		53,547,476
Segregated cash balances with brokers for futures contracts		35,162,820		59,453,451
Receivable from capital shares sold		19,436,163		—
Receivable on open futures contracts		18,454,994		30,090,351
Interest receivable		—		1,749
Total assets		252,883,776		266,914,575
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		15,986,002
Payable on open futures contracts		2,342,100		8,542,438
Brokerage commissions and futures account fees payable		29,510		46,867
Payable to Sponsor		171,329		194,138
Total liabilities		2,542,939		24,769,445
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		250,340,837		242,145,130
Total liabilities and shareholders’ equity	$	252,883,776	$	266,914,575
Shares outstanding (Note 1)		15,474,477		3,914,966
Net asset value per share (Note 1)	$	16.18	$	61.85
Market value per share (Note 1) (Note 2)	$	16.14	$	60.55

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(44% of shareholders’ equity)
U.S. Treasury Bills^^:
0.135% due 04/21/22	40,000,000	$	39,996,668
0.209% due 05/19/22	10,000,000		9,996,533
0.223% due 11/03/22	60,000,000		59,634,600
Total short-term U.S. government and agency obligations (cost 109,916,719)		$	109,627,801

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 May 2022		8,883	$	501,178,860	$	(74,095,907	)
^^	Rates shown represent discount rate at the time of purchase.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	55,825		$	7,883
Expenses
Management fee		542,364			159,337
Brokerage commissions		220,951			85,680
Futures accounts fees		129,929			23,273
Total expenses		893,244			268,290
Net investment income (loss)		(837,419	)		(260,407	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(114,665,698	)		(6,359,394	)
Short-term U.S. government and agency obligations		(58,610	)		—
Net realized gain (loss)		(114,724,308	)		(6,359,394	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		(87,532,158	)		15,893,547
Short-term U.S. government and agency obligations		(254,913	)		1,517
Change in net unrealized appreciation (depreciation)		(87,787,071	)		15,895,064
Net realized and unrealized gain (loss)		(202,511,379	)		9,535,670
Net income (loss)	$	(203,348,798	)	$	9,275,263

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	242,145,130		$	24,977,745
Addition of 18,560,000 and 820,000 shares, respectively (Note 1)		454,959,241			142,050,186
Redemption of 7,000,489 and 570,000 shares, respectively (Note 1)		(243,414,736	)		(106,843,919	)
Net addition (redemption) of 11,559,511 and 250,000 shares, respectively (Note 1)		211,544,505			35,206,267
Net investment income (loss)		(837,419	)		(260,407	)
Net realized gain (loss)		(114,724,308	)		(6,359,394	)
Change in net unrealized appreciation (depreciation)		(87,787,071	)		15,895,064
Net income (loss)		(203,348,798	)		9,275,263
Shareholders’ equity, end of period	$	250,340,837		$	69,459,275

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(203,348,798	)	$	9,275,263
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		(171,922,547	)		(53,993,457	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		185,860,345			20,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(57,574	)		(3,966	)
Net realized (gain) loss on investments		58,610			—
Change in unrealized (appreciation) depreciation on investments		254,913			(1,517	)
Decrease (Increase) in receivable on open futures contracts		11,635,357			(607,891	)
Decrease (Increase) in interest receivable		1,749			(694	)
Increase (Decrease) in payable to Sponsor		(22,809	)		43,590
Increase (Decrease) in brokerage commissions and futures account fees payable		(17,357	)		427
Increase (Decrease) in payable on open futures contracts		(6,200,338	)		(1,543,700	)
Net cash provided by (used in) operating activities		(183,758,449	)		(26,831,945	)
Cash flow from financing activities
Proceeds from addition of shares		435,523,078			142,050,186
Payment on shares redeemed		(259,400,738	)		(109,448,096	)
Net cash provided by (used in) financing activities		176,122,340			32,602,090
Net increase (decrease) in cash		(7,636,109	)		5,770,145
Cash, beginning of period		113,000,927			19,147,382
Cash, end of period	$	105,364,818		$	24,917,527

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $41,972,530 and $46,968,288, respectively)	$	41,892,032	$	46,961,125
Cash		8,512,948		7,554,065
Unrealized appreciation on foreign currency forward contracts		134,035		135,118
Interest receivable		—		603
Total assets		50,539,015		54,650,911
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		40,931		44,707
Unrealized depreciation on foreign currency forward contracts		—		343,159
Total liabilities		40,931		387,866
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		50,498,084		54,263,045
Total liabilities and shareholders’ equity	$	50,539,015	$	54,650,911
Shares outstanding		1,850,000		2,100,000
Net asset value per share	$	27.30	$	25.84
Market value per share (Note 2)	$	27.31	$	25.86

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(83% of shareholders’ equity)
U.S. Treasury Bills^^:
0.135% due 04/21/22	22,000,000	$	21,998,167
0.393% due 07/21/22†	4,000,000		3,991,305
0.223% due 11/03/22†	16,000,000		15,902,560
Total short-term U.S. government and agency obligations (cost 41,972,530)		$	41,892,032

All values are in US Dollars.

Foreign Currency Forward Contracts ^

	Settlement Date				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 UBS AG		04/08/22	13,916,000		$	15,396,940		$	6,561
						Total Unrealized<br> Appreciation		$	6,561
Contracts to Sell
Euro with Goldman Sachs International		04/08/22	(46,280,263	)	$	(51,205,409	)	$	83,304
Euro with UBS AG		04/08/22	(58,998,199	)		(65,276,787	)		44,170
						Total Unrealized<br> Appreciation		$	127,474
†	All or partial amount pledged as collateral for foreign currency forward contracts.
---	---
^	The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
---	---
^^	Rates shown represent discount rate at the time of purchase.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	15,405		$	7,166
Expenses
Management fee		117,456			124,038
Total expenses		117,456			124,038
Net investment income (loss)		(102,051	)		(116,872	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		2,542,134			70,527
Short-term U.S. government and agency obligations		210,974			—
Net realized gain (loss)		2,753,108			70,527
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		342,076			4,391,397
Short-term U.S. government and agency obligations		(73,335	)		840
Change in net unrealized appreciation (depreciation)		268,741			4,392,237
Net realized and unrealized gain (loss)		3,021,849			4,462,764
Net income (loss)	$	2,919,798		$	4,345,892

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	54,263,045		$	52,953,339
Addition of 50,000 and 200,000 shares, respectively		1,371,662			4,613,244
Redemption of 300,000 and 300,000 shares, respectively		(8,056,421	)		(6,980,338	)
Net addition (redemption) of (250,000) and (100,000) shares, respectively		(6,684,759	)		(2,367,094	)
Net investment income (loss)		(102,051	)		(116,872	)
Net realized gain (loss)		2,753,108			70,527
Change in net unrealized appreciation (depreciation)		268,741			4,392,237
Net income (loss)		2,919,798			4,345,892
Shareholders’ equity, end of period	$	50,498,084		$	54,932,137

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	2,919,798		$	4,345,892
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		(29,988,234	)		(41,994,414	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		35,210,974			34,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(16,008	)		(4,421	)
Net realized (gain) loss on investments		(210,974	)		—
Change in unrealized (appreciation) depreciation on investments		(268,741	)		(4,392,237	)
Decrease (Increase) in interest receivable		603			1,228
Increase (Decrease) in payable to Sponsor		(3,776	)		1,273
Net cash provided by (used in) operating activities		7,643,642			(8,042,679	)
Cash flow from financing activities
Proceeds from addition of shares		1,371,662			4,613,244
Payment on shares redeemed		(8,056,421	)		(6,980,338	)
Net cash provided by (used in) financing activities		(6,684,759	)		(2,367,094	)
Net increase (decrease) in cash		958,883			(10,409,773	)
Cash, beginning of period		7,554,065			44,132,228
Cash, end of period	$	8,512,948		$	33,722,455

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $21,981,721 and $25,984,097, respectively)	$	21,937,571	$	25,980,516
Cash		8,485,001		1,287,229
Segregated cash balances with brokers for futures contracts		978,300		703,125
Segregated cash balances with brokers for swap agreements		469,000		—
Unrealized appreciation on swap agreements		908,323		—
Interest receivable		—		434
Total assets		32,778,195		27,971,304
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		155,425		92,537
Brokerage commissions and futures account fees payable		533		294
Payable to Sponsor		23,786		25,512
Unrealized depreciation on swap agreements		—		993,117
Total liabilities		179,744		1,111,460
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		32,598,451		26,859,844
Total liabilities and shareholders’ equity	$	32,778,195	$	27,971,304
Shares outstanding		1,196,977		846,977
Net asset value per share	$	27.23	$	31.71
Market value per share (Note 2)	$	27.61	$	31.66

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(67% of shareholders’ equity)
U.S. Treasury Bills^^:
0.135% due 04/21/22†	8,000,000	$	7,999,334
0.393% due 07/21/22†	6,000,000		5,986,957
0.223% due 11/03/22†	8,000,000		7,951,280
Total short-term U.S. government and agency obligations (cost 21,981,721)		$	21,937,571

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 June 2022		134	$	26,183,600	$	325,987

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	%	04/06/22	$	(16,074,140	)	$	372,654
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex		0.20		04/06/22		(10,515,819	)		244,146
Swap agreement with UBS AG based on Bloomberg Gold Subindex		0.25		04/06/22		(12,574,684	)		291,523
						Total Unrealized<br> Appreciation		$	908,323
†	All or partial amount pledged as collateral for swap agreements.
---	---
^	The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
---	---
^^	Rates shown represent discount rate at the time of purchase.
---	---
*	Reflects the floating financing rate, as of March 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
---	---
**	For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	9,685		$	2,962
Expenses
Management fee		66,138			63,727
Brokerage commissions		2,811			3,590
Futures accounts fees		1,866			4,686
Total expenses		70,815			72,003
Net investment income (loss)		(61,130	)		(69,041	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(1,991,249	)		1,334,982
Swap agreements		(4,317,424	)		2,668,208
Short-term U.S. government and agency obligations		4			169
Net realized gain (loss)		(6,308,669	)		4,003,359
Change in net unrealized appreciation (depreciation) on
Futures contracts		167,908			236,075
Swap agreements		1,901,440			(416,739	)
Short-term U.S. government and agency obligations		(40,569	)		811
Change in net unrealized appreciation (depreciation)		2,028,779			(179,853	)
Net realized and unrealized gain (loss)		(4,279,890	)		3,823,506
Net income (loss)	$	(4,341,020	)	$	3,754,465

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	26,859,844		$	20,337,376
Addition of 450,000 and 750,000 shares, respectively		13,189,949			27,291,216
Redemption of 100,000 and 300,000 shares, respectively		(3,110,322	)		(10,139,542	)
Net addition (redemption) of 350,000 and 450,000 shares, respectively		10,079,627			17,151,674
Net investment income (loss)		(61,130	)		(69,041	)
Net realized gain (loss)		(6,308,669	)		4,003,359
Change in net unrealized appreciation (depreciation)		2,028,779			(179,853	)
Net income (loss)		(4,341,020	)		3,754,465
Shareholders’ equity, end of period	$	32,598,451		$	41,243,515

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(4,341,020	)	$	3,754,465
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(17,987,492	)		(18,997,037	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		21,999,990			5,999,936
Net amortization and accretion on short-term U.S. government and agency obligations		(10,118	)		(1,516	)
Net realized (gain) loss on investments		(4	)		(169	)
Change in unrealized (appreciation) depreciation on investments		(1,860,871	)		415,928
Decrease (Increase) in receivable on open futures contracts		—			1,317
Decrease (Increase) in interest receivable		434			127
Increase (Decrease) in payable to Sponsor		(1,726	)		10,663
Increase (Decrease) in brokerage commissions and futures account fees payable		239			1,492
Increase (Decrease) in payable on open futures contracts		62,888			536,010
Net cash provided by (used in) operating activities		(2,137,680	)		(8,278,784	)
Cash flow from financing activities
Proceeds from addition of shares		13,189,949			27,291,216
Payment on shares redeemed		(3,110,322	)		(10,139,542	)
Net cash provided by (used in) financing activities		10,079,627			17,151,674
Net increase (decrease) in cash		7,941,947			8,872,890
Cash, beginning of period		1,990,354			20,633,371
Cash, end of period	$	9,932,301		$	29,506,261

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31,<br> 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $13,931,199 and $22,995,121, respectively)	$	13,910,829	$	22,994,261
Cash		7,528,145		1,829,901
Segregated cash balances with brokers for futures contracts		1,604,313		1,081,575
Segregated cash balances with brokers for swap agreements		118,000		2,572,000
Unrealized appreciation on swap agreements		273,094		—
Receivable on open futures contracts		—		15,446
Interest receivable		—		378
Total assets		23,434,381		28,493,561
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		7,363		5,840
Brokerage commissions and futures account fees payable		733		747
Payable to Sponsor		19,769		28,560
Unrealized depreciation on swap agreements		—		1,921,414
Total liabilities		27,865		1,956,561
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		23,406,516		26,537,000
Total liabilities and shareholders’ equity	$	23,434,381	$	28,493,561
Shares outstanding (Note 1)		1,091,329		991,329
Net asset value per share (Note 1)	$	21.45	$	26.77
Market value per share (Note 1) (Note 2)	$	21.78	$	26.84

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(59% of shareholders’ equity)
U.S. Treasury Bills^^:
0.135% due 04/21/22	947,000	$	946,921
0.393% due 07/21/22†	11,000,000		10,976,088
0.223% due 11/03/22†	2,000,000		1,987,820
Total short-term U.S. government and agency obligations (cost 13,931,199)		$	13,910,829

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
Silver Futures - COMEX, expires May 2022		167	$	20,986,055	$	267,147
Total Return Swap Agreements<br>^
---	---	---	---	---	---	---	---	---	---	---
	Rate Paid<br><br> <br>(Received)<br>*			Termination<br><br> <br>Date	Notional Amount<br><br> <br>at Value<br>**			Unrealized<br><br> <br>Appreciation<br><br> <br>(Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex		0.25	%	04/06/22	$	(3,066,720	)	$	(193,389	)
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.25		04/06/22		(11,171,645	)		259,041
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30		04/06/22		(8,833,290	)		204,525
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25		04/06/22		(2,824,603	)		2,917
						Total Unrealized <br>Appreciation		$	273,094
†	All or partial amount pledged as collateral for swap agreements.
---	---
^	The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
---	---
^^	Rates shown represent discount rate at the time of purchase.
---	---
*	Reflects the floating financing rate, as of March 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
---	---
**	For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “ short” exposure to the benchmark index.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	8,920		$	3,117
Expenses
Management fee		60,953			84,745
Brokerage commissions		5,301			7,444
Futures accounts fees		3,274			9,991
Total expenses		69,528			102,180
Net investment income (loss)		(60,608	)		(99,063	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(1,293,770	)		(1,236,193	)
Swap agreements		(6,079,976	)		(1,696,158	)
Short-term U.S. government and agency obligations		(190	)		85
Net realized gain (loss)		(7,373,936	)		(2,932,266	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		(385,346	)		3,496,970
Swap agreements		2,194,508			3,968,794
Short-term U.S. government and agency obligations		(19,510	)		747
Change in net unrealized appreciation (depreciation)		1,789,652			7,466,511
Net realized and unrealized gain (loss)		(5,584,284	)		4,534,245
Net income (loss)	$	(5,644,892	)	$	4,435,182

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	26,537,000		$	28,885,775
Addition of 1,100,000 and 2,450,000 shares, respectively (Note 1)		25,560,144			58,095,647
Redemption of 1,000,000 and 1,875,000 shares, respectively (Note 1)		(23,045,736	)		(46,271,940	)
Net addition (redemption) of 100,000 and 575,000 shares, respectively (Note 1)		2,514,408			11,823,707
Net investment income (loss)		(60,608	)		(99,063	)
Net realized gain (loss)		(7,373,936	)		(2,932,266	)
Change in net unrealized appreciation (depreciation)		1,789,652			7,466,511
Net income (loss)		(5,644,892	)		4,435,182
Shareholders’ equity, end of period	$	23,406,516		$	45,144,664

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(5,644,892	)	$	4,435,182
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(20,979,052	)		(22,996,733	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		30,052,082			7,999,988
Net amortization and accretion on short-term U.S. government and agency obligations		(9,298	)		(2,043	)
Net realized (gain) loss on investments		190			(85	)
Change in unrealized (appreciation) depreciation on investments		(2,174,998	)		(3,969,541	)
Decrease (Increase) in receivable on open futures contracts		15,446			(208,039	)
Decrease (Increase) in interest receivable		378			463
Increase (Decrease) in payable to Sponsor		(8,791	)		7,144
Increase (Decrease) in brokerage commissions and futures account fees payable		(14	)		3,309
Increase (Decrease) in payable on open futures contracts		1,523			294,893
Net cash provided by (used in) operating activities		1,252,574			(14,435,462	)
Cash flow from financing activities
Proceeds from addition of shares		25,560,144			58,095,647
Payment on shares redeemed		(23,045,736	)		(46,271,940	)
Net cash provided by (used in) financing activities		2,514,408			11,823,707
Net increase (decrease) in cash		3,766,982			(2,611,755	)
Cash, beginning of period		5,483,476			32,155,049
Cash, end of period	$	9,250,458		$	29,543,294

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $20,984,538 and $20,990,068, respectively)	$	20,954,357	$	20,987,825
Cash		13,748,678		3,003,251
Unrealized appreciation on foreign currency forward contracts		2,372,690		1,237,168
Interest receivable		—		339
Total assets		37,075,725		25,228,583
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		9,290,592		—
Payable to Sponsor		21,724		20,211
Unrealized depreciation on foreign currency forward contracts		36,708		367,588
Total liabilities		9,349,024		387,799
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		27,726,701		24,840,784
Total liabilities and shareholders’ equity	$	37,075,725	$	25,228,583
Shares outstanding		299,290		299,290
Net asset value per share	$	92.64	$	83.00
Market value per share (Note 2)	$	92.73	$	82.99

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(76% of shareholders’ equity)
U.S. Treasury Bills^^:
0.135% due 04/21/22†	5,000,000	$	4,999,584
0.209% due 05/19/22	5,000,000		4,998,266
0.393% due 07/21/22†	6,000,000		5,986,957
0.223% due 11/03/22†	5,000,000		4,969,550
Total short-term U.S. government and agency obligations (cost 20,984,538)		$	20,954,357

All values are in US Dollars.

Foreign Currency Forward Contracts ^

	Settlement Date				Contract Amount<br><br> <br>in U.S. Dollars			Unrealized<br><br> <br>Appreciation<br><br> <br>(Depreciation)/<br><br> <br>Value
Contracts to Purchase
Yen with UBS AG		04/08/22	2,874,020,000		$	23,612,146		$	(36,708	)
						Total Unrealized<br> Depreciation		$	(36,708	)
Contracts to Sell
Yen with Goldman Sachs International		04/08/22	(1,973,114,165	)	$	(16,210,555	)	$	748,238
Yen with UBS AG		04/08/22	(7,652,928,574	)		(62,874,326	)		1,624,452
						Total Unrealized<br> Appreciation		$	2,372,690
†	All or partial amount pledged as collateral for foreign currency forward contracts.
---	---
^	The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
---	---
^^	Rates shown represent discount rate at the time of purchase.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	9,399		$	3,596
Expenses
Management fee		59,820			66,553
Total expenses		59,820			66,553
Net investment income (loss)		(50,421	)		(62,957	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		1,080,173			1,259,573
Short-term U.S. government and agency obligations		102,971			—
Net realized gain (loss)		1,183,144			1,259,573
Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		1,466,402			2,900,888
Short-term U.S. government and agency obligations		(27,938	)		854
Change in net unrealized appreciation (depreciation)		1,438,464			2,901,742
Net realized and unrealized gain (loss)		2,621,608			4,161,315
Net income (loss)	$	2,571,187		$	4,098,358

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	24,840,784		$	23,691,070
Addition of 100,000 and 100,000 shares, respectively		9,605,322			7,132,412
Redemption of 100,000 and – shares, respectively		(9,290,592	)		—
Net addition (redemption) of – and 100,000 shares, respectively		314,730			7,132,412
Net investment income (loss)		(50,421	)		(62,957	)
Net realized gain (loss)		1,183,144			1,259,573
Change in net unrealized appreciation (depreciation)		1,438,464			2,901,742
Net income (loss)		2,571,187			4,098,358
Shareholders’ equity, end of period	$	27,726,701		$	34,921,840

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	2,571,187		$	4,098,358
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(17,984,733	)		(21,496,640	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		18,102,971			7,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(9,737	)		(2,141	)
Net realized (gain) loss on investments		(102,971	)		—
Change in unrealized (appreciation) depreciation on investments		(1,438,464	)		(2,901,742	)
Decrease (Increase) in interest receivable		339			410
Increase (Decrease) in payable to Sponsor		1,513			7,512
Net cash provided by (used in) operating activities		1,140,105			(13,294,243	)
Cash flow from financing activities
Proceeds from addition of shares		9,605,322			7,132,412
Net cash provided by (used in) financing activities		9,605,322			7,132,412
Net increase (decrease) in cash		10,745,427			(6,161,831	)
Cash, beginning of period		3,003,251			24,274,564
Cash, end of period	$	13,748,678		$	18,112,733

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $63,955,449 and $85,937,303, respectively)	$	63,802,455	$	85,922,969
Cash		16,665,482		8,130,069
Segregated cash balances with brokers for futures contracts		15,897,200		18,941,750
Receivable on open futures contracts		1,586,495		63,397
Interest receivable		—		1,097
Total assets		97,951,632		113,059,282
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		94,495
Brokerage commissions and futures account fees payable		10,122		7,124
Payable to Sponsor		71,596		81,983
Total liabilities		81,718		183,602
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		97,869,914		112,875,680
Total liabilities and shareholders’ equity	$	97,951,632	$	113,059,282
Shares outstanding		3,112,403		3,687,403
Net asset value per share	$	31.45	$	30.61
Market value per share (Note 2)	$	31.50	$	30.57

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(65% of shareholders’ equity)
U.S. Treasury Bills^^:
0.135% due 04/21/22	32,000,000	$	31,997,335
0.223% due 11/03/22	32,000,000		31,805,120
Total short-term U.S. government and agency obligations (cost 63,955,449)		$	63,802,455

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 July 2022		593	$	15,480,562	$	226,352
VIX Futures - Cboe, expires August 2022		1,235		32,424,802		42,738
VIX Futures - Cboe, expires September 2022		1,235		32,852,729		(1,054,439	)
VIX Futures - Cboe, expires October 2022		642		17,245,083		(174,214	)
					$	(959,563	)
^^	Rates shown represent discount rate at the time of purchase.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	23,923		$	10,224
Expenses
Management fee		215,663			178,080
Brokerage commissions		24,869			11,312
Futures accounts fees		35,488			25,632
Total expenses		276,020			215,024
Net investment income (loss)		(252,097	)		(204,800	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		4,791,833			3,539,316
Short-term U.S. government and agency obligations		(336	)		—
Net realized gain (loss)		4,791,497			3,539,316
Change in net unrealized appreciation (depreciation) on
Futures contracts		(335,175	)		(8,276,672	)
Short-term U.S. government and agency obligations		(138,660	)		1,150
Change in net unrealized appreciation (depreciation)		(473,835	)		(8,275,522	)
Net realized and unrealized gain (loss)		4,317,662			(4,736,206	)
Net income (loss)	$	4,065,565		$	(4,941,006	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	112,875,680		$	72,075,095
Addition of 700,000 and 400,000 shares, respectively		22,135,602			15,879,994
Redemption of 1,275,000 and 200,000 shares, respectively		(41,206,933	)		(7,891,336	)
Net addition (redemption) of (575,000) and 200,000 shares, respectively		(19,071,331	)		7,988,658
Net investment income (loss)		(252,097	)		(204,800	)
Net realized gain (loss)		4,791,497			3,539,316
Change in net unrealized appreciation (depreciation)		(473,835	)		(8,275,522	)
Net income (loss)		4,065,565			(4,941,006	)
Shareholders’ equity, end of period	$	97,869,914		$	75,122,747

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	4,065,565		$	(4,941,006	)
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		(51,992,010	)		(47,992,944	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		73,998,548			61,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(25,020	)		(5,327	)
Net realized (gain) loss on investments		336			—
Change in unrealized (appreciation) depreciation on investments		138,660			(1,150	)
Decrease (Increase) in receivable on open futures contracts		(1,523,098	)		247,077
Decrease (Increase) in interest receivable		1,097			(856	)
Increase (Decrease) in payable to Sponsor		(10,387	)		8,296
Increase (Decrease) in brokerage commissions and futures account fees payable		2,998			875
Increase (Decrease) in payable on open futures contracts		(94,495	)		188,562
Net cash provided by (used in) operating activities		24,562,194			8,503,527
Cash flow from financing activities
Proceeds from addition of shares		22,135,602			15,879,994
Payment on shares redeemed		(41,206,933	)		(8,807,123	)
Net cash provided by (used in) financing activities		(19,071,331	)		7,072,871
Net increase (decrease) in cash		5,490,863			15,576,398
Cash, beginning of period		27,071,819			27,802,834
Cash, end of period	$	32,562,682		$	43,379,232

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $169,889,115 and $150,887,871, respectively)	$	169,589,079	$	150,861,898
Cash		31,727,811		11,013,736
Segregated cash balances with brokers for futures contracts		120,057,105		104,947,080
Receivable from capital shares sold		9,145,462		3,026,614
Receivable on open futures contracts		74,735,260		2,115,232
Interest receivable		—		1,774
Total assets		405,254,717		271,966,334
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		15		2,037,391
Brokerage commissions and futures account fees payable		57,973		38,926
Payable to Sponsor		246,329		186,853
Total liabilities		304,317		2,263,170
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		404,950,400		269,703,164
Total liabilities and shareholders’ equity	$	405,254,717	$	271,966,334
Shares outstanding (Note 1)		24,382,826		17,832,826
Net asset value per share (Note 1)	$	16.61	$	15.12
Market value per share (Note 1) (Note 2)	$	16.57	$	15.17

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2022

(unaudited)

		Value
Short-term U.S. government and agency obligations
(42% of shareholders’ equity)
U.S. Treasury Bills^^:
0.135% due 04/21/22	55,000,000	$	54,995,418
0.209% due 05/19/22	25,000,000		24,991,333
0.351% due 06/16/22	20,000,000		19,981,634
0.393% due 07/21/22	12,000,000		11,973,914
0.223% due 11/03/22	58,000,000		57,646,780
Total short-term U.S. government and agency obligations (cost 169,889,115)		$	169,589,079

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 April 2022		8,017	$	188,150,973	$	(38,308,680	)
VIX Futures - Cboe, expires May 2022		8,681		216,918,224		(4,996,257	)
					$	(43,304,937	)
^^	Rates shown represent discount rate at the time of purchase.
---	---

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	70,709		$	38,460
Expenses
Management fee		705,691			825,460
Brokerage commissions		116,474			172,658
Futures accounts fees		200,657			265,146
Total expenses		1,022,822			1,263,264
Net investment income (loss)		(952,113	)		(1,224,804	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		53,734,127			(76,634,593	)
Short-term U.S. government and agency obligations		97			—
Net realized gain (loss)		53,734,224			(76,634,593	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		(13,174,318	)		(53,438,914	)
Short-term U.S. government and agency obligations		(274,063	)		8,060
Change in net unrealized appreciation (depreciation)		(13,448,381	)		(53,430,854	)
Net realized and unrealized gain (loss)		40,285,843			(130,065,447	)
Net income (loss)	$	39,333,730		$	(131,290,251	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	269,703,164		$	293,390,549
Addition of 9,950,000 and 6,331,250 shares, respectively (Note 1)		161,172,915			326,892,710
Redemption of 3,400,000 and 2,287,500 shares, respectively (Note 1)		(65,259,409	)		(139,414,250	)
Net addition (redemption) of 6,550,000 and 4,043,750 shares, respectively (Note 1)		95,913,506			187,478,460
Net investment income (loss)		(952,113	)		(1,224,804	)
Net realized gain (loss)		53,734,224			(76,634,593	)
Change in net unrealized appreciation (depreciation)		(13,448,381	)		(53,430,854	)
Net income (loss)		39,333,730			(131,290,251	)
Shareholders’ equity, end of period	$	404,950,400		$	349,578,758

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	39,333,730		$	(131,290,251	)
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		(167,928,504	)		(247,959,463	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		148,999,840			180,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(72,483	)		(29,126	)
Net realized (gain) loss on investments		(97	)		—
Change in unrealized (appreciation) depreciation on investments		274,063			(8,060	)
Decrease (Increase) in receivable on open futures contracts		(72,620,028	)		408,326
Decrease (Increase) in interest receivable		1,774			534
Increase (Decrease) in payable to Sponsor		59,476			73,689
Increase (Decrease) in brokerage commissions and futures account fees payable		19,047			39,399
Increase (Decrease) in payable on open futures contracts		(2,037,376	)		2,587,600
Net cash provided by (used in) operating activities		(53,970,558	)		(196,177,352	)
Cash flow from financing activities
Proceeds from addition of shares		155,054,067			326,892,710
Payment on shares redeemed		(65,259,409	)		(139,414,250	)
Net cash provided by (used in) financing activities		89,794,658			187,478,460
Net increase (decrease) in cash		35,824,100			(8,698,892	)
Cash, beginning of period		115,960,816			206,562,147
Cash, end of period	$	151,784,916		$	197,863,255

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

	March 31, 2022<br><br> <br>(unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $2,872,659,877 and $2,505,722,885, respectively)	$	2,869,108,822	$	2,505,429,337
Cash		581,016,956		394,413,910
Segregated cash balances with brokers for futures contracts		1,226,733,453		1,010,799,328
Segregated cash balances with brokers for foreign currency forward contracts		—		916,000
Segregated cash balances with brokers for swap agreements		275,071,040		2,572,000
Unrealized appreciation on swap agreements		1,181,417		113,159,180
Unrealized appreciation on foreign currency forward contracts		2,513,844		1,457,257
Receivable from capital shares sold		46,461,985		23,475,355
Securities sold receivable		6,195,418		—
Receivable on open futures contracts		584,563,167		205,819,074
Interest receivable		1		22,943
Total assets		5,592,846,103		4,258,064,384
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		32,894,304		25,594,902
Payable on open futures contracts		56,668,379		51,142,167
Brokerage commissions and futures account fees payable		588,986		476,241
Payable to Sponsor		4,055,508		3,178,585
Unrealized depreciation on swap agreements		160,246,560		3,391,968
Unrealized depreciation on foreign currency forward contracts		325,796		806,178
Total liabilities		254,779,533		84,590,041
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		5,338,066,570		4,173,474,343
Total liabilities and shareholders’ equity	$	5,592,846,103	$	4,258,064,384
Shares outstanding (Note 1)		243,148,625		151,164,114

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Investment Income
Interest	$	1,026,882		$	549,742
Expenses
Management fee		10,616,957			12,169,010
Brokerage commissions		1,908,765			2,903,800
Futures account fees		1,804,923			2,853,404
Total expenses		14,330,645			17,926,214
Net investment income (loss)		(13,303,763	)		(17,376,472	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		408,448,775			(534,133,804	)
Swap agreements		705,182,989			55,764,481
Foreign currency forward contracts		3,062,506			1,163,291
Short-term U.S. government and agency obligations		227,575			19,761
Net realized gain (loss)		1,116,921,845			(477,186,271	)
Change in net unrealized appreciation (depreciation) on
Futures contracts		52,639,066			(257,111,138	)
Swap agreements		(268,832,355	)		(139,568,146	)
Foreign currency forward contracts		1,536,969			6,725,056
Short-term U.S. government and agency obligations		(3,257,507	)		106,285
Change in net unrealized appreciation (depreciation)		(217,913,827	)		(389,847,943	)
Net realized and unrealized gain (loss)		899,008,018			(867,034,214	)
Net income (loss)	$	885,704,255		$	(884,410,686	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Shareholders’ equity, beginning of period	$	4,173,474,343		$	4,474,251,414
Addition of 202,260,000 and 43,781,250 shares, respectively (Note 1)		3,082,800,285			3,034,497,796
Redemption of 110,275,489 and 35,372,500 shares, respectively (Note 1)		(2,803,912,313	)		(2,090,134,871	)
Net addition (redemption) of 91,984,511 and 8,408,750 shares, respectively (Note 1)		278,887,972			944,362,925
Net investment income (loss)		(13,303,763	)		(17,376,472	)
Net realized gain (loss)		1,116,921,845			(477,186,271	)
Change in net unrealized appreciation (depreciation)		(217,913,827	)		(389,847,943	)
Net income (loss)		885,704,255			(884,410,686	)
Shareholders’ equity, end of period	$	5,338,066,570		$	4,534,203,653

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

(unaudited)

	Three Months Ended<br><br> <br>March 31,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	885,704,255		$	(884,410,686	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(3,797,102,540	)		(3,414,460,174	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		3,431,442,943			2,422,995,930
Net amortization and accretion on short-term U.S. government and agency obligations		(1,049,820	)		(358,976	)
Net realized (gain) loss on investments		(227,575	)		(19,761	)
Change in unrealized (appreciation) depreciation on investments		270,552,893			132,736,805
Decrease (Increase) in securities sold receivable		(6,195,418	)		—
Decrease (Increase) in receivable on futures contracts		(378,744,093	)		(23,776,916	)
Decrease (Increase) in interest receivable		22,942			(105,237	)
Increase (Decrease) in payable to Sponsor		876,923			637,842
Increase (Decrease) in brokerage commissions and futures account fees payable		112,745			397,470
Increase (Decrease) in payable on futures contracts		5,526,212			17,409,669
Increase (Decrease) in securities purchased payable		—			38,977,944
Net cash provided by (used in) operating activities		410,919,467			(1,709,976,090	)
Cash flow from financing activities
Proceeds from addition of shares		3,059,813,655			3,079,449,757
Payment on shares redeemed		(2,796,612,911	)		(2,105,182,292	)
Net cash provided by (used in) financing activities		263,200,744			974,267,465
Net increase (decrease) in cash		674,120,211			(735,708,625	)
Cash, beginning of period		1,408,701,238			3,256,463,457
Cash, end of period	$	2,082,821,449		$	2,520,754,832

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

March 31, 2022

(unaudited)

NOTE 1 - ORGANIZATION

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2022, 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.

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

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

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

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

-1x,

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

Share Splits and Reverse Share Splits

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

Table of Contents

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 VIX Short-Term Futures ETF	May 25, 2021	1-for-10 reverse Share split	May 26, 2021
ProShares UltraShort Bloomberg Crude Oil	May 25, 2021	1-for-4 reverse Share split	May 26, 2021
ProShares UltraShort Silver	May 25, 2021	1-for-4 reverse Share split	May 26, 2021
ProShares VIX Short-Term Futures ETF	May 25, 2021	1-for-4 reverse Share split	May 26, 2021
ProShares UltraShort Bloomberg Natural Gas	January 13, 2022	1-for-5 reverse Share split	January 14, 2022

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, 2021, as filed with the SEC on February 25, 2022.

Use of Estimates & Indemnifications

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

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

Basis of Presentation

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

Statements of Cash Flows

The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated March 31, 2022 and 2021, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.

100

Table of Contents

Final Net Asset Value for Fiscal Period

The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 2022 were typically as follows. All times are Eastern Standard Time:

Fund	Create/Redeem<br> <br>Cut-off*	NAV Calculation<br> <br>Time	NAV<br> <br>Calculation Date
Ultra Silver and UltraShort Silver	1:00 p.m.	1:25 p.m.	March 31, 2022
Ultra Gold and UltraShort Gold	1:00 p.m.	1:30 p.m.	March 31, 2022
Ultra Bloomberg Crude Oil,
Ultra Bloomberg Natural Gas,
UltraShort Bloomberg Crude Oil and
UltraShort Bloomberg Natural Gas	2:00 p.m.	2:30 p.m.	March 31, 2022
Short Euro,
Ultra Euro,
Ultra Yen,
UltraShort Australian Dollar,
UltraShort Euro and
UltraShort Yen	3:00 p.m.	4:00 p.m.	March 31, 2022
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.	March 31, 2022
*	Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 2022.
---	---

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

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended March 31, 2022.

Investment Valuation

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

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

101

Table of Contents

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.

The following table summarizes the valuation of investments at March 31, 2022 using the fair value hierarchy:

	Level I - Quoted Prices					Level II - Other Significant<br><br> <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	$	—	$	2,656		$	—		$	—		$	2,656
ProShares Short VIX Short-Term Futures ETF		180,357,257		35,984,462			—			—			216,341,719
ProShares Ultra Bloomberg Crude Oil		1,016,050,654		245,591,163			—			(128,285,274	)		1,133,356,543
ProShares Ultra Bloomberg Natural Gas		95,749,617		76,824,603			—			—			172,574,220
ProShares Ultra Euro		4,685,054		—			(50,318	)		—			4,634,736
ProShares Ultra Gold		298,473,849		(7,245,013	)		—			(8,110,556	)		283,118,280
ProShares Ultra Silver		465,290,460		9,192,378			—			(23,850,730	)		450,632,108

102

Table of Contents

ProShares Ultra VIX Short-Term Futures ETF	$	193,118,875	$	(161,212,660	)	$	—		$	—		$	31,906,215
ProShares Ultra Yen		993,910		—			(231,651	)		—			762,259
ProShares UltraShort Australian Dollar		—		(96,657	)		—			—			(96,657	)
ProShares UltraShort Bloomberg Crude Oil		172,675,022		(6,293,470	)		—			—			166,381,552
ProShares UltraShort Bloomberg Natural Gas		109,627,801		(74,095,907	)		—			—			35,531,894
ProShares UltraShort Euro		41,892,032		—			134,035			—			42,026,067
ProShares UltraShort Gold		21,937,571		325,987			—			908,323			23,171,881
ProShares UltraShort Silver		13,910,829		267,147			—			273,094			14,451,070
ProShares UltraShort Yen		20,954,357		—			2,335,982			—			23,290,339
ProShares VIX <br>Mid-Term<br> Futures ETF		63,802,455		(959,563	)		—			—			62,842,892
ProShares VIX Short-Term Futures ETF		169,589,079		(43,304,937	)		—			—			126,284,142
Combined Trust:	$	2,869,108,822	$	74,980,189		$	2,188,048		$	(159,065,143	)	$	2,787,211,916
*	Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
---	---

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

The following table summarizes the valuation of investments at December 31, 2021 using the fair value hierarchy:

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

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

103

Table of Contents

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.

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.

104

Table of Contents

Accounting for Derivative Instruments

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

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

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

Futures Contracts

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

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

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

Option Contracts

An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are 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

105

Table of Contents

may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.

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

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

Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless. Over-the-counter options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The over-the-counter market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.

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

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.

106

Table of Contents

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

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

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

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at March 31, 2022

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

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

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

107

Table of Contents

between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

Forward Contracts

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

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

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

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

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.

108

Table of Contents

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 March 31, 2022

		Asset Derivatives				Liability Derivatives
Derivatives Not<br><br>Accounted for as<br><br>Hedging Instruments	Fund	Statements of<br><br>Financial Condition<br><br>Location	Unrealized<br><br><br>Appreciation			Statements of<br><br>Financial Condition<br><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		$	35,984,462	*		$	—
	ProShares Ultra VIX Short-Term Futures ETF			—				161,212,660	*
	ProShares VIX <br>Mid-Term<br> Futures ETF			269,090	*			1,228,653	*
	ProShares VIX Short-Term Futures ETF			—				43,304,937	*
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			245,591,163	*			128,285,274	*
	ProShares Ultra Bloomberg Natural Gas			76,824,603	*			—
	ProShares Ultra Gold			—				15,355,569	*
	ProShares Ultra Silver			9,192,378	*			23,850,730	*
	ProShares UltraShort Bloomberg Crude Oil			116,312	*			6,409,782	*
	ProShares UltraShort Bloomberg Natural Gas			—				74,095,907	*
	ProShares UltraShort Gold			1,234,310	*			—
	ProShares UltraShort Silver			733,630	*			193,389	*
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			2,656	*			—
	ProShares Ultra Euro			—				50,318
	ProShares Ultra Yen			7,119				238,770
	ProShares UltraShort Australian Dollar			—				96,657	*
	ProShares UltraShort Euro			134,035				—
	ProShares UltraShort Yen			2,372,690				36,708
		Combined Trust:	$	372,462,448	*		$	454,359,354	*
*	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.
---	---

109

Table of Contents

Fair Value of Derivative Instruments as of December 31, 2021
		Asset Derivatives				Liability Derivatives
Derivatives Not<br><br>Accounted for as<br><br>Hedging Instruments	Fund	Statements of<br><br>Financial Condition<br><br>Location	Unrealized<br><br><br>Appreciation			Statements of<br><br>Financial Condition<br><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		$	31,275,278	*		$	—
	ProShares Ultra VIX Short-Term Futures ETF			—				126,834,194	*
	ProShares VIX <br>Mid-Term<br> Futures ETF			642,035	*			1,266,423	*
	ProShares VIX Short-Term Futures ETF			—				30,130,619	*
Commodities Contracts		Receivables on open futures contracts and/or unrealized appreciation on swap agreements				Payable on open futures contracts and/or unrealized depreciation on swap agreements
	ProShares Ultra Bloomberg Crude Oil			211,383,818	*			—
	ProShares Ultra Bloomberg Natural Gas			—				8,206,161	*
	ProShares Ultra Gold			9,294,082	*			—
	ProShares Ultra Silver			43,098,244	*			—
	ProShares UltraShort Bloomberg Crude Oil			549,283	*			8,958,745	*
	ProShares UltraShort Bloomberg Natural Gas			13,436,251	*			—
	ProShares UltraShort Gold			158,079	*			993,117	*
	ProShares UltraShort Silver			652,493	*			1,921,414	*
Foreign Exchange Contracts		Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts				Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
	ProShares Short Euro			—				5,400	*
	ProShares Ultra Euro			84,150				1,498
	ProShares Ultra Yen			821				93,933
	ProShares UltraShort Australian Dollar			—				65,155	*
	ProShares UltraShort Euro			135,118				343,159
	ProShares UltraShort Yen			1,237,168				367,588
		Combined Trust:	$	311,946,820	*		$	179,187,406	*
*	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.
---	---

110

Table of Contents

The Effect of Derivative Instruments on the Statement of Operations

For the three months ended March 31, 2022

Derivatives Not Accounted<br><br>for as Hedging Instruments	Location of Gain<br><br>(Loss) on Derivatives<br><br>Recognized in Income	Fund	Realized Gain<br><br><br>(Loss) on<br><br><br>Derivatives<br><br><br>Recognized in<br><br><br>Income			Change in<br><br><br>Unrealized<br><br><br>Appreciation<br><br><br>(Depreciation) on<br><br><br>Derivatives<br><br><br>Recognized in<br><br><br>Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
		ProShares Short VIX Short-Term Futures ETF	$	(41,100,614	)	$	4,709,184
		ProShares Ultra VIX Short-Term Futures ETF		280,994,684			(34,378,466	)
		ProShares VIX <br>Mid-Term<br> Futures ETF		4,791,833			(335,175	)
		ProShares VIX Short-Term Futures ETF		53,734,127			(13,174,318	)
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		799,423,070			(94,077,929	)
		ProShares Ultra Bloomberg Natural Gas		76,220,688			85,030,764
		ProShares Ultra Gold		57,818,596			(24,649,651	)
		ProShares Ultra Silver		116,637,027			(57,756,596	)
		ProShares UltraShort Bloomberg Crude Oil		(106,482,101	)		2,115,992
		ProShares UltraShort Bloomberg Natural Gas		(114,665,698	)		(87,532,158	)
		ProShares UltraShort Gold		(6,308,673	)		2,069,348
		ProShares UltraShort Silver		(7,373,746	)		1,809,162
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		59,419			8,056
		ProShares Ultra Euro		(441,030	)		(132,970	)
		ProShares Ultra Yen		(118,771	)		(138,539	)
		ProShares UltraShort Australian Dollar		(116,848	)		(31,502	)
		ProShares UltraShort Euro		2,542,134			342,076
		ProShares UltraShort Yen		1,080,173			1,466,402
		Combined Trust:	$	1,116,694,270		$	(214,656,320	)

111

Table of Contents

The Effect of Derivative Instruments on the Statement of Operations

For the three months ended March 31, 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	$	24,209,417		$	42,121,892
		ProShares Ultra VIX Short-Term Futures ETF		(704,518,024	)		(284,378,776	)
		ProShares VIX <br>Mid-Term<br> Futures ETF		3,539,316			(8,276,672	)
		ProShares VIX Short-Term Futures ETF		(76,634,593	)		(53,438,914	)
Commodities Contracts	Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements
		ProShares Ultra Bloomberg Crude Oil		334,351,228			34,994,083
		ProShares Ultra Bloomberg Natural Gas		41,582,385			(17,800,783	)
		ProShares Ultra Gold		(51,248,132	)		(1,234,299	)
		ProShares Ultra Silver		4,910,551			(137,765,702	)
		ProShares UltraShort Bloomberg Crude Oil		(49,177,765	)		5,636,634
		ProShares UltraShort Bloomberg Natural Gas		(6,359,394	)		15,893,547
		ProShares UltraShort Gold		4,003,190			(180,664	)
		ProShares UltraShort Silver		(2,932,351	)		7,465,764
Foreign Exchange Contracts	Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
		ProShares Short Euro		69,393			78,554
		ProShares Ultra Euro		(27,342	)		(311,140	)
		ProShares Ultra Yen		(139,467	)		(256,089	)
		ProShares UltraShort Australian Dollar		(164,544	)		206,052
		ProShares UltraShort Euro		70,527			4,391,397
		ProShares UltraShort Yen		1,259,573			2,900,888
		Combined Trust:	$	(477,206,032	)	$	(389,954,228	)

112

Table of Contents

Offsetting Assets and Liabilities

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

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of March 31, 2022.

113

Table of Contents

Fair Values of Derivative Instruments as of March 31, 2022
	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><br> <br>Financial<br><br> <br>Condition		Gross Amounts<br><br> <br>Offset in the<br><br> <br>Statements of<br> Financial<br><br> <br>Condition		Net Amounts of<br> Assets presented<br><br> <br>in the<br><br> <br>Statements of<br> Financial<br><br> <br>Condition		Gross Amounts<br><br> <br>of Recognized<br><br> <br>Liabilities<br><br> <br>presented in the<br> Statements of<br> Financial<br><br> <br>Condition		Gross Amounts<br><br> <br>Offset in the<br><br> <br>Statements of<br><br> <br>Financial<br><br> <br>Condition		Net Amounts of<br><br> <br>Liabilities<br><br> <br>presented in the<br><br> <br>Statements of<br><br> <br>Financial<br><br> <br>Condition
ProShares Ultra Bloomberg Crude Oil Swap agreements	$	—	$	—	$	—	$	128,285,274	$	—	$	128,285,274
ProShares Ultra Euro Foreign currency forward contracts		—		—		—		50,318		—		50,318
ProShares Ultra Gold Swap agreements		—		—		—		8,110,556		—		8,110,556
ProShares Ultra Silver Swap agreements		—		—		—		23,850,730		—		23,850,730
ProShares Ultra Yen Foreign currency forward contracts		7,119		—		7,119		238,770		—		238,770
ProShares UltraShort Euro Foreign currency forward contracts		134,035		—		134,035		—		—		—
ProShares UltraShort Gold Swap agreements		908,323		—		908,323		—		—		—
ProShares UltraShort Silver Swap agreements		273,094		—		273,094		—		—		—
ProShares UltraShort Yen Foreign currency forward contracts		2,372,690		—		2,372,690		36,708		—		36,708

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

114

Table of Contents

Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2022
Fund	Amounts of Recognized Assets /<br><br> <br>(Liabilities) presented in the<br><br> <br>Statements of Financial Condition			Financial Instruments for<br><br> <br>the Benefit of (the Funds) /<br> the Counterparties			Cash Collateral for the<br><br> <br>Benefit of (the Funds) / the<br><br> <br>Counterparties			Net Amount
ProShares Ultra Bloomberg Crude Oil
Citibank, N.A.	$	(18,119,250	)	$	—		$	18,119,250		$	—
Goldman Sachs International		(36,248,743	)		28,534,743			7,714,000			—
Morgan Stanley & Co. International PLC		(31,383,289	)		31,383,289			—			—
Societe Generale		(17,086,634	)		17,086,634			—			—
UBS AG		(25,447,358	)		—			25,447,358			—
ProShares Ultra Euro
Goldman Sachs International		(7,961	)		7,961			—			—
UBS AG		(42,357	)		42,357			—			—
ProShares Ultra Gold
Citibank, N.A.		(2,792,482	)		—			2,792,482			—
Goldman Sachs International		(2,413,156	)		625,156			1,788,000			—
UBS AG		(2,904,918	)		2,904,918			—			—
ProShares Ultra Silver
Citibank, N.A.		(7,141,286	)		—			7,141,286			—
Goldman Sachs International		(5,875,157	)		—			5,875,157			—
Morgan Stanley & Co. International PLC		(5,474,180	)		5,474,180			—			—
UBS AG		(5,360,107	)		—			5,360,107			—
ProShares Ultra Yen
Goldman Sachs International		(140,970	)		140,970			—			—
UBS AG		(90,861	)		—			—			(90,861	)
ProShares UltraShort Euro
Goldman Sachs International		83,304			—			—			83,304
UBS AG		50,731			—			—			50,731
ProShares UltraShort Gold
Citibank, N.A.		372,654			—			—			372,654
Goldman Sachs International		244,146			(244,146	)		—			—
UBS AG		291,523			—			(291,523	)		—
ProShares UltraShort Silver
Citibank, N.A.		(193,389	)		193,389			—			—
Goldman Sachs International		259,041			(259,041	)		—			—
Morgan Stanley & Co. International PLC		204,525			—			(204,525	)		—
UBS AG		2,917			—			—			2,917
ProShares UltraShort Yen
Goldman Sachs International		748,238			(748,238	)		—			—
UBS AG		1,587,744			—			(1,587,744	)		—

115

Table of Contents

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

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

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2021. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

116

Table of Contents

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

NOTE 4 – AGREEMENTS

Management Fee

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

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

Non-Recurring Fees and Expenses

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

117

Table of Contents

The Administrator

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

The Custodian

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

The Transfer Agent

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

The Distributor

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

NOTE 5 – CREATION AND REDEMPTION OF CREATION UNITS

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

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

Transaction Fees on Creation and Redemption Transactions

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

Authorized Participants may pay a fixed transaction fee (typically $250) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for

118

Table of Contents

services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

Transaction fees for the three months ended March 31, 2022 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> March 31, 2022
ProShares Short Euro	$	—
ProShares Short VIX Short-Term Futures ETF		60,144
ProShares Ultra Bloomberg Crude Oil		—
ProShares Ultra Bloomberg Natural Gas		—
ProShares Ultra Euro		—
ProShares Ultra Gold		—
ProShares Ultra Silver		—
ProShares Ultra VIX Short-Term Futures ETF		1,226,762
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		18,967
ProShares VIX Short-Term Futures ETF		100,970
Combined Trust:	$	1,406,843

119

Table of Contents

NOTE 7 – FINANCIAL HIGHLIGHTS

120

Table of Contents

Selected Data for a Share Outstanding Throughout the Three Months Ended March 31, 2022

For the Three Months Ended March 31, 2022 (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, 2021	$	44.91		$	61.56		$	86.16		$	25.55		$	13.32		$	59.69
Net investment income (loss)		(0.11	)		(0.17	)		(0.31	)		(0.11	)		(0.02	)		(0.14	)
Net realized and unrealized gain (loss)#		1.43			(6.84	)		65.89			30.62			(0.83	)		7.44
Change in net asset value from operations		1.32			(7.01	)		65.58			30.51			(0.85	)		7.30
Net asset value, at March 31, 2022	$	46.23		$	54.55		$	151.74		$	56.06		$	12.47		$	66.99
Market value per share, at December 31, 2021<br>†	$	44.92		$	61.55		$	86.78		$	26.09		$	13.33		$	59.81
Market value per share, at March 31, 2022<br>†	$	46.18		$	54.56		$	153.30		$	56.31		$	12.46		$	66.14
Total Return, at net asset value^		2.9	%		(11.4	)%		76.1	%		119.4	%		(6.4	)%		12.2	%
Total Return, at market value^		2.8	%		(11.4	)%		76.7	%		115.8	%		(6.5	)%		10.6	%
Ratios to Average Net Assets**
Expense ratio^^		0.97	%		1.34	%		1.09	%		1.33	%		0.95	%		1.01	%
Net investment income gain (loss)		(0.98	)%		(1.25	)%		(0.99	)%		(1.23	)%		(0.74	)%		(0.87	)%
**	Percentages are annualized.
---	---
#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
---	---
†	Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
---	---
^	Percentages are not annualized for the period ended March 31, 2022.
---	---
^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if<br><br>brokerage commissions and futures account fees were excluded.
---	---

121

Table of Contents

For the Three Months Ended March 31, 2022 (unaudited)

Per Share Operating<br><br>Performance	Ultra Silver			Ultra VIX<br><br> <br>Short-Term<br><br> <br>Futures ETF<br>*			Ultra Yen			UltraShort<br><br> <br>Australian<br><br> <br>Dollar			UltraShort<br> Bloomberg<br> Crude Oil<br>*			UltraShort<br> Bloomberg<br> Natural Gas<br>*
Net asset value, at December 31, 2021	$	34.84		$	12.41		$	47.29		$	48.25		$	12.85		$	61.85
Net investment income (loss)		(0.08	)		(0.07	)		(0.09	)		(0.12	)		(0.02	)		(0.11	)
Net realized and unrealized gain (loss)#		4.30			1.16			(5.18	)		(2.87	)		(7.00	)		(45.56	)
Change in net asset value from operations		4.22			1.09			(5.27	)		(2.99	)		(7.02	)		(45.67	)
Net asset value, at March 31, 2022	$	39.06		$	13.50		$	42.02		$	45.26		$	5.83		$	16.18
Market value per share, at December 31, 2021<br>†	$	34.74		$	12.43		$	47.29		$	48.41		$	12.75		$	60.55
Market value per share, at March 31, 2022<br>†	$	38.53		$	13.46		$	42.09		$	45.35		$	5.79		$	16.14
Total Return, at net asset value^		12.1	%		8.8	%		(11.1	)%		(6.2	)%		(54.6	)%		(73.9	)%
Total Return, at market value^		10.9	%		8.3	%		(11.0	)%		(6.3	)%		(54.6	)%		(73.4	)%
Ratios to Average Net Assets**
Expense ratio^^		0.99	%		1.78	%		0.95	%		1.03	%		1.24	%		1.56	%
Net investment income gain (loss)		(0.88	)%		(1.73	)%		(0.80	)%		(1.01	)%		(1.13	)%		(1.46	)%
*	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 March 31, 2022.
---	---
^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
---	---

122

Table of Contents

For the Three Months Ended March 31, 2022 (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, 2021	$	25.84		$	31.71		$	26.77		$	83.00		$	30.61		$	15.12
Net investment income (loss)		(0.05	)		(0.06	)		(0.06	)		(0.17	)		(0.08	)		(0.05	)
Net realized and unrealized gain (loss)#		1.51			(4.42	)		(5.26	)		9.81			0.92			1.54
Change in net asset value from operations		1.46			(4.48	)		(5.32	)		9.64			0.84			1.49
Net asset value, at March 31, 2022	$	27.30		$	27.23		$	21.45		$	92.64		$	31.45		$	16.61
Market value per share, at December 31, 2021<br>†	$	25.86		$	31.66		$	26.84		$	82.99		$	30.57		$	15.17
Market value per share, at March 31, 2022<br>†	$	27.31		$	27.61		$	21.78		$	92.73		$	31.50		$	16.57
Total Return, at net asset value^		5.6	%		(14.1	)%		(19.9	)%		11.6	%		2.7	%		9.9	%
Total Return, at market value^		5.6	%		(12.8	)%		(18.9	)%		11.7	%		3.0	%		9.2	%
Ratios to Average Net Assets**
Expense ratio^^		0.95	%		1.02	%		1.08	%		0.95	%		1.09	%		1.23	%
Net investment income gain (loss)		(0.83	)%		(0.88	)%		(0.94	)%		(0.80	)%		(0.99	)%		(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 March 31, 2022.
---	---
^^	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.
---	---

123

Table of Contents

Selected Data for a Share Outstanding Throughout the Three Months Ended March 31, 2021

For the Three Months Ended March 31, 2021 (unaudited)

Per Share Operating<br> <br>Performance	Short Euro			Short VIX<br><br> <br>Short-Term<br><br> <br>Futures ETF			Ultra<br><br> <br>Bloomberg<br><br> <br>Crude Oil			Ultra<br><br> <br>Bloomberg<br><br> <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)		(0.09	)		(0.14	)		(0.13	)		(0.09	)		(0.03	)		(0.14	)
Net realized and unrealized gain (loss)<br>#		1.86			5.85			16.31			0.40			(1.31	)		(13.11	)
Change in net asset value from operations		1.77			5.71			16.18			0.31			(1.34	)		(13.25	)
Net asset value, at March 31, 2021	$	43.69		$	47.13		$	52.56		$	21.31		$	14.45		$	54.32
Market value per share, at December 31, 2020<br>†	$	41.35		$	41.44		$	36.27		$	21.07		$	15.81		$	68.20
Market value per share, at March 31, 2021<br>†	$	43.52		$	47.10		$	52.85		$	21.20		$	14.47		$	53.91
Total Return, at net asset value^		4.2	%		13.8	%		44.5	%		1.5	%		(8.5	)%		(19.6	)%
Total Return, at market value^		5.2	%		13.7	%		45.7	%		0.6	%		(8.5	)%		(21.0	)%
Ratios to Average Net Assets**
Expense ratio^^		0.97	%		1.35	%		1.10	%		1.60	%		0.95	%		1.03	%
Net investment income gain (loss)		(0.91	)%		(1.31	)%		(1.04	)%		(1.55	)%		(0.90	)%		(0.97	)%
**	Percentages are annualized.
---	---
#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
---	---
†	Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
---	---
^	Percentages are not annualized for the period ended March 31, 2021.
---	---
^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if <br>non-recurring<br> fees and expenses, and brokerage commissions and futures account fees were excluded.
---	---

124

Table of Contents

For the Three Months Ended March 31, 2021 (unaudited)

Per Share Operating<br> <br>Performance	Ultra Silver			Ultra VIX<br><br> <br>Short-Term<br><br> <br>Futures ETF<br>*			Ultra Yen			UltraShort<br><br> <br>Australian<br><br> <br>Dollar			UltraShort<br><br> <br>Bloomberg<br><br> <br>Crude Oil<br>*			UltraShort<br><br> <br>Bloomberg<br><br> <br>Natural Gas<br>*
Net asset value, at December 31, 2020	$	50.71		$	106.68		$	59.83		$	44.45		$	46.45		$	237.96
Net investment income (loss)		(0.12	)		(0.40	)		(0.13	)		(0.11	)		(0.10	)		(0.72	)
Net realized and unrealized gain (loss)#		(9.24	)		(49.96	)		(7.92	)		0.84			(17.55	)		(41.56	)
Change in net asset value from operations		(9.36	)		(50.36	)		(8.05	)		0.73			(17.65	)		(42.28	)
Net asset value, at March 31, 2021	$	41.35		$	56.32		$	51.78		$	45.18		$	28.80		$	195.68
Market value per share, at December 31, 2020<br>†	$	51.28		$	106.50		$	59.82		$	43.89		$	46.56		$	236.90
Market value per share, at March 31, 2021<br>†	$	41.10		$	56.50		$	51.78		$	45.19		$	28.60		$	196.60
Total Return, at net asset value^		(18.5	)%		(47.2	)%		(13.4	)%		1.6	%		(38.0	)%		(17.8	)%
Total Return, at market value^		(19.9	)%		(47.0	)%		(13.5	)%		3.0	%		(38.6	)%		(17.0	)%
Ratios to Average Net Assets**
Expense ratio^^		1.07	%		1.77	%		0.95	%		1.02	%		1.34	%		1.60	%
Net investment income gain (loss)		(1.02	)%		(1.75	)%		(0.90	)%		(0.97	)%		(1.29	)%		(1.55	)%
*	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 March 31, 2021.
---	---
^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if <br>non-recurring<br> fees and expenses, and brokerage commissions and futures account fees were excluded.
---	---

125

Table of Contents

For the Three Months Ended March 31, 2021 (unaudited)

Per Share Operating<br> <br>Performance	UltraShort<br><br> <br>Euro			UltraShort<br><br> <br>Gold			UltraShort<br><br> <br>Silver<br>*			UltraShort<br><br> <br>Yen			VIX Mid-<br><br> <br>Term Futures<br><br> <br>ETF			VIX Short-<br><br> <br>Term Futures<br><br> <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)		(0.05	)		(0.09	)		(0.07	)		(0.16	)		(0.09	)		(0.16	)
Net realized and unrealized<br> <br>gain (loss)#		1.93			6.26			0.26			10.06			(1.90	)		(17.58	)
Change in net asset value<br> <br>from operations		1.88			6.17			0.19			9.90			(1.99	)		(17.74	)
Net asset value, at<br> <br>March 31, 2021	$	24.41		$	37.60		$	27.92		$	77.73		$	34.74		$	37.29
Market value per share, at<br> <br>December 31, 2020<br>†	$	22.52		$	31.14		$	27.40		$	67.81		$	36.70		$	54.96
Market value per share, at<br> <br>March 31, 2021<br>†	$	24.42		$	37.89		$	28.04		$	77.75		$	35.06		$	37.40
Total Return, at net asset value^		8.4	%		19.6	%		0.7	%		14.7	%		(5.4	)%		(32.3	)%
Total Return, at market value^		8.4	%		21.7	%		2.3	%		14.6	%		(4.5	)%		(32.0	)%
Ratios to Average Net Assets**
Expense ratio^^		0.95	%		1.07	%		1.15	%		0.95	%		1.03	%		1.30	%
Net investment income gain (loss)		(0.90	)%		(1.03	)%		(1.11	)%		(0.90	)%		(0.98	)%		(1.26	)%
*	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 March 31, 2021.
---	---
^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.85% and 0.85%, respectively, if <br>non-recurring<br> fees and expenses, and brokerage commissions and futures account fees were excluded.
---	---

126

Table of Contents

NOTE 7 – RISK

Correlation and Compounding Risk

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

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

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

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

-1x,

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

127

Table of Contents

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

Counterparty Risk

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

Regulatory Treatment

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

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

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

Counterparty Credit Risk

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

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

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

128

Table of Contents

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.

129

Table of Contents

“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.

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

Change to Investment Strategies

Following this portfolio transition each Oil Fund has 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

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)

130

Table of Contents

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 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 in an attempt to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. Contemporaneous with the onset of the COVID-19 pandemic in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil. This led to an oversupply of crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts. In April 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. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and can result in significant losses. These and other global economic shocks as a result of the COVID-19 pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.

131

Table of Contents

NOTE 8 – SUBSEQUENT EVENTS

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

On March 11, 2022, ProShare Capital Management LLC announced that it plans to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidating funds”. The last day the liquidating funds will accept creation and redemption orders is May 2, 2022. Trading in the liquidating funds will be halted prior to market open on May 3, 2022. Beginning on May 3, 2022, the funds will not be traded on their respective exchanges, and there will be no secondary market for fund shares. On or about May 3, 2022, the funds will begin the process of liquidating their portfolios and will no longer be managed in accordance with their investment objectives. Any shareholders remaining in the liquidating funds will have their shares redeemed at net asset value on or about May 12, 2022.

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

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

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

Introduction

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2022, 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 May 11, 2021, the Trust announced a 1-for-10 reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF (ticker symbol: UVXY), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Crude Oil (ticker symbol: SCO), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and a 1-for-4 reverse split of the shares of beneficial interest of ProShares VIX Short-Term Futures ETF (ticker symbol: VIXY). The reverse splits were effective prior to market open on May 26, 2021, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the 4 funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.

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

132

Table of Contents

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 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

133

Table of Contents

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

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

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three months ended March 31, 2022 and 2021, each of the Funds earned interest income as follows:

Fund	Interest Income<br><br><br>Three Months<br><br><br>Ended<br><br><br>March 31, 2022			Interest Income<br><br><br>Three Months<br><br><br>Ended<br><br><br>March 31, 2021
ProShares Short Euro	$	(93	)	$	596
ProShares Short VIX Short-Term Futures ETF		94,343			33,890
ProShares Ultra Bloomberg Crude Oil		308,880			168,075
ProShares Ultra Bloomberg Natural Gas		39,581			13,815
ProShares Ultra Euro		4,587			584
ProShares Ultra Gold		95,113			35,827
ProShares Ultra Silver		140,449			98,129
ProShares Ultra VIX Short-Term Futures ETF		95,261			113,969
ProShares Ultra Yen		873			356
ProShares UltraShort Australian Dollar		115			258
ProShares UltraShort Bloomberg Crude Oil		53,907			10,835
ProShares UltraShort Bloomberg Natural Gas		55,825			7,883
ProShares UltraShort Euro		15,405			7,166
ProShares UltraShort Gold		9,685			2,962
ProShares UltraShort Silver		8,920			3,117
ProShares UltraShort Yen		9,399			3,596
ProShares VIX <br>Mid-Term<br> Futures ETF		23,923			10,224
ProShares VIX Short-Term Futures ETF		70,709			38,460

134

Table of Contents

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.

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

135

Table of Contents

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

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

Off-Balance Sheet Arrangements and Contractual Obligations

As of May 9, 2022, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

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

Critical Accounting Policies

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

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

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

For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended March 31, 2022.

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

136

Table of Contents

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.

137

Table of Contents

Results of Operations for the Three Months Ended March 31, 2022 Compared to the Three Months Ended March 31, 2021

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	2,245,421		$	4,191,955
NAV end of period	$	4,623,400		$	2,184,540
Percentage change in NAV		105.9	%		(47.9	)%
Shares outstanding beginning of period		50,000			100,000
Shares outstanding end of period		100,000			50,000
Percentage change in shares outstanding		100.0	%		(50.0	)%
Shares created		50,000			—
Shares redeemed		—			50,000
Per share NAV beginning of period	$	44.91		$	41.92
Per share NAV end of period	$	46.23		$	43.69
Percentage change in per share NAV		2.9	%		4.2	%
Percentage change in benchmark		(2.8	)%		(4.0	)%
Benchmark annualized volatility		8.6	%		6.2	%

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 50,000 outstanding Shares at December 31, 2021 to 100,000 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 100,000 outstanding Shares at December 31, 2020 to 50,000 outstanding Shares at March 31, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the inverse (-1x) of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended March 31, 2022 and 2021, 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 2.9% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 4.2% for the three months ended March 31, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

The benchmark’s decline of 2.8% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 4.0% for the three months ended March 31, 2021, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2022.

138

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(6,909	)	$	(8,638	)
Management fee		6,672			9,053
Brokerage commission		144			181
Net realized gain (loss)		63,871			69,393
Change in net unrealized appreciation (depreciation)		8,056			78,642
Net Income (loss)	$	65,018		$	139,397

The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a lesser decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2022.

139

Table of Contents

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	423,812,594		$	409,371,468
NAV end of period	$	495,588,849		$	527,130,851
Percentage change in NAV		16.9	%		28.8	%
Shares outstanding beginning of period		6,884,307			9,884,307
Shares outstanding end of period		9,084,307			11,184,307
Percentage change in shares outstanding		32.0	%		13.2	%
Shares created		3,000,000			2,400,000
Shares redeemed		800,000			1,100,000
Per share NAV beginning of period	$	61.56		$	41.42
Per share NAV end of period	$	54.55		$	47.13
Percentage change in per share NAV		(11.4	)%		13.8	%
Percentage change in benchmark		10.2	%		(32.0	)%
Benchmark annualized volatility		86.4	%		81.9	%

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 6,884,307 outstanding Shares at December 31, 2021 to 9,084,307 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 9,884,307 outstanding Shares at December 31, 2020 to 11,184,307 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.4% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 13.8% for the three months ended March 31, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

The benchmark’s rise of 10.2% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 32.0% for the three months ended March 31, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(1,296,922	)	$	(1,442,366	)
Management fee		986,537			1,042,569
Brokerage commission		187,698			175,910
Futures account fees		217,030			257,777
Net realized gain (loss)		(41,111,108	)		24,209,417
Change in net unrealized appreciation (depreciation)		4,297,907			42,125,118
Net Income (loss)	$	(38,110,123	)	$	64,892,169

140

Table of Contents

The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a increase in the value of futures prices during the three months ended March 31, 2022.

141

Table of Contents

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	1,103,783,570		$	902,739,250
NAV end of period	$	1,336,980,685		$	1,088,579,093
Percentage change in NAV		21.2	%		20.6	%
Shares outstanding beginning of period		12,810,774			24,810,774
Shares outstanding end of period		8,810,774			20,710,774
Percentage change in shares outstanding		(31.2	)%		(16.5	)%
Shares created		2,150,000			2,350,000
Shares redeemed		6,150,000			6,450,000
Per share NAV beginning of period	$	86.16		$	36.38
Per share NAV end of period	$	151.74		$	52.56
Percentage change in per share NAV		76.1	%		44.5	%
Percentage change in benchmark		36.7	%		22.0	%
Benchmark annualized volatility		46.0	%		32.3	%

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index SM . The increase in the Fund’s NAV was offset by a decrease from 12,810,774 outstanding Shares at December 31, 2021 to 8,810,774 outstanding Shares at March 31, 2022. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index SM . The increase in the Fund’s NAV was offset by a decrease from 24,810,774 outstanding Shares at December 31, 2020 to 20,710,774 outstanding Shares at March 31, 2021.

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 76.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 44.5% for the three months ended March 31, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

The benchmark’s rise of 36.7% for the three months ended March 31, 2022, as compared to the benchmark’s rise of 22.0% for the three months ended March 31, 2021, can be attributed to an greater increase in the value of WTI Crude Oil during the period ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(3,224,160	)	$	(2,759,147	)
Management fee		3,084,812			2,535,085
Brokerage commission		195,541			293,200
Futures account fees		252,687			98,937
Net realized gain (loss)		799,419,934			334,351,228
Change in net unrealized appreciation (depreciation)		(94,663,987	)		35,035,656
Net Income (loss)	$	701,531,787		$	366,627,737

The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an greater increase in the value of WTI Crude Oil during the three months ended March 31, 2022.

142

Table of Contents

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	193,892,178		$	169,800,371
NAV end of period	$	145,069,486		$	74,307,070
Percentage change in NAV		(25.2	)%		(56.2	)%
Shares outstanding beginning of period		7,587,527			8,087,527
Shares outstanding end of period		2,587,527			3,487,527
Percentage change in shares outstanding		(65.9	)%		(56.9	)%
Shares created		2,600,000			3,400,000
Shares redeemed		7,600,000			8,000,000
Per share NAV beginning of period	$	25.55		$	21.00
Per share NAV end of period	$	56.06		$	21.31
Percentage change in per share NAV		119.4	%		1.5	%
Percentage change in benchmark		58.4	%		3.0	%
Benchmark annualized volatility		72.9	%		42.1	%

143

Table of Contents

During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 7,587,527 outstanding Shares at December 31, 2021 to 2,587,527 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 3,487,527 outstanding Shares at March 31, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 119.4% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 1.5% for the three months ended March 31, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

The benchmark’s rise of 58.4% for the three months ended March 31, 2022, as compared to the benchmark’s rise of 3.0% for the three months ended March 31, 2021, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(516,598	)	$	(415,145	)
Management fee		396,610			254,815
Brokerage commission		88,452			92,297
Futures account fees		71,117			81,848
Net realized gain (loss)		76,217,236			41,582,936
Change in net unrealized appreciation (depreciation)		84,867,744			(17,798,868	)
Net Income (loss)	$	160,568,382		$	23,368,923

The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a greater increase in the value of Henry Hub Natural Gas during the three months ended March 31, 2022.

144

Table of Contents

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	8,659,095		$	4,737,350
NAV end of period	$	6,236,982		$	3,611,724
Percentage change in NAV		(28.0	)%		(23.8	)%
Shares outstanding beginning of period		650,000			300,000
Shares outstanding end of period		500,000			250,000
Percentage change in shares outstanding		(23.1	)%		(16.7	)%
Shares created		100,000			—
Shares redeemed		250,000			50,000
Per share NAV beginning of period	$	13.32		$	15.79
Per share NAV end of period	$	12.47		$	14.45
Percentage change in per share NAV		(6.4	)%		(8.5	)%
Percentage change in benchmark		(2.8	)%		(4.0	)%
Benchmark annualized volatility		8.6	%		6.2	%

During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 650,000 outstanding Shares at December 31, 2021 to 500,000 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2020 to 250,000 outstanding Shares at March 31, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.

145

Table of Contents

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.4% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 8.5% for the three months ended March 31, 2021, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(15,691	)	$	(9,494	)
Management fee		20,278			10,078
Net realized gain (loss)		(446,979	)		(27,342	)
Change in net unrealized appreciation (depreciation)		(138,425	)		(311,052	)
Net Income (loss)	$	(601,095	)	$	(347,888	)

146

Table of Contents

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	232,780,534		$	263,540,473
NAV end of period	$	355,029,822		$	214,548,056
Percentage change in NAV		52.5	%		(18.6	)%
Shares outstanding beginning of period		3,900,000			3,900,000
Shares outstanding end of period		5,300,000			3,950,000
Percentage change in shares outstanding		35.9	%		1.3	%
Shares created		1,500,000			600,000
Shares redeemed		100,000			550,000
Per share NAV beginning of period	$	59.69		$	67.57
Per share NAV end of period	$	66.99		$	54.32
Percentage change in per share NAV		12.2	%		(19.6	)%
Percentage change in benchmark		6.6	%		(9.8	)%
Benchmark annualized volatility		17.3	%		18.4	%

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,900,000 outstanding Shares at December 31, 2021 to 5,300,000 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM

. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex

. The decrease in the Fund’s NAV was offset by an increase from 3,900,000 outstanding Shares at December 31, 2020 to 3,950,000 outstanding Shares at March 31, 2021.

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 12.2% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 19.6% for the three months ended March 31, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

The benchmark’s rise of 6.6% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 9.8% for the three months ended March 31, 2021, can be attributed to an increase in the value of gold futures contracts during the period ended March 31, 2022.

147

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(617,466	)	$	(579,670	)
Management fee		671,415			568,207
Brokerage commission		21,659			14,888
Futures account fees		19,505			32,402
Net realized gain (loss)		57,818,596			(51,247,887	)
Change in net unrealized appreciation (depreciation)		(24,820,511	)		(1,232,503	)
Net Income (loss)	$	32,380,619		$	(53,060,060	)

The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of futures prices during the three months ended March 31, 2022.

148

Table of Contents

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	515,453,594		$	745,304,028
NAV end of period	$	558,375,842		$	572,501,249
Percentage change in NAV		8.3	%		(23.2	)%
Shares outstanding beginning of period		14,796,526			14,696,526
Shares outstanding end of period		14,296,526			13,846,526
Percentage change in shares outstanding		(3.4	)%		(5.8	)%
Shares created		1,000,000			2,400,000
Shares redeemed		1,500,000			3,250,000
Per share NAV beginning of period	$	34.84		$	50.71
Per share NAV end of period	$	39.06		$	41.35
Percentage change in per share NAV		12.1	%		(18.5	)%
Percentage change in benchmark		7.5	%		(7.2	)%
Benchmark annualized volatility		31.9	%		44.4	%

. The increase in the Fund’s NAV was offset by a decrease from 14,796,526 outstanding Shares at December 31, 2021 to 14,296,526 outstanding Shares at March 31, 2022. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex

. The decrease in the Fund’s NAV also resulted in part from a decrease from 14,696,526 outstanding Shares at December 31, 2020 to 13,846,526 outstanding Shares at March 31, 2021.

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 12.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 18.5% for the three months ended March 31, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

The benchmark’s rise of 7.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 7.2% for the three months ended March 31, 2021, can be attributed to an increase in the value of silver futures contracts during the period ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(1,128,206	)	$	(1,741,775	)
Management fee		1,217,599			1,631,135
Brokerage commission		30,551			46,582
Futures account fees		20,505			162,187
Net realized gain (loss)		116,637,037			4,910,742
Change in net unrealized appreciation (depreciation)		(58,036,245	)		(137,743,781	)
Net Income (loss)	$	57,472,586		$	(134,574,814	)

149

Table of Contents

ProShares Ultra VIX Short-Term Futures ETF *

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	816,679,636		$	1,356,204,199
NAV end of period	$	1,127,608,641		$	1,284,373,170
Percentage change in NAV		38.1	%		(5.3	)%
Shares outstanding beginning of period		65,828,420			12,713,091
Shares outstanding end of period		83,528,420			22,803,091
Percentage change in shares outstanding		26.9	%		79.4	%
Shares created		83,100,000			19,630,000
Shares redeemed		65,400,000			9,540,000
Per share NAV beginning of period	$	12.41		$	106.68
Per share NAV end of period	$	13.50		$	56.32
Percentage change in per share NAV		8.8	%		(47.2	)%
Percentage change in benchmark		10.2	%		(32.0	)%
Benchmark annualized volatility		86.4	%		81.9	%

150

Table of Contents

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 65,828,420 outstanding Shares at December 31, 2021 to 83,528,420 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 12,713,091 outstanding Shares at December 31, 2020 to 22,803,091 outstanding Shares at March 31, 2021.

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.8% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 47.2% for the three months ended March 31, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(3,585,362	)	$	(8,069,549	)
Management fee		1,961,177			4,383,077
Brokerage commission		936,758			1,956,628
Futures account fees		782,688			1,843,813
Net realized gain (loss)		280,979,531			(704,499,504	)
Change in net unrealized appreciation (depreciation)		(35,000,884	)		(284,359,331	)
Net Income (loss)	$	242,393,285		$	(996,928,384	)

*	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.

151

Table of Contents

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	2,362,849		$	2,989,499
NAV end of period	$	2,099,705		$	2,587,694
Percentage change in NAV		(11.1	)%		(13.4	)%
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	$	47.29		$	59.83
Per share NAV end of period	$	42.02		$	51.78
Percentage change in per share NAV		(11.1	)%		(13.4	)%
Percentage change in benchmark		(5.5	)%		(6.8	)%
Benchmark annualized volatility		7.1	%		5.1	%

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

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 13.4% for the three months ended March 31, 2021, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

152

Table of Contents

The benchmark’s decline of 5.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 6.8% for the three months ended March 31, 2021, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(4,556	)	$	(6,293	)
Management fee		5,429			6,649
Net realized gain (loss)		(117,223	)		(139,467	)
Change in net unrealized appreciation (depreciation)		(141,365	)		(256,045	)
Net Income (loss)	$	(263,144	)	$	(401,805	)

The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2022.

153

Table of Contents

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	2,412,623		$	2,222,639
NAV end of period	$	2,263,025		$	2,258,880
Percentage change in NAV		(6.2	)%		1.6	%
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	$	48.25		$	44.45
Per share NAV end of period	$	45.26		$	45.18
Percentage change in per share NAV		(6.2	)%		1.6	%
Percentage change in benchmark		3.0	%		(1.5	)%
Benchmark annualized volatility		9.8	%		10.9	%

During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the 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, 2021 to March 31, 2022. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to March 31, 2021.

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.2% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 1.6% for the three months ended March 31, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

The benchmark’s rise of 3.0% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 1.5% for the three months ended March 31, 2021, can be attributed to an increase in the value of the Australian dollar versus the U.S. dollar during the period ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(6,081	)	$	(5,267	)
Management fee		5,696			5,139
Brokerage commission		500			386
Net realized gain (loss)		(112,009	)		(164,544	)
Change in net unrealized appreciation (depreciation)		(31,508	)		206,052
Net Income (loss)	$	(149,598	)	$	36,241

The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2022.

154

Table of Contents

ProShares UltraShort Bloomberg Crude Oil *

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	114,167,602		$	96,839,233
NAV end of period	$	416,799,231		$	91,718,390
Percentage change in NAV		265.1	%		(5.3	)%
Shares outstanding beginning of period		8,883,799			2,084,971
Shares outstanding end of period		71,433,799			3,184,971
Percentage change in shares outstanding		704.1	%		52.8	%
Shares created		77,850,000			1,950,000
Shares redeemed		15,300,000			850,000
Per share NAV beginning of period	$	12.85		$	46.45
Per share NAV end of period	$	5.83		$	28.80
Percentage change in per share NAV		(54.6	)%		(38.0	)%
Percentage change in benchmark		36.6	%		22.0	%
Benchmark annualized volatility		46.0	%		32.3	%

155

Table of Contents

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 8,883,799 outstanding Shares at December 31, 2021 to 71,433,799 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index SM

. By comparison, during the three months ended March 31, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index

. The decrease in the Fund’s NAV was offset by an increase from 2,804,971 outstanding Shares at December 31, 2020 to 3,184,971 outstanding Shares at March 31, 2021.

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 54.6% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 38.0% for the three months ended March 31, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

The benchmark’s rise of 36.6% for the three months ended March 31, 2022, as compared to the benchmark’s rise of 22.0% for the three months ended March 31, 2021, can be attributed to a greater increase in the value of WTI Crude Oil during the period ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(585,973	)	$	(301,184	)
Management fee		492,647			221,263
Brokerage commission		77,056			43,044
Futures account fees		70,177			47,712
Net realized gain (loss)		(106,482,101	)		(49,177,765	)
Change in net unrealized appreciation (depreciation)		1,929,042			5,638,844
Net Income (loss)	$	(105,139,032	)	$	(43,840,105	)

The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a greater increase in the value of WTI Crude Oil during the three months ended March 31, 2022.

*	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.

156

Table of Contents

ProShares UltraShort Bloomberg Natural Gas *

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	242,145,130		$	24,977,745
NAV end of period	$	250,340,837		$	69,459,275
Percentage change in NAV		3.4	%		178.1	%
Shares outstanding beginning of period		3,914,966			104,966
Shares outstanding end of period		15,474,477			354,966
Percentage change in shares outstanding		295.3	%		238.2	%
Shares created		18,560,000			820,000
Shares redeemed		7,000,489			570,000
Per share NAV beginning of period	$	61.85		$	237.96
Per share NAV end of period	$	16.18		$	195.68
Percentage change in per share NAV		(73.9	)%		(17.8	)%
Percentage change in benchmark		58.4	%		3.0	%
Benchmark annualized volatility		72.9	%		42.1	%

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,914,966 outstanding Shares at December 31, 2021 to 15,474,477 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM

. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 104,966 outstanding Shares at December 31, 2020 to 354,966 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 73.9% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 17.8% for the three months ended March 31, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

157

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(837,419	)	$	(260,407	)
Management fee		542,364			159,337
Brokerage commission		220,951			85,680
Futures account fees		129,929			23,273
Net realized gain (loss)		(114,724,308	)		(6,359,394	)
Change in net unrealized appreciation (depreciation)		(87,787,071	)		15,895,064
Net Income (loss)	$	(203,348,798	)	$	9,275,263

The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a greater increase in the value of Henry Hub Natural Gas, during the three months ended March 31, 2022.

*	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 Natural Gas.

158

Table of Contents

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	54,263,045		$	52,953,339
NAV end of period	$	50,498,084		$	54,932,137
Percentage change in NAV		(6.9	)%		3.7	%
Shares outstanding beginning of period		2,100,000			2,350,000
Shares outstanding end of period		1,850,000			2,250,000
Percentage change in shares outstanding		(11.9	)%		(4.3	)%
Shares created		50,000			200,000
Shares redeemed		300,000			300,000
Per share NAV beginning of period	$	25.84		$	22.53
Per share NAV end of period	$	27.30		$	24.41
Percentage change in per share NAV		5.6	%		8.4	%
Percentage change in benchmark		(2.8	)%		(4.0	)%
Benchmark annualized volatility		8.6	%		6.2	%

During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 1,850,000 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 2,250,000 outstanding Shares at March 31, 2021.

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.6% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 8.4% for the three months ended March 31, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

159

Table of Contents

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(102,051	)	$	(116,872	)
Management fee		117,456			124,038
Net realized gain (loss)		2,753,108			70,527
Change in net unrealized appreciation (depreciation)		268,741			4,392,237
Net Income (loss)	$	2,919,798		$	4,345,892

160

Table of Contents

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	26,859,844		$	20,337,376
NAV end of period	$	32,598,451		$	41,243,515
Percentage change in NAV		21.4	%		102.8	%
Shares outstanding beginning of period		846,977			646,977
Shares outstanding end of period		1,196,977			1,096,977
Percentage change in shares outstanding		41.3	%		69.6	%
Shares created		450,000			750,000
Shares redeemed		100,000			300,000
Per share NAV beginning of period	$	31.71		$	31.43
Per share NAV end of period	$	27.23		$	37.60
Percentage change in per share NAV		(14.1	)%		19.6	%
Percentage change in benchmark		6.6	%		(9.8	)%
Benchmark annualized volatility		17.3	%		18.4	%

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 846,977 outstanding Shares at December 31, 2021 to 1,196,977 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM

. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at December 31, 2020 to 1,096,977 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 14.1% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 19.6% for the three months ended March 31, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(61,130	)	$	(69,041	)
Management fee		66,138			63,727
Brokerage commission		2,811			3,590
Futures account fees		1,866			4,686
Net realized gain (loss)		(6,308,669	)		4,003,359
Change in net unrealized appreciation (depreciation)		2,028,779			(179,853	)
Net Income (loss)	$	(4,341,020	)	$	3,754,465

The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of the futures prices during the three months ended March 31, 2022.

161

Table of Contents

ProShares UltraShort Silver *

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	26,537,000		$	28,885,775
NAV end of period	$	23,406,516		$	45,144,664
Percentage change in NAV		(11.8	)%		56.3	%
Shares outstanding beginning of period		991,329			1,041,744
Shares outstanding end of period		1,091,329			1,616,744
Percentage change in shares outstanding		10.1	%		55.2	%
Shares created		1,100,000			2,450,000
Shares redeemed		1,000,000			1,875,000
Per share NAV beginning of period	$	26.77		$	27.73
Per share NAV end of period	$	21.45		$	27.92
Percentage change in per share NAV		(19.9	)%		0.7	%
Percentage change in benchmark		7.5	%		(7.2	)%
Benchmark annualized volatility		31.9	%		44.4	%

. The decrease in the Fund’s NAV was offset by an increase from 991,329 outstanding Shares at December 31, 2021 to 1,091,329 outstanding Shares at March 31, 2022. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,041,744 outstanding Shares at December 31, 2020 to 1,616,744 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 19.9% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 0.7% for the three months ended March 31, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

The benchmark’s rise of 7.5% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 7.2% for the three months ended March 31, 2021, can be attributed to an increase in the value of the silver futures contracts during the period ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(60,608	)	$	(99,063	)
Management fee		60,953			84,745
Brokerage commission		5,301			7,444
Futures account fees		3,274			9,991
Net realized gain (loss)		(7,373,936	)		(2,932,266	)
Change in net unrealized appreciation (depreciation)		1,789,652			7,466,511
Net Income (loss)	$	(5,644,892	)	$	4,435,182

162

Table of Contents

The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of futures prices during the three months ended March 31, 2022.

*	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.

163

Table of Contents

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	24,840,784		$	23,691,070
NAV end of period	$	27,726,701		$	34,921,840
Percentage change in NAV		11.6	%		47.4	%
Shares outstanding beginning of period		299,290			349,290
Shares outstanding end of period		299,290			449,290
Percentage change in shares outstanding		—	%		28.6	%
Shares created		100,000			100,000
Shares redeemed		100,000			—
Per share NAV beginning of period	$	83.00		$	67.83
Per share NAV end of period	$	92.64		$	77.73
Percentage change in per share NAV		11.6	%		14.7	%
Percentage change in benchmark		(5.5	)%		(6.8	)%
Benchmark annualized volatility		7.1	%		5.1	%

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2021 to March 31, 2022. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 349,290 outstanding Shares at December 31, 2020 to 449,290 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 11.6% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV increase of 14.7% for the three months ended March 31, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(50,421	)	$	(62,957	)
Management fee		59,820			66,553
Net realized gain (loss)		1,183,144			1,259,573
Change in net unrealized appreciation (depreciation)		1,438,464			2,901,742
Net Income (loss)	$	2,571,187		$	4,098,358

The Fund’s net income decreased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2022.

164

Table of Contents

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	112,875,680		$	72,075,095
NAV end of period	$	97,869,914		$	75,122,747
Percentage change in NAV		(13.4	)%		4.2	%
Shares outstanding beginning of period		3,687,403			1,962,403
Shares outstanding end of period		3,112,403			2,162,403
Percentage change in shares outstanding		(15.6	)%		10.2	%
Shares created		700,000			400,000
Shares redeemed		1,275,000			200,000
Per share NAV beginning of period	$	30.61		$	36.73
Per share NAV end of period	$	31.45		$	34.74
Percentage change in per share NAV		2.7	%		(5.4	)%
Percentage change in benchmark		3.3	%		(5.1	)%
Benchmark annualized volatility		32.8	%		30.6	%

165

Table of Contents

During the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,687,403 outstanding Shares at December 31, 2021 to 3,112,403 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 2,162,403 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.7% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 5.4% for the three months ended March 31, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

The benchmark’s rise of 3.3% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 5.1% for the three months ended March 31, 2021, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(252,097	)	$	(204,800	)
Management fee		215,663			178,080
Brokerage commission		24,869			11,312
Futures account fees		35,488			25,632
Net realized gain (loss)		4,791,497			3,539,316
Change in net unrealized appreciation (depreciation)		(473,835	)		(8,275,522	)
Net Income (loss)	$	4,065,565		$	(4,941,006	)

The Fund’s net income increased for the three months ended March 31, 2022 as compared to the three months ended March 31, 2021, primarily due to an increase in the value of the futures prices during the three months ended March 31, 2022.

166

Table of Contents

ProShares VIX Short-Term Futures ETF *

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
NAV beginning of period	$	269,703,164		$	293,390,549
NAV end of period	$	404,950,400		$	349,578,758
Percentage change in NAV		50.1	%		19.2	%
Shares outstanding beginning of period		17,832,826			5,331,579
Shares outstanding end of period		24,382,826			9,375,329
Percentage change in shares outstanding		36.7	%		75.8	%
Shares created		9,950,000			6,331,250
Shares redeemed		3,400,000			2,287,500
Per share NAV beginning of period	$	15.12		$	55.03
Per share NAV end of period	$	16.61		$	37.29
Percentage change in per share NAV		9.9	%		(32.3	)%
Percentage change in benchmark		10.2	%		(32.0	)%
Benchmark annualized volatility		86.4	%		81.9	%

During the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 17,832,826 outstanding Shares at December 31, 2021 to 24,382,826 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 5,331,579 outstanding Shares at December 31, 2020 to 9,375,329 outstanding Shares at March 31, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.9% for the three months ended March 31, 2022, as compared to the Fund’s per Share NAV decrease of 32.3% for the three months ended March 31, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2022.

167

Table of Contents

The benchmark’s rise of 10.2% for the three months ended March 31, 2022, as compared to the benchmark’s decline of 32.0% for the three months ended March 31, 2021, can be attributed to an increase in the value of the near-term futures contracts on the VIX futures curve during the period ended March 31, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2022 and 2021:

	Three Months Ended<br><br><br>March 31, 2022			Three Months Ended<br><br><br>March 31, 2021
Net investment income (loss)	$	(952,113	)	$	(1,224,804	)
Management fee		705,691			825,460
Brokerage commission		116,474			172,658
Futures account fees		200,657			265,146
Net realized gain (loss)		53,734,224			(76,634,593	)
Change in net unrealized appreciation (depreciation)		(13,448,381	)		(53,430,854	)
Net Income (loss)	$	39,333,730		$	(131,290,251	)

*	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.

168

Table of Contents

Item 3.	Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

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

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

The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of March 31, 2022 and 2021, each of the Fund’s positions were as follows:

ProShares Short Euro :

As of March 31, 2022 and 2021, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2022
Contract	Long or<br><br><br>Short	Expiration	Contracts		Valuation<br><br><br>Price		Contract<br><br><br>Multiplier		Notional Amount<br><br><br>at Value
Euro Fx Currency Futures (CME)	Short	June 2022		33	$	1.11		125,000	$	(4,578,338	)
Futures Positions as of March 31, 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	June 2021		15	$	1.17		125,000	$	(2,201,625	)

The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Short VIX Short-Term Futures ETF

As of March 31, 2022 and 2021, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2022
Contract	Long or<br><br><br>Short	Expiration	Contracts		Valuation<br><br><br>Price		Contract<br><br><br>Multiplier		Notional Amount<br><br><br>at Value
VIX Futures (Cboe)	Short	April 2022		4,910	$	23.47		1,000	$	(115,232,790	)
VIX Futures (Cboe)	Short	May 2022		5,324		24.99		1,000		(133,034,515	)

169

Table of Contents

Futures Positions as of March 31, 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	April 2021		6,607	$	20.73		1,000	$	(136,989,538	)
VIX Futures (Cboe)	Short	May 2021		5,590		22.68		1,000		(126,757,722	)

The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Bloomberg Crude Oil:

As of March 31, 2022 and 2021, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index SM and Bloomberg WTI Crude Oil Subindex SM , respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2022
Contract	Long or<br><br><br>Short	Expiration	Contracts		Valuation<br><br><br>Price		Contract<br><br><br>Multiplier		Notional Amount<br><br><br>at Value
WTI Crude Oil (NYMEX)	Long	June 2022		4,115	$	98.52		1,000	$	405,409,800
WTI Crude Oil (NYMEX)	Long	December 2022		4,724		89.60		1,000		423,270,400
WTI Crude Oil (NYMEX)	Long	June 2023		5,012		84.61		1,000		424,065,320
Swap Agreements as of March 31, 2022
---	---	---	---	---	---	---
Reference Index	Counterparty	Long or<br>Short	Index<br>Close		Notional Amount<br><br><br>at Value
Bloomberg Commodity Balanced WTI Crude Oil Index	Citibank, N.A.	Long	$	89.7299	$	202,256,578
Bloomberg Commodity Balanced WTI Crude Oil Index	Goldman Sachs International	Long		89.7299		394,073,711
Bloomberg Commodity Balanced WTI Crude Oil Index	Morgan Stanley & Co. International PLC	Long		89.7299		350,316,746
Bloomberg Commodity Balanced WTI Crude Oil Index	Societe Generale	Long		89.7299		190,882,596
Bloomberg Commodity Balanced WTI Crude Oil Index	UBS AG	Long		89.7299		284,170,376

170

Table of Contents

Futures Positions as of March 31, 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	June 2021		8,933	$	59.18		1,000	$	528,654,940
WTI Crude Oil (NYMEX)	Long	December 2021		9,478		56.85		1,000		538,824,300
WTI Crude Oil (NYMEX)	Long	June 2022		9,857		54.72		1,000		539,375,040
Swap Agreements as of March 31, 2021
---	---	---	---	---	---	---
Reference Index	Counterparty	Long or<br>Short	Index<br>Close		Notional Amount<br><br><br>at Value
Bloomberg Commodity Balanced WTI Crude Oil Index	Goldman Sachs International	Long	$	49.0975	$	108,014,255
Bloomberg Commodity Balanced WTI Crude Oil Index	Morgan Stanley & Co.<br>International PLC	Long		49.0975		202,730,402
Bloomberg Commodity Balanced WTI Crude Oil Index	Societe Generale	Long		49.0975		104,445,210
Bloomberg Commodity Balanced WTI Crude Oil Index	UBS AG	Long		49.0975		155,489,475

The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2022 and 2021 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Bloomberg Natural Gas:

As of March 31, 2022 and 2021, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2022
Contract	Long or<br><br><br>Short	Expiration	Contracts		Valuation<br><br><br>Price		Contract<br><br><br>Multiplier		Notional Amount<br><br><br>at Value
Natural Gas (NYMEX)	Long	May 2022		5,149	$	5.64		10,000	$	290,506,580
Futures Positions as of March 31, 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
Natural Gas (NYMEX)	Long	May 2021		5,698	$	2.61		10,000	$	148,603,840

The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

171

Table of Contents

ProShares Ultra Euro:

As of March 31, 2022 and 2021, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2022
Reference<br> <br>Currency	Counterparty	Long or<br><br><br>Short	Settlement<br><br><br>Date		Local Currency			Forward Rate		Market Value
Euro	Goldman Sachs International	Long		04/08/22		4,422,921			1.1082
Euro	UBS AG	Long		04/08/22		11,991,502			1.1091
Euro	UBS AG	Short		04/08/22		(5,127,000	)		1.1044		)

All values are in US Dollars.

Foreign Currency Forward Contracts as of March 31, 2021
Reference<br> <br>Currency	Counterparty	Long or<br><br><br>Short	Settlement<br><br><br>Date		Local Currency			Forward Rate		Market Value
Euro	Goldman Sachs International	Long		04/09/21		2,210,921			1.2082
Euro	UBS AG	Long		04/09/21		4,249,502			1.2075
Euro	UBS AG	Short		04/09/21		(276,000	)		1.1884		)

All values are in US Dollars.

The March 31, 2022 and 2021 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Gold:

As of March 31, 2022 and 2021 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex SM

. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2022
Contract	Long or<br><br><br>Short	Expiration	Contracts		Valuation<br><br><br>Price		Contract<br><br><br>Multiplier		Notional Amount<br><br><br>at Value
Gold Futures (COMEX)	Long	June 2022		1,871	$	1,954.00		100	$	365,593,400
Swap Agreements as of March 31, 2022
---	---	---	---	---	---	---
Reference Index	Counterparty	Long or<br><br><br>Short	Index Close		Notional Amount<br><br><br>at Value
Bloomberg Gold Subindex	Citibank, N.A.	Long	$	214.4125	$	118,728,333
Bloomberg Gold Subindex	Goldman Sachs International	Long		214.4125		102,600,526
Bloomberg Gold Subindex	UBS AG	Long		214.4125		123,508,801
Futures Positions as of March 31, 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
Gold Futures (COMEX)	Long	June 2021		722	$	1,715.60		100	$	123,866,320

172

Table of Contents

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

The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2022 and 2021 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Silver:

As of March 31, 2022 and 2021 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2022
Contract	Long or<br><br><br>Short	Expiration	Contracts		Valuation<br><br><br>Price		Contract<br><br><br>Multiplier		Notional Amount<br><br><br>at Value
Silver Futures (COMEX)	Long	May 2022		1,351	$	25.13		5,000	$	169,773,415
Swap Agreements as of March 31, 2022
---	---	---	---	---	---	---
Reference Index	Counterparty	Long or<br><br><br>Short	Index Close		Notional Amount<br><br><br>at Value
Bloomberg Silver Subindex	Citibank, N.A.	Long	$	227.4218	$	237,998,246
Bloomberg Silver Subindex	Goldman Sachs International	Long		227.4218		249,395,557
Bloomberg Silver Subindex	Morgan Stanley & Co.<br>International PLC	Long		227.4218		232,374,365
Bloomberg Silver Subindex	UBS AG	Long		227.4218		227,857,585
Futures Positions as of March 31, 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
Silver Futures (COMEX)	Long	May 2021		1,667	$	24.53		5,000	$	204,474,220

173

Table of Contents

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

The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2022 and 2021 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra VIX Short-Term Futures ETF

As of March 31, 2022 and 2021, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2022
Contract	Long or<br><br><br>Short	Expiration	Contracts		Valuation<br><br><br>Price		Contract<br><br><br>Multiplier		Notional Amount<br><br><br>at Value
VIX Futures (Cboe)	Long	April 2022		33,482	$	23.47		1,000	$	785,789,058
VIX Futures (Cboe)	Long	May 2022		36,263		24.99		1,000		906,128,965
Futures Positions as of March 31, 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		April 2021		45,234	$	20.73		1,000	$	937,881,756
VIX Futures (Cboe)	Long		May 2021		38,279		22.68		1,000		868,006,948
Swap Agreements as of March 31, 2021
---	---	---	---	---	---	---
Reference Index	Counterparty	Long or<br><br><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	$	11.4000	$	120,270,000

174

Table of Contents

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 March 31, 2022 and 2021, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2022
Reference<br> <br>Currency	Counterparty	Long or<br><br><br>Short	Settlement<br><br><br>Date		Local Currency			Forward Rate		Market Value
Yen	Goldman Sachs International	Long		04/08/22		321,397,517			0.008653
Yen	UBS AG	Long		04/08/22		234,765,856			0.008634
Yen	Goldman Sachs International	Short		04/08/22		(6,529,000	)		0.008177		)
Yen	UBS AG	Short		04/08/22		(37,680,000	)		0.008411		)

All values are in US Dollars.

Foreign Currency Forward Contracts as of March 31, 2021
Reference<br> <br>Currency	Counterparty	Long or<br><br><br>Short	Settlement<br><br><br>Date		Local Currency			Forward Rate		Market Value
Yen	Goldman Sachs International	Long		04/09/21		332,532,517			0.009354
Yen	UBS AG	Long		04/09/21		263,662,756			0.009355
Yen	UBS AG	Short		04/09/21		(21,110,000	)		0.009176		)

All values are in US Dollars.

The March 31, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Australian Dollar:

As of March 31, 2022 and 2021, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to exchange rate price risk.

175

Table of Contents

Futures Positions as of March 31, 2022
Contract	Long or<br><br><br>Short	Expiration	Contracts		Valuation<br><br><br>Price		Contract<br><br><br>Multiplier		Notional Amount<br><br><br>at Value
Australian Dollar Fx Currency Futures (CME)	Short	June 2022		60	$	74.92		1,000	$	(4,497,900	)
Futures Positions as of March 31, 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
Australian Dollar Fx Currency Futures (CME)	Short	June 2021		60	$	75.98		1,000	$	(4,560,900	)

The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Bloomberg Crude Oil:

As of March 31, 2022 and 2021, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index SM and Bloomberg WTI Crude Oil Subindex SM , respectively. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2022
Contract	Long or<br><br><br>Short	Expiration	Contracts		Valuation<br><br><br>Price		Contract<br><br><br>Multiplier		Notional Amount<br><br><br>at Value
WTI Crude Oil (NYMEX)	Short	June 2022		2,737	$	98.52		1,000	$	(269,649,240	)
WTI Crude Oil (NYMEX)	Short	December 2022		3,147		89.60		1,000		(281,971,200	)
WTI Crude Oil (NYMEX)	Short	June 2023		3,339		84.61		1,000		(282,512,790	)
Futures Positions as of March 31, 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)	Short	June 2021		1,020	$	59.18		1,000	$	(60,363,600	)
WTI Crude Oil (NYMEX)	Short	December 2021		1,082		56.85		1,000		(61,511,700	)
WTI Crude Oil (NYMEX)	Short	June 2022		1,125		54.72		1,000		(61,560,000	)

176

Table of Contents

The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. March 31, 2022 and 2021 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Natural Gas:

As of March 31, 2022 and 2021, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2022
Contract	Long or<br><br><br>Short	Expiration	Contracts		Valuation<br><br><br>Price		Contract<br><br><br>Multiplier		Notional Amount<br><br><br>at Value
Natural Gas (NYMEX)	Short	May 2022		8,883	$	5.64		10,000	$	(501,178,860	)
Futures Positions as of March 31, 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
Natural Gas (NYMEX)	Short	May 2021		5,327	$	2.61		10,000	$	(138,928,160	)

The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of March 31, 2022 and 2021, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2022
Reference<br> <br>Currency	Counterparty	Long or<br><br><br>Short	Settlement<br><br><br>Date		Local Currency			Forward Rate		Market Value
Euro	UBS AG	Long		04/08/22		13,916,000			1.1059
Euro	Goldman Sachs International	Short		04/08/22		(46,280,263	)		1.1082		)
Euro	UBS AG	Short		04/08/22		(58,998,199	)		1.1072		)

All values are in US Dollars.

177

Table of Contents

Foreign Currency Forward Contracts as of March 31, 2021
Reference<br> <br>Currency	Counterparty	Long or<br><br><br>Short	Settlement<br><br><br>Date		Local Currency			Forward Rate		Market Value
Euro	UBS AG	Long		04/09/21		12,078,000			1.1877
Euro	Goldman Sachs International	Short		04/09/21		(37,401,263	)		1.2082		)
Euro	UBS AG	Short		04/09/21		(68,453,199	)		1.2035		)

All values are in US Dollars.

The March 31, 2022 and 2021 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Gold:

As of March 31, 2022 and 2021 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2022
Contract	Long or<br><br><br>Short	Expiration	Contracts		Valuation<br><br><br>Price		Contract<br><br><br>Multiplier		Notional Amount<br><br><br>at Value
Gold Futures (COMEX)	Short	June 2022		134	$	1,954.00		100	$	(26,183,600	)
Swap Agreements as of March 31, 2022
---	---	---	---	---	---	---	---
Reference Index	Counterparty	Long or<br><br><br>Short	Index Close		Notional Amount<br><br><br>at Value
Bloomberg Gold Subindex	Citibank, N.A.	Short	$	214.4125	$	(16,074,140	)
Bloomberg Gold Subindex	Goldman Sachs International	Short		214.4125		(10,515,819	)
Bloomberg Gold Subindex	UBS AG	Short		214.4125		(12,574,684	)
Futures Positions as of March 31, 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
Gold Futures (COMEX)	Short	June 2021		247	$	1,715.60		100	$	(42,375,320	)
Swap Agreements as of March 31, 2021
---	---	---	---	---	---	---	---	---
Reference Index	Counterparty	Long or<br><br><br>Short		Index Close		Notional Amount<br><br><br>at Value
Bloomberg Gold Subindex	Citibank, N.A.		Short	$	189.7346	$	(14,224,080	)
Bloomberg Gold Subindex	Goldman Sachs International		Short		189.7346		(14,746,325	)
Bloomberg Gold Subindex	UBS AG		Short		189.7346		(11,127,395	)

178

Table of Contents

The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2022 and 2021 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Silver:

As of March 31, 2022 and 2021 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2022
Contract	Long or<br><br><br>Short	Expiration	Contracts		Valuation<br><br><br>Price		Contract<br><br><br>Multiplier		Notional Amount<br><br><br>at Value
Silver Futures (COMEX)	Short	May 2022		167	$	25.13		5,000	$	(20,986,055	)
Swap Agreements as of March 31, 2022
---	---	---	---	---	---	---	---
Reference Index	Counterparty	Long or<br><br><br>Short	Index Close		Notional Amount<br><br><br>at Value
Bloomberg Silver Subindex	Citibank, N.A.	Short	$	227.4218	$	(3,066,720	)
Bloomberg Silver Subindex	Goldman Sachs International	Short		227.4218		(11,171,645	)
Bloomberg Silver Subindex	Morgan Stanley & Co.<br>International PLC	Short		227.4218		(8,833,290	)
Bloomberg Silver Subindex	UBS AG	Short		227.4218		(2,824,603	)
Futures Positions as of March 31, 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
Silver Futures (COMEX)	Short	May 2021		347	$	24.53		5,000	$	(42,563,020	)
Swap Agreements as of March 31, 2021
---	---	---	---	---	---	---	---
Reference Index	Counterparty	Long or<br><br><br>Short	Index Close		Notional Amount<br><br><br>at Value
Bloomberg Silver Subindex	Citibank, N.A.	Short	$	223.9196	$	(8,308,475	)
Bloomberg Silver Subindex	Goldman Sachs International	Short		223.9196		(15,457,845	)
Bloomberg Silver Subindex	Morgan Stanley & Co.<br>International PLC	Short		223.9196		(8,697,261	)
Bloomberg Silver Subindex	UBS AG	Short		223.9196		(15,222,974	)

179

Table of Contents

(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 March 31, 2022 and 2021, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2022
Reference<br> <br>Currency	Counterparty	Long or<br><br><br>Short	Settlement<br><br><br>Date		Local Currency			Forward Rate		Market Value
Yen	UBS AG	Long		04/08/22		2,874,020,000			0.008228
Yen	Goldman Sachs International	Short		04/08/22		(1,973,114,165	)		0.008595		)
Yen	UBS AG	Short		04/08/22		(7,652,928,574	)		0.008428		)

All values are in US Dollars.

Foreign Currency Forward Contracts as of March 31, 2021
Reference<br> <br>Currency	Counterparty	Long or<br><br><br>Short	Settlement<br><br><br>Date		Local Currency			Forward Rate		Market Value
Yen	UBS AG	Long		04/09/21		167,310,000			0.009212
Yen	Goldman Sachs International	Short		04/09/21		(2,009,085,165	)		0.009354		)
Yen	UBS AG	Short		04/09/21		(5,895,178,875	)		0.009324		)

All values are in US Dollars.

The March 31, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares VIX Mid-Term Futures ETF

As of March 31, 2022 and 2021, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2022 and 2021, which were sensitive to equity market volatility risk.

180

Table of Contents

Futures Positions as of March 31, 2022
Contract	Long or<br><br><br>Short	Expiration	Contracts		Valuation<br><br><br>Price		Contract<br><br><br>Multiplier		Notional Amount<br><br><br>at Value
VIX Futures (Cboe)	Long	July 2022		593	$	26.11		1,000	$	15,480,562
VIX Futures (Cboe)	Long	August 2022		1,235		26.25		1,000		32,424,802
VIX Futures (Cboe)	Long	September 2022		1,235		26.60		1,000		32,852,729
VIX Futures (Cboe)	Long	October 2022		642		26.86		1,000		17,245,083
Futures Positions as of March 31, 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	July 2021		550	$	24.30		1,000	$	13,365,000
VIX Futures (Cboe)	Long	August 2021		1,016		24.45		1,000		24,842,318
VIX Futures (Cboe)	Long	September 2021		1,016		24.85		1,000		25,249,530
VIX Futures (Cboe)	Long	October 2021		466		25.01		1,000		11,653,868

The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares VIX Short-Term Futures ETF

As of March 31, 2022 and 2021, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of March 31, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2022
Contract	Long or<br><br><br>Short	Expiration	Contracts		Valuation<br><br><br>Price		Contract<br><br><br>Multiplier		Notional Amount<br><br><br>at Value
VIX Futures (Cboe)	Long	April 2022		8,017	$	23.47		1,000	$	188,150,973
VIX Futures (Cboe)	Long	May 2022		8,681		24.99		1,000		216,918,224
Futures Positions as of March 31, 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	April 2021		8,754	$	20.73		1,000	$	181,505,436
VIX Futures (Cboe)	Long	May 2021		7,407		22.68		1,000		167,959,651

The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

181

Table of Contents

Qualitative Disclosure

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

Primary Market Risk Exposure

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

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

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

Commodity Price Sensitivity

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

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

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

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

Exchange Rate Sensitivity

182

Table of Contents

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

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

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

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

Equity Market Volatility Sensitivity

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

Managing Market Risks

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

-1x,

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

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

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

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

Item 4.	Controls and Procedures.

Disclosure Controls and Procedures

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

183

Table of Contents

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

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended March 31, 2022 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

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

184

Table of Contents

Part II. OTHER INFORMATION

Item 1.	Legal Proceedings.

As of March 31, 2022, the Trust is not a party to any material legal proceedings.

Item 1A.	Risk Factors.

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

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

185

Table of Contents

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

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

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

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

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

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

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

Market downturns, disruptions or illiquidity as a result of, or related to, the COVID-19 pandemic can have a significant negative impact on the value of Fund portfolio investments, the operations of each Fund, the markets in which the Funds invest and the trading of Fund Shares in the secondary market. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margin and collateral requirements in ways that have a significant negative impact on Fund

186

Table of Contents

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 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.

187

Table of Contents

Title of Securities Registered<br>*	Shares Sold For the<br><br><br>Three Months<br><br><br>Ended March 31,<br><br><br>2022		Sale Price of Shares Sold<br><br><br>For the Three Months<br><br><br>Ended March 31, 2022
ProShares Short Euro
Common Units of Beneficial Interest		50,000	$	2,312,961
ProShares Short VIX Short-Term Futures ETF
Common Units of Beneficial Interest		3,000,000	$	156,515,471
ProShares Ultra Bloomberg Crude Oil
Common Units of Beneficial Interest		2,150,000	$	330,317,033
ProShares Ultra Bloomberg Natural Gas
Common Units of Beneficial Interest		2,600,000	$	87,880,355
ProShares Ultra Euro
Common Units of Beneficial Interest		100,000	$	1,316,267
ProShares Ultra Gold
Common Units of Beneficial Interest		1,500,000	$	95,684,676
ProShares Ultra Silver
Common Units of Beneficial Interest		1,000,000	$	39,033,941
ProShares Ultra VIX Short-Term Futures ETF
Common Units of Beneficial Interest		83,100,000	$	1,171,715,867
ProShares Ultra Yen
Common Units of Beneficial Interest		—	$	—
ProShares UltraShort Australian Dollar
Common Units of Beneficial Interest		—	$	—
ProShares UltraShort Bloomberg Crude Oil
Common Units of Beneficial Interest		77,850,000	$	510,028,879
ProShares UltraShort Bloomberg Natural Gas
Common Units of Beneficial Interest		18,560,000	$	454,959,241
ProShares UltraShort Euro
Common Units of Beneficial Interest		50,000	$	1,371,662
ProShares UltraShort Gold
Common Units of Beneficial Interest		450,000	$	13,189,949
ProShares UltraShort Silver
Common Units of Beneficial Interest		1,100,000	$	25,560,144
ProShares UltraShort Yen
Common Units of Beneficial Interest		100,000	$	9,605,322
ProShares VIX <br>Mid-Term<br> Futures ETF
Common Units of Beneficial Interest		700,000	$	22,135,602
ProShares VIX Short-Term Futures ETF
Common Units of Beneficial Interest		9,950,000	$	161,172,915
Total Trust:		202,260,000	$	3,082,800,286
*	The registration statement covers an indeterminate amount of securities to be offered or sold.
---	---
Item 3.	Defaults Upon Senior Securities.
---	---

None.

Item 4.	Mine Safety Disclosures.

Not applicable.

188

Table of Contents

Item 5.	Other Information.

None.

189

Table of Contents

Item 6.	Exhibits.
Exhibit<br> <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	Inline XBRL Instance Document (1)
101.SCH	Inline XBRL Taxonomy Extension Schema (1)
101.CAL	Inline XBRL Taxonomy Extension Calculation Linkbase (1)
101.DEF	Inline XBRL Taxonomy Extension Definition Linkbase (1)
101.LAB	Inline XBRL Taxonomy Extension Label Linkbase (1)
101.PRE	Inline XBRL Taxonomy Extension Presentation Linkbase (1)
104.1	Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.
(1)	Filed herewith.
---	---
*	These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing.
---	---

190

Table of Contents

Signatures

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

PROSHARES TRUST II

/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: May 9, 2022
/s/ Edward Karpowicz
---
By: Edward Karpowicz
Principal Financial and Accounting Officer
Date: May 9, 2022

191

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: May 9, 2022	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: May 9, 2022	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 March 31, 2022 (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: May 9, 2022	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 March 31, 2022 (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: May 9, 2022	By:	/s/ Edward Karpowicz
---	---	---
	Name:	Edward Karpowicz
	Title:	Principal Financial and Accounting Officer
		ProShares Trust II