ProShares Trust II 10-Q

Item 1. Financial Statements. Index Documents Page Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows: ProShares Short Euro 4 ProShares Short VIX Short-Term Futures ETF 9 ProShares Ultra Bloomberg Crude Oil 14 ProShares Ultra Bloomberg Natural Gas 19 ProShares Ultra Euro 24 ProShares Ultra Gold 29 ProShares Ultra Silver 34 ProShares Ultra VIX Short-Term Futures ETF 39 ProShares Ultra Yen 44 ProShares UltraShort Australian Dollar 49 ProShares UltraShort Bloomberg Crude Oil 54 ProShares UltraShort Bloomberg Natural Gas 59 ProShares UltraShort Euro 64 ProShares UltraShort Gold 69 ProShares UltraShort Silver 74 ProShares UltraShort Yen 79 ProShares VIX Mid-Term Futures ETF 84 ProShares VIX Short-Term Futures ETF 89 ProShares Trust II 94 Notes to Financial Statements 98 3 Table of Contents PROSHARES SHORT EURO STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 999,885 and $–, respectively) $ 999,973 $ — Cash 1,155,210 4,105,781 Segregated cash balances with brokers for futures contracts 33,000 68,310 Receivable on open futures contracts — 21,094 Interest receivable 67 175 Total assets 2,188,250 4,195,360 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 1,125 — Payable to Sponsor 2,571 3,391 Non-recurring fees and expenses payable 14 14 Total liabilities 3,710 3,405 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 2,184,540 4,191,955 Total liabilities and shareholders’ equity $ 2,188,250 $ 4,195,360 Shares outstanding 50,000 100,000 Net asset value per share $ 43.69 $ 41.92 Market value per share (Note 2) $ 43.52 $ 41.35 See accompanying notes to financial statements. 4 Table of Contents PROSHARES SHORT EURO SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 46 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.086 % due 05/20/21 $ 1,000,000 $ 999,973 Total short-term U.S. government and agency obligations (cost $ 999,885 ) $ 999,973 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Euro Fx Currency Futures - CME, expires June 2021 15 $ 2,201,625 $ 33,928 ^^ Rates shown represent discount rate at the time of purchase . See accompanying notes to financial statements. 5 Table of Contents PROSHARES SHORT EURO STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 596 $ 7,595 Expenses Management fee 9,053 5,503 Brokerage commissions 181 100 Total expenses 9,234 5,603 Net investment income (loss) ( 8,638 ) 1,992 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 69,393 ( 18,638 ) Net realized gain (loss) 69,393 ( 18,638 ) Change in net unrealized appreciation (depreciation) on Futures contracts 78,554 67,324 Short-term U.S. government and agency obligations 88 ( 30 ) Change in net unrealized appreciation (depreciation) 78,642 67,294 Net realized and unrealized gain (loss) 148,035 48,656 Net income (loss) $ 139,397 $ 50,648 See accompanying notes to financial statements. 6 Table of Contents PROSHARES SHORT EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 4,191,955 $ 2,282,195 Redemption of 50,000 and – shares, respectively ( 2,146,812 ) — Net addition (redemption) of ( 50,000 ) and – shares, respectively ( 2,146,812 ) — Net investment income (loss) ( 8,638 ) 1,992 Net realized gain (loss) 69,393 ( 18,638 ) Change in net unrealized appreciation (depreciation) 78,642 67,294 Net income (loss) 139,397 50,648 Shareholders’ equity, end of period $ 2,184,540 $ 2,332,843 See accompanying notes to financial statements. 7 Table of Contents PROSHARES SHORT EURO STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ 139,397 $ 50,648 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 1,000,000 747,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 323 ) ( 1,225 ) Change in unrealized appreciation (depreciation) on investments ( 88 ) 30 Decrease (Increase) in receivable on futures contracts 21,094 ( 2,975 ) Decrease (Increase) in interest receivable 108 840 Increase (Decrease) in payable to Sponsor ( 820 ) 1,785 Increase (Decrease) in payable on futures contracts 1,125 ( 5,100 ) Net cash provided by (used in) operating activities ( 839,069 ) 791,003 Cash flow from financing activities Payment on shares redeemed ( 2,146,812 ) — Net cash provided by (used in) financing activities ( 2,146,812 ) — Net increase (decrease) in cash ( 2,985,881 ) 791,003 Cash, beginning of period 4,174,091 1,540,916 Cash, end of period $ 1,188,210 $ 2,331,919 See accompanying notes to financial statements. 8 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 91,994,322 and $ 69,998,727 , respectively) $ 91,998,460 $ 69,999,639 Cash 178,094,057 132,392,153 Segregated cash balances with brokers for futures contracts 172,795,856 134,187,067 Receivable on open futures contracts 84,745,212 74,226,825 Interest receivable 5,009 4,384 Total assets 527,638,594 410,810,068 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts — 996,159 Brokerage commissions and fees payable 121,727 114,522 Payable to Sponsor 384,663 326,566 Non-recurring fees and expenses payable 1,353 1,353 Total liabilities 507,743 1,438,600 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 527,130,851 409,371,468 Total liabilities and shareholders’ equity $ 527,638,594 $ 410,810,068 Shares outstanding 11,184,307 9,884,307 Net asset value per share $ 47.13 $ 41.42 Market value per share (Note 2) $ 47.10 $ 41.44 See accompanying notes to financial statements. 9 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 17 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.075 % due 04/15/21 $ 50,000,000 $ 49,999,710 0.086 % due 05/20/21 20,000,000 19,999,456 0.041 % due 06/17/21 22,000,000 21,999,294 Total short-term U.S. government and agency obligations (cost $ 91,994,322 ) $ 91,998,460 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires April 2021 6,607 $ 136,989,538 $ 42,996,259 VIX Futures - Cboe, expires May 2021 5,590 126,757,722 7,474,416 $ 50,470,675 ^^ Rates shown represent discount rate at the time of purchase . See accompanying notes to financial statements. 10 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 33,890 $ 749,861 Expenses Management fee 1,042,569 886,197 Brokerage commissions 175,910 189,532 Brokerage fees 257,777 29,728 Total expenses 1,476,256 1,105,457 Net investment income (loss) ( 1,442,366 ) ( 355,596 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 24,209,417 ( 244,300,604 ) Net realized gain (loss) 24,209,417 ( 244,300,604 ) Change in net unrealized appreciation (depreciation) on Futures contracts 42,121,892 20,973,802 Short-term U.S. government and agency obligations 3,226 81,856 Change in net unrealized appreciation (depreciation) 42,125,118 21,055,658 Net realized and unrealized gain (loss) 66,334,535 ( 223,244,946 ) Net income (loss) $ 64,892,169 $ ( 223,600,542 ) See accompanying notes to financial statements. 11 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 409,371,468 $ 284,437,179 Addition of 2,400,000 and 24,850,000 shares, respectively 98,109,468 883,568,508 Redemption of 1,100,000 and 3,100,000 shares, respectively ( 45,242,254 ) ( 135,147,487 ) Net addition (redemption) of 1,300,000 and 21,750,000 shares, respectively 52,867,214 748,421,021 Net investment income (loss) ( 1,442,366 ) ( 355,596 ) Net realized gain (loss) 24,209,417 ( 244,300,604 ) Change in net unrealized appreciation (depreciation) 42,125,118 21,055,658 Net income (loss) 64,892,169 ( 223,600,542 ) Shareholders’ equity, end of period $ 527,130,851 $ 809,257,658 See accompanying notes to financial statements. 12 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ 64,892,169 $ ( 223,600,542 ) 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 ( 166,972,737 ) ( 149,679,751 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 145,000,000 115,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 22,858 ) ( 301,095 ) Change in unrealized appreciation (depreciation) on investments ( 3,226 ) ( 81,856 ) Decrease (Increase) in receivable on futures contracts ( 10,518,387 ) ( 102,545,073 ) Decrease (Increase) in interest receivable ( 625 ) 45,308 Increase (Decrease) in payable to Sponsor 58,097 431,086 Increase (Decrease) in brokerage commissions and fees payable 7,205 — Increase (Decrease) in payable on futures contracts ( 996,159 ) — Net cash provided by (used in) operating activities 31,443,479 ( 360,731,923 ) Cash flow from financing activities Proceeds from addition of shares 98,109,468 883,568,508 Payment on shares redeemed ( 45,242,254 ) ( 135,147,487 ) Net cash provided by (used in) financing activities 52,867,214 748,421,021 Net increase (decrease) in cash 84,310,693 387,689,098 Cash, beginning of period 266,579,220 167,544,087 Cash, end of period $ 350,889,913 $ 555,233,185 See accompanying notes to financial statements. 13 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 689,932,775 and $ 219,996,153 , respectively) $ 689,976,589 $ 219,998,394 Cash 227,574,108 491,732,847 Segregated cash balances with brokers for futures contracts 181,733,171 175,526,749 Segregated cash balances with brokers for swap agreements 56,228,000 — Unrealized appreciation on swap agreements — 18,242,195 Receivable on open futures contracts — 1,611,608 Interest receivable 143,801 21,388 Total assets 1,155,655,669 907,133,181 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed — 3,627,934 Payable on open futures contracts 25,300,245 — Brokerage commissions and fees payable 1,352 — Payable to Sponsor 989,343 728,955 Unrealized depreciation on swap agreements 40,748,594 — Non-recurring fees and expenses payable 37,042 37,042 Total liabilities 67,076,576 4,393,931 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 1,088,579,093 902,739,250 Total liabilities and shareholders’ equity $ 1,155,655,669 $ 907,133,181 Shares outstanding 20,710,774 24,810,774 Net asset value per share $ 52.56 $ 36.38 Market value per share (Note 2) $ 52.85 $ 36.27 See accompanying notes to financial statements. 14 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 63 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.060 % due 04/15/21 $ 90,000,000 $ 89,999,478 0.048 % due 05/20/21 † 195,000,000 194,994,696 0.045 % due 06/17/21 † 230,000,000 229,992,617 0.061 % due 07/15/21 † 175,000,000 174,989,798 Total short-term U.S. government and agency obligations (cost $ 689,932,775 ) $ 689,976,589 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires June 2021 8,933 $ 528,654,940 $ 141,467,113 WTI Crude Oil - NYMEX, expires December 2021 9,478 538,824,300 97,420,187 WTI Crude Oil - NYMEX, expires June 2022 9,857 539,375,040 ( 338,389 ) $ 238,548,911 Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 % 04/06/21 $ 108,014,255 $ ( 7,714,940 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 04/06/21 202,730,402 ( 14,480,063 ) Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.25 04/06/21 104,445,210 ( 7,452,971 ) Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.30 04/06/21 155,489,475 ( 11,100,620 ) Total Unrealized Depreciation $( 40,748,594 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of March 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase . * Reflects the floating financing rate, as of March 31, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 15 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 168,075 $ 1,401,460 Expenses Management fee 2,535,085 870,239 Brokerage commissions 293,200 126,337 Brokerage fees 98,937 — Total expenses 2,927,222 996,576 Net investment income (loss) ( 2,759,147 ) 404,884 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 191,676,501 ( 88,947,210 ) Swap agreements 142,674,727 ( 416,644,056 ) Short-term U.S. government and agency obligations — 37,469 Net realized gain (loss) 334,351,228 ( 505,553,797 ) Change in net unrealized appreciation (depreciation) on Futures contracts 93,984,872 ( 73,713,718 ) Swap agreements ( 58,990,789 ) ( 249,062,832 ) Short-term U.S. government and agency obligations 41,573 354,889 Change in net unrealized appreciation (depreciation) 35,035,656 ( 322,421,661 ) Net realized and unrealized gain (loss) 369,386,884 ( 827,975,458 ) Net income (loss) $ 366,627,737 $ ( 827,570,574 ) See accompanying notes to financial statements. 16 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 902,739,250 $ 309,844,582 Addition of 2,350,000 and 10,680,000 shares, respectively 117,044,190 1,058,330,164 Redemption of 6,450,000 and 440,000 shares, respectively ( 297,832,084 ) ( 105,010,791 ) Net addition (redemption) of ( 4,100,000 ) and 10,240,000 shares, respectively ( 180,787,894 ) 953,319,373 Net investment income (loss) ( 2,759,147 ) 404,884 Net realized gain (loss) 334,351,228 ( 505,553,797 ) Change in net unrealized appreciation (depreciation) 35,035,656 ( 322,421,661 ) Net income (loss) 366,627,737 ( 827,570,574 ) Shareholders’ equity, end of period $ 1,088,579,093 $ 435,593,381 See accompanying notes to financial statements. 17 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ 366,627,737 $ ( 827,570,574 ) 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 ( 934,851,425 ) ( 309,822,847 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 465,000,000 335,391,900 Net amortization and accretion on short-term U.S. government and agency obligations ( 85,197 ) ( 983,931 ) Net realized gain (loss) on investments — ( 37,469 ) Change in unrealized appreciation (depreciation) on investments 58,949,216 248,707,943 Decrease (Increase) in receivable on futures contracts 1,611,608 ( 3,375,450 ) Decrease (Increase) in interest receivable ( 122,413 ) 26,297 Increase (Decrease) in payable to Sponsor 260,388 366,309 Increase (Decrease) in brokerage commissions and fees payable 1,352 — Increase (Decrease) in payable on futures contracts 25,300,245 25,747 Net cash provided by (used in) operating activities ( 17,308,489 ) ( 557,272,075 ) Cash flow from financing activities Proceeds from addition of shares 117,044,190 972,270,720 Payment on shares redeemed ( 301,460,018 ) ( 105,010,791 ) Net cash provided by (used in) financing activities ( 184,415,828 ) 867,259,929 Net increase (decrease) in cash ( 201,724,317 ) 309,987,854 Cash, beginning of period 667,259,596 88,315,563 Cash, end of period $ 465,535,279 $ 398,303,417 See accompanying notes to financial statements. 18 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 33,996,891 and $ 29,999,585 , respectively) $ 33,999,110 $ 29,999,889 Cash 31,161,434 92,972,312 Segregated cash balances with brokers for futures contracts 13,254,222 44,320,410 Receivable on open futures contracts — 13,775,851 Interest receivable 768 4,326 Total assets 78,415,534 181,072,788 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 3,233,023 11,132,546 Payable on open futures contracts 798,217 — Brokerage commissions and fees payable 13,490 — Payable to Sponsor 63,318 139,455 Non-recurring fees and expenses payable 416 416 Total liabilities 4,108,464 11,272,417 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 74,307,070 169,800,371 Total liabilities and shareholders’ equity $ 78,415,534 $ 181,072,788 Shares outstanding (Note 1) 3,487,527 8,087,527 Net asset value per share (Note 1) $ 21.31 $ 21.00 Market value per share (Note 1) (Note 2) $ 21.20 $ 21.07 See accompanying notes to financial statements. 19 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 46 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.041 % due 04/15/21 $ 3,000,000 $ 2,999,983 0.076 % due 05/20/21 25,000,000 24,999,320 0.040 % due 06/17/21 6,000,000 5,999,807 Total short-term U.S. government and agency obligations (cost $ 33,996,891 ) $ 33,999,110 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires May 2021 5,698 $ 148,603,840 $ ( 11,300,062 ) ^^ Rates shown represent discount rate at the time of purchase . See accompanying notes to financial statements. 20 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 13,815 $ 139,339 Expenses Management fee 254,815 97,108 Brokerage commissions 92,297 44,582 Brokerage fees 81,848 — Total expenses 428,960 141,690 Net investment income (loss) ( 415,145 ) ( 2,351 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 41,582,385 ( 22,819,605 ) Short-term U.S. government and agency obligations 551 1,054 Net realized gain (loss) 41,582,936 ( 22,818,551 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 17,800,783 ) ( 4,466,823 ) Short-term U.S. government and agency obligations 1,915 29,786 Change in net unrealized appreciation (depreciation) ( 17,798,868 ) ( 4,437,037 ) Net realized and unrealized gain (loss) 23,784,068 ( 27,255,588 ) Net income (loss) $ 23,368,923 $ ( 27,257,939 ) See accompanying notes to financial statements. 21 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 169,800,371 $ 45,160,205 Addition of 3,400,000 and 225,000 shares, respectively 76,480,823 15,680,240 Redemption of 8,000,000 and 125,000 shares, respectively ( 195,343,047 ) ( 6,910,889 ) Net addition (redemption) of ( 4,600,000 ) and 100,000 shares, respectively ( 118,862,224 ) 8,769,351 Net investment income (loss) ( 415,145 ) ( 2,351 ) Net realized gain (loss) 41,582,936 ( 22,818,551 ) Change in net unrealized appreciation (depreciation) ( 17,798,868 ) ( 4,437,037 ) Net income (loss) 23,368,923 ( 27,257,939 ) Shareholders’ equity, end of period $ 74,307,070 $ 26,671,617 See accompanying notes to financial statements. 22 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ 23,368,923 $ ( 27,257,939 ) 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 ( 88,986,855 ) ( 24,903,944 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 84,999,676 36,564,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 9,576 ) ( 96,553 ) Net realized gain (loss) on investments ( 551 ) ( 1,054 ) Change in unrealized appreciation (depreciation) on investments ( 1,915 ) ( 29,786 ) Decrease (Increase) in receivable on futures contracts 13,775,851 37,024 Decrease (Increase) in interest receivable 3,558 6,493 Increase (Decrease) in payable to Sponsor ( 76,137 ) 23,126 Increase (Decrease) in brokerage commissions and fees payable 13,490 — Increase (Decrease) in payable on futures contracts 798,217 1,533,810 Net cash provided by (used in) operating activities 33,884,681 ( 14,124,823 ) Cash flow from financing activities Proceeds from addition of shares 76,480,823 15,680,240 Payment on shares redeemed ( 203,242,570 ) ( 6,910,889 ) Net cash provided by (used in) financing activities ( 126,761,747 ) 8,769,351 Net increase (decrease) in cash ( 92,877,066 ) ( 5,355,472 ) Cash, beginning of period 137,292,722 17,619,062 Cash, end of period $ 44,415,656 $ 12,263,590 See accompanying notes to financial statements. 23 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 999,885 and $–, respectively) $ 999,973 $ — Cash 2,230,111 4,045,092 Segregated cash balances with brokers for foreign currency forward contracts 607,000 607,000 Unrealized appreciation on foreign currency forward contracts 4,330 89,103 Interest receivable 70 162 Total assets 3,841,484 4,741,357 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 3,011 3,625 Unrealized depreciation on foreign currency forward contracts 226,734 367 Non-recurring fees and expenses payable 15 15 Total liabilities 229,760 4,007 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 3,611,724 4,737,350 Total liabilities and shareholders’ equity $ 3,841,484 $ 4,741,357 Shares outstanding 250,000 300,000 Net asset value per share $ 14.45 $ 15.79 Market value per share (Note 2) $ 14.47 $ 15.81 See accompanying notes to financial statements. 24 Table of Contents PROSHARES ULTRA EURO SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 28 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.086 % due 05/20/21 $ 1,000,000 $ 999,973 Total short-term U.S. government and agency obligations (cost $ 999,885 ) $ 999,973 Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Euro with Goldman Sachs International 04/09/21 2,210,921 $ 2,592,686 $ ( 78,549 ) Euro with UBS AG 04/09/21 4,249,502 4,983,274 ( 148,185 ) Total Unrealized Depreciation $( 226,734 ) Contracts to Sell Euro with UBS AG 04/09/21 ( 276,000 ) $ ( 323,658 ) $ 4,330 Total Unrealized Appreciation $ 4,330 ^ The positions and counterparties herein are as of March 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase . See accompanying notes to financial statements. 25 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 584 $ 15,801 Expenses Management fee 10,078 12,554 Total expenses 10,078 12,554 Net investment income (loss) ( 9,494 ) 3,247 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 27,342 ) ( 53,268 ) Net realized gain (loss) ( 27,342 ) ( 53,268 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 311,140 ) ( 221,334 ) Short-term U.S. government and agency obligations 88 ( 208 ) Change in net unrealized appreciation (depreciation) ( 311,052 ) ( 221,542 ) Net realized and unrealized gain (loss) ( 338,394 ) ( 274,810 ) Net income (loss) $ ( 347,888 ) $ ( 271,563 ) See accompanying notes to financial statements. 26 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 4,737,350 $ 6,204,424 Addition of – and 50,000 shares, respectively — 669,855 Redemption of 50,000 and 200,000 shares, respectively ( 777,738 ) ( 2,653,574 ) Net addition (redemption) of ( 50,000 ) and ( 150,000 ) shares, respectively ( 777,738 ) ( 1,983,719 ) Net investment income (loss) ( 9,494 ) 3,247 Net realized gain (loss) ( 27,342 ) ( 53,268 ) Change in net unrealized appreciation (depreciation) ( 311,052 ) ( 221,542 ) Net income (loss) ( 347,888 ) ( 271,563 ) Shareholders’ equity, end of period $ 3,611,724 $ 3,949,142 See accompanying notes to financial statements. 27 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ ( 347,888 ) $ ( 271,563 ) 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 ) ( 1,395,795 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,000,000 5,375,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 323 ) ( 9,001 ) Change in unrealized appreciation (depreciation) on investments 311,052 221,542 Decrease (Increase) in interest receivable 92 ( 485 ) Increase (Decrease) in payable to Sponsor ( 614 ) 2,766 Net cash provided by (used in) operating activities ( 1,037,243 ) 3,922,464 Cash flow from financing activities Proceeds from addition of shares — 669,855 Payment on shares redeemed ( 777,738 ) ( 1,995,276 ) Net cash provided by (used in) financing activities ( 777,738 ) ( 1,325,421 ) Net increase (decrease) in cash ( 1,814,981 ) 2,597,043 Cash, beginning of period 4,652,092 2,127,437 Cash, end of period $ 2,837,111 $ 4,724,480 See accompanying notes to financial statements. 28 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 86,995,913 and $ 74,998,283 , respectively) $ 86,998,893 $ 74,999,467 Cash 95,364,405 164,381,859 Segregated cash balances with brokers for futures contracts 8,360,001 11,581,250 Segregated cash balances with brokers for swap agreements 16,243,000 7,489,000 Unrealized appreciation on swap agreements 6,160,430 5,140,980 Receivable on open futures contracts 1,605,224 148,784 Interest receivable 2,345 6,531 Total assets 214,734,298 263,747,871 Liabilities and shareholders’ equity Liabilities Brokerage commissions and fees payable 9,172 — Payable to Sponsor 176,066 206,394 Non-recurring fees and expenses payable 1,004 1,004 Total liabilities 186,242 207,398 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 214,548,056 263,540,473 Total liabilities and shareholders’ equity $ 214,734,298 $ 263,747,871 Shares outstanding 3,950,000 3,900,000 Net asset value per share $ 54.32 $ 67.57 Market value per share (Note 2) $ 53.91 $ 68.20 See accompanying notes to financial statements. 29 Table of Contents PROSHARES ULTRA GOLD SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 41 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.069 % due 04/15/21 † $ 60,000,000 $ 59,999,651 0.070 % due 05/20/21 † 22,000,000 21,999,402 0.037 % due 06/17/21 † 5,000,000 4,999,840 Total short-term U.S. government and agency obligations (cost $ 86,995,913 ) $ 86,998,893 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires June 2021 722 $ 123,866,320 $ 393,125 Total Return Swap Agreements ^ Rate Paid (Received)* Termination Date Notional Amount at Value** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex 0.25 % 04/06/21 $ 105,063,244 $ 2,121,049 Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.25 04/06/21 90,791,674 1,832,931 Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 04/06/21 109,293,502 2,206,450 Total Unrealized Appreciation $ 6,160,430 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of March 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase . * Reflects the floating financing rate, as of March 31, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 30 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 35,827 $ 414,684 Expenses Management fee 568,207 295,411 Brokerage commissions 14,888 10,365 Brokerage fees 32,402 — Total expenses 615,497 305,776 Net investment income (loss) ( 579,670 ) 108,908 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 16,805,897 ) ( 68,161 ) Swap agreements ( 34,442,235 ) 21,566,217 Short-term U.S. government and agency obligations 245 — Net realized gain (loss) ( 51,247,887 ) 21,498,056 Change in net unrealized appreciation (depreciation) on Futures contracts ( 2,253,749 ) ( 3,638,236 ) Swap agreements 1,019,450 ( 15,515,060 ) Short-term U.S. government and agency obligations 1,796 55,936 Change in net unrealized appreciation (depreciation) ( 1,232,503 ) ( 19,097,360 ) Net realized and unrealized gain (loss) ( 52,480,390 ) 2,400,696 Net income (loss) $ ( 53,060,060 ) $ 2,509,604 See accompanying notes to financial statements. 31 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 263,540,473 $ 110,726,032 Addition of 600,000 and 1,150,000 shares, respectively 37,062,261 64,993,775 Redemption of 550,000 and 950,000 shares, respectively ( 32,994,618 ) ( 49,747,615 ) Net addition (redemption) of 50,000 and 200,000 shares, respectively 4,067,643 15,246,160 Net investment income (loss) ( 579,670 ) 108,908 Net realized gain (loss) ( 51,247,887 ) 21,498,056 Change in net unrealized appreciation (depreciation) ( 1,232,503 ) ( 19,097,360 ) Net income (loss) ( 53,060,060 ) 2,509,604 Shareholders’ equity, end of period $ 214,548,056 $ 128,481,796 See accompanying notes to financial statements. 32 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ ( 53,060,060 ) $ 2,509,604 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 ( 206,969,781 ) ( 60,782,344 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 194,999,771 96,257,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 27,375 ) ( 236,284 ) Net realized gain (loss) on investments ( 245 ) — Change in unrealized appreciation (depreciation) on investments ( 1,021,246 ) 15,459,124 Decrease (Increase) in receivable on futures contracts ( 1,456,440 ) 170,073 Decrease (Increase) in interest receivable 4,186 ( 8,574 ) Increase (Decrease) in payable to Sponsor ( 30,328 ) 117,996 Increase (Decrease) in brokerage commissions and fees payable 9,172 — Increase (Decrease) in payable on futures contracts — 1,978,828 Net cash provided by (used in) operating activities ( 67,552,346 ) 55,465,423 Cash flow from financing activities Proceeds from addition of shares 37,062,261 64,993,775 Payment on shares redeemed ( 32,994,618 ) ( 49,747,615 ) Net cash provided by (used in) financing activities 4,067,643 15,246,160 Net increase (decrease) in cash ( 63,484,703 ) 70,711,583 Cash, beginning of period 183,452,109 38,526,723 Cash, end of period $ 119,967,406 $ 109,238,306 See accompanying notes to financial statements. 33 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 419,957,178 and $ 244,987,251 , respectively) $ 419,985,837 $ 244,993,989 Cash 94,849,379 301,951,458 Segregated cash balances with brokers for futures contracts 32,096,625 66,062,502 Segregated cash balances with brokers for swap agreements 51,110,000 78,388,000 Unrealized appreciation on swap agreements — 56,752,666 Receivable from capital shares sold 4,134,427 — Receivable on open futures contracts 1,465,450 — Interest receivable 4,633 10,698 Total assets 603,646,351 748,159,313 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 2,165,523 2,312,939 Brokerage commissions and fees payable 45,354 — Payable to Sponsor 510,862 539,986 Unrealized depreciation on swap agreements 28,421,003 — Non-recurring fees and expenses payable 2,360 2,360 Total liabilities 31,145,102 2,855,285 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 572,501,249 745,304,028 Total liabilities and shareholders’ equity $ 603,646,351 $ 748,159,313 Shares outstanding 13,846,526 14,696,526 Net asset value per share $ 41.35 $ 50.71 Market value per share (Note 2) $ 41.10 $ 51.28 See accompanying notes to financial statements. 34 Table of Contents PROSHARES ULTRA SILVER SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 73 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.062 % due 04/15/21 † $ 80,000,000 $ 79,999,536 0.051 % due 05/20/21 † 100,000,000 99,997,280 0.057 % due 06/17/21 † 115,000,000 114,996,309 0.056 % due 07/15/21 † 125,000,000 124,992,712 Total short-term U.S. government and agency obligations (cost $ 419,957,178 ) $ 419,985,837 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires May 2021 1,667 $ 204,474,220 $ ( 15,401,821 ) Total Return Swap Agreements ^ Rate Paid (Received)* Termination Date Notional Amount at Value** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex 0.25 % 04/06/21 $ 291,359,450 $ ( 8,800,436 ) Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.30 04/06/21 218,805,087 ( 6,616,052 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 04/06/21 228,795,897 ( 6,918,147 ) Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 04/06/21 201,503,724 ( 6,086,368 ) Total Unrealized Depreciation $ ( 28,421,003 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of March 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase . * Reflects the floating financing rate, as of March 31, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 35 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 98,129 $ 776,287 Expenses Management fee 1,631,135 481,247 Brokerage commissions 46,582 18,208 Brokerage fees 162,187 — Total expenses 1,839,904 499,455 Net investment income (loss) ( 1,741,775 ) 276,832 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 6,896,270 ( 9,641,976 ) Swap agreements ( 1,985,719 ) 5,944,322 Short-term U.S. government and agency obligations 191 — Net realized gain (loss) 4,910,742 ( 3,697,654 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 52,592,033 ) ( 4,249,586 ) Swap agreements ( 85,173,669 ) ( 80,923,026 ) Short-term U.S. government and agency obligations 21,921 110,781 Change in net unrealized appreciation (depreciation) ( 137,743,781 ) ( 85,061,831 ) Net realized and unrealized gain (loss) ( 132,833,039 ) ( 88,759,485 ) Net income (loss) $ ( 134,574,814 ) $ ( 88,482,653 ) See accompanying notes to financial statements. 36 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 745,304,028 $ 239,254,842 Addition of 2,400,000 and 750,000 shares, respectively 120,399,635 14,162,113 Redemption of 3,250,000 and 1,250,000 shares, respectively ( 158,627,600 ) ( 35,148,766 ) Net addition (redemption) of ( 850,000 ) and ( 500,000 ) shares, respectively ( 38,227,965 ) ( 20,986,653 ) Net investment income (loss) ( 1,741,775 ) 276,832 Net realized gain (loss) 4,910,742 ( 3,697,654 ) Change in net unrealized appreciation (depreciation) ( 137,743,781 ) ( 85,061,831 ) Net income (loss) ( 134,574,814 ) ( 88,482,653 ) Shareholders’ equity, end of period $ 572,501,249 $ 129,785,536 See accompanying notes to financial statements. 37 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ ( 134,574,814 ) $ ( 88,482,653 ) 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 ( 684,892,324 ) ( 113,569,175 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 509,999,794 188,705,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 77,206 ) ( 472,102 ) Net realized gain (loss) on investments ( 191 ) — Change in unrealized appreciation (depreciation) on investments 85,151,748 80,812,245 Decrease (Increase) in receivable on futures contracts ( 1,465,450 ) ( 51,960 ) Decrease (Increase) in interest receivable 6,065 33,357 Increase (Decrease) in payable to Sponsor ( 29,124 ) 116,819 Increase (Decrease) in brokerage commissions and fees payable 45,354 — Increase (Decrease) in payable on futures contracts ( 147,416 ) 91,879 Net cash provided by (used in) operating activities ( 225,983,564 ) 67,183,410 Cash flow from financing activities Proceeds from addition of shares 116,265,208 12,321,941 Payment on shares redeemed ( 158,627,600 ) ( 35,148,766 ) Net cash provided by (used in) financing activities ( 42,362,392 ) ( 22,826,825 ) Net increase (decrease) in cash ( 268,345,956 ) 44,356,585 Cash, beginning of period 446,401,960 79,058,662 Cash, end of period $ 178,056,004 $ 123,415,247 See accompanying notes to financial statements. 38 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 376,960,550 and $ 244,990,791 , respectively) $ 376,985,173 $ 244,995,969 Cash 53,272,722 181,991,996 Segregated cash balances with brokers for futures contracts 782,757,661 879,704,000 Segregated cash balances with brokers for swap agreements 85,756,000 7,976,000 Receivable from capital shares sold — 49,086,388 Receivable on open futures contracts 39,317,506 16,422,512 Interest receivable 6,631 7,054 Total assets 1,338,095,693 1,380,183,919 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 12,652,068 22,424,475 Brokerage commissions and fees payable 734,787 485,039 Payable to Sponsor 1,352,907 1,040,582 Unrealized depreciation on swap agreements — 24,807 Securities purchased payable 38,977,944 — Non-recurring fees and expenses payable 4,817 4,817 Total liabilities 53,722,523 23,979,720 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 1,284,373,170 1,356,204,199 Total liabilities and shareholders’ equity $ 1,338,095,693 $ 1,380,183,919 Shares outstanding 228,030,912 127,130,912 Net asset value per share $ 5.63 $ 10.67 Market value per share (Note 2) $ 5.65 $ 10.65 See accompanying notes to financial statements. 39 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 29 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.063 % due 04/15/21 $ 77,000,000 $ 76,999,553 0.061 % due 05/20/21 100,000,000 99,997,280 0.051 % due 07/15/21 200,000,000 199,988,340 Total short-term U.S. government and agency obligations (cost $ 376,960,550 ) $ 376,985,173 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires April 2021 45,234 $ 937,881,756 $ ( 271,592,637 ) VIX Futures - Cboe, expires May 2021 38,279 868,006,948 ( 61,335,612 ) $ ( 332,928,249 ) Total Return Swap Agreements ^ Rate Paid (Received)* Termination Date Notional Amount at Value** Unrealized Appreciation (Depreciation)/Value Swap agreement with Goldman Sachs & Co., based on iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index 0.97 % 04/28/21 $ 120,270,000 $ — Total Unrealized Depreciation $ — ^ The positions and counterparties herein are as of March 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase . * Reflects the floating financing rate, as of March 31, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 40 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 113,969 $ 1,411,740 Expenses Management fee 4,383,077 1,383,275 Brokerage commissions 1,956,628 741,009 Brokerage fees 1,843,813 16,721 Total expenses 8,183,518 2,141,005 Net investment income (loss) ( 8,069,549 ) ( 729,265 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 653,063,682 ) 656,145,228 Swap agreements ( 51,454,342 ) 69,940,003 Short-term U.S. government and agency obligations 18,520 — Net realized gain (loss) ( 704,499,504 ) 726,085,231 Change in net unrealized appreciation (depreciation) on Futures contracts ( 284,403,583 ) 198,355,954 Swap agreements 24,807 ( 21,974,093 ) Short-term U.S. government and agency obligations 19,445 135,054 Change in net unrealized appreciation (depreciation) ( 284,359,331 ) 176,516,915 Net realized and unrealized gain (loss) ( 988,858,835 ) 902,602,146 Net income (loss) $ ( 996,928,384 ) $ 901,872,881 See accompanying notes to financial statements. 41 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 1,356,204,199 $ 527,636,003 Addition of 196,300,000 and 9,900,000 shares, respectively 1,939,143,031 359,090,211 Redemption of 95,400,000 and 41,400,000 shares, respectively ( 1,014,045,676 ) ( 1,195,778,603 ) Net addition (redemption) of 100,900,000 and ( 31,500,000 ) shares, respectively 925,097,355 ( 836,688,392 ) Net investment income (loss) ( 8,069,549 ) ( 729,265 ) Net realized gain (loss) ( 704,499,504 ) 726,085,231 Change in net unrealized appreciation (depreciation) ( 284,359,331 ) 176,516,915 Net income (loss) ( 996,928,384 ) 901,872,881 Shareholders’ equity, end of period $ 1,284,373,170 $ 592,820,492 See accompanying notes to financial statements. 42 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ ( 996,928,384 ) $ 901,872,881 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 ( 811,866,867 ) ( 198,455,580 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 679,996,765 260,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 81,137 ) ( 652,333 ) Net realized gain (loss) on investments ( 18,520 ) — Change in unrealized appreciation (depreciation) on investments ( 44,252 ) 21,839,039 Decrease (Increase) in receivable on futures contracts ( 22,894,994 ) ( 40,866,835 ) Decrease (Increase) in interest receivable 423 ( 33,608 ) Increase (Decrease) in payable to Sponsor 312,325 566,652 Increase (Decrease) in brokerage commissions and fees payable 249,748 — Increase (Decrease) in payable on futures contracts ( 9,772,407 ) ( 857,523 ) Increase (Decrease) in securities purchased payable 38,977,944 — Net cash provided by (used in) operating activities ( 1,122,069,356 ) 943,412,693 Cash flow from financing activities Proceeds from addition of shares 1,988,229,419 359,177,711 Payment on shares redeemed ( 1,014,045,676 ) ( 1,195,778,603 ) Net cash provided by (used in) financing activities 974,183,743 ( 836,600,892 ) Net increase (decrease) in cash ( 147,885,613 ) 106,811,801 Cash, beginning of period 1,069,671,996 361,561,329 Cash, end of period $ 921,786,383 $ 468,373,130 See accompanying notes to financial statements. 43 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 499,942 and $–, respectively) $ 499,986 $ — Cash 1,972,808 2,618,696 Segregated cash balances with brokers for foreign currency forward contracts 306,000 306,000 Unrealized appreciation on foreign currency forward contracts 3,041 67,235 Interest receivable 84 111 Total assets 2,781,919 2,992,042 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 2,171 2,384 Unrealized depreciation on foreign currency forward contracts 192,043 148 Non-recurring fees and expenses payable 11 11 Total liabilities 194,225 2,543 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 2,587,694 2,989,499 Total liabilities and shareholders’ equity $ 2,781,919 $ 2,992,042 Shares outstanding 49,970 49,970 Net asset value per share $ 51.78 $ 59.83 Market value per share (Note 2) $ 51.78 $ 59.82 See accompanying notes to financial statements. 44 Table of Contents PROSHARES ULTRA YEN SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 19 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.086 % due 05/20/21 $ 500,000 $ 499,986 Total short-term U.S. government and agency obligations (cost $ 499,942 ) $ 499,986 Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Yen with Goldman Sachs International 04/09/21 332,532,517 $ 3,003,464 $ ( 106,904 ) Yen with UBS AG 04/09/21 263,662,756 2,381,425 ( 85,139 ) Total Unrealized Depreciation $ ( 192,043 ) Contracts to Sell Yen with UBS AG 04/09/21 ( 21,110,000 ) $ ( 190,668 ) $ 3,041 Total Unrealized Appreciation $ 3,041 ^ The positions and counterparties herein are as of March 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 45 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 356 $ 8,867 Expenses Management fee 6,649 7,241 Total expenses 6,649 7,241 Net investment income (loss) ( 6,293 ) 1,626 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 139,467 ) ( 8,483 ) Net realized gain (loss) ( 139,467 ) ( 8,483 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 256,089 ) ( 19,239 ) Short-term U.S. government and agency obligations 44 ( 74 ) Change in net unrealized appreciation (depreciation) ( 256,045 ) ( 19,313 ) Net realized and unrealized gain (loss) ( 395,512 ) ( 27,796 ) Net income (loss) $ ( 401,805 ) $ ( 26,170 ) See accompanying notes to financial statements. 46 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 2,989,499 $ 5,580,964 Redemption of – and 50,000 shares, respectively — ( 2,746,014 ) Net addition (redemption) of – and ( 50,000 ) shares, respectively — ( 2,746,014 ) Net investment income (loss) ( 6,293 ) 1,626 Net realized gain (loss) ( 139,467 ) ( 8,483 ) Change in net unrealized appreciation (depreciation) ( 256,045 ) ( 19,313 ) Net income (loss) ( 401,805 ) ( 26,170 ) Shareholders’ equity, end of period $ 2,587,694 $ 2,808,780 See accompanying notes to financial statements. 47 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ ( 401,805 ) $ ( 26,170 ) 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 ( 499,849 ) ( 99,700 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations — 1,911,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 93 ) ( 3,270 ) Change in unrealized appreciation (depreciation) on investments 256,045 19,313 Decrease (Increase) in interest receivable 27 3,174 Increase (Decrease) in payable to Sponsor ( 213 ) ( 176 ) Net cash provided by (used in) operating activities ( 645,888 ) 1,804,171 Cash flow from financing activities Payment on shares redeemed — ( 2,746,014 ) Net cash provided by (used in) financing activities — ( 2,746,014 ) Net increase (decrease) in cash ( 645,888 ) ( 941,843 ) Cash, beginning of period 2,924,696 3,783,138 Cash, end of period $ 2,278,808 $ 2,841,295 See accompanying notes to financial statements. 48 Table of Contents PROSHARES ULTRASHORT AUSTRALIAN DOLLAR STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Cash $ 2,147,185 $ 2,133,707 Segregated cash balances with brokers for futures contracts 118,800 100,320 Interest receivable 88 119 Total assets 2,266,073 2,234,146 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 5,400 9,118 Payable to Sponsor 1,774 2,370 Non-recurring fees and expenses payable 19 19 Total liabilities 7,193 11,507 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 2,258,880 2,222,639 Total liabilities and shareholders’ equity $ 2,266,073 $ 2,234,146 Shares outstanding 50,000 50,000 Net asset value per share $ 45.18 $ 44.45 Market value per share (Note 2) $ 45.19 $ 43.89 See accompanying notes to financial statements. 49 Table of Contents PROSHARES ULTRASHORT AUSTRALIAN DOLLAR SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Australian Dollar Fx Currency Futures - CME, expires June 2021 60 $ 4,560,900 $ 67,102 See accompanying notes to financial statements. 50 Table of Contents PROSHARES ULTRASHORT AUSTRALIAN DOLLAR STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 258 $ 20,054 Expenses Management fee 5,139 15,130 Brokerage commissions 386 1,499 Total expenses 5,525 16,629 Net investment income (loss) ( 5,267 ) 3,425 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 164,544 ) 670,950 Net realized gain (loss) ( 164,544 ) 670,950 Change in net unrealized appreciation (depreciation) on Futures contracts 206,052 947,586 Short-term U.S. government and agency obligations — ( 206 ) Change in net unrealized appreciation (depreciation) 206,052 947,380 Net realized and unrealized gain (loss) 41,508 1,618,330 Net income (loss) $ 36,241 $ 1,621,755 See accompanying notes to financial statements. 51 Table of Contents PROSHARES ULTRASHORT AUSTRALIAN DOLLAR STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 2,222,639 $ 5,608,612 Net investment income (loss) ( 5,267 ) 3,425 Net realized gain (loss) ( 164,544 ) 670,950 Change in net unrealized appreciation (depreciation) 206,052 947,380 Net income (loss) 36,241 1,621,755 Shareholders’ equity, end of period $ 2,258,880 $ 7,230,367 See accompanying notes to financial statements. 52 Table of Contents PROSHARES ULTRASHORT AUSTRALIAN DOLLAR STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ 36,241 $ 1,621,755 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations — ( 498,498 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations — 4,436,000 Net amortization and accretion on short-term U.S. government and agency obligations — ( 6,234 ) Change in unrealized appreciation (depreciation) on investments — 206 Decrease (Increase) in receivable on futures contracts — ( 21,755 ) Decrease (Increase) in interest receivable 31 ( 2,493 ) Increase (Decrease) in payable to Sponsor ( 596 ) 5,702 Increase (Decrease) in payable on futures contracts ( 3,718 ) ( 37,725 ) Net cash provided by (used in) operating activities 31,958 5,496,958 Net increase (decrease) in cash 31,958 5,496,958 Cash, beginning of period 2,234,027 1,717,873 Cash, end of period $ 2,265,985 $ 7,214,831 See accompanying notes to financial statements. 53 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 34,996,872 and $–, respectively) $ 34,999,082 $ — Cash 33,474,775 74,317,150 Segregated cash balances with brokers for futures contracts 21,014,545 22,608,223 Segregated cash balances with brokers for swap agreements — 188,000 Receivable on open futures contracts 2,751,890 60,902 Interest receivable 1,200 3,299 Total assets 92,241,492 97,177,574 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 423,827 257,410 Brokerage commissions and fees payable 25,647 — Payable to Sponsor 73,277 80,580 Non-recurring fees and expenses payable 351 351 Total liabilities 523,102 338,341 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 91,718,390 96,839,233 Total liabilities and shareholders’ equity $ 92,241,492 $ 97,177,574 Shares outstanding 12,739,884 8,339,884 Net asset value per share $ 7.20 $ 11.61 Market value per share (Note 2) $ 7.15 $ 11.64 See accompanying notes to financial statements. 54 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 38 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.041 % due 04/15/21 $ 5,000,000 $ 4,999,971 0.086 % due 05/20/21 15,000,000 14,999,592 0.042 % due 06/17/21 15,000,000 14,999,519 Total short-term U.S. government and agency obligations (cost $ 34,996,872 ) $ 34,999,082 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/ Value WTI Crude Oil - NYMEX, expires June 2021 1,020 $ 60,363,600 $ ( 5,808,804 ) WTI Crude Oil - NYMEX, expires December 2021 1,082 61,511,700 ( 3,660,503 ) WTI Crude Oil - NYMEX, expires June 2022 1,125 61,560,000 469,128 $( 9,000,179 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 55 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 10,835 $ 248,709 Expenses Management fee 221,263 202,369 Brokerage commissions 43,044 77,053 Brokerage fees 47,712 — Total expenses 312,019 279,422 Net investment income (loss) ( 301,184 ) ( 30,713 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 49,177,765 ) 6,504,689 Swap agreements — 45,169,333 Short-term U.S. government and agency obligations — ( 20 ) Net realized gain (loss) ( 49,177,765 ) 51,674,002 Change in net unrealized appreciation (depreciation) on Futures contracts 5,636,634 54,837,080 Swap agreements — 21,741,150 Short-term U.S. government and agency obligations 2,210 3,127 Change in net unrealized appreciation (depreciation) 5,638,844 76,581,357 Net realized and unrealized gain (loss) ( 43,538,921 ) 128,255,359 Net income (loss) $ ( 43,840,105 ) $ 128,224,646 See accompanying notes to financial statements. 56 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 96,839,233 $ 125,451,681 Addition of 7,800,000 and 3,350,000 shares, respectively 64,302,979 71,229,475 Redemption of 3,400,000 and 11,600,000 shares, respectively ( 25,583,717 ) ( 224,811,779 ) Net addition (redemption) of 4,400,000 and ( 8,250,000 ) shares, respectively 38,719,262 ( 153,582,304 ) Net investment income (loss) ( 301,184 ) ( 30,713 ) Net realized gain (loss) ( 49,177,765 ) 51,674,002 Change in net unrealized appreciation (depreciation) 5,638,844 76,581,357 Net income (loss) ( 43,840,105 ) 128,224,646 Shareholders’ equity, end of period $ 91,718,390 $ 100,094,023 See accompanying notes to financial statements. 57 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ ( 43,840,105 ) $ 128,224,646 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 ( 59,990,524 ) ( 32,897,274 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 25,000,000 88,246,647 Net amortization and accretion on short-term U.S. government and agency obligations ( 6,348 ) ( 146,748 ) Net realized gain (loss) on investments — 20 Change in unrealized appreciation (depreciation) on investments ( 2,210 ) ( 21,744,277 ) Decrease (Increase) in receivable on futures contracts ( 2,690,988 ) 1,144,404 Decrease (Increase) in interest receivable 2,099 26,150 Increase (Decrease) in payable to Sponsor ( 7,303 ) 26,465 Increase (Decrease) in brokerage commissions and fees payable 25,647 — Increase (Decrease) in payable on futures contracts 166,417 953,702 Net cash provided by (used in) operating activities ( 81,343,315 ) 163,833,735 Cash flow from financing activities Proceeds from addition of shares 64,302,979 67,838,424 Payment on shares redeemed ( 25,583,717 ) ( 222,259,090 ) Net cash provided by (used in) financing activities 38,719,262 ( 154,420,666 ) Net increase (decrease) in cash ( 42,624,053 ) 9,413,069 Cash, beginning of period 97,113,373 61,909,177 Cash, end of period $ 54,489,320 $ 71,322,246 See accompanying notes to financial statements. 58 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 43,997,035 and $ 9,999,612 , respectively) $ 43,998,801 $ 9,999,861 Cash 12,606,546 12,600,775 Segregated cash balances with brokers for futures contracts 12,310,981 6,546,607 Receivable on open futures contracts 607,891 — Interest receivable 1,242 548 Total assets 69,525,461 29,147,791 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed — 2,604,177 Payable on open futures contracts — 1,543,700 Brokerage commissions and fees payable 427 — Payable to Sponsor 65,619 22,029 Non-recurring fees and expenses payable 140 140 Total liabilities 66,186 4,170,046 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 69,459,275 24,977,745 Total liabilities and shareholders’ equity $ 69,525,461 $ 29,147,791 Shares outstanding 1,774,832 524,832 Net asset value per share $ 39.14 $ 47.59 Market value per share (Note 2) $ 39.32 $ 47.38 See accompanying notes to financial statements. 59 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 63 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.041 % due 04/15/21 $ 4,000,000 $ 3,999,977 0.047 % due 05/20/21 22,000,000 21,999,402 0.040 % due 06/17/21 18,000,000 17,999,422 Total short-term U.S. government and agency obligations (cost $ 43,997,035 ) $ 43,998,801 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires May 2021 5,327 $ 138,928,160 $ 16,272,857 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 60 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 7,883 $ 42,432 Expenses Management fee 159,337 32,430 Brokerage commissions 85,680 32,281 Brokerage fees 23,273 — Total expenses 268,290 64,711 Net investment income (loss) ( 260,407 ) ( 22,279 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 6,359,394 ) 5,626,177 Net realized gain (loss) ( 6,359,394 ) 5,626,177 Change in net unrealized appreciation (depreciation) on Futures contracts 15,893,547 3,334,986 Short-term U.S. government and agency obligations 1,517 625 Change in net unrealized appreciation (depreciation) 15,895,064 3,335,611 Net realized and unrealized gain (loss) 9,535,670 8,961,788 Net income (loss) $ 9,275,263 $ 8,939,509 See accompanying notes to financial statements. 61 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 24,977,745 $ 12,515,603 Addition of 4,100,000 and 550,000 shares, respectively 142,050,186 29,104,581 Redemption of 2,850,000 and 600,000 shares, respectively ( 106,843,919 ) ( 33,139,760 ) Net addition (redemption) of 1,250,000 and ( 50,000 ) shares, respectively 35,206,267 ( 4,035,179 ) Net investment income (loss) ( 260,407 ) ( 22,279 ) Net realized gain (loss) ( 6,359,394 ) 5,626,177 Change in net unrealized appreciation (depreciation) 15,895,064 3,335,611 Net income (loss) 9,275,263 8,939,509 Shareholders’ equity, end of period $ 69,459,275 $ 17,419,933 See accompanying notes to financial statements. 62 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ 9,275,263 $ 8,939,509 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 ( 53,993,457 ) ( 2,990,772 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 20,000,000 7,160,924 Net amortization and accretion on short-term U.S. government and agency obligations ( 3,966 ) ( 14,617 ) Change in unrealized appreciation (depreciation) on investments ( 1,517 ) ( 625 ) Decrease (Increase) in receivable on futures contracts ( 607,891 ) ( 714,526 ) Decrease (Increase) in interest receivable ( 694 ) ( 130 ) Increase (Decrease) in payable to Sponsor 43,590 11,592 Increase (Decrease) in brokerage commissions and fees payable 427 — Increase (Decrease) in payable on futures contracts ( 1,543,700 ) ( 6,826 ) Net cash provided by (used in) operating activities ( 26,831,945 ) 12,384,529 Cash flow from financing activities Proceeds from addition of shares 142,050,186 29,104,581 Payment on shares redeemed ( 109,448,096 ) ( 33,139,760 ) Net cash provided by (used in) financing activities 32,602,090 ( 4,035,179 ) Net increase (decrease) in cash 5,770,145 8,349,350 Cash, beginning of period 19,147,382 7,370,891 Cash, end of period $ 24,917,527 $ 15,720,241 See accompanying notes to financial statements. 63 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 17,998,447 and $ 9,999,612 , respectively) $ 17,999,536 $ 9,999,861 Cash 29,681,455 42,133,228 Segregated cash balances with brokers for foreign currency forward contracts 4,041,000 1,999,000 Unrealized appreciation on foreign currency forward contracts 3,436,568 5,705 Interest receivable 920 2,148 Total assets 55,159,479 54,139,942 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 45,247 43,974 Unrealized depreciation on foreign currency forward contracts 181,875 1,142,409 Non-recurring fees and expenses payable 220 220 Total liabilities 227,342 1,186,603 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 54,932,137 52,953,339 Total liabilities and shareholders’ equity $ 55,159,479 $ 54,139,942 Shares outstanding 2,250,000 2,350,000 Net asset value per share $ 24.41 $ 22.53 Market value per share (Note 2) $ 24.42 $ 22.52 See accompanying notes to financial statements. 64 Table of Contents PROSHARES ULTRASHORT EURO SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 33 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.041 % due 04/15/21 $ 3,000,000 $ 2,999,983 0.086 % due 05/20/21 † 7,000,000 6,999,810 0.041 % due 06/17/21 8,000,000 7,999,743 Total short-term U.S. government and agency obligations (cost $ 17,998,447 ) $ 17,999,536 Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Euro with UBS AG 04/09/21 12,078,000 $ 14,163,535 $ ( 181,875 ) Total Unrealized Depreciation $ ( 181,875 ) Contracts to Sell Euro with Goldman Sachs International 04/09/21 ( 37,401,263 ) $ ( 43,859,422 ) $ 1,328,784 Euro with UBS AG 04/09/21 ( 68,453,199 ) ( 80,273,164 ) 2,107,784 Total Unrealized Appreciation $ 3,436,568 † All or partial amount pledged as collateral for foreign currency forward contracts. ^ The positions and counterparties herein are as of March 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 65 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 7,166 $ 399,657 Expenses Management fee 124,038 263,442 Total expenses 124,038 263,442 Net investment income (loss) ( 116,872 ) 136,215 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 70,527 1,047,283 Net realized gain (loss) 70,527 1,047,283 Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts 4,391,397 3,137,931 Short-term U.S. government and agency obligations 840 52,320 Change in net unrealized appreciation (depreciation) 4,392,237 3,190,251 Net realized and unrealized gain (loss) 4,462,764 4,237,534 Net income (loss) $ 4,345,892 $ 4,373,749 See accompanying notes to financial statements. 66 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 52,953,339 $ 120,581,173 Addition of 200,000 and 200,000 shares, respectively 4,613,244 5,754,066 Redemption of 300,000 and 1,350,000 shares, respectively ( 6,980,338 ) ( 37,514,389 ) Net addition (redemption) of ( 100,000 ) and ( 1,150,000 ) shares, respectively ( 2,367,094 ) ( 31,760,323 ) Net investment income (loss) ( 116,872 ) 136,215 Net realized gain (loss) 70,527 1,047,283 Change in net unrealized appreciation (depreciation) 4,392,237 3,190,251 Net income (loss) 4,345,892 4,373,749 Shareholders’ equity, end of period $ 54,932,137 $ 93,194,599 See accompanying notes to financial statements. 67 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ 4,345,892 $ 4,373,749 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 ( 41,994,414 ) ( 56,787,039 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 34,000,000 105,685,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 4,421 ) ( 251,364 ) Change in unrealized appreciation (depreciation) on investments ( 4,392,237 ) ( 3,190,251 ) Decrease (Increase) in interest receivable 1,228 27,885 Increase (Decrease) in payable to Sponsor 1,273 67,380 Net cash provided by (used in) operating activities ( 8,042,679 ) 49,925,360 Cash flow from financing activities Proceeds from addition of shares 4,613,244 5,754,066 Payment on shares redeemed ( 6,980,338 ) ( 33,413,625 ) Net cash provided by (used in) financing activities ( 2,367,094 ) ( 27,659,559 ) Net increase (decrease) in cash ( 10,409,773 ) 22,265,801 Cash, beginning of period 44,132,228 44,280,278 Cash, end of period $ 33,722,455 $ 66,546,079 See accompanying notes to financial statements. 68 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 12,998,786 and $–, respectively) $ 12,999,597 $ — Cash 22,381,424 16,935,121 Segregated cash balances with brokers for futures contracts 2,923,750 1,503,750 Segregated cash balances with brokers for swap agreements 4,201,087 2,194,500 Receivable on open futures contracts — 1,317 Interest receivable 615 742 Total assets 42,506,473 20,635,430 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 548,420 12,410 Brokerage commissions and fees payable 1,492 — Payable to Sponsor 27,498 16,835 Unrealized depreciation on swap agreements 685,467 268,728 Non-recurring fees and expenses payable 81 81 Total liabilities 1,262,958 298,054 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 41,243,515 20,337,376 Total liabilities and shareholders’ equity $ 42,506,473 $ 20,635,430 Shares outstanding 1,096,977 646,977 Net asset value per share $ 37.60 $ 31.43 Market value per share (Note 2) $ 37.89 $ 31.14 See accompanying notes to financial statements. 69 Table of Contents PROSHARES ULTRASHORT GOLD SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 32 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.086 % due 05/20/21 † $ 3,000,000 $ 2,999,918 0.041 % due 06/17/21 † 10,000,000 9,999,679 Total short-term U.S. government and agency obligations (cost $ 12,998,786 ) $ 12,999,597 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires June 2021 247 $ 42,375,320 $ 39,145 Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex 0.25 % 04/06/21 $ ( 14,224,080 ) $ ( 291,552 ) Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.20 04/06/21 ( 14,746,325 ) ( 301,800 ) Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 04/06/21 ( 11,127,395 ) ( 92,115 ) Total Unrealized Depreciation $ ( 685,467 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of March 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. * Reflects the floating financing rate, as of March 31, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 70 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 2,962 $ 61,021 Expenses Management fee 63,727 43,239 Brokerage commissions 3,590 2,104 Brokerage fees 4,686 — Total expenses 72,003 45,343 Net investment income (loss) ( 69,041 ) 15,678 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 1,334,982 ( 2,028,666 ) Swap agreements 2,668,208 ( 3,902,216 ) Short-term U.S. government and agency obligations 169 — Net realized gain (loss) 4,003,359 ( 5,930,882 ) Change in net unrealized appreciation (depreciation) on Futures contracts 236,075 641,113 Swap agreements ( 416,739 ) 2,034,683 Short-term U.S. government and agency obligations 811 1,178 Change in net unrealized appreciation (depreciation) ( 179,853 ) 2,676,974 Net realized and unrealized gain (loss) 3,823,506 ( 3,253,908 ) Net income (loss) $ 3,754,465 $ ( 3,238,230 ) See accompanying notes to financial statements. 71 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 20,337,376 $ 21,047,560 Addition of 750,000 and 200,000 shares, respectively 27,291,216 9,689,641 Redemption of 300,000 and 150,000 shares, respectively ( 10,139,542 ) ( 6,929,927 ) Net addition (redemption) of 450,000 and 50,000 shares, respectively 17,151,674 2,759,714 Net investment income (loss) ( 69,041 ) 15,678 Net realized gain (loss) 4,003,359 ( 5,930,882 ) Change in net unrealized appreciation (depreciation) ( 179,853 ) 2,676,974 Net income (loss) 3,754,465 ( 3,238,230 ) Shareholders’ equity, end of period $ 41,243,515 $ 20,569,044 See accompanying notes to financial statements. 72 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ 3,754,465 $ ( 3,238,230 ) 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 ( 18,997,037 ) ( 6,983,176 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 5,999,936 17,371,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 1,516 ) ( 31,387 ) Net realized gain (loss) on investments ( 169 ) — Change in unrealized appreciation (depreciation) on investments 415,928 ( 2,035,861 ) Decrease (Increase) in receivable on futures contracts 1,317 ( 71,561 ) Decrease (Increase) in interest receivable 127 3,872 Increase (Decrease) in payable to Sponsor 10,663 10,968 Increase (Decrease) in brokerage commissions and fees payable 1,492 — Increase (Decrease) in payable on futures contracts 536,010 110,341 Net cash provided by (used in) operating activities ( 8,278,784 ) 5,135,966 Cash flow from financing activities Proceeds from addition of shares 27,291,216 7,388,926 Payment on shares redeemed ( 10,139,542 ) ( 6,929,927 ) Net cash provided by (used in) financing activities 17,151,674 458,999 Net increase (decrease) in cash 8,872,890 5,594,965 Cash, beginning of period 20,633,371 9,895,915 Cash, end of period $ 29,506,261 $ 15,490,880 See accompanying notes to financial statements. 73 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 14,998,873 and $—, respectively) $ 14,999,620 $ — Cash 15,590,378 18,919,314 Segregated cash balances with brokers for futures contracts 6,919,687 1,503,250 Segregated cash balances with brokers for swap agreements 7,033,229 11,732,485 Unrealized appreciation on swap agreements 771,233 — Receivable on open futures contracts 247,484 39,445 Interest receivable 351 814 Total assets 45,561,982 32,195,308 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 381,175 86,282 Brokerage commissions and fees payable 3,309 — Payable to Sponsor 32,701 25,557 Unrealized depreciation on swap agreements — 3,197,561 Non-recurring fees and expenses payable 133 133 Total liabilities 417,318 3,309,533 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 45,144,664 28,885,775 Total liabilities and shareholders’ equity $ 45,561,982 $ 32,195,308 Shares outstanding 6,466,976 4,166,976 Net asset value per share $ 6.98 $ 6.93 Market value per share (Note 2) $ 7.01 $ 6.85 See accompanying notes to financial statements. 74 Table of Contents PROSHARES ULTRASHORT SILVER SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 33 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.041 % due 04/15/21 † $ 2,000,000 $ 1,999,989 0.061 % due 05/20/21 † 10,000,000 9,999,727 0.044 % due 06/17/21 † 3,000,000 2,999,904 Total short-term U.S. government and agency obligations (cost $ 14,998,873 ) $ 14,999,620 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires May 2021 347 $ 42,563,020 $ 3,276,894 Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex 0.25 % 04/06/21 $ ( 8,308,475 ) $ 248,258 Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.25 04/06/21 ( 15,457,845 ) 135,200 Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 04/06/21 ( 8,697,261 ) 259,594 Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 04/06/21 ( 15,222,974 ) 128,181 Total Unrealized Appreciation $ 771,233 †   All or partial amount pledged as collateral for swap agreements. ^  The positions and counterparties herein are as of March 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^   Rates shown represent discount rate at the time of purchase. *   Reflects the floating financing rate, as of March 31, 2021, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. **   For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 75 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 3,117 $ 44,536 Expenses Management fee 84,745 37,136 Brokerage commissions 7,444 3,981 Brokerage fees 9,991 — Total expenses 102,180 41,117 Net investment income (loss) ( 99,063 ) 3,419 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 1,236,193 ) 1,920,009 Swap agreements ( 1,696,158 ) ( 1,077,769 ) Short-term U.S. government and agency obligations 85 — Net realized gain (loss) ( 2,932,266 ) 842,240 Change in net unrealized appreciation (depreciation) on Futures contracts 3,496,970 1,603,007 Swap agreements 3,968,794 2,587,264 Short-term U.S. government and agency obligations 747 185 Change in net unrealized appreciation (depreciation) 7,466,511 4,190,456 Net realized and unrealized gain (loss) 4,534,245 5,032,696 Net income (loss) $ 4,435,182 $ 5,036,115 See accompanying notes to financial statements. 76 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 28,885,775 $ 13,834,163 Addition of 9,800,000 and 200,000 shares, respectively 58,095,647 5,962,843 Redemption of 7,500,000 and 200,000 shares, respectively ( 46,271,940 ) ( 5,945,290 ) Net addition (redemption) of 2,300,000 and – shares, respectively 11,823,707 17,553 Net investment income (loss) ( 99,063 ) 3,419 Net realized gain (loss) ( 2,932,266 ) 842,240 Change in net unrealized appreciation (depreciation) 7,466,511 4,190,456 Net income (loss) 4,435,182 5,036,115 Shareholders’ equity, end of period $ 45,144,664 $ 18,887,831 See accompanying notes to financial statements. 77 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ 4,435,182 $ 5,036,115 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 22,996,733 ) ( 4,386,262 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 7,999,988 12,574,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 2,043 ) ( 24,652 ) Net realized gain (loss) on investments ( 85 ) — Change in unrealized appreciation (depreciation) on investments ( 3,969,541 ) ( 2,587,449 ) Decrease (Increase) in receivable on futures contracts ( 208,039 ) ( 12,581 ) Decrease (Increase) in interest receivable 463 ( 2,333 ) Increase (Decrease) in payable to Sponsor 7,144 13,753 Increase (Decrease) in brokerage commissions and fees payable 3,309 — Increase (Decrease) in payable on futures contracts 294,893 ( 9,156 ) Net cash provided by (used in) operating activities ( 14,435,462 ) 10,601,435 Cash flow from financing activities Proceeds from addition of shares 58,095,647 5,962,843 Payment on shares redeemed ( 46,271,940 ) ( 5,945,290 ) Net cash provided by (used in) financing activities 11,823,707 17,553 Net increase (decrease) in cash ( 2,611,755 ) 10,618,988 Cash, beginning of period 32,155,049 6,646,212 Cash, end of period $ 29,543,294 $ 17,265,200 See accompanying notes to financial statements. 78 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 14,498,781 and $–, respectively) $ 14,499,635 $ — Cash 15,006,733 21,470,564 Segregated cash balances with brokers for foreign currency forward contracts 3,106,000 2,804,000 Unrealized appreciation on foreign currency forward contracts 2,366,090 7,008 Interest receivable 504 914 Total assets 34,978,962 24,282,486 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 26,860 19,348 Unrealized depreciation on foreign currency forward contracts 30,168 571,974 Non-recurring fees and expenses payable 94 94 Total liabilities 57,122 591,416 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 34,921,840 23,691,070 Total liabilities and shareholders’ equity $ 34,978,962 $ 24,282,486 Shares outstanding 449,290 349,290 Net asset value per share $ 77.73 $ 67.83 Market value per share (Note 2) $ 77.75 $ 67.81 See accompanying notes to financial statements. 79 Table of Contents PROSHARES ULTRASHORT YEN SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 42 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.041 % due 04/15/21 $ 3,000,000 $ 2,999,983 0.086 % due 05/20/21 4,500,000 4,499,878 0.044 % due 06/17/21 7,000,000 6,999,774 Total short-term U.S. government and agency obligations (cost $ 14,498,781 ) $ 14,499,635 Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Yen with UBS AG 04/09/21 167,310,000 $ 1,511,159 $ ( 30,168 ) Total Unrealized Depreciation $ ( 30,168 ) Contracts to Sell Yen with Goldman Sachs International 04/09/21 ( 2,009,085,165 ) $ ( 18,146,236 ) $ 645,891 Yen with UBS AG 04/09/21 ( 5,895,178,875 ) ( 53,245,781 ) 1,720,199 Total Unrealized Appreciation $ 2,366,090 ^  The positions and counterparties herein are as of March 31, 2021. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^  Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 80 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 3,596 $ 126,183 Expenses Management fee 66,553 84,437 Total expenses 66,553 84,437 Net investment income (loss) ( 62,957 ) 41,746 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 1,259,573 ( 506,520 ) Net realized gain (loss) 1,259,573 ( 506,520 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts 2,900,888 ( 699,345 ) Short-term U.S. government and agency obligations 854 2,276 Change in net unrealized appreciation (depreciation) 2,901,742 ( 697,069 ) Net realized and unrealized gain (loss) 4,161,315 ( 1,203,589 ) Net income (loss) $ 4,098,358 $ ( 1,161,843 ) See accompanying notes to financial statements. 81 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 23,691,070 $ 38,132,320 Addition of 100,000 and 50,000 shares, respectively 7,132,412 3,956,753 Redemption of – and 150,000 shares, respectively — ( 11,341,060 ) Net addition (redemption) of 100,000 and ( 100,000 ) shares, respectively 7,132,412 ( 7,384,307 ) Net investment income (loss) ( 62,957 ) 41,746 Net realized gain (loss) 1,259,573 ( 506,520 ) Change in net unrealized appreciation (depreciation) 2,901,742 ( 697,069 ) Net income (loss) 4,098,358 ( 1,161,843 ) Shareholders’ equity, end of period $ 34,921,840 $ 29,586,170 See accompanying notes to financial statements. 82 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ 4,098,358 $ ( 1,161,843 ) 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 ( 21,496,640 ) ( 12,760,075 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 7,000,000 34,374,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 2,141 ) ( 68,691 ) Change in unrealized appreciation (depreciation) on investments ( 2,901,742 ) 697,069 Decrease (Increase) in interest receivable 410 5,925 Increase (Decrease) in payable to Sponsor 7,512 20,523 Net cash provided by (used in) operating activities ( 13,294,243 ) 21,106,908 Cash flow from financing activities Proceeds from addition of shares 7,132,412 3,956,753 Payment on shares redeemed — ( 11,341,060 ) Net cash provided by (used in) financing activities 7,132,412 ( 7,384,307 ) Net increase (decrease) in cash ( 6,161,831 ) 13,722,601 Cash, beginning of period 24,274,564 12,507,112 Cash, end of period $ 18,112,733 $ 26,229,713 See accompanying notes to financial statements. 83 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 31,997,344 and $ 44,999,073 , respectively) $ 31,999,153 $ 44,999,732 Cash 29,170,532 14,723,084 Segregated cash balances with brokers for futures contracts 14,208,700 13,079,750 Receivable on open futures contracts — 247,077 Interest receivable 1,499 643 Total assets 75,379,884 73,050,286 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed — 915,787 Payable on open futures contracts 188,562 — Brokerage commissions and fees payable 11,270 10,395 Payable to Sponsor 57,305 49,009 Total liabilities 257,137 975,191 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 75,122,747 72,075,095 Total liabilities and shareholders’ equity $ 75,379,884 $ 73,050,286 Shares outstanding 2,162,403 1,962,403 Net asset value per share $ 34.74 $ 36.73 Market value per share (Note 2) $ 35.06 $ 36.70 See accompanying notes to financial statements. 84 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 43 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.041 % due 04/15/21 $ 5,000,000 $ 4,999,971 0.086 % due 05/20/21 10,000,000 9,999,728 0.040 % due 06/17/21 17,000,000 16,999,454 Total short-term U.S. government and agency obligations (cost $ 31,997,344 ) $ 31,999,153 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires July 2021 550 $ 13,365,000 $ ( 938,335 ) VIX Futures - Cboe, expires August 2021 1,016 24,842,318 ( 3,842,774 ) VIX Futures - Cboe, expires September 2021 1,016 25,249,530 ( 4,020,035 ) VIX Futures - Cboe, expires October 2021 466 11,653,868 ( 609,144 ) $( 9,410,288 ) ^^   Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 85 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 10,224 $ 158,298 Expenses Management fee 178,080 94,284 Brokerage commissions 11,312 15,939 Brokerage fees 25,632 155 Total expenses 215,024 110,378 Net investment income (loss) ( 204,800 ) 47,920 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 3,539,316 7,756,525 Net realized gain (loss) 3,539,316 7,756,525 Change in net unrealized appreciation (depreciation) on Futures contracts ( 8,276,672 ) 15,963,130 Short-term U.S. government and agency obligations 1,150 19,740 Change in net unrealized appreciation (depreciation) ( 8,275,522 ) 15,982,870 Net realized and unrealized gain (loss) ( 4,736,206 ) 23,739,395 Net income (loss) $ ( 4,941,006 ) $ 23,787,315 See accompanying notes to financial statements. 86 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 72,075,095 $ 45,986,584 Addition of 400,000 and 375,000 shares, respectively 15,879,994 10,708,061 Redemption of 200,000 and 1,375,000 shares, respectively ( 7,891,336 ) ( 35,447,574 ) Net addition (redemption) of 200,000 and ( 1,000,000 ) shares, respectively 7,988,658 ( 24,739,513 ) Net investment income (loss) ( 204,800 ) 47,920 Net realized gain (loss) 3,539,316 7,756,525 Change in net unrealized appreciation (depreciation) ( 8,275,522 ) 15,982,870 Net income (loss) ( 4,941,006 ) 23,787,315 Shareholders’ equity, end of period $ 75,122,747 $ 45,034,386 See accompanying notes to financial statements. 87 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ ( 4,941,006 ) $ 23,787,315 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 ( 47,992,944 ) ( 23,530,289 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 61,000,000 23,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 5,327 ) ( 68,368 ) Change in unrealized appreciation (depreciation) on investments ( 1,150 ) ( 19,740 ) Decrease (Increase) in receivable on futures contracts 247,077 ( 2,635,835 ) Decrease (Increase) in interest receivable ( 856 ) 22,658 Increase (Decrease) in payable to Sponsor 8,296 32,113 Increase (Decrease) in brokerage commissions and fees payable 875 — Increase (Decrease) in payable on futures contracts 188,562 ( 1,129,877 ) Net cash provided by (used in) operating activities 8,503,527 19,457,977 Cash flow from financing activities Proceeds from addition of shares 15,879,994 7,802,797 Payment on shares redeemed ( 8,807,123 ) ( 35,447,574 ) Net cash provided by (used in) financing activities 7,072,871 ( 27,644,777 ) Net increase (decrease) in cash 15,576,398 ( 8,186,800 ) Cash, beginning of period 27,802,834 33,130,653 Cash, end of period $ 43,379,232 $ 24,943,853 See accompanying notes to financial statements. 88 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 152,987,025 and $ 84,998,436 , respectively) $ 152,996,232 $ 84,999,583 Cash 47,332,471 71,736,247 Segregated cash balances with brokers for futures contracts 150,530,784 134,825,900 Receivable on open futures contracts 1,887,259 2,295,585 Interest receivable 2,281 2,815 Total assets 352,749,027 293,860,130 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 2,819,500 231,900 Brokerage commissions and fees payable 120,448 81,049 Payable to Sponsor 230,321 156,632 Total liabilities 3,170,269 469,581 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 349,578,758 293,390,549 Total liabilities and shareholders’ equity $ 352,749,027 $ 293,860,130 Shares outstanding 37,501,317 21,326,317 Net asset value per share $ 9.32 $ 13.76 Market value per share (Note 2) $ 9.35 $ 13.74 See accompanying notes to financial statements. 89 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS MARCH 31, 2021 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 44 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.067 % due 04/15/21 $ 65,000,000 $ 64,999,623 0.086 % due 05/20/21 18,000,000 17,999,510 0.040 % due 06/17/21 45,000,000 44,998,556 0.075 % due 07/15/21 25,000,000 24,998,543 Total short-term U.S. government and agency obligations (cost $ 152,987,025 ) $ 152,996,232 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/ Value VIX Futures - Cboe, expires April 2021 8,754 $ 181,505,436 $ ( 48,339,299 ) VIX Futures - Cboe, expires May 2021 7,407 167,959,651 ( 11,463,705 ) $ ( 59,803,004 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 90 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020 Investment Income Interest $ 38,460 $ 960,075 Expenses Management fee 825,460 626,516 Brokerage commissions 172,658 184,760 Brokerage fees 265,146 4,774 Total expenses 1,263,264 816,050 Net investment income (loss) ( 1,224,804 ) 144,025 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 76,634,593 ) 325,737,788 Net realized gain (loss) ( 76,634,593 ) 325,737,788 Change in net unrealized appreciation (depreciation) on Futures contracts ( 53,438,914 ) 67,783,030 Short-term U.S. government and agency obligations 8,060 119,214 Change in net unrealized appreciation (depreciation) ( 53,430,854 ) 67,902,244 Net realized and unrealized gain (loss) ( 130,065,447 ) 393,640,032 Net income (loss) $ ( 131,290,251 ) $ 393,784,057 See accompanying notes to financial statements. 91 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020 Shareholders’ equity, beginning of period $ 293,390,549 $ 279,792,503 Addition of 25,325,000 and 6,800,000 shares, respectively 326,892,710 78,257,089 Redemption of 9,150,000 and 23,675,000 shares, respectively ( 139,414,250 ) ( 528,778,295 ) Net addition (redemption) of 16,175,000 and ( 16,875,000 ) shares, respectively 187,478,460 ( 450,521,206 ) Net investment income (loss) ( 1,224,804 ) 144,025 Net realized gain (loss) ( 76,634,593 ) 325,737,788 Change in net unrealized appreciation (depreciation) ( 53,430,854 ) 67,902,244 Net income (loss) ( 131,290,251 ) 393,784,057 Shareholders’ equity, end of period $ 349,578,758 $ 223,055,354 See accompanying notes to financial statements. 92 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020 Cash flow from operating activities Net income (loss) $ ( 131,290,251 ) $ 393,784,057 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 ( 247,959,463 ) ( 137,588,047 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 180,000,000 149,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 29,126 ) ( 417,516 ) Change in unrealized appreciation (depreciation) on investments ( 8,060 ) ( 119,214 ) Decrease (Increase) in receivable on futures contracts 408,326 770,570 Decrease (Increase) in interest receivable 534 ( 5,342 ) Increase (Decrease) in payable to Sponsor 73,689 283,274 Increase (Decrease) in brokerage commissions and fees payable 39,399 — Increase (Decrease) in payable on futures contracts 2,587,600 ( 2,062,759 ) Net cash provided by (used in) operating activities ( 196,177,352 ) 403,645,023 Cash flow from financing activities Proceeds from addition of shares 326,892,710 78,257,089 Payment on shares redeemed ( 139,414,250 ) ( 518,770,322 ) Net cash provided by (used in) financing activities 187,478,460 ( 440,513,233 ) Net increase (decrease) in cash ( 8,698,892 ) ( 36,868,210 ) Cash, beginning of period 206,562,147 194,935,341 Cash, end of period $ 197,863,255 $ 158,067,131 See accompanying notes to financial statements. 93 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF FINANCIAL CONDITION March 31, 2021 (unaudited) December 31, 2020 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 2,026,810,504 and $ 1,034,967,523 , respectively) $ 2,026,935,650 $ 1,034,986,384 Cash 893,065,733 1,651,161,384 Segregated cash balances with brokers for futures contracts 1,399,057,783 1,491,618,088 Segregated cash balances with brokers for foreign currency forward contracts 8,060,000 5,716,000 Segregated cash balances with brokers for swap agreements 220,571,316 107,967,985 Unrealized appreciation on swap agreements 6,931,663 80,135,841 Unrealized appreciation on foreign currency forward contracts 5,810,029 169,051 Receivable from capital shares sold 4,134,427 49,086,388 Receivable on open futures contracts 132,627,916 108,851,000 Interest receivable 172,108 66,871 Total assets $ 4,697,366,625 4,529,758,992 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 3,233,023 18,280,444 Payable on open futures contracts 45,284,062 27,874,393 Brokerage commissions and fees payable 1,088,475 691,005 Payable to Sponsor 4,045,514 3,407,672 Unrealized depreciation on swap agreements 69,855,064 3,491,096 Unrealized depreciation on foreign currency forward contracts 630,820 1,714,898 Securities purchased payable 38,977,944 — Non-recurring fees and expenses payable 48,070 48,070 Total liabilities 163,162,972 55,507,578 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 4,534,203,653 4,474,251,414 Total liabilities and shareholders’ equity $ 4,697,366,625 $ 4,529,758,992 Shares outstanding 346,051,695 228,676,695 See accompanying notes to financial statements. 94 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2021 2020* Investment Income Interest $ 549,742 $ 7,499,714 Expenses Management fee 12,169,010 5,838,804 Brokerage commissions 2,903,800 1,746,456 Brokerage fees 2,853,404 51,378 Total expenses 17,926,214 7,636,638 Net investment income (loss) ( 17,376,472 ) ( 136,924 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 534,133,804 ) 315,177,827 Swap agreements 55,764,481 ( 279,339,085 ) Options — ( 9,707,000 ) Foreign currency forward contracts 1,163,291 479,012 Short-term U.S. government and agency obligations 19,761 176,434 Net realized gain (loss) ( 477,186,271 ) 26,787,188 Change in net unrealized appreciation (depreciation) on Futures contracts ( 257,111,138 ) 279,530,155 Swap agreements ( 139,568,146 ) ( 341,111,914 ) Foreign currency forward contracts 6,725,056 2,198,013 Short-term U.S. government and agency obligations 106,285 961,117 Change in net unrealized appreciation (depreciation) ( 389,847,943 ) ( 58,422,629 ) Net realized and unrealized gain (loss) ( 867,034,214 ) ( 31,635,441 ) Net income (loss) $ ( 884,410,686 ) $ ( 31,772,365 ) * The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF through March 27, 2020, the date liquidation was determined to be imminent. See accompanying notes to financial statements. 95 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2021 2020* Shareholders’ equity, beginning of period $ 4,474,251,414 $ 2,356,325,101 Addition of 255,925,000 and 246,780,000 shares, respectively 3,034,497,796 3,084,661,161 Redemption of 138,550,000 and 107,815,000 shares, respectively ( 2,090,134,871 ) ( 2,662,911,931 ) Net addition (redemption) of 117,375,000 and 138,965,000 shares, respectively 944,362,925 421,749,230 Net investment income (loss) ( 17,376,472 ) ( 136,924 ) Net realized gain (loss) ( 477,186,271 ) 26,787,188 Change in net unrealized appreciation (depreciation) ( 389,847,943 ) ( 58,422,629 ) Net income (loss) ( 884,410,686 ) ( 31,772,365 ) Shareholders’ equity, end of period $ 4,534,203,653 $ 2,746,301,966 * The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF through March 27, 2020, the date liquidation was determined to be imminent. See accompanying notes to financial statements. 96 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2021 2020* Cash flow from operating activities Net income (loss) $ ( 884,410,686 ) $ ( 31,772,365 ) 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 ( 3,414,460,174 ) ( 1,271,770,647 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 2,422,995,930 1,721,389,895 Net amortization and accretion on short-term U.S. government and agency obligations ( 358,976 ) ( 4,035,875 ) Net realized gain (loss) on investments ( 19,761 ) ( 176,434 ) Change in unrealized appreciation (depreciation) on investments 132,736,805 337,952,784 Decrease (Increase) in securities sold receivable — 3,883 Decrease (Increase) in receivable on futures contracts ( 23,776,916 ) ( 146,056,402 ) Decrease (Increase) in interest receivable ( 105,237 ) 153,339 Increase (Decrease) in payable to Sponsor 637,842 2,222,523 Increase (Decrease) in brokerage commissions and fees payable 397,470 — Increase (Decrease) in payable on futures contracts 17,409,669 ( 1,490,423 ) Increase (Decrease) in securities purchased payable 38,977,944 — Net cash provided by (used in) operating activities ( 1,709,976,090 ) 606,420,278 Cash flow from financing activities Proceeds from addition of shares 3,079,449,757 2,985,264,602 Payment on shares redeemed ( 2,105,182,292 ) ( 2,643,315,875 ) Net cash provided by (used in) financing activities 974,267,465 341,948,727 Net increase (decrease) in cash ( 735,708,625 ) 948,369,005 Cash, beginning of period 3,256,463,457 1,190,195,205 Cash, end of period** $ 2,520,754,832 $ 2,138,564,210 * The operations include the activity of ProShares UltraPro 3x Crude Oil ETF and ProShares UltraPro 3x Short Crude Oil ETF through March 27, 2020, the date liquidation was determined to be imminent. ** Cash, end of period includes cash balances for the liquidated funds as of March 27, 2020. See accompanying notes to financial statements. 97 Table of Contents PROSHARES TRUST II NOTES TO FINANCIAL STATEMENTS March 31, 2021 (unaudited) NOTE 1 - ORGANIZATION ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2021, the following eighteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements. On March 15, 2020, ProShare Capital Management LLC announced that it planned to close and liquidate ProShares UltraPro 3x Crude Oil ETF (ticker symbol: OILU) and ProShares UltraPro 3x Short Crude Oil ETF (ticker symbol: OILD), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on March 27, 2020. Trading in each liquidated fund was suspended prior to market open on March 30, 2020. Proceeds of the liquidation were sent to shareholders on April 3, 2020 (the “Distribution Date”). From March 30, 2020 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on April 3, 2020. The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $ 350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen. Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories. Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation. The Geared Funds do not seek to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g., -0.5x, -1x, -2x, 1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly. 98 Table of Contents Share Splits and Reverse Share Splits The table below includes reverse Share splits for the Funds during the three months ended March 31 , 2021 , and during the year ended December 31, 2020. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable. Fund Execution Date (Prior to Opening of Trading) Type of Split Date Trading Resumed at Post- Split Price ProShares Ultra Bloomberg Crude Oil April 20, 2020 1-for-25 reverse Share split April 21, 2020 ProShares Ultra Bloomberg Natural Gas April 20, 2020 1-for-10 reverse Share split April 21, 2020 The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split. NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2020, as filed with the SEC on February 19, 2021. Use of Estimates & Indemnifications The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote. Basis of Presentation Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund. 99 Table of Contents Statements of Cash Flows The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statements of Financial Condition dated March 31, 2021 and 2020, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments. Final Net Asset Value for Fiscal Period The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 2021 were typically as follows. All times are Eastern Standard Time: Fund Create/Redeem Cut-off* NAV Calculation Time NAV Calculation Date Ultra Silver and UltraShort Silver 1:00 p.m. 1:25 p.m. March 31, 2021 Ultra Gold and UltraShort Gold 1:00 p.m. 1:30 p.m. March 31, 2021 Ultra Bloomberg Crude Oil, Ultra Bloomberg Natural Gas, UltraShort Bloomberg Crude Oil and UltraShort Bloomberg Natural Gas 2:00 p.m. 2:30 p.m. March 31, 2021 Short Euro, Ultra Euro, Ultra Yen, UltraShort Australian Dollar, UltraShort Euro and UltraShort Yen 3:00 p.m. 4:00 p.m. March 31, 2021 Short VIX Short-Term Futures ETF**, Ultra VIX Short-Term Futures ETF**, VIX Mid-Term Futures ETF** and VIX Short-Term Futures ETF** 2:00 p.m. 4:00 p.m. March 31, 2021 * Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 2021. ** On Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Please see Note 8 in these Notes to Financial Statements for more information. Market value per Share is determined at the close of the applicable primary listing exchange and may be later than when the Funds’ NAV per Share is calculated. For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended March 31, 2021. 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. 100 Table of Contents Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy. Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements. Fair Value of Financial Instruments The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows: Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date. Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs). Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety. Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly. 101 Table of Contents The following table summarizes the valuation of investments at March 31, 2021 using the fair value hierarchy: Level I - Quoted Prices Level II - Other Significant Observable Inputs Fund Short-Term U.S. Government and Agencies Futures Contracts * Foreign Currency Forward Contracts Swap Agreements Total ProShares Short Euro $ 999,973 $ 33,928 $ — $ — $ 1,033,901 ProShares Short VIX Short-Term Futures ETF 91,998,460 50,470,675 — — 142,469,135 ProShares Ultra Bloomberg Crude Oil 689,976,589 238,548,911 — ( 40,748,594 ) 887,776,906 ProShares Ultra Bloomberg Natural Gas 33,999,110 ( 11,300,062 ) — — 22,699,048 ProShares Ultra Euro 999,973 — ( 222,404 ) — 777,569 ProShares Ultra Gold 86,998,893 393,125 — 6,160,430 93,552,448 ProShares Ultra Silver 419,985,837 ( 15,401,821 ) — ( 28,421,003 ) 376,163,013 ProShares Ultra VIX Short-Term Futures ETF 376,985,173 ( 332,928,249 ) — — 44,056,924 ProShares Ultra Yen 499,986 — ( 189,002 ) — 310,984 ProShares UltraShort Australian Dollar — 67,102 — — 67,102 ProShares UltraShort Bloomberg Crude Oil 34,999,082 ( 9,000,179 ) — — 25,998,903 ProShares UltraShort Bloomberg Natural Gas 43,998,801 16,272,857 — — 60,271,658 ProShares UltraShort Euro 17,999,536 — 3,254,693 — 21,254,229 ProShares UltraShort Gold 12,999,597 39,145 — ( 685,467 ) 12,353,275 ProShares UltraShort Silver 14,999,620 3,276,894 — 771,233 19,047,747 ProShares UltraShort Yen 14,499,635 — 2,335,922 — 16,835,557 ProShares VIX Mid-Term Futures ETF 31,999,153 ( 9,410,288 ) — — 22,588,865 ProShares VIX Short-Term Futures ETF 152,996,232 ( 59,803,004 ) — — 93,193,228 Total Trust $ 2,026,935,650 $ ( 128,740,966 ) $ 5,179,209 $ ( 62,923,401 ) $ 1,840,450,492 * 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, 2020 using the fair value hierarchy: Level I - Quoted Prices Level II - Other Significant Observable Inputs Fund Short-Term U.S. Government and Agencies Futures Contracts * Foreign Currency Forward Contracts Swap Agreements Total ProShares Short Euro $ — $ ( 44,626 ) $ — $ — $ ( 44,626 ) ProShares Short VIX Short-Term Futures ETF 69,999,639 8,348,783 — — 78,348,422 ProShares Ultra Bloomberg Crude Oil 219,998,394 144,564,039 — 18,242,195 382,804,628 ProShares Ultra Bloomberg Natural Gas 29,999,889 6,500,721 — — 36,500,610 ProShares Ultra Euro — — 88,736 — 88,736 ProShares Ultra Gold 74,999,467 2,646,874 — 5,140,980 82,787,321 ProShares Ultra Silver 244,993,989 37,190,212 — 56,752,666 338,936,867 ProShares Ultra VIX Short-Term Futures ETF 244,995,969 ( 48,524,666 ) — ( 24,807 ) 196,446,496 ProShares Ultra Yen — — 67,087 — 67,087 ProShares UltraShort Australian Dollar — ( 138,950 ) — — ( 138,950 ) ProShares UltraShort Bloomberg Crude Oil — ( 14,636,813 ) — — ( 14,636,813 ) ProShares UltraShort Bloomberg Natural Gas 9,999,861 379,310 — — 10,379,171 ProShares UltraShort Euro 9,999,861 — ( 1,136,704 ) — 8,863,157 ProShares UltraShort Gold — ( 196,930 ) — ( 268,728 ) ( 465,658 ) ProShares UltraShort Silver — ( 220,076 ) — ( 3,197,561 ) ( 3,417,637 ) ProShares UltraShort Yen — — ( 564,966 ) — ( 564,966 ) ProShares VIX Mid-Term Futures ETF 44,999,732 ( 1,133,616 ) — — 43,866,116 ProShares VIX Short-Term Futures ETF 84,999,583 ( 6,364,090 ) — — 78,635,493 Total Trust $ 1,034,986,384 $ 128,370,172 $ ( 1,545,847 ) $ 76,644,745 $ 1,238,455,454 102 Table of Contents * 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. 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 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. New Accounting Pronouncement In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 840): Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. ASU 2020-04 provides entities with optional guidance to ease the potential accounting burden associated with transitioning away from reference rates (e.g., LIBOR) that are expected to be discontinued. ASU 2020-04 allows, among other things, certain contract modifications to be accounted as a continuation of the existing contract. This ASU was effective upon the issuance and its optional relief can be applied through December 31, 2022. The Funds will consider this optional guidance prospectively, if applicable. 103 Table of Contents NOTE 3 – INVESTMENTS Short-Term Investments The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. Accounting for Derivative Instruments In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective. All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period. Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type. Futures Contracts The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract. Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction. Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market. 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 104 Table of Contents two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value. When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed. Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless. Over-the-counter options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The over-the-counter market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss. Each Oil Fund may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance. 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 105 Table of Contents (“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments. Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset. Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques. Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at March 31, 2021 contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount. 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. 106 Table of Contents The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2021, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. Forward Contracts Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements. The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at a third party custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2021, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin. 107 Table of Contents A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor. The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. The following tables indicate the location of derivative related items on the Statements of Financial Condition as w ell as the effect of derivative instruments on the Statements of Operations during the reporting period. Fair Value of Derivative Instruments as of March 31, 2021 Asset Derivatives Liability Derivatives Derivatives Not Accounted for as Hedging Instruments Fund Statements of Financial Condition Location Unrealized Appreciation Statements of Financial Condition Location Unrealized Depreciation VIX Futures Contracts 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 $ 50,470,675 * $ — ProShares Ultra VIX Short-Term Futures ETF — 332,928,249 * ProShares VIX Mid-Term Futures ETF — 9,410,288 * ProShares VIX Short-Term Futures ETF — 59,803,004 * 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 238,887,300 * 41,086,983 * ProShares Ultra Bloomberg Natural Gas — 11,300,062 * ProShares Ultra Gold 6,553,555 * — ProShares Ultra Silver — 43,822,824 * ProShares UltraShort Bloomberg Crude Oil 469,128 * 9,469,307 * ProShares UltraShort Bloomberg Natural Gas 16,272,857 * — ProShares UltraShort Gold 39,145 * 685,467 * ProShares UltraShort Silver 4,048,127 * — 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 33,928 * — ProShares Ultra Euro 4,330 226,734 ProShares Ultra Yen 3,041 192,043 108 Table of Contents Fair Value of Derivative Instruments as of March 31, 2021 Asset Derivatives Liability Derivatives Derivatives Not Accounted for as Hedging Instruments Fund Statements of Financial Condition Location Unrealized Appreciation Statements of Financial Condition Location Unrealized Depreciation ProShares UltraShort Australian Dollar $ 67,102 * $ — ProShares UltraShort Euro 3,436,568 181,875 ProShares UltraShort Yen 2,366,090 30,168 Total Trust $ 322,651,846 * $ 509,137,004 * * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. Fair Value of Derivative Instruments as of December 31, 2020 Asset Derivatives Liability Derivatives Derivatives Not Accounted for as Hedging Instruments Fund Statements of Financial Condition Location Unrealized Appreciation Statements of Financial Condition Location Unrealized Depreciation VIX Futures Contracts Receivables on open futures contracts, unrealized appreciation on swap agreements Payable on open futures contracts, unrealized depreciation on swap agreements ProShares Short VIX Short-Term Futures ETF $ 8,348,783 * $ — ProShares Ultra VIX Short-Term Futures ETF — 48,549,473 * ProShares VIX Mid-Term Futures ETF 147,915 * 1,281,531 * ProShares VIX Short-Term Futures ETF — 6,364,090 * Commodities Contracts Receivables on open futures contracts and/or unrealized appreciation on swap agreements Payable on open futures contracts and/or unrealized depreciation on swap agreements ProShares Ultra Bloomberg Crude Oil 162,806,234 * — ProShares Ultra Bloomberg Natural Gas 6,500,721 * — ProShares Ultra Gold 7,787,854 * — ProShares Ultra Silver 93,942,878 * — ProShares UltraShort Bloomberg Crude Oil — 14,636,813 * ProShares UltraShort Bloomberg Natural Gas 379,310 * — ProShares UltraShort Gold — 465,658 * ProShares UltraShort Silver — 3,417,637 * Foreign Exchange Contracts Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts ProShares Short Euro — 44,626 * ProShares Ultra Euro 89,103 367 ProShares Ultra Yen 67,235 148 ProShares UltraShort Australian Dollar — 138,950 * 109 Table of Contents Fair Value of Derivative Instruments as of December 31, 2020 Asset Derivatives Liability Derivatives Derivatives Not Accounted for as Hedging Instruments Fund Statements of Financial Condition Location Unrealized Appreciation Statements of Financial Condition Location Unrealized Depreciation ProShares UltraShort Euro $ 5,705 $ 1,142,409 ProShares UltraShort Yen 7,008 571,974 Total Trust $ 280,082,746 * $ 76,613,676 * * 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/pay a ble on open futures. The Effect of Derivative Instruments on the Statement of Operations For the three months ended March 31, 2021 Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements ProShares Short VIX Short-Term Futures ETF $ 24,209,417 $ 42,121,892 ProShares Ultra VIX Short-Term Futures ETF ( 704,518,024 ) ( 284,378,776 ) ProShares VIX Mid-Term 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 ) 7,465,764 110 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the three months ended March 31, 202 1 Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income 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 Total Trust $ ( 477,206,032 ) $ ( 389,954,228 ) The Effect of Derivative Instruments on the Statement of Operations For the three months ended March 31, 2020 Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements ProShares Short VIX Short-Term Futures ETF $ ( 244,300,604 ) $ 20,973,802 ProShares Ultra VIX Short-Term Futures ETF 726,085,231 176,381,861 ProShares VIX Mid-Term Futures ETF 7,756,525 15,963,130 ProShares VIX Short-Term Futures ETF 325,737,788 67,783,030 Commodities Contracts Net realized gain (loss) on futures contracts , options and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements ProShares Ultra Bloomberg Crude Oil ( 505,591,266 ) ( 322,776,550 ) ProShares Ultra Bloomberg Natural Gas ( 22,819,605 ) ( 4,466,823 ) ProShares Ultra Gold 21,498,056 ( 19,153,296 ) ProShares Ultra Silver ( 3,697,654 ) ( 85,172,612 ) ProShares UltraPro 3x Crude Oil ETF* ( 414,693,599 ) ( 7,266,550 ) 111 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the three months ended March 31, 2020 Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income ProShares UltraPro 3x Short Crude Oil ETF* $ 83,293,001 $ 8,358,056 ProShares UltraShort Bloomberg Crude Oil 51,674,022 76,578,230 ProShares UltraShort Bloomberg Natural Gas 5,626,177 3,334,986 ProShares UltraShort Gold ( 5,930,882 ) 2,675,796 ProShares UltraShort Silver 842,240 4,190,271 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 ( 18,638 ) 67,324 ProShares Ultra Euro ( 53,268 ) ( 221,334 ) ProShares Ultra Yen ( 8,483 ) ( 19,239 ) ProShares UltraShort Australian Dollar 670,950 947,586 ProShares UltraShort Euro 1,047,283 3,137,931 ProShares UltraShort Yen ( 506,520 ) ( 699,345 ) Total Trust $ 26,610,754 $ ( 59,383,746 ) *   The operations include the activity through March 27, 2020, the date liquidation was determined to be imminent. 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, 2021. 112 Table of Contents Fair Values of Derivative Instruments as of March 31, 2021 Assets Liabilities Fund Gross Amounts of Recognized Assets presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets presented in the Statements of Financial Condition Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities presented in the Statements of Financial Condition ProShares Ultra Bloomberg Crude Oil Swap agreements $ — $ — $ — $ 40,748,594 $ — $ 40,748,594 ProShares Ultra Euro Foreign currency forward contracts 4,330 — 4,330 226,734 — 226,734 ProShares Ultra Gold Swap agreements 6,160,430 — 6,160,430 — — — ProShares Ultra Silver Swap agreements — — — 28,421,003 — 28,421,003 ProShares Ultra Yen Foreign currency forward contracts 3,041 — 3,041 192,043 — 192,043 ProShares UltraShort Euro Foreign currency forward contracts 3,436,568 — 3,436,568 181,875 — 181,875 ProShares UltraShort Gold Swap agreements — — — 685,467 — 685,467 ProShares UltraShort Silver Swap agreements 771,233 — 771,233 — — — ProShares UltraShort Yen Foreign currency forward contracts 2,366,090 — 2,366,090 30,168 — 30,168 Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 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”. Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2021 Fund Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition Financial Instruments for the Benefit of (the Funds) / the Counterparties Cash Collateral for the Benefit of (the Funds) / the Counterparties Net Amount ProShares Ultra Bloomberg Crude Oil Goldman Sachs International $ ( 7,714,941 ) $ — $ 7,714,941 $ — Morgan Stanley & Co. International PLC ( 14,480,061 ) 14,480,061 — — Societe Generale ( 7,452,971 ) — 7,452,971 — UBS AG ( 11,100,621 ) — 11,100,621 — ProShares Ultra Euro Goldman Sachs International ( 78,549 ) — 78,549 — UBS AG ( 143,855 ) — 143,855 — ProShares Ultra Gold Citibank, N.A. 2,121,049 — ( 310,000 ) 1,811,049 Goldman Sachs International 1,832,931 ( 259,558 ) — 1,573,373 UBS AG 2,206,451 — ( 330,000 ) 1,876,451 ProShares Ultra Silver Citibank, N.A. ( 8,800,436 ) 8,800,436 — — Goldman Sachs International ( 6,616,052 ) — 6,616,052 — Morgan Stanley & Co. International PLC ( 6,918,147 ) 6,918,147 — — UBS AG ( 6,086,368 ) — 6,086,368 — ProShares Ultra VIX Short-Term Futures ETF 113 Table of Contents Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2021 Fund Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition Financial Instruments for the Benefit of (the Funds) / the Counterparties Cash Collateral for the Benefit of (the Funds) / the Counterparties Net Amount Goldman Sachs & Co. $ — $ — $ — $ — ProShares Ultra Yen Goldman Sachs International ( 106,904 ) — 106,904 — UBS AG ( 82,098 ) — 82,098 — ProShares UltraShort Euro Goldman Sachs International 1,328,784 ( 1,154,554 ) — 174,230 UBS AG 1,925,909 — ( 1,700,000 ) 225,909 ProShares UltraShort Gold Citibank, N.A. ( 291,552 ) 156,152 135,400 — Goldman Sachs International ( 301,800 ) — 301,800 — UBS AG ( 92,116 ) — 92,116 — ProShares UltraShort Silver Citibank, N.A. 248,259 — ( 248,259 ) — Goldman Sachs International 135,199 ( 135,199 ) — — Morgan Stanley & Co. International PLC 259,594 — ( 259,594 ) — UBS AG 128,181 — ( 128,181 ) — ProShares UltraShort Yen Goldman Sachs International 645,892 ( 597,669 ) — 48,223 UBS AG 1,690,031 — ( 1,510,000 ) 180,031 The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts a v ailable for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2020: 114 Table of Contents Fair Values of Derivative Instruments as of December 31, 2020 Assets Liabilities Fund Gross Amounts of Recognized Assets presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets presented in the Statements of Financial Condition Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities presented in the Statements of Financial Condition ProShares Ultra Bloomberg Crude Oil Swap agreements $ 18,242,195 $ — $ 18,242,195 $ — $ — $ — ProShares Ultra Euro Foreign currency forward contracts 89,103 — 89,103 367 — 367 ProShares Ultra Gold Swap agreements 5,140,980 — 5,140,980 — — — ProShares Ultra Silver Swap agreements 56,752,666 — 56,752,666 — — — ProShares Ultra VIX Short-Term Futures ETF Swap agreements — — — 24,807 — 24,807 ProShares Ultra Yen Foreign currency forward contracts 67,235 — 67,235 148 — 148 ProShares UltraShort Euro Foreign currency forward contracts 5,705 — 5,705 1,142,409 — 1,142,409 ProShares UltraShort Gold Swap agreements — — — 268,728 — 268,728 ProShares UltraShort Silver Swap agreements — — — 3,197,561 — 3,197,561 ProShares UltraShort Yen Foreign currency forward contracts 7,008 — 7,008 571,974 — 571,974 Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2020. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”. Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020 Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition Financial Instruments for the Benefit of (the Funds) / the Counterparties Cash Collateral for the Benefit of (the Funds) / the Counterparties Net Amount ProShares Ultra Bloomberg Crude Oil Goldman Sachs International $ 1,377,243 $ ( 1,281,309 ) $ — $ 95,934 Morgan Stanley & Co. International PLC 10,959,227 — ( 10,629,000 ) 330,227 Societe Generale 1,679,334 ( 1,679,334 ) — — UBS AG 4,226,391 ( 4,151,442 ) ( 6,270 ) 68,679 ProShares Ultra Euro Goldman Sachs International 22,950 — — 22,950 UBS AG 65,786 — — 65,786 ProShares Ultra Gold Citibank, N.A. 1,770,050 — ( 1,670,000 ) 100,050 Goldman Sachs International 1,529,612 ( 1,497,203 ) — 32,409 UBS AG 1,841,318 — — 1,841,318 ProShares Ultra Silver Citibank, N.A. 18,010,776 — ( 18,010,776 ) — 115 Table of Contents Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2020 Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition Financial Instruments for the Benefit of (the Funds) / the Counterparties Cash Collateral for the Benefit of (the Funds) / the Counterparties Net Amount Goldman Sachs International $ 12,930,574 $ ( 12,930,574 ) $ — $ — Morgan Stanley & Co. International PLC 12,353,706 — ( 12,353,706 ) — UBS AG 13,457,610 ( 4,126,610 ) ( 9,331,000 ) — ProShares Ultra VIX Short-Term Futures ETF Goldman Sachs & Co. ( 24,807 ) — 24,807 — ProShares Ultra Yen Goldman Sachs International 34,265 — — 34,265 UBS AG 32,822 — — 32,822 ProShares UltraShort Euro Goldman Sachs International ( 388,233 ) — 388,233 — UBS AG ( 748,471 ) 748,471 — — ProShares UltraShort Gold Citibank, N.A. ( 80,068 ) — 80,068 — Goldman Sachs International ( 82,645 ) — 82,645 — UBS AG ( 106,015 ) — 106,015 — ProShares UltraShort Silver Citibank, N.A. ( 1,208,988 ) — 1,208,988 — Goldman Sachs International ( 927,829 ) — 927,829 — Morgan Stanley & Co. International PLC ( 579,421 ) — 579,421 — UBS AG ( 481,323 ) — 481,323 — ProShares UltraShort Yen Goldman Sachs International ( 207,021 ) — 207,021 — UBS AG ( 357,945 ) — 357,945 — NOTE 4 – AGREEMENTS Management Fee Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a M a nagement 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. 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 116 Table of Contents agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor. The Custodian BNY Mellon serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor. The Transfer Agent BNY Mellon serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor. The Distributor SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds. NOTE 5 – OFFERING COSTS Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor. NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts. Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors. Transaction Fees on Creation and Redemption Transactions The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date. 117 Table of Contents Authorized Participants may pay a fixed transaction fee (typically $ 250 ) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10 % (and a variable transaction fee to the Matching VIX Funds of 0.05 %) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market. Transaction fees for the three months ended March 31, 2021 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows: Fund Three Months Ended March 31, 2021 ProShares Short Euro $ — ProShares Short VIX Short-Term Futures ETF 42,067 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 977,320 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 Mid-Term Futures ETF 7,122 ProShares VIX Short-Term Futures ETF 153,236 Total Trust $ 1,179,745 118 Table of Contents NOTE 7 – FINANCIAL HIGHLIGHTS 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 Performance Short Euro Short VIX Short-Term Futures ETF Ultra Bloomberg Crude Oil Ultra Bloomberg 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)# 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 † $ 41.35 $ 41.44 $ 36.27 $ 21.07 $ 15.81 $ 68.20 Market value per share, at March 31, 2021 † $ 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 % Expense ratio, excluding brokerage commissions and fees 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 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. 119 Table of Contents For the Three Months Ended March 31, 2021 (unaudited) Per Share Operating Performance Ultra Silver Ultra VIX Short-Term Futures ETF Ultra Yen UltraShort Australian Dollar UltraShort Bloomberg Crude Oil UltraShort Bloomberg Natural Gas Net asset value, at December 31, 2020 $ 50.71 $ 10.67 $ 59.83 $ 44.45 $ 11.61 $ 47.59 Net investment income (loss) ( 0.12 ) ( 0.04 ) ( 0.13 ) ( 0.11 ) ( 0.03 ) ( 0.14 ) Net realized and unrealized gain (loss)# ( 9.24 ) ( 5.00 ) ( 7.92 ) 0.84 ( 4.38 ) ( 8.31 ) Change in net asset value from operations ( 9.36 ) ( 5.04 ) ( 8.05 ) 0.73 ( 4.41 ) ( 8.45 ) Net asset value, at March 31, 2021 $ 41.35 $ 5.63 $ 51.78 $ 45.18 $ 7.20 $ 39.14 Market value per share, at December 31, 2020 † $ 51.28 $ 10.65 $ 59.82 $ 43.89 $ 11.64 $ 47.38 Market value per share, at March 31, 2021 † $ 41.10 $ 5.65 $ 51.78 $ 45.19 $ 7.15 $ 39.32 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 % Expense ratio, excluding brokerage commissions and fees 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % Net investment income gain (loss) ( 1.02 )% ( 1.75 )% ( 0.90 )% ( 0.97 )% ( 1.29 )% ( 1.55 )% ** 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. 120 Table of Contents For the Three Months Ended March 31, 2021 (unaudited) Per Share Operating Performance UltraShort Euro UltraShort Gold UltraShort Silver UltraShort Yen VIX Mid- Term Futures ETF VIX Short- Term Futures ETF Net asset value, at December 31, 2020 $ 22.53 $ 31.43 $ 6.93 $ 67.83 $ 36.73 $ 13.76 Net investment income (loss) ( 0.05 ) ( 0.09 ) ( 0.02 ) ( 0.16 ) ( 0.09 ) ( 0.04 ) Net realized and unrealized gain (loss)# 1.93 6.26 0.07 10.06 ( 1.90 ) ( 4.40 ) Change in net asset value from operations 1.88 6.17 0.05 9.90 ( 1.99 ) ( 4.44 ) Net asset value, at March 31, 2021 $ 24.41 $ 37.60 $ 6.98 $ 77.73 $ 34.74 $ 9.32 Market value per share, at December 31, 2020 † $ 22.52 $ 31.14 $ 6.85 $ 67.81 $ 36.70 $ 13.74 Market value per share, at March 31, 2021 † $ 24.42 $ 37.89 $ 7.01 $ 77.75 $ 35.06 $ 9.35 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 % Expense ratio, excluding brokerage commissions and fees 0.95 % 0.95 % 0.95 % 0.95 % 0.85 % 0.85 % Net investment income gain (loss) ( 0.90 )% ( 1.03 )% ( 1.11 )% ( 0.90 )% ( 0.98 )% ( 1.26 )% ** 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. 121 Table of Contents Selected data for a Share outstanding throughout the three months ended March 31, 2020 For the Three Months Ended March 31, 2020 (unaudited) Per Share Operating Performance Short Euro Short VIX Short-Term Futures ETF Ultra Bloomberg Crude Oil * Ultra Bloomberg Natural Gas * Ultra Euro Ultra Gold Net asset value, at December 31, 2019 $ 45.64 $ 65.62 $ 509.23 $ 83.97 $ 13.79 $ 49.21 Net investment income (loss) 0.04 ( 0.04 ) 0.20 0.00 + 0.01 0.05 Net realized and unrealized gain (loss)# 0.98 ( 34.56 ) ( 469.28 ) ( 42.15 ) ( 0.64 ) 3.18 Change in net asset value from operations 1.02 ( 34.60 ) ( 469.08 ) ( 42.15 ) ( 0.63 ) 3.23 Net asset value, at March 31, 2020 $ 46.66 $ 31.02 $ 40.15 $ 41.82 $ 13.16 $ 52.44 Market value per share, at December 31, 2019 † $ 45.69 $ 65.23 $ 511.50 $ 83.40 $ 13.77 $ 49.05 Market value per share, at March 31, 2020 † $ 45.09 $ 31.01 $ 39.75 $ 42.60 $ 13.15 $ 52.00 Total Return, at net asset value^ 2.2 % ( 52.7 )% ( 92.1 )% ( 50.2 )% ( 4.6 )% 6.6 % Total Return, at market value^ ( 1.3 )% ( 52.5 )% ( 92.2 )% ( 48.9 )% ( 4.5 )% 6.0 % Ratios to Average Net Assets** Expense ratio 0.97 % 1.19 % 1.09 % 1.39 % 0.95 % 0.98 % Expense ratio, excluding brokerage commissions and fees 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % Net investment income gain (loss) 0.34 % ( 0.38 )% 0.44 % ( 0.02 )% 0.25 % 0.35 % * 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 cha n ge 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, 2020. + Amount represents greater than $( 0.005 ). 122 Table of Contents For the Three Months Ended March 31, 2020 (unaudited) Per Share Operating Performance Ultra Silver Ultra VIX Short-Term Futures ETF Ultra Yen UltraPro 3x Crude Oil ETF * UltraPro 3x Short Crude Oil ETF * UltraShort Australian Dollar Net asset value, at December 31, 2019 $ 31.70 $ 12.67 $ 55.83 $ 21.47 $ 10.66 $ 56.09 Net investment income (loss) 0.04 ( 0.02 ) 0.03 0.00 + ( 0.01 ) 0.03 Net realized and unrealized gain (loss)# ( 13.32 ) 45.87 0.35 ( 21.26 ) 34.88 16.18 Change in net asset value from operations ( 13.28 ) 45.85 0.38 ( 21.26 ) 34.87 16.21 Net asset value, at March 31, 2020 $ 18.42 $ 58.52 $ 56.21 $ 0.21 @ $ 45.53 @ $ 72.30 Market value per share, at December 31, 2019 † $ 31.65 $ 12.89 $ 55.83 $ 21.60 $ 10.58 $ 55.88 Market value per share, at March 31, 2020 † $ 18.44 $ 58.56 $ 56.19 $ 0.22 $ 45.32 $ 72.06 Total Return, at net asset value^ ( 41.9 )% 361.9 % 0.7 % ( 99.0 )% 327.1 % 28.9 % Total Return, at market value^ ( 41.7 )% 354.3 % 0.6 % ( 99.0 )% 328.4 % 29.0 % Ratios to Average Net Assets** Expense ratio 0.99 % 1.47 % 0.95 % 1.65 % 1.68 % 1.04 % Expense ratio, excluding brokerage commissions and fees 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % Net investment income gain (loss) 0.55 % ( 0.50 )% 0.21 % ( 0.49 )% ( 0.33 )% 0.22 % * The per share operating performance presented here is for the period ended March 27, 2020, the date liquidation was determined to be imminent. See Note 1. ** 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, 2020. + Amount greater than $(0.005) @ NAV on March 27, 2020, the date liquidation was determined to be imminent. See Note 1. 123 Table of Contents For the Three Months Ended March 31, 2020 (unaudited) Per Share Operating Performance UltraShort Bloomberg Crude Oil UltraShort Bloomberg Natural Gas UltraShort Euro UltraShort Gold UltraShort Silver UltraShort Yen Net asset value, at December 31, 2019 $ 12.19 $ 38.53 $ 26.80 $ 53.02 $ 26.76 $ 76.37 Net investment income (loss) ( 0.01 ) ( 0.08 ) 0.03 0.04 0.01 0.09 Net realized and unrealized gain (loss)# 36.89 24.93 0.99 ( 7.04 ) 9.77 ( 2.36 ) Change in net asset value from operations 36.88 24.85 1.02 ( 7.00 ) 9.78 ( 2.27 ) Net asset value, at March 31, 2020 $ 49.07 $ 63.38 $ 27.82 $ 46.02 $ 36.54 $ 74.10 Market value per share, at December 31, 2019 † $ 12.15 $ 38.82 $ 26.80 $ 53.21 $ 26.80 $ 76.35 Market value per share, at March 31, 2020 † $ 49.99 $ 62.02 $ 27.76 $ 46.28 $ 36.66 $ 74.11 Total Return, at net asset value^ 302.5 % 64.5 % 3.8 % ( 13.2 )% 36.5 % ( 3.0 )% Total Return, at market value^ 311.4 % 59.8 % 3.6 % ( 13.0 )% 36.8 % ( 2.9 )% Ratios to Average Net Assets** Expense ratio 1.31 % 1.90 % 0.95 % 1.00 % 1.05 % 0.95 % Expense ratio, excluding brokerage commissions and fees 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % 0.95 % Net investment income gain (loss) ( 0.14 )% ( 0.65 )% 0.49 % 0.34 % 0.09 % 0.47 % ** 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, 2020. 124 Table of Contents For the Three Months Ended March 31, 2020 (unaudited) Per Share Operating Performance VIX Mid- Term Futures ETF VIX Short- Term Futures ETF Net asset value, at December 31, 2019 $ 21.27 $ 12.30 Net investment income (loss) 0.03 0.01 Net realized and unrealized gain (loss)# 17.44 25.65 Change in net asset value from operations 17.47 25.66 Net asset value, at March 31, 2020 $ 38.74 $ 37.96 Market value per share, at December 31, 2019 † $ 21.29 $ 12.43 Market value per share, at March 31, 2020 † $ 38.44 $ 37.93 Total Return, at net asset value^ 82.1 % 208.6 % Total Return, at market value^ 80.6 % 205.1 % Ratios to Average Net Assets** Expense ratio 1.00 % 1.11 % Expense ratio, excluding brokerage commissions and fees 0.85 % 0.85 % Net investment income gain (loss) 0.43 % 0.20 % ** 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, 2020. 125 Table of Contents NOTE 8 – RISK Correlation and Compounding Risk The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from one-half the inverse (-0.5x), the inverse (-1x), two times the inverse (-2x), one and one-half times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the period. A Geared Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short or UltraShort), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Geared Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Geared Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective over time. Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and one-half or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of an UltraShort Fund is designed to return two times the inverse (-2x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark. A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -0.5x, -1x, -2x, 1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day. 126 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 have only recently become subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities). Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions. As noted, the CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of “the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants. Counterparty Credit Risk The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of OTC derivatives, the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline. The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions. OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the 127 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. 128 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. In April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. If such event were to occur, and the price of the applicable futures contracts subsequently reversed, investors in the Short or an UltraShort Fund could suffer significant losses or lose their entire investment. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and may cause significant losses. Change to Investment Strategies In anticipation of the benchmark’s upcoming roll, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, each Oil Fund adjusted its portfolio exposure as described below. • By the close of business on Tuesday, June 30, 2020, ProShares Ultra Bloomberg Crude Oil and ProShares UltraShort Bloomberg Crude Oil (the “Oil Funds”), had transitioned approximately half of its exposure to the September 2020 WTI crude oil futures contract into exposure to the October 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the September 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Tuesday, June 30, 2020. • In addition, by the close of business on Wednesday, July 1, 2020, each Oil Fund had transitioned the remaining portion of its exposure to the September 2020 WTI crude oil futures contract into exposure to the November 2020 WTI crude oil futures contract. As a result of this transition, each Fund had approximately 1/3 of its portfolio exposed to the October 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the November 2020 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract on the close of business on Wednesday, July 1, 2020. 129 Table of Contents Following this portfolio transition each Oil Fund had exposure to WTI crude oil futures contracts that are not included in the current benchmark. The performance of each Fund should not be expected to correspond to two times (2x), or two times the inverse (-2x), as applicable, of the daily performance of its current benchmark. Each Fund’s performance could differ significantly from its stated investment objective. In addition, to the extent an Oil Fund has exposure to longer-dated crude oil futures contracts or other Financial Instruments, the performance of the Fund should be expected to deviate to a greater extent from the “spot” price of crude oil than if the Fund had exposure to shorter-dated futures contracts or Financial Instruments. For these and other reasons, the Oil Funds should be expected to perform very differently from the spot price of crude oil and may underperform investments that are linked to the “spot” price of crude oil. Change to the Oil Funds Benchmark Index Effective September 17, 2020, the Oil Funds changed their benchmark from the Bloomberg WTI Crude Oil Subindex SM to the Bloomberg Commodity Balanced WTI Crude Oil Index SM (the “New Benchmark”). The investment objective of each of these two funds is to seek daily investment results, before fees and expenses, that correspond either to two times (2x) or two times the inverse (-2x), as applicable, of the daily performance of the New Benchmark for a single day, not for any other period. In order to have exposure to the WTI crude oil futures contracts included in the New Benchmark in a manner designed to achieve its respective investment objective by the beginning of business on September 17, 2020, each Oil Fund transitioned half of its then current exposure to the December 2020 WTI crude oil futures contract into exposure to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020. As a result of this transition, each Oil Fund had approximately 1/3 of its portfolio exposed to the December 2020 WTI crude oil futures contract, approximately 1/3 of its portfolio exposed to the June 2021 WTI crude oil futures contract, and approximately 1/3 of its portfolio exposed to the December 2021 WTI crude oil futures contract at the close of business on September 16, 2020. Description of the New Benchmark The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date, one-third of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below one-third between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil. The methodology for determining the composition of the New Benchmark and for calculating its level may be changed at any time by Bloomberg without notice. The daily performance of the New Benchmark is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker symbol: BCBCLI Index. Natural Disaster/Epidemic Risk Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these 130 Table of Contents circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your investment. Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. In March 2020, U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets. Contemporaneous with the onset of the COVID-19 pandemic in the US, oil experienced shocks to supply and demand, impacting the price and volatility of oil. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses. Change to the VIX Funds Benchmark Indices Change to VIX Futures Contracts Settlement Time \ Index Methodology. On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the Chicago Board Options Exchange) changed the settlement time for the VIX futures contracts in which the Funds invest from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices revised the index methodology for the S&P 500 ® VIX Mid-Term Futures Index, the benchmark for ProShares VIX Mid-Term Futures ETF, and the S&P 500 ® VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, to reflect the new settlement time. Change to the Fund’s Net Asset Value (“NAV”) Calculation Time. As a result of these changes to the settlement time for VIX futures contracts and the Index methodology, on Monday, October 26, 2020 each Fund changed its NAV calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time). Additional information about the calculation of NAV is included in each Fund’s Prospectus. Change to the VIX Funds Exchange Listing. On December 16, 2020, each Fund transferred its listing from NYSE Arca to the Cboe BZX Exchange. NOTE 9 – SUBSEQUENT EVENTS Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date. 131 Table of Contents