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 20 ProShares Ultra Euro 25 ProShares Ultra Gold 30 ProShares Ultra Silver 35 ProShares Ultra VIX Short-Term Futures ETF 40 ProShares Ultra Yen 45 ProShares UltraShort Australian Dollar 50 ProShares UltraShort Bloomberg Crude Oil 55 ProShares UltraShort Bloomberg Natural Gas 60 ProShares UltraShort Euro 65 ProShares UltraShort Gold 70 ProShares UltraShort Silver 75 ProShares UltraShort Yen 80 ProShares VIX Mid-Term Futures ETF 85 ProShares VIX Short-Term Futures ETF 90 ProShares Trust II 95 Notes to Financial Statements 99 Table of Contents PROSHARES SHORT EURO STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Cash $ 4,500,918 $ 2,219,932 Segregated cash balances with brokers for futures contracts 87,120 38,720 Receivable on open futures contracts 38,569 — Interest receivable — 93 Total assets 4,626,607 2,258,745 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts — 11,500 Payable to Sponsor 3,207 1,824 Total liabilities 3,207 13,324 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 4,623,400 2,245,421 Total liabilities and shareholders’ equity $ 4,626,607 $ 2,258,745 Shares outstanding 100,000 50,000 Net asset value per share $ 46.23 $ 44.91 Market value per share (Note 2) $ 46.18 $ 44.92 See accompanying notes to financial statements. 4 Table of Contents PROSHARES SHORT EURO SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Euro Fx Currency Futures - CME, expires June 2022 33 $ 4,578,338 $ 2,656 See accompanying notes to financial statements. 5 Table of Contents PROSHARES SHORT EURO STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ ( 93 ) $ 596 Expenses Management fee 6,672 9,053 Brokerage commissions 144 181 Total expenses 6,816 9,234 Net investment income (loss) ( 6,909 ) ( 8,638 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 59,419 69,393 Short-term U.S. government and agency obligations 4,452 — Net realized gain (loss) 63,871 69,393 Change in net unrealized appreciation (depreciation) on Futures contracts 8,056 78,554 Short-term U.S. government and agency obligations — 88 Change in net unrealized appreciation (depreciation) 8,056 78,642 Net realized and unrealized gain (loss) 71,927 148,035 Net income (loss) $ 65,018 $ 139,397 See accompanying notes to financial statements. 6 Table of Contents PROSHARES SHORT EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 2,245,421 $ 4,191,955 Addition of 50,000 and – shares, respectively 2,312,961 — Redemption of – and 50,000 shares, respectively — ( 2,146,812 ) Net addition (redemption) of 50,000 and ( 50,000 ) shares, respectively 2,312,961 ( 2,146,812 ) Net investment income (loss) ( 6,909 ) ( 8,638 ) Net realized gain (loss) 63,871 69,393 Change in net unrealized appreciation (depreciation) 8,056 78,642 Net income (loss) 65,018 139,397 Shareholders’ equity, end of period $ 4,623,400 $ 2,184,540 See accompanying notes to financial statements. 7 Table of Contents PROSHARES SHORT EURO STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ 65,018 $ 139,397 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations — ( 1,999,562 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 4,452 1,000,000 Net amortization and accretion on short-term U.S. government and agency obligations — ( 323 ) Net realized (gain) loss on investments ( 4,452 ) — Change in unrealized (appreciation) depreciation on investments — ( 88 ) Decrease (Increase) in receivable on open futures contracts ( 38,569 ) 21,094 Decrease (Increase) in interest receivable 93 108 Increase (Decrease) in payable to Sponsor 1,383 ( 820 ) Increase (Decrease) in payable on open futures contracts ( 11,500 ) 1,125 Net cash provided by (used in) operating activities 16,425 ( 839,069 ) Cash flow from financing activities Proceeds from addition of shares 2,312,961 — Payment on shares redeemed — ( 2,146,812 ) Net cash provided by (used in) financing activities 2,312,961 ( 2,146,812 ) Net increase (decrease) in cash 2,329,386 ( 2,985,881 ) Cash, beginning of period 2,258,652 4,174,091 Cash, end of period $ 4,588,038 $ 1,188,210 See accompanying notes to financial statements. 8 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 180,804,059 and $ 147,851,244 , respectively) $ 180,357,257 $ 147,815,719 Cash 65,794,655 44,359,519 Segregated cash balances with brokers for futures contracts 165,590,124 138,651,465 Receivable on open futures contracts 96,824,449 99,544,338 Interest receivable — 2,868 Total assets 508,566,485 430,373,909 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed — 6,125,130 Payable on open futures contracts 12,542,043 — Brokerage commissions and futures account fees payable 70,274 104,312 Payable to Sponsor 365,319 331,873 Total liabilities 12,977,636 6,561,315 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 495,588,849 423,812,594 Total liabilities and shareholders’ equity $ 508,566,485 $ 430,373,909 Shares outstanding 9,084,307 6,884,307 Net asset value per share $ 54.55 $ 61.56 Market value per share (Note 2) $ 54.56 $ 61.55 See accompanying notes to financial statements. 9 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 36 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.021 % due 04/21/22 $ 25,000,000 $ 24,997,917 0.393 % due 07/21/22 79,000,000 78,828,270 0.223 % due 11/03/22 77,000,000 76,531,070 Total short-term U.S. government and agency obligations (cost $ 180,804,059 ) $ 180,357,257 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires April 2022 4,910 $ 115,232,790 $ 31,922,101 VIX Futures - Cboe, expires May 2022 5,324 133,034,515 4,062,361 $ 35,984,462 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 10 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 94,343 $ 33,890 Expenses Management fee 986,537 1,042,569 Brokerage commissions 187,698 175,910 Futures accounts fees 217,030 257,777 Total expenses 1,391,265 1,476,256 Net investment income (loss) ( 1,296,922 ) ( 1,442,366 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 41,100,614 ) 24,209,417 Short-term U.S. government and agency obligations ( 10,494 ) — Net realized gain (loss) ( 41,111,108 ) 24,209,417 Change in net unrealized appreciation (depreciation) on Futures contracts 4,709,184 42,121,892 Short-term U.S. government and agency obligations ( 411,277 ) 3,226 Change in net unrealized appreciation (depreciation) 4,297,907 42,125,118 Net realized and unrealized gain (loss) ( 36,813,201 ) 66,334,535 Net income (loss) $ ( 38,110,123 ) $ 64,892,169 See accompanying notes to financial statements. 11 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 423,812,594 $ 409,371,468 Addition of 3,000,000 and 2,400,000 shares, respectively 156,515,471 98,109,468 Redemption of 800,000 and 1,100,000 shares, respectively ( 46,629,093 ) ( 45,242,254 ) Net addition (redemption) of 2,200,000 and 1,300,000 shares, respectively 109,886,378 52,867,214 Net investment income (loss) ( 1,296,922 ) ( 1,442,366 ) Net realized gain (loss) ( 41,111,108 ) 24,209,417 Change in net unrealized appreciation (depreciation) 4,297,907 42,125,118 Net income (loss) ( 38,110,123 ) 64,892,169 Shareholders’ equity, end of period $ 495,588,849 $ 527,130,851 See accompanying notes to financial statements. 12 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 38,110,123 ) $ 64,892,169 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 184,846,445 ) ( 166,972,737 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 151,980,347 145,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 97,211 ) ( 22,858 ) Net realized (gain) loss on investments 10,494 — Change in unrealized (appreciation) depreciation on investments 411,277 ( 3,226 ) Decrease (Increase) in receivable on open futures contracts 2,719,889 ( 10,518,387 ) Decrease (Increase) in interest receivable 2,868 ( 625 ) Increase (Decrease) in payable to Sponsor 33,446 58,097 Increase (Decrease) in brokerage commissions and futures account fees payable ( 34,038 ) 7,205 Increase (Decrease) in payable on open futures contracts 12,542,043 ( 996,159 ) Net cash provided by (used in) operating activities ( 55,387,453 ) 31,443,479 Cash flow from financing activities Proceeds from addition of shares 156,515,471 98,109,468 Payment on shares redeemed ( 52,754,223 ) ( 45,242,254 ) Net cash provided by (used in) financing activities 103,761,248 52,867,214 Net increase (decrease) in cash 48,373,795 84,310,693 Cash, beginning of period 183,010,984 266,579,220 Cash, end of period $ 231,384,779 $ 350,889,913 See accompanying notes to financial statements. 13 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 1,016,679,454 and $ 848,800,309 , respectively) $ 1,016,050,654 $ 848,757,567 Cash 122,491,540 86,582,912 Segregated cash balances with brokers for futures contracts 198,872,883 130,704,477 Segregated cash balances with brokers for swap agreements 181,812,000 — Unrealized appreciation on swap agreements — 63,928,293 Receivable on open futures contracts 187,616 — Interest receivable 1 3,523 Total assets 1,519,414,694 1,129,976,772 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 15,183,510 — Payable on open futures contracts 37,639,347 25,317,560 Brokerage commissions and futures account fees payable 99,348 24,677 Payable to Sponsor 1,226,530 850,965 Unrealized depreciation on swap agreements 128,285,274 — Total liabilities 182,434,009 26,193,202 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 1,336,980,685 1,103,783,570 Total liabilities and shareholders’ equity $ 1,519,414,694 $ 1,129,976,772 Shares outstanding 8,810,774 12,810,774 Net asset value per share $ 151.74 $ 86.16 Market value per share (Note 2) $ 153.30 $ 86.78 See accompanying notes to financial statements. 14 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 76 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.076 % due 04/21/22 † $ 285,000,000 $ 284,976,259 0.232 % due 05/19/22 † 175,000,000 174,939,328 0.321 % due 06/16/22 † 180,000,000 179,834,706 0.393 % due 07/21/22 † 47,000,000 46,897,831 0.706 % due 08/18/22 † 150,000,000 149,504,820 0.637 % due 11/03/22 † 181,000,000 179,897,710 Total short-term U.S. government and agency obligations (cost $ 1,016,679,454 ) $ 1,016,050,654 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires June 2022 4,115 $ 405,409,800 $ 144,895,562 WTI Crude Oil - NYMEX, expires December 2022 4,724 423,270,400 91,533,153 WTI Crude Oil - NYMEX, expires June 2023 5,012 424,065,320 9,162,448 $ 245,591,163 Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 % 04/06/22 $ 202,256,578 $ ( 18,119,250 ) Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 04/06/22 394,073,711 ( 36,248,743 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 04/06/22 350,316,746 ( 31,383,289 ) Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.25 04/06/22 190,882,596 ( 17,086,634 ) Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.30 04/06/22 284,170,376 ( 25,447,358 ) Total Unrealized Depreciation $ ( 128,285,274 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. 15 Table of Contents * Reflects the floating financing rate, as of March 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 16 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 308,880 $ 168,075 Expenses Management fee 3,084,812 2,535,085 Brokerage commissions 195,541 293,200 Futures accounts fees 252,687 98,937 Total expenses 3,533,040 2,927,222 Net investment income (loss) ( 3,224,160 ) ( 2,759,147 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 266,409,832 191,676,501 Swap agreements 533,013,238 142,674,727 Short-term U.S. government and agency obligations ( 3,136 ) — Net realized gain (loss) 799,419,934 334,351,228 Change in net unrealized appreciation (depreciation) on Futures contracts 98,135,638 93,984,872 Swap agreements ( 192,213,567 ) ( 58,990,789 ) Short-term U.S. government and agency obligations ( 586,058 ) 41,573 Change in net unrealized appreciation (depreciation) ( 94,663,987 ) 35,035,656 Net realized and unrealized gain (loss) 704,755,947 369,386,884 Net income (loss) $ 701,531,787 $ 366,627,737 See accompanying notes to financial statements. 17 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 1,103,783,570 $ 902,739,250 Addition of 2,150,000 and 2,350,000 shares, respectively 330,317,033 117,044,190 Redemption of 6,150,000 and 6,450,000 shares, respectively ( 798,651,705 ) ( 297,832,084 ) Net addition (redemption) of ( 4,000,000 ) and ( 4,100,000 ) shares, respectively ( 468,334,672 ) ( 180,787,894 ) Net investment income (loss) ( 3,224,160 ) ( 2,759,147 ) Net realized gain (loss) 799,419,934 334,351,228 Change in net unrealized appreciation (depreciation) ( 94,663,987 ) 35,035,656 Net income (loss) 701,531,787 366,627,737 Shareholders’ equity, end of period $ 1,336,980,685 $ 1,088,579,093 See accompanying notes to financial statements. 18 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ 701,531,787 $ 366,627,737 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 1,394,562,680 ) ( 934,851,425 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,226,992,801 465,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 312,402 ) ( 85,197 ) Net realized (gain) loss on investments 3,136 — Change in unrealized (appreciation) depreciation on investments 192,799,625 58,949,216 Decrease (Increase) in receivable on open futures contracts ( 187,616 ) 1,611,608 Decrease (Increase) in interest receivable 3,522 ( 122,413 ) Increase (Decrease) in payable to Sponsor 375,565 260,388 Increase (Decrease) in brokerage commissions and futures account fees payable 74,671 1,352 Increase (Decrease) in payable on open futures contracts 12,321,787 25,300,245 Net cash provided by (used in) operating activities 739,040,196 ( 17,308,489 ) Cash flow from financing activities Proceeds from addition of shares 330,317,033 117,044,190 Payment on shares redeemed ( 783,468,195 ) ( 301,460,018 ) Net cash provided by (used in) financing activities ( 453,151,162 ) ( 184,415,828 ) Net increase (decrease) in cash 285,889,034 ( 201,724,317 ) Cash, beginning of period 217,287,389 667,259,596 Cash, end of period $ 503,176,423 $ 465,535,279 See accompanying notes to financial statements. 19 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 95,926,918 and $ 90,936,719 , respectively) $ 95,749,617 $ 90,922,438 Cash 20,472,226 6,846,634 Segregated cash balances with brokers for futures contracts 24,424,860 47,289,091 Receivable from capital shares sold — 20,448,741 Receivable on open futures contracts 13,001,650 33,998,620 Interest receivable — 1,130 Total assets 153,648,353 199,506,654 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 8,420,202 — Payable on open futures contracts — 5,403,658 Brokerage commissions and futures account fees payable 23,412 63,628 Payable to Sponsor 135,253 147,190 Total liabilities 8,578,867 5,614,476 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 145,069,486 193,892,178 Total liabilities and shareholders’ equity $ 153,648,353 $ 199,506,654 Shares outstanding 2,587,527 7,587,527 Net asset value per share $ 56.06 $ 25.55 Market value per share (Note 2) $ 56.31 $ 26.09 See accompanying notes to financial statements. 20 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 66 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.106 % due 04/21/22 $ 40,000,000 $ 39,996,668 0.393 % due 07/21/22 24,000,000 23,947,829 0.223 % due 11/03/22 32,000,000 31,805,120 Total short-term U.S. government and agency obligations (cost $ 95,926,918 ) $ 95,749,617 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires May 2022 5,149 $ 290,506,580 $ 76,824,603 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 21 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 39,581 $ 13,815 Expenses Management fee 396,610 254,815 Brokerage commissions 88,452 92,297 Futures accounts fees 71,117 81,848 Total expenses 556,179 428,960 Net investment income (loss) ( 516,598 ) ( 415,145 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 76,220,688 41,582,385 Short-term U.S. government and agency obligations ( 3,452 ) 551 Net realized gain (loss) 76,217,236 41,582,936 Change in net unrealized appreciation (depreciation) on Futures contracts 85,030,764 ( 17,800,783 ) Short-term U.S. government and agency obligations ( 163,020 ) 1,915 Change in net unrealized appreciation (depreciation) 84,867,744 ( 17,798,868 ) Net realized and unrealized gain (loss) 161,084,980 23,784,068 Net income (loss) $ 160,568,382 $ 23,368,923 See accompanying notes to financial statements. 22 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 193,892,178 $ 169,800,371 Addition of 2,600,000 and 3,400,000 shares, respectively 87,880,355 76,480,823 Redemption of 7,600,000 and 8,000,000 shares, respectively ( 297,271,429 ) ( 195,343,047 ) Net addition (redemption) of ( 5,000,000 ) and ( 4,600,000 ) shares, respectively ( 209,391,074 ) ( 118,862,224 ) Net investment income (loss) ( 516,598 ) ( 415,145 ) Net realized gain (loss) 76,217,236 41,582,936 Change in net unrealized appreciation (depreciation) 84,867,744 ( 17,798,868 ) Net income (loss) 160,568,382 23,368,923 Shareholders’ equity, end of period $ 145,069,486 $ 74,307,070 See accompanying notes to financial statements. 23 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ 160,568,382 $ 23,368,923 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 135,944,242 ) ( 88,986,855 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 130,991,301 84,999,676 Net amortization and accretion on short-term U.S. government and agency obligations ( 40,710 ) ( 9,576 ) Net realized (gain) loss on investments 3,452 ( 551 ) Change in unrealized (appreciation) depreciation on investments 163,020 ( 1,915 ) Decrease (Increase) in receivable on open futures contracts 20,996,970 13,775,851 Decrease (Increase) in interest receivable 1,130 3,558 Increase (Decrease) in payable to Sponsor ( 11,937 ) ( 76,137 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 40,216 ) 13,490 Increase (Decrease) in payable on open futures contracts ( 5,403,658 ) 798,217 Net cash provided by (used in) operating activities 171,283,492 33,884,681 Cash flow from financing activities Proceeds from addition of shares 108,329,096 76,480,823 Payment on shares redeemed ( 288,851,227 ) ( 203,242,570 ) Net cash provided by (used in) financing activities ( 180,522,131 ) ( 126,761,747 ) Net increase (decrease) in cash ( 9,238,639 ) ( 92,877,066 ) Cash, beginning of period 54,135,725 137,292,722 Cash, end of period $ 44,897,086 $ 44,415,656 See accompanying notes to financial statements. 24 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 4,690,961 and $ 998,130 , respectively) $ 4,685,054 $ 997,678 Cash 1,608,252 6,891,458 Segregated cash balances with brokers for foreign currency forward contracts — 691,000 Unrealized appreciation on foreign currency forward contracts — 84,150 Interest receivable — 153 Total assets 6,293,306 8,664,439 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 6,006 3,846 Unrealized depreciation on foreign currency forward contracts 50,318 1,498 Total liabilities 56,324 5,344 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 6,236,982 8,659,095 Total liabilities and shareholders’ equity $ 6,293,306 $ 8,664,439 Shares outstanding 500,000 650,000 Net asset value per share $ 12.47 $ 13.32 Market value per share (Note 2) $ 12.46 $ 13.33 See accompanying notes to financial statements. 25 Table of Contents PROSHARES ULTRA EURO SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 75 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.393 % due 07/21/22 $ 4,000,000 $ 3,991,305 0.554 % due 11/03/22 † 698,000 693,749 Total short-term U.S. government and agency obligations (cost $ 4,690,961 ) $ 4,685,054 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 04/08/22 4,422,921 $ 4,893,608 $ ( 7,961 ) Euro with UBS AG 04/08/22 11,991,502 13,267,638 ( 31,928 ) Total Unrealized Depreciation $ ( 39,889 ) Contracts to Sell Euro with UBS AG 04/08/22 ( 5,127,000 ) $ ( 5,672,615 ) $ ( 10,429 ) Total Unrealized Depreciation $ ( 10,429 ) † All or partial amount pledged as collateral for foreign currency forward contracts. ^ The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 26 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 4,587 $ 584 Expenses Management fee 20,278 10,078 Total expenses 20,278 10,078 Net investment income (loss) ( 15,691 ) ( 9,494 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 441,030 ) ( 27,342 ) Short-term U.S. government and agency obligations ( 5,949 ) — Net realized gain (loss) ( 446,979 ) ( 27,342 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 132,970 ) ( 311,140 ) Short-term U.S. government and agency obligations ( 5,455 ) 88 Change in net unrealized appreciation (depreciation) ( 138,425 ) ( 311,052 ) Net realized and unrealized gain (loss) ( 585,404 ) ( 338,394 ) Net income (loss) $ ( 601,095 ) $ ( 347,888 ) See accompanying notes to financial statements. 27 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 8,659,095 $ 4,737,350 Addition of 100,000 and – shares, respectively 1,316,267 — Redemption of 250,000 and 50,000 shares, respectively ( 3,137,285 ) ( 777,738 ) Net addition (redemption) of ( 150,000 ) and ( 50,000 ) shares, respectively ( 1,821,018 ) ( 777,738 ) Net investment income (loss) ( 15,691 ) ( 9,494 ) Net realized gain (loss) ( 446,979 ) ( 27,342 ) Change in net unrealized appreciation (depreciation) ( 138,425 ) ( 311,052 ) Net income (loss) ( 601,095 ) ( 347,888 ) Shareholders’ equity, end of period $ 6,236,982 $ 3,611,724 See accompanying notes to financial statements. 28 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 601,095 ) $ ( 347,888 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 5,984,289 ) ( 1,999,562 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 2,290,249 1,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 4,740 ) ( 323 ) Net realized (gain) loss on investments 5,949 — Change in unrealized (appreciation) depreciation on investments 138,425 311,052 Decrease (Increase) in interest receivable 153 92 Increase (Decrease) in payable to Sponsor 2,160 ( 614 ) Net cash provided by (used in) operating activities ( 4,153,188 ) ( 1,037,243 ) Cash flow from financing activities Proceeds from addition of shares 1,316,267 — Payment on shares redeemed ( 3,137,285 ) ( 777,738 ) Net cash provided by (used in) financing activities ( 1,821,018 ) ( 777,738 ) Net increase (decrease) in cash ( 5,974,206 ) ( 1,814,981 ) Cash, beginning of period 7,582,458 4,652,092 Cash, end of period $ 1,608,252 $ 2,837,111 See accompanying notes to financial statements. 29 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 298,652,557 and $ 207,964,168 , respectively) $ 298,473,849 $ 207,956,320 Cash 37,818,466 9,328,332 Segregated cash balances with brokers for futures contracts 13,525,200 6,093,750 Segregated cash balances with brokers for swap agreements 11,048,000 — Unrealized appreciation on swap agreements — 8,639,188 Receivable on open futures contracts 2,562,814 944,644 Interest receivable — 690 Total assets 363,428,329 232,962,924 Liabilities and shareholders’ equity Liabilities Brokerage commissions and futures account fees payable 10,530 4,034 Payable to Sponsor 277,421 178,356 Unrealized depreciation on swap agreements 8,110,556 — Total liabilities 8,398,507 182,390 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 355,029,822 232,780,534 Total liabilities and shareholders’ equity $ 363,428,329 $ 232,962,924 Shares outstanding 5,300,000 3,900,000 Net asset value per share $ 66.99 $ 59.69 Market value per share (Note 2) $ 66.14 $ 59.81 See accompanying notes to financial statements. 30 Table of Contents PROSHARES ULTRA GOLD SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 84 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.021 % due 04/21/22 $ 50,000,000 $ 49,995,835 0.209 % due 05/19/22 † 25,000,000 24,991,332 0.363 % due 06/16/22 † 90,000,000 89,917,353 0.393 % due 07/21/22 † 45,000,000 44,902,179 0.706 % due 08/18/22 † 75,000,000 74,752,410 0.223 % due 11/03/22 † 14,000,000 13,914,740 Total short-term U.S. government and agency obligations (cost $ 298,652,557 ) $ 298,473,849 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires June 2022 1,871 $ 365,593,400 $ ( 7,245,013 ) 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 % 04/06/22 $ 118,728,333 $ ( 2,792,482 ) Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.25 04/06/22 102,600,526 ( 2,413,156 ) Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 04/06/22 123,508,801 ( 2,904,918 ) Total Unrealized Depreciation $ ( 8,110,556 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. * Reflects the floating financing rate, as of March 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 31 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 95,113 $ 35,827 Expenses Management fee 671,415 568,207 Brokerage commissions 21,659 14,888 Futures accounts fees 19,505 32,402 Total expenses 712,579 615,497 Net investment income (loss) ( 617,466 ) ( 579,670 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 20,190,020 ( 16,805,897 ) Swap agreements 37,628,576 ( 34,442,235 ) Short-term U.S. government and agency obligations — 245 Net realized gain (loss) 57,818,596 ( 51,247,887 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 7,899,907 ) ( 2,253,749 ) Swap agreements ( 16,749,744 ) 1,019,450 Short-term U.S. government and agency obligations ( 170,860 ) 1,796 Change in net unrealized appreciation (depreciation) ( 24,820,511 ) ( 1,232,503 ) Net realized and unrealized gain (loss) 32,998,085 ( 52,480,390 ) Net income (loss) $ 32,380,619 $ ( 53,060,060 ) See accompanying notes to financial statements. 32 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 232,780,534 $ 263,540,473 Addition of 1,500,000 and 600,000 shares, respectively 95,684,676 37,062,261 Redemption of 100,000 and 550,000 shares, respectively ( 5,816,007 ) ( 32,994,618 ) Net addition (redemption) of 1,400,000 and 50,000 shares, respectively 89,868,669 4,067,643 Net investment income (loss) ( 617,466 ) ( 579,670 ) Net realized gain (loss) 57,818,596 ( 51,247,887 ) Change in net unrealized appreciation (depreciation) ( 24,820,511 ) ( 1,232,503 ) Net income (loss) 32,380,619 ( 53,060,060 ) Shareholders’ equity, end of period $ 355,029,822 $ 214,548,056 See accompanying notes to financial statements. 33 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ 32,380,619 $ ( 53,060,060 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 439,592,586 ) ( 206,969,781 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 349,000,000 194,999,771 Net amortization and accretion on short-term U.S. government and agency obligations ( 95,803 ) ( 27,375 ) Net realized (gain) loss on investments — ( 245 ) Change in unrealized (appreciation) depreciation on investments 16,920,604 ( 1,021,246 ) Decrease (Increase) in receivable on open futures contracts ( 1,618,170 ) ( 1,456,440 ) Decrease (Increase) in interest receivable 690 4,186 Increase (Decrease) in payable to Sponsor 99,065 ( 30,328 ) Increase (Decrease) in brokerage commissions and futures account fees payable 6,496 9,172 Net cash provided by (used in) operating activities ( 42,899,085 ) ( 67,552,346 ) Cash flow from financing activities Proceeds from addition of shares 95,684,676 37,062,261 Payment on shares redeemed ( 5,816,007 ) ( 32,994,618 ) Net cash provided by (used in) financing activities 89,868,669 4,067,643 Net increase (decrease) in cash 46,969,584 ( 63,484,703 ) Cash, beginning of period 15,422,082 183,452,109 Cash, end of period $ 62,391,666 $ 119,967,406 See accompanying notes to financial statements. 34 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 465,593,363 and $ 451,896,236 , respectively) $ 465,290,460 $ 451,872,982 Cash 22,418,785 10,985,565 Segregated cash balances with brokers for futures contracts 13,190,750 14,502,938 Segregated cash balances with brokers for swap agreements 81,624,040 — Unrealized appreciation on swap agreements — 40,591,699 Receivable on open futures contracts 174,600 1,384,919 Interest receivable — 1,582 Total assets 582,698,635 519,339,685 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed — 3,483,770 Brokerage commissions and futures account fees payable 9,893 9,833 Payable to Sponsor 462,171 392,488 Unrealized depreciation on swap agreements 23,850,730 — Total liabilities 24,322,794 3,886,091 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 558,375,841 515,453,594 Total liabilities and shareholders’ equity $ 582,698,635 $ 519,339,685 Shares outstanding 14,296,526 14,796,526 Net asset value per share $ 39.06 $ 34.84 Market value per share (Note 2) $ 38.53 $ 34.74 See accompanying notes to financial statements. 35 Table of Contents PROSHARES ULTRA SILVER SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 83 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.135 % due 04/21/22 † $ 75,000,000 $ 74,993,752 0.209 % due 05/19/22 † 150,000,000 149,947,995 0.351 % due 06/16/22 † 100,000,000 99,908,170 0.393 % due 07/21/22 † 23,000,000 22,950,003 0.706 % due 08/18/22 † 75,000,000 74,752,410 0.223 % due 11/03/22 † 43,000,000 42,738,130 Total short-term U.S. government and agency obligations (cost $ 465,593,363 ) $ 465,290,460 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires May 2022 1,351 $ 169,773,415 $ 9,192,378 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 % 04/06/22 $ 237,998,246 $ ( 7,141,286 ) Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.30 04/06/22 249,395,557 ( 5,875,157 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 04/06/22 232,374,365 ( 5,474,180 ) Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 04/06/22 227,857,585 ( 5,360,107 ) Total Unrealized Depreciation $ ( 23,850,730 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. * Reflects the floating financing rate, as of March 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 36 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 140,449 $ 98,129 Expenses Management fee 1,217,599 1,631,135 Brokerage commissions 30,551 46,582 Futures accounts fees 20,505 162,187 Total expenses 1,268,655 1,839,904 Net investment income (loss) ( 1,128,206 ) ( 1,741,775 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 5,744,962 ) 6,896,270 Swap agreements 122,381,989 ( 1,985,719 ) Short-term U.S. government and agency obligations 10 191 Net realized gain (loss) 116,637,037 4,910,742 Change in net unrealized appreciation (depreciation) on Futures contracts 6,685,833 ( 52,592,033 ) Swap agreements ( 64,442,429 ) ( 85,173,669 ) Short-term U.S. government and agency obligations ( 279,649 ) 21,921 Change in net unrealized appreciation (depreciation) ( 58,036,245 ) ( 137,743,781 ) Net realized and unrealized gain (loss) 58,600,792 ( 132,833,039 ) Net income (loss) $ 57,472,586 $ ( 134,574,814 ) See accompanying notes to financial statements. 37 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 515,453,594 $ 745,304,028 Addition of 1,000,000 and 2,400,000 shares, respectively 39,033,941 120,399,635 Redemption of 1,500,000 and 3,250,000 shares, respectively ( 53,584,280 ) ( 158,627,600 ) Net addition (redemption) of ( 500,000 ) and ( 850,000 ) shares, respectively ( 14,550,339 ) ( 38,227,965 ) Net investment income (loss) ( 1,128,206 ) ( 1,741,775 ) Net realized gain (loss) 116,637,037 4,910,742 Change in net unrealized appreciation (depreciation) ( 58,036,245 ) ( 137,743,781 ) Net income (loss) 57,472,586 ( 134,574,814 ) Shareholders’ equity, end of period $ 558,375,841 $ 572,501,249 See accompanying notes to financial statements. 38 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ 57,472,586 $ ( 134,574,814 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 555,554,828 ) ( 684,892,324 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 541,999,742 509,999,794 Net amortization and accretion on short-term U.S. government and agency obligations ( 142,031 ) ( 77,206 ) Net realized (gain) loss on investments ( 10 ) ( 191 ) Change in unrealized (appreciation) depreciation on investments 64,722,078 85,151,748 Decrease (Increase) in receivable on open futures contracts 1,210,319 ( 1,465,450 ) Decrease (Increase) in interest receivable 1,582 6,065 Increase (Decrease) in payable to Sponsor 69,683 ( 29,124 ) Increase (Decrease) in brokerage commissions and futures account fees payable 60 45,354 Increase (Decrease) in payable on open futures contracts — ( 147,416 ) Net cash provided by (used in) operating activities 109,779,181 ( 225,983,564 ) Cash flow from financing activities Proceeds from addition of shares 39,033,941 116,265,208 Payment on shares redeemed ( 57,068,050 ) ( 158,627,600 ) Net cash provided by (used in) financing activities ( 18,034,109 ) ( 42,362,392 ) Net increase (decrease) in cash 91,745,072 ( 268,345,956 ) Cash, beginning of period 25,488,503 446,401,960 Cash, end of period $ 117,233,575 $ 178,056,004 See accompanying notes to financial statements. 39 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 193,806,309 and $ 221,725,609 , respectively) $ 193,118,875 $ 221,660,593 Cash 70,665,485 108,688,034 Segregated cash balances with brokers for futures contracts 490,761,445 463,432,845 Receivable from capital shares sold 15,544,945 — Securities sold receivabl e 6,195,418 — Receivable on open futures contracts 352,266,772 33,597,688 Interest receivable — 5,060 Total assets 1,128,552,940 827,384,220 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts — 9,447,456 Brokerage commissions and futures account fees payable 234,366 167,855 Payable to Sponsor 709,933 611,836 Unrealized depreciation on swap agreements — 477,437 Total liabilities 944,299 10,704,584 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 1,127,608,641 816,679,636 Total liabilities and shareholders’ equity $ 1,128,552,940 $ 827,384,220 Shares outstanding (Note 1) 83,528,420 65,828,420 Net asset value per share (Note 1) $ 13.50 $ 12.41 Market value per share (Note 1) (Note 2) $ 13.46 $ 12.43 See accompanying notes to financial statements. 40 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 17 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.135 % due 04/21/22 $ 50,000,000 $ 49,995,835 0.223 % due 11/03/22 144,000,000 143,123,040 Total short-term U.S. government and agency obligations (cost $ 193,806,309 ) $ 193,118,875 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires April 2022 33,482 $ 785,789,058 $ ( 144,097,149 ) VIX Futures - Cboe, expires May 2022 36,263 906,128,965 ( 17,115,511 ) $ ( 161,212,660 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 41 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 95,261 $ 113,969 Expenses Management fee 1,961,177 4,383,077 Brokerage commissions 936,758 1,956,628 Futures accounts fees 782,688 1,843,813 Total expenses 3,680,623 8,183,518 Net investment income (loss) ( 3,585,362 ) ( 8,069,549 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 258,438,098 ( 653,063,682 ) Swap agreements 22,556,586 ( 51,454,342 ) Short-term U.S. government and agency obligations ( 15,153 ) 18,520 Net realized gain (loss) 280,979,531 ( 704,499,504 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 34,855,903 ) ( 284,403,583 ) Swap agreements 477,437 24,807 Short-term U.S. government and agency obligations ( 622,418 ) 19,445 Change in net unrealized appreciation (depreciation) ( 35,000,884 ) ( 284,359,331 ) Net realized and unrealized gain (loss) 245,978,647 ( 988,858,835 ) Net income (loss) $ 242,393,285 $ ( 996,928,384 ) See accompanying notes to financial statements. 42 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 816,679,636 $ 1,356,204,199 Addition of 83,100,000 and 19,630,000 shares, respectively (Note 1) 1,171,715,867 1,939,143,031 Redemption of 65,400,000 and 9,540,000 shares, respectively (Note 1) ( 1,103,180,147 ) ( 1,014,045,676 ) Net addition (redemption) of 17,700,000 and 10,090,000 shares, respectively (Note 1) 68,535,720 925,097,355 Net investment income (loss) ( 3,585,362 ) ( 8,069,549 ) Net realized gain (loss) 280,979,531 ( 704,499,504 ) Change in net unrealized appreciation (depreciation) ( 35,000,884 ) ( 284,359,331 ) Net income (loss) 242,393,285 ( 996,928,384 ) Shareholders’ equity, end of period $ 1,127,608,641 $ 1,284,373,170 See accompanying notes to financial statements. 43 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ 242,393,285 $ ( 996,928,384 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 396,948,446 ) ( 811,866,867 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 424,952,914 679,996,765 Net amortization and accretion on short-term U.S. government and agency obligations ( 100,321 ) ( 81,137 ) Net realized (gain) loss on investments 15,153 ( 18,520 ) Change in unrealized (appreciation) depreciation on investments 144,981 ( 44,252 ) Decrease (Increase) in securities sold receivable ( 6,195,418 ) — Decrease (Increase) in receivable on open futures contracts ( 318,669,084 ) ( 22,894,994 ) Decrease (Increase) in interest receivable 5,060 423 Increase (Decrease) in payable to Sponsor 98,097 312,325 Increase (Decrease) in brokerage commissions and futures account fees payable 66,511 249,748 Increase (Decrease) in payable on open futures contracts ( 9,447,456 ) ( 9,772,407 ) Increase (Decrease) in securities purchased payable — 38,977,944 Net cash provided by (used in) operating activities ( 63,684,724 ) ( 1,122,069,356 ) Cash flow from financing activities Proceeds from addition of shares 1,156,170,922 1,988,229,419 Payment on shares redeemed ( 1,103,180,147 ) ( 1,014,045,676 ) Net cash provided by (used in) financing activities 52,990,775 974,183,743 Net increase (decrease) in cash ( 10,693,949 ) ( 147,885,613 ) Cash, beginning of period 572,120,879 1,069,671,996 Cash, end of period $ 561,426,930 $ 921,786,383 See accompanying notes to financial statements. 44 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 996,736 and $ – , respectively) $ 993,910 $ — Cash 1,339,246 2,232,820 Segregated cash balances with brokers for foreign currency forward contracts — 225,000 Unrealized appreciation on foreign currency forward contracts 7,119 821 Interest receivable — 95 Total assets 2,340,275 2,458,736 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 1,800 1,954 Unrealized depreciation on foreign currency forward contracts 238,770 93,933 Total liabilities 240,570 95,887 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 2,099,705 2,362,849 Total liabilities and shareholders’ equity $ 2,340,275 $ 2,458,736 Shares outstanding 49,970 49,970 Net asset value per share $ 42.02 $ 47.29 Market value per share (Note 2) $ 42.09 $ 47.29 See accompanying notes to financial statements. 45 Table of Contents PROSHARES ULTRA YEN SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 47 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.554 % due 11/03/22 † $ 1,000,000 $ 993,910 Total short-term U.S. government and agency obligations (cost $ 996,736 ) $ 993,910 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 04/08/22 321,397,517 $ 2,640,512 $ ( 140,536 ) Yen with UBS AG 04/08/22 234,765,856 1,928,772 ( 98,234 ) Total Unrealized Depreciation $ ( 238,770 ) Contracts to Sell Yen with Goldman Sachs International 04/08/22 ( 6,529,000 ) $ ( 53,640 ) $ ( 254 ) Yen with UBS AG 04/08/22 ( 37,680,000 ) ( 309,568 ) 7,373 Total Unrealized Appreciation $ 7,119 † All or partial amount pledged as collateral for foreign currency forward contracts. ^ The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 46 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 873 $ 356 Expenses Management fee 5,429 6,649 Total expenses 5,429 6,649 Net investment income (loss) ( 4,556 ) ( 6,293 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 118,771 ) ( 139,467 ) Short-term U.S. government and agency obligations 1,548 — Net realized gain (loss) ( 117,223 ) ( 139,467 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 138,539 ) ( 256,089 ) Short-term U.S. government and agency obligations ( 2,826 ) 44 Change in net unrealized appreciation (depreciation) ( 141,365 ) ( 256,045 ) Net realized and unrealized gain (loss) ( 258,588 ) ( 395,512 ) Net income (loss) $ ( 263,144 ) $ ( 401,805 ) See accompanying notes to financial statements. 47 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 2,362,849 $ 2,989,499 Net investment income (loss) ( 4,556 ) ( 6,293 ) Net realized gain (loss) ( 117,223 ) ( 139,467 ) Change in net unrealized appreciation (depreciation) ( 141,365 ) ( 256,045 ) Net income (loss) ( 263,144 ) ( 401,805 ) Shareholders’ equity, end of period $ 2,099,705 $ 2,587,694 See accompanying notes to financial statements. 48 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 263,144 ) $ ( 401,805 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 995,769 ) ( 499,849 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,548 — Net amortization and accretion on short-term U.S. government and agency obligations ( 967 ) ( 93 ) Net realized (gain) loss on investments ( 1,548 ) — Change in unrealized (appreciation) depreciation on investments 141,365 256,045 Decrease (Increase) in interest receivable 95 27 Increase (Decrease) in payable to Sponsor ( 154 ) ( 213 ) Net cash provided by (used in) operating activities ( 1,118,574 ) ( 645,888 ) Net increase (decrease) in cash ( 1,118,574 ) ( 645,888 ) Cash, beginning of period 2,457,820 2,924,696 Cash, end of period $ 1,339,246 $ 2,278,808 See accompanying notes to financial statements. 49 Table of Contents PROSHARES ULTRASHORT AUSTRALIAN DOLLAR STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ – and $ 1,999,869 , respectively) $ — $ 1,999,875 Cash 2,144,311 310,565 Segregated cash balances with brokers for futures contracts 108,900 117,920 Receivable on open futures contracts 11,700 — Interest receivable — 16 Total assets 2,264,911 2,428,376 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts — 13,735 Payable to Sponsor 1,886 2,018 Total liabilities 1,886 15,753 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 2,263,025 2,412,623 Total liabilities and shareholders’ equity $ 2,264,911 $ 2,428,376 Shares outstanding 50,000 50,000 Net asset value per share $ 45.26 $ 48.25 Market value per share (Note 2) $ 45.35 $ 48.41 See accompanying notes to financial statements. 50 Table of Contents PROSHARES ULTRASHORT AUSTRALIAN DOLLAR SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Australian Dollar Fx Currency Futures - CME, expires June 2022 60 $ 4,497,900 $ ( 96,657 ) See accompanying notes to financial statements. 51 Table of Contents PROSHARES ULTRASHORT AUSTRALIAN DOLLAR STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 115 $ 258 Expenses Management fee 5,696 5,139 Brokerage commissions 500 386 Total expenses 6,196 5,525 Net investment income (loss) ( 6,081 ) ( 5,267 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 116,848 ) ( 164,544 ) Short-term U.S. government and agency obligations 4,839 — Net realized gain (loss) ( 112,009 ) ( 164,544 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 31,502 ) 206,052 Short-term U.S. government and agency obligations ( 6 ) — Change in net unrealized appreciation (depreciation) ( 31,508 ) 206,052 Net realized and unrealized gain (loss) ( 143,517 ) 41,508 Net income (loss) $ ( 149,598 ) $ 36,241 See accompanying notes to financial statements. 52 Table of Contents PROSHARES ULTRASHORT AUSTRALIAN DOLLAR STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 2,412,623 $ 2,222,639 Net investment income (loss) ( 6,081 ) ( 5,267 ) Net realized gain (loss) ( 112,009 ) ( 164,544 ) Change in net unrealized appreciation (depreciation) ( 31,508 ) 206,052 Net income (loss) ( 149,598 ) 36,241 Shareholders’ equity, end of period $ 2,263,025 $ 2,258,880 See accompanying notes to financial statements. 53 Table of Contents PROSHARES ULTRASHORT AUSTRALIAN DOLLAR STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 149,598 ) $ 36,241 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Proceeds from sales or maturities of short-term U.S. government and agency obligations 2,004,839 — Net amortization and accretion on short-term U.S. government and agency obligations ( 131 ) — Net realized (gain) loss on investments ( 4,839 ) — Change in unrealized (appreciation) depreciation on investments 6 — Decrease (Increase) in receivable on open futures contracts ( 11,700 ) — Decrease (Increase) in interest receivable 16 31 Increase (Decrease) in payable to Sponsor ( 132 ) ( 596 ) Increase (Decrease) in payable on open futures contracts ( 13,735 ) ( 3,718 ) Net cash provided by (used in) operating activities 1,824,726 31,958 Net increase (decrease) in cash 1,824,726 31,958 Cash, beginning of period 428,485 2,234,027 Cash, end of period $ 2,253,211 $ 2,265,985 See accompanying notes to financial statements. 54 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 172,878,249 and $ 55,932,300 , respectively) $ 172,675,022 $ 55,916,023 Cash 74,893,009 29,602,412 Segregated cash balances with brokers for futures contracts 146,472,433 24,841,141 Receivable from capital shares sold 2,335,415 — Receivable on open futures contracts 24,718,248 4,064,439 Interest receivable — 1,359 Total assets 421,094,127 114,425,374 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 3,982,086 175,557 Brokerage commissions and futures account fees payable 42,292 7,944 Payable to Sponsor 270,518 74,271 Total liabilities 4,294,896 257,772 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 416,799,231 114,167,602 Total liabilities and shareholders’ equity $ 421,094,127 $ 114,425,374 Shares outstanding (Note 1) 71,433,799 8,883,799 Net asset value per share (Note 1) $ 5.83 $ 12.85 Market value per share (Note 1) (Note 2) $ 5.79 $ 12.75 See accompanying notes to financial statements. 55 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 41 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.051 % due 04/21/22 $ 40,000,000 $ 39,996,668 0.209 % due 05/19/22 25,000,000 24,991,333 0.389 % due 06/16/22 50,000,000 49,954,085 0.393 % due 07/21/22 22,000,000 21,952,176 0.223 % due 11/03/22 36,000,000 35,780,760 Total short-term U.S. government and agency obligations (cost $ 172,878,249 ) $ 172,675,022 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires June 2022 2,737 $ 269,649,240 $ ( 4,110,731 ) WTI Crude Oil - NYMEX, expires December 2022 3,147 281,971,200 ( 2,299,051 ) WTI Crude Oil - NYMEX, expires June 2023 3,339 282,512,790 116,312 $ ( 6,293,470 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 56 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 53,907 $ 10,835 Expenses Management fee 492,647 221,263 Brokerage commissions 77,056 43,044 Futures accounts fees 70,177 47,712 Total expenses 639,880 312,019 Net investment income (loss) ( 585,973 ) ( 301,184 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 106,482,101 ) ( 49,177,765 ) Net realized gain (loss) ( 106,482,101 ) ( 49,177,765 ) Change in net unrealized appreciation (depreciation) on Futures contracts 2,115,992 5,636,634 Short-term U.S. government and agency obligations ( 186,950 ) 2,210 Change in net unrealized appreciation (depreciation) 1,929,042 5,638,844 Net realized and unrealized gain (loss) ( 104,553,059 ) ( 43,538,921 ) Net income (loss) $ ( 105,139,032 ) $ ( 43,840,105 ) See accompanying notes to financial statements. 57 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 114,167,602 $ 96,839,233 Addition of 77,850,000 and 1,950,000 shares, respectively (Note 1) 510,028,879 64,302,979 Redemption of 15,300,000 and 850,000 shares, respectively (Note 1) ( 102,258,218 ) ( 25,583,717 ) Net addition (redemption) of 62,550,000 and 1,100,000 shares, respectively (Note 1) 407,770,661 38,719,262 Net investment income (loss) ( 585,973 ) ( 301,184 ) Net realized gain (loss) ( 106,482,101 ) ( 49,177,765 ) Change in net unrealized appreciation (depreciation) 1,929,042 5,638,844 Net income (loss) ( 105,139,032 ) ( 43,840,105 ) Shareholders’ equity, end of period $ 416,799,231 $ 91,718,390 See accompanying notes to financial statements. 58 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 105,139,032 ) $ ( 43,840,105 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 203,890,683 ) ( 59,990,524 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 87,000,000 25,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 55,266 ) ( 6,348 ) Change in unrealized (appreciation) depreciation on investments 186,950 ( 2,210 ) Decrease (Increase) in receivable on open futures contracts ( 20,653,809 ) ( 2,690,988 ) Decrease (Increase) in interest receivable 1,359 2,099 Increase (Decrease) in payable to Sponsor 196,247 ( 7,303 ) Increase (Decrease) in brokerage commissions and futures account fees payable 34,348 25,647 Increase (Decrease) in payable on open futures contracts 3,806,529 166,417 Net cash provided by (used in) operating activities ( 238,513,357 ) ( 81,343,315 ) Cash flow from financing activities Proceeds from addition of shares 507,693,464 64,302,979 Payment on shares redeemed ( 102,258,218 ) ( 25,583,717 ) Net cash provided by (used in) financing activities 405,435,246 38,719,262 Net increase (decrease) in cash 166,921,889 ( 42,624,053 ) Cash, beginning of period 54,443,553 97,113,373 Cash, end of period $ 221,365,442 $ 54,489,320 See accompanying notes to financial statements. 59 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 109,916,719 and $ 123,855,553 , respectively) $ 109,627,801 $ 123,821,548 Cash 70,201,998 53,547,476 Segregated cash balances with brokers for futures contracts 35,162,820 59,453,451 Receivable from capital shares sold 19,436,163 — Receivable on open futures contracts 18,454,994 30,090,351 Interest receivable — 1,749 Total assets 252,883,776 266,914,575 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed — 15,986,002 Payable on open futures contracts 2,342,100 8,542,438 Brokerage commissions and futures account fees payable 29,510 46,867 Payable to Sponsor 171,329 194,138 Total liabilities 2,542,939 24,769,445 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 250,340,837 242,145,130 Total liabilities and shareholders’ equity $ 252,883,776 $ 266,914,575 Shares outstanding (Note 1) 15,474,477 3,914,966 Net asset value per share (Note 1) $ 16.18 $ 61.85 Market value per share (Note 1) (Note 2) $ 16.14 $ 60.55 See accompanying notes to financial statements. 60 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 44 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.135 % due 04/21/22 $ 40,000,000 $ 39,996,668 0.209 % due 05/19/22 10,000,000 9,996,533 0.223 % due 11/03/22 60,000,000 59,634,600 Total short-term U.S. government and agency obligations (cost $ 109,916,719 ) $ 109,627,801 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires May 2022 8,883 $ 501,178,860 $ ( 74,095,907 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 61 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 55,825 $ 7,883 Expenses Management fee 542,364 159,337 Brokerage commissions 220,951 85,680 Futures accounts fees 129,929 23,273 Total expenses 893,244 268,290 Net investment income (loss) ( 837,419 ) ( 260,407 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 114,665,698 ) ( 6,359,394 ) Short-term U.S. government and agency obligations ( 58,610 ) — Net realized gain (loss) ( 114,724,308 ) ( 6,359,394 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 87,532,158 ) 15,893,547 Short-term U.S. government and agency obligations ( 254,913 ) 1,517 Change in net unrealized appreciation (depreciation) ( 87,787,071 ) 15,895,064 Net realized and unrealized gain (loss) ( 202,511,379 ) 9,535,670 Net income (loss) $ ( 203,348,798 ) $ 9,275,263 See accompanying notes to financial statements. 62 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 242,145,130 $ 24,977,745 Addition of 18,560,000 and 820,000 shares, respectively (Note 1) 454,959,241 142,050,186 Redemption of 7,000,489 and 570,000 shares, respectively (Note 1) ( 243,414,736 ) ( 106,843,919 ) Net addition (redemption) of 11,559,511 and 250,000 shares, respectively (Note 1) 211,544,505 35,206,267 Net investment income (loss) ( 837,419 ) ( 260,407 ) Net realized gain (loss) ( 114,724,308 ) ( 6,359,394 ) Change in net unrealized appreciation (depreciation) ( 87,787,071 ) 15,895,064 Net income (loss) ( 203,348,798 ) 9,275,263 Shareholders’ equity, end of period $ 250,340,837 $ 69,459,275 See accompanying notes to financial statements. 63 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 203,348,798 ) $ 9,275,263 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 171,922,547 ) ( 53,993,457 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 185,860,345 20,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 57,574 ) ( 3,966 ) Net realized (gain) loss on investments 58,610 — Change in unrealized (appreciation) depreciation on investments 254,913 ( 1,517 ) Decrease (Increase) in receivable on open futures contracts 11,635,357 ( 607,891 ) Decrease (Increase) in interest receivable 1,749 ( 694 ) Increase (Decrease) in payable to Sponsor ( 22,809 ) 43,590 Increase (Decrease) in brokerage commissions and futures account fees payable ( 17,357 ) 427 Increase (Decrease) in payable on open futures contracts ( 6,200,338 ) ( 1,543,700 ) Net cash provided by (used in) operating activities ( 183,758,449 ) ( 26,831,945 ) Cash flow from financing activities Proceeds from addition of shares 435,523,078 142,050,186 Payment on shares redeemed ( 259,400,738 ) ( 109,448,096 ) Net cash provided by (used in) financing activities 176,122,340 32,602,090 Net increase (decrease) in cash ( 7,636,109 ) 5,770,145 Cash, beginning of period 113,000,927 19,147,382 Cash, end of period $ 105,364,818 $ 24,917,527 See accompanying notes to financial statements. 64 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 41,972,530 and $ 46,968,288 , respectively) $ 41,892,032 $ 46,961,125 Cash 8,512,948 7,554,065 Unrealized appreciation on foreign currency forward contracts 134,035 135,118 Interest receivable — 603 Total assets 50,539,015 54,650,911 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 40,931 44,707 Unrealized depreciation on foreign currency forward contracts — 343,159 Total liabilities 40,931 387,866 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 50,498,084 54,263,045 Total liabilities and shareholders’ equity $ 50,539,015 $ 54,650,911 Shares outstanding 1,850,000 2,100,000 Net asset value per share $ 27.30 $ 25.84 Market value per share (Note 2) $ 27.31 $ 25.86 See accompanying notes to financial statements. 65 Table of Contents PROSHARES ULTRASHORT EURO SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 83 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.135 % due 04/21/22 $ 22,000,000 $ 21,998,167 0.393 % due 07/21/22 † 4,000,000 3,991,305 0.223 % due 11/03/22 † 16,000,000 15,902,560 Total short-term U.S. government and agency obligations (cost $ 41,972,530 ) $ 41,892,032 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 04/08/22 13,916,000 $ 15,396,940 $ 6,561 Total Unrealized Appreciation $ 6,561 Contracts to Sell Euro with Goldman Sachs International 04/08/22 ( 46,280,263 ) $ ( 51,205,409 ) $ 83,304 Euro with UBS AG 04/08/22 ( 58,998,199 ) ( 65,276,787 ) 44,170 Total Unrealized Appreciation $ 127,474 † All or partial amount pledged as collateral for foreign currency forward contracts. ^ The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 66 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 15,405 $ 7,166 Expenses Management fee 117,456 124,038 Total expenses 117,456 124,038 Net investment income (loss) ( 102,051 ) ( 116,872 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 2,542,134 70,527 Short-term U.S. government and agency obligations 210,974 — Net realized gain (loss) 2,753,108 70,527 Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts 342,076 4,391,397 Short-term U.S. government and agency obligations ( 73,335 ) 840 Change in net unrealized appreciation (depreciation) 268,741 4,392,237 Net realized and unrealized gain (loss) 3,021,849 4,462,764 Net income (loss) $ 2,919,798 $ 4,345,892 See accompanying notes to financial statements. 67 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 54,263,045 $ 52,953,339 Addition of 50,000 and 200,000 shares, respectively 1,371,662 4,613,244 Redemption of 300,000 and 300,000 shares, respectively ( 8,056,421 ) ( 6,980,338 ) Net addition (redemption) of ( 250,000 ) and ( 100,000 ) shares, respectively ( 6,684,759 ) ( 2,367,094 ) Net investment income (loss) ( 102,051 ) ( 116,872 ) Net realized gain (loss) 2,753,108 70,527 Change in net unrealized appreciation (depreciation) 268,741 4,392,237 Net income (loss) 2,919,798 4,345,892 Shareholders’ equity, end of period $ 50,498,084 $ 54,932,137 See accompanying notes to financial statements. 68 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ 2,919,798 $ 4,345,892 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 29,988,234 ) ( 41,994,414 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 35,210,974 34,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 16,008 ) ( 4,421 ) Net realized (gain) loss on investments ( 210,974 ) — Change in unrealized (appreciation) depreciation on investments ( 268,741 ) ( 4,392,237 ) Decrease (Increase) in interest receivable 603 1,228 Increase (Decrease) in payable to Sponsor ( 3,776 ) 1,273 Net cash provided by (used in) operating activities 7,643,642 ( 8,042,679 ) Cash flow from financing activities Proceeds from addition of shares 1,371,662 4,613,244 Payment on shares redeemed ( 8,056,421 ) ( 6,980,338 ) Net cash provided by (used in) financing activities ( 6,684,759 ) ( 2,367,094 ) Net increase (decrease) in cash 958,883 ( 10,409,773 ) Cash, beginning of period 7,554,065 44,132,228 Cash, end of period $ 8,512,948 $ 33,722,455 See accompanying notes to financial statements. 69 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 21,981,721 and $ 25,984,097 , respectively) $ 21,937,571 $ 25,980,516 Cash 8,485,001 1,287,229 Segregated cash balances with brokers for futures contracts 978,300 703,125 Segregated cash balances with brokers for swap agreements 469,000 — Unrealized appreciation on swap agreements 908,323 — Interest receivable — 434 Total assets 32,778,195 27,971,304 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 155,425 92,537 Brokerage commissions and futures account fees payable 533 294 Payable to Sponsor 23,786 25,512 Unrealized depreciation on swap agreements — 993,117 Total liabilities 179,744 1,111,460 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 32,598,451 26,859,844 Total liabilities and shareholders’ equity $ 32,778,195 $ 27,971,304 Shares outstanding 1,196,977 846,977 Net asset value per share $ 27.23 $ 31.71 Market value per share (Note 2) $ 27.61 $ 31.66 See accompanying notes to financial statements. 70 Table of Contents PROSHARES ULTRASHORT GOLD SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 67 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.135 % due 04/21/22 † $ 8,000,000 $ 7,999,334 0.393 % due 07/21/22 † 6,000,000 5,986,957 0.223 % due 11/03/22 † 8,000,000 7,951,280 Total short-term U.S. government and agency obligations (cost $ 21,981,721 ) $ 21,937,571 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires June 2022 134 $ 26,183,600 $ 325,987 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 % 04/06/22 $ ( 16,074,140 ) $ 372,654 Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.20 04/06/22 ( 10,515,819 ) 244,146 Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 04/06/22 ( 12,574,684 ) 291,523 Total Unrealized Appreciation $ 908,323 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. * Reflects the floating financing rate, as of March 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 71 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 9,685 $ 2,962 Expenses Management fee 66,138 63,727 Brokerage commissions 2,811 3,590 Futures accounts fees 1,866 4,686 Total expenses 70,815 72,003 Net investment income (loss) ( 61,130 ) ( 69,041 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 1,991,249 ) 1,334,982 Swap agreements ( 4,317,424 ) 2,668,208 Short-term U.S. government and agency obligations 4 169 Net realized gain (loss) ( 6,308,669 ) 4,003,359 Change in net unrealized appreciation (depreciation) on Futures contracts 167,908 236,075 Swap agreements 1,901,440 ( 416,739 ) Short-term U.S. government and agency obligations ( 40,569 ) 811 Change in net unrealized appreciation (depreciation) 2,028,779 ( 179,853 ) Net realized and unrealized gain (loss) ( 4,279,890 ) 3,823,506 Net income (loss) $ ( 4,341,020 ) $ 3,754,465 See accompanying notes to financial statements. 72 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 26,859,844 $ 20,337,376 Addition of 450,000 and 750,000 shares, respectively 13,189,949 27,291,216 Redemption of 100,000 and 300,000 shares, respectively ( 3,110,322 ) ( 10,139,542 ) Net addition (redemption) of 350,000 and 450,000 shares, respectively 10,079,627 17,151,674 Net investment income (loss) ( 61,130 ) ( 69,041 ) Net realized gain (loss) ( 6,308,669 ) 4,003,359 Change in net unrealized appreciation (depreciation) 2,028,779 ( 179,853 ) Net income (loss) ( 4,341,020 ) 3,754,465 Shareholders’ equity, end of period $ 32,598,451 $ 41,243,515 See accompanying notes to financial statements. 73 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 4,341,020 ) $ 3,754,465 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 17,987,492 ) ( 18,997,037 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 21,999,990 5,999,936 Net amortization and accretion on short-term U.S. government and agency obligations ( 10,118 ) ( 1,516 ) Net realized (gain) loss on investments ( 4 ) ( 169 ) Change in unrealized (appreciation) depreciation on investments ( 1,860,871 ) 415,928 Decrease (Increase) in receivable on open futures contracts — 1,317 Decrease (Increase) in interest receivable 434 127 Increase (Decrease) in payable to Sponsor ( 1,726 ) 10,663 Increase (Decrease) in brokerage commissions and futures account fees payable 239 1,492 Increase (Decrease) in payable on open futures contracts 62,888 536,010 Net cash provided by (used in) operating activities ( 2,137,680 ) ( 8,278,784 ) Cash flow from financing activities Proceeds from addition of shares 13,189,949 27,291,216 Payment on shares redeemed ( 3,110,322 ) ( 10,139,542 ) Net cash provided by (used in) financing activities 10,079,627 17,151,674 Net increase (decrease) in cash 7,941,947 8,872,890 Cash, beginning of period 1,990,354 20,633,371 Cash, end of period $ 9,932,301 $ 29,506,261 See accompanying notes to financial statements. 74 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 13,931,199 and $ 22,995,121 , respectively) $ 13,910,829 $ 22,994,261 Cash 7,528,145 1,829,901 Segregated cash balances with brokers for futures contracts 1,604,313 1,081,575 Segregated cash balances with brokers for swap agreements 118,000 2,572,000 Unrealized appreciation on swap agreements 273,094 — Receivable on open futures contracts — 15,446 Interest receivable — 378 Total assets 23,434,381 28,493,561 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 7,363 5,840 Brokerage commissions and futures account fees payable 733 747 Payable to Sponsor 19,769 28,560 Unrealized depreciation on swap agreements — 1,921,414 Total liabilities 27,865 1,956,561 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 23,406,516 26,537,000 Total liabilities and shareholders’ equity $ 23,434,381 $ 28,493,561 Shares outstanding (Note 1) 1,091,329 991,329 Net asset value per share (Note 1) $ 21.45 $ 26.77 Market value per share (Note 1) (Note 2) $ 21.78 $ 26.84 See accompanying notes to financial statements. 75 Table of Contents PROSHARES ULTRASHORT SILVER SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 59 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.135 % due 04/21/22 $ 947,000 $ 946,921 0.393 % due 07/21/22 † 11,000,000 10,976,088 0.223 % due 11/03/22 † 2,000,000 1,987,820 Total short-term U.S. government and agency obligations (cost $ 13,931,199 ) $ 13,910,829 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires May 2022 167 $ 20,986,055 $ 267,147 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 % 04/06/22 $ ( 3,066,720 ) $ ( 193,389 ) Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.25 04/06/22 ( 11,171,645 ) 259,041 Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 04/06/22 ( 8,833,290 ) 204,525 Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 04/06/22 ( 2,824,603 ) 2,917 Total Unrealized Appreciation $ 273,094 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. * Reflects the floating financing rate, as of March 31, 2022, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “ short” exposure to the benchmark index. See accompanying notes to financial statements. 76 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 8,920 $ 3,117 Expenses Management fee 60,953 84,745 Brokerage commissions 5,301 7,444 Futures accounts fees 3,274 9,991 Total expenses 69,528 102,180 Net investment income (loss) ( 60,608 ) ( 99,063 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 1,293,770 ) ( 1,236,193 ) Swap agreements ( 6,079,976 ) ( 1,696,158 ) Short-term U.S. government and agency obligations ( 190 ) 85 Net realized gain (loss) ( 7,373,936 ) ( 2,932,266 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 385,346 ) 3,496,970 Swap agreements 2,194,508 3,968,794 Short-term U.S. government and agency obligations ( 19,510 ) 747 Change in net unrealized appreciation (depreciation) 1,789,652 7,466,511 Net realized and unrealized gain (loss) ( 5,584,284 ) 4,534,245 Net income (loss) $ ( 5,644,892 ) $ 4,435,182 See accompanying notes to financial statements. 77 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 26,537,000 $ 28,885,775 Addition of 1,100,000 and 2,450,000 shares, respectively (Note 1) 25,560,144 58,095,647 Redemption of 1,000,000 and 1,875,000 shares, respectively (Note 1) ( 23,045,736 ) ( 46,271,940 ) Net addition (redemption) of 100,000 and 575,000 shares, respectively (Note 1) 2,514,408 11,823,707 Net investment income (loss) ( 60,608 ) ( 99,063 ) Net realized gain (loss) ( 7,373,936 ) ( 2,932,266 ) Change in net unrealized appreciation (depreciation) 1,789,652 7,466,511 Net income (loss) ( 5,644,892 ) 4,435,182 Shareholders’ equity, end of period $ 23,406,516 $ 45,144,664 See accompanying notes to financial statements. 78 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 5,644,892 ) $ 4,435,182 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 20,979,052 ) ( 22,996,733 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 30,052,082 7,999,988 Net amortization and accretion on short-term U.S. government and agency obligations ( 9,298 ) ( 2,043 ) Net realized (gain) loss on investments 190 ( 85 ) Change in unrealized (appreciation) depreciation on investments ( 2,174,998 ) ( 3,969,541 ) Decrease (Increase) in receivable on open futures contracts 15,446 ( 208,039 ) Decrease (Increase) in interest receivable 378 463 Increase (Decrease) in payable to Sponsor ( 8,791 ) 7,144 Increase (Decrease) in brokerage commissions and futures account fees payable ( 14 ) 3,309 Increase (Decrease) in payable on open futures contracts 1,523 294,893 Net cash provided by (used in) operating activities 1,252,574 ( 14,435,462 ) Cash flow from financing activities Proceeds from addition of shares 25,560,144 58,095,647 Payment on shares redeemed ( 23,045,736 ) ( 46,271,940 ) Net cash provided by (used in) financing activities 2,514,408 11,823,707 Net increase (decrease) in cash 3,766,982 ( 2,611,755 ) Cash, beginning of period 5,483,476 32,155,049 Cash, end of period $ 9,250,458 $ 29,543,294 See accompanying notes to financial statements. 79 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 20,984,538 and $ 20,990,068 , respectively) $ 20,954,357 $ 20,987,825 Cash 13,748,678 3,003,251 Unrealized appreciation on foreign currency forward contracts 2,372,690 1,237,168 Interest receivable — 339 Total assets 37,075,725 25,228,583 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 9,290,592 — Payable to Sponsor 21,724 20,211 Unrealized depreciation on foreign currency forward contracts 36,708 367,588 Total liabilities 9,349,024 387,799 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 27,726,701 24,840,784 Total liabilities and shareholders’ equity $ 37,075,725 $ 25,228,583 Shares outstanding 299,290 299,290 Net asset value per share $ 92.64 $ 83.00 Market value per share (Note 2) $ 92.73 $ 82.99 See accompanying notes to financial statements. 80 Table of Contents PROSHARES ULTRASHORT YEN SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 76 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.135 % due 04/21/22 † $ 5,000,000 $ 4,999,584 0.209 % due 05/19/22 5,000,000 4,998,266 0.393 % due 07/21/22 † 6,000,000 5,986,957 0.223 % due 11/03/22 † 5,000,000 4,969,550 Total short-term U.S. government and agency obligations (cost $ 20,984,538 ) $ 20,954,357 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 04/08/22 2,874,020,000 $ 23,612,146 $ ( 36,708 ) Total Unrealized Depreciation $ ( 36,708 ) Contracts to Sell Yen with Goldman Sachs International 04/08/22 ( 1,973,114,165 ) $ ( 16,210,555 ) $ 748,238 Yen with UBS AG 04/08/22 ( 7,652,928,574 ) ( 62,874,326 ) 1,624,452 Total Unrealized Appreciation $ 2,372,690 † All or partial amount pledged as collateral for foreign currency forward contracts. ^ The positions and counterparties herein are as of March 31, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 81 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 9,399 $ 3,596 Expenses Management fee 59,820 66,553 Total expenses 59,820 66,553 Net investment income (loss) ( 50,421 ) ( 62,957 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 1,080,173 1,259,573 Short-term U.S. government and agency obligations 102,971 — Net realized gain (loss) 1,183,144 1,259,573 Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts 1,466,402 2,900,888 Short-term U.S. government and agency obligations ( 27,938 ) 854 Change in net unrealized appreciation (depreciation) 1,438,464 2,901,742 Net realized and unrealized gain (loss) 2,621,608 4,161,315 Net income (loss) $ 2,571,187 $ 4,098,358 See accompanying notes to financial statements. 82 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 24,840,784 $ 23,691,070 Addition of 100,000 and 100,000 shares, respectively 9,605,322 7,132,412 Redemption of 100,000 and – shares, respectively ( 9,290,592 ) — Net addition (redemption) of – and 100,000 shares, respectively 314,730 7,132,412 Net investment income (loss) ( 50,421 ) ( 62,957 ) Net realized gain (loss) 1,183,144 1,259,573 Change in net unrealized appreciation (depreciation) 1,438,464 2,901,742 Net income (loss) 2,571,187 4,098,358 Shareholders’ equity, end of period $ 27,726,701 $ 34,921,840 See accompanying notes to financial statements. 83 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ 2,571,187 $ 4,098,358 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 17,984,733 ) ( 21,496,640 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 18,102,971 7,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 9,737 ) ( 2,141 ) Net realized (gain) loss on investments ( 102,971 ) — Change in unrealized (appreciation) depreciation on investments ( 1,438,464 ) ( 2,901,742 ) Decrease (Increase) in interest receivable 339 410 Increase (Decrease) in payable to Sponsor 1,513 7,512 Net cash provided by (used in) operating activities 1,140,105 ( 13,294,243 ) Cash flow from financing activities Proceeds from addition of shares 9,605,322 7,132,412 Net cash provided by (used in) financing activities 9,605,322 7,132,412 Net increase (decrease) in cash 10,745,427 ( 6,161,831 ) Cash, beginning of period 3,003,251 24,274,564 Cash, end of period $ 13,748,678 $ 18,112,733 See accompanying notes to financial statements. 84 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 63,955,449 and $ 85,937,303 , respectively) $ 63,802,455 $ 85,922,969 Cash 16,665,482 8,130,069 Segregated cash balances with brokers for futures contracts 15,897,200 18,941,750 Receivable on open futures contracts 1,586,495 63,397 Interest receivable — 1,097 Total assets 97,951,632 113,059,282 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts — 94,495 Brokerage commissions and futures account fees payable 10,122 7,124 Payable to Sponsor 71,596 81,983 Total liabilities 81,718 183,602 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 97,869,914 112,875,680 Total liabilities and shareholders’ equity $ 97,951,632 $ 113,059,282 Shares outstanding 3,112,403 3,687,403 Net asset value per share $ 31.45 $ 30.61 Market value per share (Note 2) $ 31.50 $ 30.57 See accompanying notes to financial statements. 85 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 65 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.135 % due 04/21/22 $ 32,000,000 $ 31,997,335 0.223 % due 11/03/22 32,000,000 31,805,120 Total short-term U.S. government and agency obligations (cost $ 63,955,449 ) $ 63,802,455 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires July 2022 593 $ 15,480,562 $ 226,352 VIX Futures - Cboe, expires August 2022 1,235 32,424,802 42,738 VIX Futures - Cboe, expires September 2022 1,235 32,852,729 ( 1,054,439 ) VIX Futures - Cboe, expires October 2022 642 17,245,083 ( 174,214 ) $ ( 959,563 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 86 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 23,923 $ 10,224 Expenses Management fee 215,663 178,080 Brokerage commissions 24,869 11,312 Futures accounts fees 35,488 25,632 Total expenses 276,020 215,024 Net investment income (loss) ( 252,097 ) ( 204,800 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 4,791,833 3,539,316 Short-term U.S. government and agency obligations ( 336 ) — Net realized gain (loss) 4,791,497 3,539,316 Change in net unrealized appreciation (depreciation) on Futures contracts ( 335,175 ) ( 8,276,672 ) Short-term U.S. government and agency obligations ( 138,660 ) 1,150 Change in net unrealized appreciation (depreciation) ( 473,835 ) ( 8,275,522 ) Net realized and unrealized gain (loss) 4,317,662 ( 4,736,206 ) Net income (loss) $ 4,065,565 $ ( 4,941,006 ) See accompanying notes to financial statements. 87 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 112,875,680 $ 72,075,095 Addition of 700,000 and 400,000 shares, respectively 22,135,602 15,879,994 Redemption of 1,275,000 and 200,000 shares, respectively ( 41,206,933 ) ( 7,891,336 ) Net addition (redemption) of ( 575,000 ) and 200,000 shares, respectively ( 19,071,331 ) 7,988,658 Net investment income (loss) ( 252,097 ) ( 204,800 ) Net realized gain (loss) 4,791,497 3,539,316 Change in net unrealized appreciation (depreciation) ( 473,835 ) ( 8,275,522 ) Net income (loss) 4,065,565 ( 4,941,006 ) Shareholders’ equity, end of period $ 97,869,914 $ 75,122,747 See accompanying notes to financial statements. 88 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ 4,065,565 $ ( 4,941,006 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 51,992,010 ) ( 47,992,944 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 73,998,548 61,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 25,020 ) ( 5,327 ) Net realized (gain) loss on investments 336 — Change in unrealized (appreciation) depreciation on investments 138,660 ( 1,150 ) Decrease (Increase) in receivable on open futures contracts ( 1,523,098 ) 247,077 Decrease (Increase) in interest receivable 1,097 ( 856 ) Increase (Decrease) in payable to Sponsor ( 10,387 ) 8,296 Increase (Decrease) in brokerage commissions and futures account fees payable 2,998 875 Increase (Decrease) in payable on open futures contracts ( 94,495 ) 188,562 Net cash provided by (used in) operating activities 24,562,194 8,503,527 Cash flow from financing activities Proceeds from addition of shares 22,135,602 15,879,994 Payment on shares redeemed ( 41,206,933 ) ( 8,807,123 ) Net cash provided by (used in) financing activities ( 19,071,331 ) 7,072,871 Net increase (decrease) in cash 5,490,863 15,576,398 Cash, beginning of period 27,071,819 27,802,834 Cash, end of period $ 32,562,682 $ 43,379,232 See accompanying notes to financial statements. 89 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 169,889,115 and $ 150,887,871 , respectively) $ 169,589,079 $ 150,861,898 Cash 31,727,811 11,013,736 Segregated cash balances with brokers for futures contracts 120,057,105 104,947,080 Receivable from capital shares sold 9,145,462 3,026,614 Receivable on open futures contracts 74,735,260 2,115,232 Interest receivable — 1,774 Total assets 405,254,717 271,966,334 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 15 2,037,391 Brokerage commissions and futures account fees payable 57,973 38,926 Payable to Sponsor 246,329 186,853 Total liabilities 304,317 2,263,170 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 404,950,400 269,703,164 Total liabilities and shareholders’ equity $ 405,254,717 $ 271,966,334 Shares outstanding (Note 1) 24,382,826 17,832,826 Net asset value per share (Note 1) $ 16.61 $ 15.12 Market value per share (Note 1) (Note 2) $ 16.57 $ 15.17 See accompanying notes to financial statements. 90 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS MARCH 31, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 42 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.135 % due 04/21/22 $ 55,000,000 $ 54,995,418 0.209 % due 05/19/22 25,000,000 24,991,333 0.351 % due 06/16/22 20,000,000 19,981,634 0.393 % due 07/21/22 12,000,000 11,973,914 0.223 % due 11/03/22 58,000,000 57,646,780 Total short-term U.S. government and agency obligations (cost $ 169,889,115 ) $ 169,589,079 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires April 2022 8,017 $ 188,150,973 $ ( 38,308,680 ) VIX Futures - Cboe, expires May 2022 8,681 216,918,224 ( 4,996,257 ) $ ( 43,304,937 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 91 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 70,709 $ 38,460 Expenses Management fee 705,691 825,460 Brokerage commissions 116,474 172,658 Futures accounts fees 200,657 265,146 Total expenses 1,022,822 1,263,264 Net investment income (loss) ( 952,113 ) ( 1,224,804 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 53,734,127 ( 76,634,593 ) Short-term U.S. government and agency obligations 97 — Net realized gain (loss) 53,734,224 ( 76,634,593 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 13,174,318 ) ( 53,438,914 ) Short-term U.S. government and agency obligations ( 274,063 ) 8,060 Change in net unrealized appreciation (depreciation) ( 13,448,381 ) ( 53,430,854 ) Net realized and unrealized gain (loss) 40,285,843 ( 130,065,447 ) Net income (loss) $ 39,333,730 $ ( 131,290,251 ) See accompanying notes to financial statements. 92 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 269,703,164 $ 293,390,549 Addition of 9,950,000 and 6,331,250 shares, respectively (Note 1) 161,172,915 326,892,710 Redemption of 3,400,000 and 2,287,500 shares, respectively (Note 1) ( 65,259,409 ) ( 139,414,250 ) Net addition (redemption) of 6,550,000 and 4,043,750 shares, respectively (Note 1) 95,913,506 187,478,460 Net investment income (loss) ( 952,113 ) ( 1,224,804 ) Net realized gain (loss) 53,734,224 ( 76,634,593 ) Change in net unrealized appreciation (depreciation) ( 13,448,381 ) ( 53,430,854 ) Net income (loss) 39,333,730 ( 131,290,251 ) Shareholders’ equity, end of period $ 404,950,400 $ 349,578,758 See accompanying notes to financial statements. 93 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ 39,333,730 $ ( 131,290,251 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 167,928,504 ) ( 247,959,463 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 148,999,840 180,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 72,483 ) ( 29,126 ) Net realized (gain) loss on investments ( 97 ) — Change in unrealized (appreciation) depreciation on investments 274,063 ( 8,060 ) Decrease (Increase) in receivable on open futures contracts ( 72,620,028 ) 408,326 Decrease (Increase) in interest receivable 1,774 534 Increase (Decrease) in payable to Sponsor 59,476 73,689 Increase (Decrease) in brokerage commissions and futures account fees payable 19,047 39,399 Increase (Decrease) in payable on open futures contracts ( 2,037,376 ) 2,587,600 Net cash provided by (used in) operating activities ( 53,970,558 ) ( 196,177,352 ) Cash flow from financing activities Proceeds from addition of shares 155,054,067 326,892,710 Payment on shares redeemed ( 65,259,409 ) ( 139,414,250 ) Net cash provided by (used in) financing activities 89,794,658 187,478,460 Net increase (decrease) in cash 35,824,100 ( 8,698,892 ) Cash, beginning of period 115,960,816 206,562,147 Cash, end of period $ 151,784,916 $ 197,863,255 See accompanying notes to financial statements. 94 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF FINANCIAL CONDITION March 31, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 2,872,659,877 and $ 2,505,722,885 , respectively) $ 2,869,108,822 $ 2,505,429,337 Cash 581,016,956 394,413,910 Segregated cash balances with brokers for futures contracts 1,226,733,453 1,010,799,328 Segregated cash balances with brokers for foreign currency forward contracts — 916,000 Segregated cash balances with brokers for swap agreements 275,071,040 2,572,000 Unrealized appreciation on swap agreements 1,181,417 113,159,180 Unrealized appreciation on foreign currency forward contracts 2,513,844 1,457,257 Receivable from capital shares sold 46,461,985 23,475,355 Securities sold receivable 6,195,418 — Receivable on open futures contracts 584,563,167 205,819,074 Interest receivable 1 22,943 Total assets 5,592,846,103 4,258,064,384 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 32,894,304 25,594,902 Payable on open futures contracts 56,668,379 51,142,167 Brokerage commissions and futures account fees payable 588,986 476,241 Payable to Sponsor 4,055,508 3,178,585 Unrealized depreciation on swap agreements 160,246,560 3,391,968 Unrealized depreciation on foreign currency forward contracts 325,796 806,178 Total liabilities 254,779,533 84,590,041 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 5,338,066,570 4,173,474,343 Total liabilities and shareholders’ equity $ 5,592,846,103 $ 4,258,064,384 Shares outstanding (Note 1) 243,148,625 151,164,114 See accompanying notes to financial statements. 95 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2022 2021 Investment Income Interest $ 1,026,882 $ 549,742 Expenses Management fee 10,616,957 12,169,010 Brokerage commissions 1,908,765 2,903,800 Futures account fees 1,804,923 2,853,404 Total expenses 14,330,645 17,926,214 Net investment income (loss) ( 13,303,763 ) ( 17,376,472 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 408,448,775 ( 534,133,804 ) Swap agreements 705,182,989 55,764,481 Foreign currency forward contracts 3,062,506 1,163,291 Short-term U.S. government and agency obligations 227,575 19,761 Net realized gain (loss) 1,116,921,845 ( 477,186,271 ) Change in net unrealized appreciation (depreciation) on Futures contracts 52,639,066 ( 257,111,138 ) Swap agreements ( 268,832,355 ) ( 139,568,146 ) Foreign currency forward contracts 1,536,969 6,725,056 Short-term U.S. government and agency obligations ( 3,257,507 ) 106,285 Change in net unrealized appreciation (depreciation) ( 217,913,827 ) ( 389,847,943 ) Net realized and unrealized gain (loss) 899,008,018 ( 867,034,214 ) Net income (loss) $ 885,704,255 $ ( 884,410,686 ) See accompanying notes to financial statements. 96 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2022 2021 Shareholders’ equity, beginning of period $ 4,173,474,343 $ 4,474,251,414 Addition of 202,260,000 and 43,781,250 shares, respectively (Note 1) 3,082,800,285 3,034,497,796 Redemption of 110,275,489 and 35,372,500 shares, respectively (Note 1) ( 2,803,912,313 ) ( 2,090,134,871 ) Net addition (redemption) of 91,984,511 and 8,408,750 shares, respectively (Note 1) 278,887,972 944,362,925 Net investment income (loss) ( 13,303,763 ) ( 17,376,472 ) Net realized gain (loss) 1,116,921,845 ( 477,186,271 ) Change in net unrealized appreciation (depreciation) ( 217,913,827 ) ( 389,847,943 ) Net income (loss) 885,704,255 ( 884,410,686 ) Shareholders’ equity, end of period $ 5,338,066,570 $ 4,534,203,653 See accompanying notes to financial statements. 97 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2022 2021 Cash flow from operating activities Net income (loss) $ 885,704,255 $ ( 884,410,686 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 3,797,102,540 ) ( 3,414,460,174 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 3,431,442,943 2,422,995,930 Net amortization and accretion on short-term U.S. government and agency obligations ( 1,049,820 ) ( 358,976 ) Net realized (gain) loss on investments ( 227,575 ) ( 19,761 ) Change in unrealized (appreciation) depreciation on investments 270,552,893 132,736,805 Decrease (Increase) in securities sold receivable ( 6,195,418 ) — Decrease (Increase) in receivable on futures contracts ( 378,744,093 ) ( 23,776,916 ) Decrease (Increase) in interest receivable 22,942 ( 105,237 ) Increase (Decrease) in payable to Sponsor 876,923 637,842 Increase (Decrease) in brokerage commissions and futures account fees payable 112,745 397,470 Increase (Decrease) in payable on futures contracts 5,526,212 17,409,669 Increase (Decrease) in securities purchased payable — 38,977,944 Net cash provided by (used in) operating activities 410,919,467 ( 1,709,976,090 ) Cash flow from financing activities Proceeds from addition of shares 3,059,813,655 3,079,449,757 Payment on shares redeemed ( 2,796,612,911 ) ( 2,105,182,292 ) Net cash provided by (used in) financing activities 263,200,744 974,267,465 Net increase (decrease) in cash 674,120,211 ( 735,708,625 ) Cash, beginning of period 1,408,701,238 3,256,463,457 Cash, end of period $ 2,082,821,449 $ 2,520,754,832 See accompanying notes to financial statements. 98 Table of Contents PROSHARES TRUST II NOTES TO FINANCIAL STATEMENTS March 31, 2022 (unaudited) NOTE 1 - ORGANIZATION ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2022, the following eighteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements. The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $ 350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen. Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories. Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation. The Geared Funds do not seek to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g., -0.5x, -1x, -2x, 1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly. Share Splits and Reverse Share Splits The table below includes reverse Share splits for the Funds during the three months March 31, 2022, and during the year ended December 31, 2021. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable. 99 Table of Contents Fund Execution Date (Prior to Opening of Trading) Type of Split Date Trading Resumed at Post- Split Price ProShares Ultra VIX Short-Term Futures ETF May 25, 2021 1-for-10 reverse Share split May 26, 2021 ProShares UltraShort Bloomberg Crude Oil May 25, 2021 1-for-4 reverse Share split May 26, 2021 ProShares UltraShort Silver May 25, 2021 1-for-4 reverse Share split May 26, 2021 ProShares VIX Short-Term Futures ETF May 25, 2021 1-for-4 reverse Share split May 26, 2021 ProShares UltraShort Bloomberg Natural Gas January 13, 2022 1-for-5 reverse Share split January 14, 2022 The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split. NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2021, as filed with the SEC on February 25, 2022. Use of Estimates & Indemnifications The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant loss to be remote. Basis of Presentation Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund. Statements of Cash Flows The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated March 31, 2022 and 2021, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments. 100 Table of Contents Final Net Asset Value for Fiscal Period The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 2022 were typically as follows. All times are Eastern Standard Time: Fund Create/Redeem Cut-off* NAV Calculation Time NAV Calculation Date Ultra Silver and UltraShort Silver 1:00 p.m. 1:25 p.m. March 31, 2022 Ultra Gold and UltraShort Gold 1:00 p.m. 1:30 p.m. March 31, 2022 Ultra Bloomberg Crude Oil, Ultra Bloomberg Natural Gas, UltraShort Bloomberg Crude Oil and UltraShort Bloomberg Natural Gas 2:00 p.m. 2:30 p.m. March 31, 2022 Short Euro, Ultra Euro, Ultra Yen, UltraShort Australian Dollar, UltraShort Euro and UltraShort Yen 3:00 p.m. 4:00 p.m. March 31, 2022 Short VIX Short-Term Futures ETF, Ultra VIX Short-Term Futures ETF, VIX Mid-Term Futures ETF and VIX Short-Term Futures ETF 2:00 p.m. 4:00 p.m. March 31, 2022 * Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 2022. Market value per Share is determined at the close of the applicable primary listing exchange and may be from when the Funds’ NAV per Share is calculated. For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended March 31, 2022. Investment Valuation Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy. Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity 101 Table of Contents and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy. Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements. Fair Value of Financial Instruments The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows: Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date. Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs). Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety. Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly. The following table summarizes the valuation of investments at March 31, 2022 using the fair value hierarchy: Level I - Quoted Prices Level II - Other Significant Observable Inputs Fund Short-Term U.S. Government and Agencies Futures Contracts * Foreign Currency Forward Contracts Swap Agreements Total ProShares Short Euro $ — $ 2,656 $ — $ — $ 2,656 ProShares Short VIX Short-Term Futures ETF 180,357,257 35,984,462 — — 216,341,719 ProShares Ultra Bloomberg Crude Oil 1,016,050,654 245,591,163 — ( 128,285,274 ) 1,133,356,543 ProShares Ultra Bloomberg Natural Gas 95,749,617 76,824,603 — — 172,574,220 ProShares Ultra Euro 4,685,054 — ( 50,318 ) — 4,634,736 ProShares Ultra Gold 298,473,849 ( 7,245,013 ) — ( 8,110,556 ) 283,118,280 ProShares Ultra Silver 465,290,460 9,192,378 — ( 23,850,730 ) 450,632,108 102 Table of Contents ProShares Ultra VIX Short-Term Futures ETF $ 193,118,875 $ ( 161,212,660 ) $ — $ — $ 31,906,215 ProShares Ultra Yen 993,910 — ( 231,651 ) — 762,259 ProShares UltraShort Australian Dollar — ( 96,657 ) — — ( 96,657 ) ProShares UltraShort Bloomberg Crude Oil 172,675,022 ( 6,293,470 ) — — 166,381,552 ProShares UltraShort Bloomberg Natural Gas 109,627,801 ( 74,095,907 ) — — 35,531,894 ProShares UltraShort Euro 41,892,032 — 134,035 — 42,026,067 ProShares UltraShort Gold 21,937,571 325,987 — 908,323 23,171,881 ProShares UltraShort Silver 13,910,829 267,147 — 273,094 14,451,070 ProShares UltraShort Yen 20,954,357 — 2,335,982 — 23,290,339 ProShares VIX Mid-Term Futures ETF 63,802,455 ( 959,563 ) — — 62,842,892 ProShares VIX Short-Term Futures ETF 169,589,079 ( 43,304,937 ) — — 126,284,142 Combined Trust: $ 2,869,108,822 $ 74,980,189 $ 2,188,048 $ ( 159,065,143 ) $ 2,787,211,916 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities. The following table summarizes the valuation of investments at December 31, 2021 using the fair value hierarchy: Level I - Quoted Prices Level II - Other Significant Observable Inputs Fund Short-Term U.S. Government and Agencies Futures Contracts * Foreign Currency Forward Contracts Swap Agreements Total ProShares Short Euro $ — $ ( 5,400 ) $ — $ — $ ( 5,400 ) ProShares Short VIX Short-Term Futures ETF 147,815,719 31,275,278 — — 179,090,997 ProShares Ultra Bloomberg Crude Oil 848,757,567 147,455,525 — 63,928,293 1,060,141,385 ProShares Ultra Bloomberg Natural Gas 90,922,438 ( 8,206,161 ) — — 82,716,277 ProShares Ultra Euro 997,678 — 82,652 — 1,080,330 ProShares Ultra Gold 207,956,320 654,894 — 8,639,188 217,250,402 ProShares Ultra Silver 451,872,982 2,506,545 — 40,591,699 494,971,226 ProShares Ultra VIX Short-Term Futures ETF 221,660,593 ( 126,356,757 ) — ( 477,437 ) 94,826,399 ProShares Ultra Yen — — ( 93,112 ) — ( 93,112 ) ProShares UltraShort Australian Dollar 1,999,875 ( 65,155 ) — — 1,934,720 ProShares UltraShort Bloomberg Crude Oil 55,916,023 ( 8,409,462 ) — — 47,506,561 ProShares UltraShort Bloomberg Natural Gas 123,821,548 13,436,251 — — 137,257,799 ProShares UltraShort Euro 46,961,125 — ( 208,041 ) — 46,753,084 ProShares UltraShort Gold 25,980,516 158,079 — ( 993,117 ) 25,145,478 ProShares UltraShort Silver 22,994,261 652,493 — ( 1,921,414 ) 21,725,340 ProShares UltraShort Yen 20,987,825 — 869,580 — 21,857,405 ProShares VIX Mid-Term Futures ETF 85,922,969 ( 624,388 ) — — 85,298,581 ProShares VIX Short-Term Futures ETF 150,861,898 ( 30,130,619 ) — — 120,731,279 Combined Trust: $ 2,505,429,337 $ 22,341,123 $ 651,079 $ 109,767,212 $ 2,638,188,751 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. There were no transfers into or out of Level 3 for the fiscal year end. 103 Table of Contents The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities. Investment Transactions and Related Income Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations. Brokerage Commissions and Futures Account Fees Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02 % of the Matching VIX Fund’s average net assets annually. Federal Income Tax Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year. Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof. NOTE 3 – INVESTMENTS Short-Term Investments The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. 104 Table of Contents Accounting for Derivative Instruments In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective. All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period. Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type. Futures Contracts The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract. Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction. Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market. Option Contracts An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that 105 Table of Contents may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value. When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed. Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless. Over-the-counter options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The over-the-counter market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss. Each Oil Fund (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance. Swap Agreements Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position. Swap agreements are two-party contracts that have traditionally been entered into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments. 106 Table of Contents Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset. Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques. Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at March 31, 2022 contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount. The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag 107 Table of Contents between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. Forward Contracts Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements. The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at a third party custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin. A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor. 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’ 108 Table of Contents performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period. Fair Value of Derivative Instruments as of March 31, 2022 Asset Derivatives Liability Derivatives Derivatives Not 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 $ 35,984,462 * $ — ProShares Ultra VIX Short-Term Futures ETF — 161,212,660 * ProShares VIX Mid-Term Futures ETF 269,090 * 1,228,653 * ProShares VIX Short-Term Futures ETF — 43,304,937 * Commodities Contracts Receivables on open futures contracts and/or unrealized appreciation on swap agreements Payable on open futures contracts and/or unrealized depreciation on swap agreements ProShares Ultra Bloomberg Crude Oil 245,591,163 * 128,285,274 * ProShares Ultra Bloomberg Natural Gas 76,824,603 * — ProShares Ultra Gold — 15,355,569 * ProShares Ultra Silver 9,192,378 * 23,850,730 * ProShares UltraShort Bloomberg Crude Oil 116,312 * 6,409,782 * ProShares UltraShort Bloomberg Natural Gas — 74,095,907 * ProShares UltraShort Gold 1,234,310 * — ProShares UltraShort Silver 733,630 * 193,389 * Foreign Exchange Contracts Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts ProShares Short Euro 2,656 * — ProShares Ultra Euro — 50,318 ProShares Ultra Yen 7,119 238,770 ProShares UltraShort Australian Dollar — 96,657 * ProShares UltraShort Euro 134,035 — ProShares UltraShort Yen 2,372,690 36,708 Combined Trust: $ 372,462,448 * $ 454,359,354 * * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. 109 Table of Contents Fair Value of Derivative Instruments as of December 31, 2021 Asset Derivatives Liability Derivatives Derivatives Not 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 $ 31,275,278 * $ — ProShares Ultra VIX Short-Term Futures ETF — 126,834,194 * ProShares VIX Mid-Term Futures ETF 642,035 * 1,266,423 * ProShares VIX Short-Term Futures ETF — 30,130,619 * Commodities Contracts Receivables on open futures contracts and/or unrealized appreciation on swap agreements Payable on open futures contracts and/or unrealized depreciation on swap agreements ProShares Ultra Bloomberg Crude Oil 211,383,818 * — ProShares Ultra Bloomberg Natural Gas — 8,206,161 * ProShares Ultra Gold 9,294,082 * — ProShares Ultra Silver 43,098,244 * — ProShares UltraShort Bloomberg Crude Oil 549,283 * 8,958,745 * ProShares UltraShort Bloomberg Natural Gas 13,436,251 * — ProShares UltraShort Gold 158,079 * 993,117 * ProShares UltraShort Silver 652,493 * 1,921,414 * Foreign Exchange Contracts Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts ProShares Short Euro — 5,400 * ProShares Ultra Euro 84,150 1,498 ProShares Ultra Yen 821 93,933 ProShares UltraShort Australian Dollar — 65,155 * ProShares UltraShort Euro 135,118 343,159 ProShares UltraShort Yen 1,237,168 367,588 Combined Trust: $ 311,946,820 * $ 179,187,406 * * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. 110 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the three months ended March 31, 2022 Derivatives Not Accounted 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 $ ( 41,100,614 ) $ 4,709,184 ProShares Ultra VIX Short-Term Futures ETF 280,994,684 ( 34,378,466 ) ProShares VIX Mid-Term Futures ETF 4,791,833 ( 335,175 ) ProShares VIX Short-Term Futures ETF 53,734,127 ( 13,174,318 ) Commodities Contracts Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements ProShares Ultra Bloomberg Crude Oil 799,423,070 ( 94,077,929 ) ProShares Ultra Bloomberg Natural Gas 76,220,688 85,030,764 ProShares Ultra Gold 57,818,596 ( 24,649,651 ) ProShares Ultra Silver 116,637,027 ( 57,756,596 ) ProShares UltraShort Bloomberg Crude Oil ( 106,482,101 ) 2,115,992 ProShares UltraShort Bloomberg Natural Gas ( 114,665,698 ) ( 87,532,158 ) ProShares UltraShort Gold ( 6,308,673 ) 2,069,348 ProShares UltraShort Silver ( 7,373,746 ) 1,809,162 Foreign Exchange Contracts Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts ProShares Short Euro 59,419 8,056 ProShares Ultra Euro ( 441,030 ) ( 132,970 ) ProShares Ultra Yen ( 118,771 ) ( 138,539 ) ProShares UltraShort Australian Dollar ( 116,848 ) ( 31,502 ) ProShares UltraShort Euro 2,542,134 342,076 ProShares UltraShort Yen 1,080,173 1,466,402 Combined Trust: $ 1,116,694,270 $ ( 214,656,320 ) 111 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the three months ended March 31, 2021 Derivatives Not Accounted 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 Foreign Exchange Contracts Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts ProShares Short Euro 69,393 78,554 ProShares Ultra Euro ( 27,342 ) ( 311,140 ) ProShares Ultra Yen ( 139,467 ) ( 256,089 ) ProShares UltraShort Australian Dollar ( 164,544 ) 206,052 ProShares UltraShort Euro 70,527 4,391,397 ProShares UltraShort Yen 1,259,573 2,900,888 Combined Trust: $ ( 477,206,032 ) $ ( 389,954,228 ) 112 Table of Contents Offsetting Assets and Liabilities Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of March 31, 2022. 113 Table of Contents Fair Values of Derivative Instruments as of March 31, 2022 Assets Liabilities Fund Gross Amounts 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 $ — $ — $ — $ 128,285,274 $ — $ 128,285,274 ProShares Ultra Euro Foreign currency forward contracts — — — 50,318 — 50,318 ProShares Ultra Gold Swap agreements — — — 8,110,556 — 8,110,556 ProShares Ultra Silver Swap agreements — — — 23,850,730 — 23,850,730 ProShares Ultra Yen Foreign currency forward contracts 7,119 — 7,119 238,770 — 238,770 ProShares UltraShort Euro Foreign currency forward contracts 134,035 — 134,035 — — — ProShares UltraShort Gold Swap agreements 908,323 — 908,323 — — — ProShares UltraShort Silver Swap agreements 273,094 — 273,094 — — — ProShares UltraShort Yen Foreign currency forward contracts 2,372,690 — 2,372,690 36,708 — 36,708 Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2022. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”. 114 Table of Contents Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2022 Fund Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition Financial Instruments for the Benefit of (the Funds) / the Counterparties Cash Collateral for the Benefit of (the Funds) / the Counterparties Net Amount ProShares Ultra Bloomberg Crude Oil Citibank, N.A. $ ( 18,119,250 ) $ — $ 18,119,250 $ — Goldman Sachs International ( 36,248,743 ) 28,534,743 7,714,000 — Morgan Stanley & Co. International PLC ( 31,383,289 ) 31,383,289 — — Societe Generale ( 17,086,634 ) 17,086,634 — — UBS AG ( 25,447,358 ) — 25,447,358 — ProShares Ultra Euro Goldman Sachs International ( 7,961 ) 7,961 — — UBS AG ( 42,357 ) 42,357 — — ProShares Ultra Gold Citibank, N.A. ( 2,792,482 ) — 2,792,482 — Goldman Sachs International ( 2,413,156 ) 625,156 1,788,000 — UBS AG ( 2,904,918 ) 2,904,918 — — ProShares Ultra Silver Citibank, N.A. ( 7,141,286 ) — 7,141,286 — Goldman Sachs International ( 5,875,157 ) — 5,875,157 — Morgan Stanley & Co. International PLC ( 5,474,180 ) 5,474,180 — — UBS AG ( 5,360,107 ) — 5,360,107 — ProShares Ultra Yen Goldman Sachs International ( 140,970 ) 140,970 — — UBS AG ( 90,861 ) — — ( 90,861 ) ProShares UltraShort Euro Goldman Sachs International 83,304 — — 83,304 UBS AG 50,731 — — 50,731 ProShares UltraShort Gold Citibank, N.A. 372,654 — — 372,654 Goldman Sachs International 244,146 ( 244,146 ) — — UBS AG 291,523 — ( 291,523 ) — ProShares UltraShort Silver Citibank, N.A. ( 193,389 ) 193,389 — — Goldman Sachs International 259,041 ( 259,041 ) — — Morgan Stanley & Co. International PLC 204,525 — ( 204,525 ) — UBS AG 2,917 — — 2,917 ProShares UltraShort Yen Goldman Sachs International 748,238 ( 748,238 ) — — UBS AG 1,587,744 — ( 1,587,744 ) — 115 Table of Contents The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2021: Fair Values of Derivative Instruments as of December 31, 2021 Assets Liabilities Fund Gross Amounts 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 $ 63,928,293 $ — $ 63,928,293 $ — $ — $ — ProShares Ultra Euro Foreign currency forward contracts 84,150 — 84,150 1,498 — 1,498 ProShares Ultra Gold Swap agreements 8,639,188 — 8,639,188 — — — ProShares Ultra Silver Swap agreements 40,591,699 — 40,591,699 — — — ProShares Ultra VIX Short-Term Futures ETF Swap agreements — — — 477,437 — 477,437 ProShares Ultra Yen Foreign currency forward contracts 821 — 821 93,933 — 93,933 ProShares UltraShort Euro Foreign currency forward contracts 135,118 — 135,118 343,159 — 343,159 ProShares UltraShort Gold Swap agreements — — — 993,117 — 993,117 ProShares UltraShort Silver Swap agreements — — — 1,921,414 — 1,921,414 ProShares UltraShort Yen Foreign currency forward contracts 1,237,168 — 1,237,168 367,588 — 367,588 Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2021. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”. 116 Table of Contents Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2021 Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition Financial Instruments for the Benefit of (the Funds) / the Counterparties Cash Collateral for the Benefit of (the Funds) / the Counterparties Net Amount ProShares Ultra Bloomberg Crude Oil Citibank, N.A. $ 9,839,441 $ — $ ( 9,839,441 ) $ — Goldman Sachs International 13,920,431 ( 13,889,225 ) ( 31,206 ) — Morgan Stanley & Co. International PLC 17,042,319 — ( 17,042,319 ) — Societe Generale 9,295,046 ( 9,292,398 ) ( 2,648 ) — UBS AG 13,831,056 — ( 13,831,056 ) — ProShares Ultra Euro Goldman Sachs International 10,301 — — 10,301 UBS AG 72,351 — — 72,351 ProShares Ultra Gold Citibank, N.A. 2,974,490 — ( 2,100,000 ) 874,490 Goldman Sachs International 2,570,443 ( 1,877,749 ) ( 250 ) 692,444 UBS AG 3,094,255 — ( 2,180,000 ) 914,255 ProShares Ultra Silver Citibank, N.A. 10,785,304 — ( 7,890,000 ) 2,895,304 Goldman Sachs International 10,781,897 ( 8,181,572 ) ( 5,925 ) 2,594,400 Morgan Stanley & Co. International PLC 10,046,034 — ( 7,306,000 ) 2,740,034 UBS AG 8,978,464 — ( 6,570,000 ) 2,408,464 ProShares Ultra VIX Short-Term Futures ETF Goldman Sachs & Co. ( 477,437 ) — — ( 477,437 ) ProShares Ultra Yen Goldman Sachs International ( 54,919 ) — 54,919 — UBS AG ( 38,193 ) — — ( 38,193 ) ProShares UltraShort Euro Goldman Sachs International ( 83,325 ) 83,325 — — UBS AG ( 124,716 ) 124,716 — — ProShares UltraShort Gold Citibank, N.A. ( 407,735 ) 407,735 — — Goldman Sachs International ( 266,413 ) 266,413 — — UBS AG ( 318,969 ) 318,969 — — ProShares UltraShort Silver Citibank, N.A. ( 367,632 ) 367,632 — — Goldman Sachs International ( 486,710 ) 368,710 118,000 — Morgan Stanley & Co. International PLC ( 385,104 ) — 385,104 — UBS AG ( 681,968 ) 681,968 — — ProShares UltraShort Yen Goldman Sachs International 312,169 ( 302,523 ) — 9,646 UBS AG 557,411 — ( 520,000 ) 37,411 NOTE 4 – AGREEMENTS Management Fee Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95 % per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85 % per annum of its average daily NAV of such Fund. The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to, (i) the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, accounting and auditing fees and expenses, (ii) any Index licensors for the Funds; and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations. Fees associated with a Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $ 100,000 per annum, ongoing SEC registration fees not exceeding 0.021 % per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10 % per annum of the net assets of a Fund, and report preparation and mailing expenses. Non-Recurring Fees and Expenses Each Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds. 117 Table of Contents The Administrator BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds. The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor. The Custodian BNY Mellon serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor. The Transfer Agent BNY Mellon serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor. The Distributor SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds. NOTE 5 – CREATION AND REDEMPTION OF CREATION UNITS Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts. Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors. Transaction Fees on Creation and Redemption Transactions The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date. Authorized Participants may pay a fixed transaction fee (typically $ 250 ) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for 118 Table of Contents services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10 % (and a variable transaction fee to the Matching VIX Funds of 0.05 %) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market. Transaction fees for the three months ended March 31, 2022 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows: Fund Three Months Ended March 31, 2022 ProShares Short Euro $ — ProShares Short VIX Short-Term Futures ETF 60,144 ProShares Ultra Bloomberg Crude Oil — ProShares Ultra Bloomberg Natural Gas — ProShares Ultra Euro — ProShares Ultra Gold — ProShares Ultra Silver — ProShares Ultra VIX Short-Term Futures ETF 1,226,762 ProShares Ultra Yen — ProShares UltraShort Australian Dollar — ProShares UltraShort Bloomberg Crude Oil — ProShares UltraShort Bloomberg Natural Gas — ProShares UltraShort Euro — ProShares UltraShort Gold — ProShares UltraShort Silver — ProShares UltraShort Yen — ProShares VIX Mid-Term Futures ETF 18,967 ProShares VIX Short-Term Futures ETF 100,970 Combined Trust: $ 1,406,843 119 Table of Contents NOTE 7 – FINANCIAL HIGHLIGHTS 120 Table of Contents Selected Data for a Share Outstanding Throughout the Three Months Ended March 31, 2022 For the Three Months Ended March 31, 2022 (unaudited) Per Share Operating 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, 2021 $ 44.91 $ 61.56 $ 86.16 $ 25.55 $ 13.32 $ 59.69 Net investment income (loss) ( 0.11 ) ( 0.17 ) ( 0.31 ) ( 0.11 ) ( 0.02 ) ( 0.14 ) Net realized and unrealized gain (loss)# 1.43 ( 6.84 ) 65.89 30.62 ( 0.83 ) 7.44 Change in net asset value from operations 1.32 ( 7.01 ) 65.58 30.51 ( 0.85 ) 7.30 Net asset value, at March 31, 2022 $ 46.23 $ 54.55 $ 151.74 $ 56.06 $ 12.47 $ 66.99 Market value per share, at December 31, 2021 † $ 44.92 $ 61.55 $ 86.78 $ 26.09 $ 13.33 $ 59.81 Market value per share, at March 31, 2022 † $ 46.18 $ 54.56 $ 153.30 $ 56.31 $ 12.46 $ 66.14 Total Return, at net asset value^ 2.9 % ( 11.4 )% 76.1 % 119.4 % ( 6.4 )% 12.2 % Total Return, at market value^ 2.8 % ( 11.4 )% 76.7 % 115.8 % ( 6.5 )% 10.6 % Ratios to Average Net Assets** Expense ratio^^ 0.97 % 1.34 % 1.09 % 1.33 % 0.95 % 1.01 % Net investment income gain (loss) ( 0.98 )% ( 1.25 )% ( 0.99 )% ( 1.23 )% ( 0.74 )% ( 0.87 )% ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended March 31, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. 121 Table of Contents For the Three Months Ended March 31, 2022 (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, 2021 $ 34.84 $ 12.41 $ 47.29 $ 48.25 $ 12.85 $ 61.85 Net investment income (loss) ( 0.08 ) ( 0.07 ) ( 0.09 ) ( 0.12 ) ( 0.02 ) ( 0.11 ) Net realized and unrealized gain (loss)# 4.30 1.16 ( 5.18 ) ( 2.87 ) ( 7.00 ) ( 45.56 ) Change in net asset value from operations 4.22 1.09 ( 5.27 ) ( 2.99 ) ( 7.02 ) ( 45.67 ) Net asset value, at March 31, 2022 $ 39.06 $ 13.50 $ 42.02 $ 45.26 $ 5.83 $ 16.18 Market value per share, at December 31, 2021 † $ 34.74 $ 12.43 $ 47.29 $ 48.41 $ 12.75 $ 60.55 Market value per share, at March 31, 2022 † $ 38.53 $ 13.46 $ 42.09 $ 45.35 $ 5.79 $ 16.14 Total Return, at net asset value^ 12.1 % 8.8 % ( 11.1 )% ( 6.2 )% ( 54.6 )% ( 73.9 )% Total Return, at market value^ 10.9 % 8.3 % ( 11.0 )% ( 6.3 )% ( 54.6 )% ( 73.4 )% Ratios to Average Net Assets** Expense ratio^^ 0.99 % 1.78 % 0.95 % 1.03 % 1.24 % 1.56 % Net investment income gain (loss) ( 0.88 )% ( 1.73 )% ( 0.80 )% ( 1.01 )% ( 1.13 )% ( 1.46 )% * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended March 31, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. 122 Table of Contents For the Three Months Ended March 31, 2022 (unaudited) Per Share Operating 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, 2021 $ 25.84 $ 31.71 $ 26.77 $ 83.00 $ 30.61 $ 15.12 Net investment income (loss) ( 0.05 ) ( 0.06 ) ( 0.06 ) ( 0.17 ) ( 0.08 ) ( 0.05 ) Net realized and unrealized gain (loss)# 1.51 ( 4.42 ) ( 5.26 ) 9.81 0.92 1.54 Change in net asset value from operations 1.46 ( 4.48 ) ( 5.32 ) 9.64 0.84 1.49 Net asset value, at March 31, 2022 $ 27.30 $ 27.23 $ 21.45 $ 92.64 $ 31.45 $ 16.61 Market value per share, at December 31, 2021 † $ 25.86 $ 31.66 $ 26.84 $ 82.99 $ 30.57 $ 15.17 Market value per share, at March 31, 2022 † $ 27.31 $ 27.61 $ 21.78 $ 92.73 $ 31.50 $ 16.57 Total Return, at net asset value^ 5.6 % ( 14.1 )% ( 19.9 )% 11.6 % 2.7 % 9.9 % Total Return, at market value^ 5.6 % ( 12.8 )% ( 18.9 )% 11.7 % 3.0 % 9.2 % Ratios to Average Net Assets** Expense ratio^^ 0.95 % 1.02 % 1.08 % 0.95 % 1.09 % 1.23 % Net investment income gain (loss) ( 0.83 )% ( 0.88 )% ( 0.94 )% ( 0.80 )% ( 0.99 )% ( 1.15 )% * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended March 31, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded. 123 Table of Contents Selected Data for a Share Outstanding Throughout the Three Months Ended March 31, 2021 For the Three Months Ended March 31, 2021 (unaudited) Per Share Operating 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 % Net investment income gain (loss) ( 0.91 )% ( 1.31 )% ( 1.04 )% ( 1.55 )% ( 0.90 )% ( 0.97 )% ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended March 31, 2021. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. 124 Table of Contents For the Three Months Ended March 31, 2021 (unaudited) Per Share Operating 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 $ 106.68 $ 59.83 $ 44.45 $ 46.45 $ 237.96 Net investment income (loss) ( 0.12 ) ( 0.40 ) ( 0.13 ) ( 0.11 ) ( 0.10 ) ( 0.72 ) Net realized and unrealized gain (loss)# ( 9.24 ) ( 49.96 ) ( 7.92 ) 0.84 ( 17.55 ) ( 41.56 ) Change in net asset value from operations ( 9.36 ) ( 50.36 ) ( 8.05 ) 0.73 ( 17.65 ) ( 42.28 ) Net asset value, at March 31, 2021 $ 41.35 $ 56.32 $ 51.78 $ 45.18 $ 28.80 $ 195.68 Market value per share, at December 31, 2020 † $ 51.28 $ 106.50 $ 59.82 $ 43.89 $ 46.56 $ 236.90 Market value per share, at March 31, 2021 † $ 41.10 $ 56.50 $ 51.78 $ 45.19 $ 28.60 $ 196.60 Total Return, at net asset value^ ( 18.5 )% ( 47.2 )% ( 13.4 )% 1.6 % ( 38.0 )% ( 17.8 )% Total Return, at market value^ ( 19.9 )% ( 47.0 )% ( 13.5 )% 3.0 % ( 38.6 )% ( 17.0 )% Ratios to Average Net Assets** Expense ratio^^ 1.07 % 1.77 % 0.95 % 1.02 % 1.34 % 1.60 % Net investment income gain (loss) ( 1.02 )% ( 1.75 )% ( 0.90 )% ( 0.97 )% ( 1.29 )% ( 1.55 )% * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended March 31, 2021. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. 125 Table of Contents For the Three Months Ended March 31, 2021 (unaudited) Per Share Operating 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 $ 27.73 $ 67.83 $ 36.73 $ 55.03 Net investment income (loss) ( 0.05 ) ( 0.09 ) ( 0.07 ) ( 0.16 ) ( 0.09 ) ( 0.16 ) Net realized and unrealized gain (loss)# 1.93 6.26 0.26 10.06 ( 1.90 ) ( 17.58 ) Change in net asset value from operations 1.88 6.17 0.19 9.90 ( 1.99 ) ( 17.74 ) Net asset value, at March 31, 2021 $ 24.41 $ 37.60 $ 27.92 $ 77.73 $ 34.74 $ 37.29 Market value per share, at December 31, 2020 † $ 22.52 $ 31.14 $ 27.40 $ 67.81 $ 36.70 $ 54.96 Market value per share, at March 31, 2021 † $ 24.42 $ 37.89 $ 28.04 $ 77.75 $ 35.06 $ 37.40 Total Return, at net asset value^ 8.4 % 19.6 % 0.7 % 14.7 % ( 5.4 )% ( 32.3 )% Total Return, at market value^ 8.4 % 21.7 % 2.3 % 14.6 % ( 4.5 )% ( 32.0 )% Ratios to Average Net Assets** Expense ratio^^ 0.95 % 1.07 % 1.15 % 0.95 % 1.03 % 1.30 % Net investment income gain (loss) ( 0.90 )% ( 1.03 )% ( 1.11 )% ( 0.90 )% ( 0.98 )% ( 1.26 )% * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended March 31, 2021. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. 126 Table of Contents NOTE 7 – RISK Correlation and Compounding Risk The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from one-half the inverse (-0.5x), the inverse (-1x), two times the inverse (-2x), one and one-half times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the period. A Geared Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short or UltraShort), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Geared Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Geared Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective over time. Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and one-half or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of an UltraShort Fund is designed to return two times the inverse (-2x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark. A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -0.5x, -1x, -2x, 1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day. 127 Table of Contents Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks. Counterparty Risk Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks. Regulatory Treatment Derivatives are generally traded in OTC markets and are subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities). Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions. As noted, the CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants. Counterparty Credit Risk The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of OTC derivatives, the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to OTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline. The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions. OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the 128 Table of Contents agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day. In addition, cleared derivatives benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss. The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com. Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law. The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund. Leverage Risk The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day. For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and one-half times multiplier) include a two times the inverse (-2x), or a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50 % at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund or upward single-day or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times. Liquidity Risk Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated. 129 Table of Contents “Contango” and “Backwardation” Risk In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2019 may specify a January 2020 expiration. As that contract nears expiration, it may be replaced by selling the January 2020 contract and purchasing the contract expiring in March 2020. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2020 contract would take place at a price that is higher than the price at which the March 2020 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds. Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds. Gold and silver have historically exhibited persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly. There have been times where WTI crude oil futures contracts experience “extraordinary contango or extraordinary backwardation”. For example, in April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. Conversely, investors in an UltraShort Fund could suffer significant losses or lose their entire investment if prices reversed or were subject to extraordinary backwardation. The effects of rolling futures contracts under extraordinary contango or backwardation market conditions generally are more exaggerated than rolling futures contracts under more typical contango or backwardation market conditions. Either scenario may result in significant losses. Change to Investment Strategies Following this portfolio transition each Oil Fund has exposure to WTI crude oil futures contracts that are not included in the current benchmark. The performance of each Fund should not be expected to correspond to two times (2x), or two times the inverse (-2x), as applicable, of the daily performance of its current benchmark. Each Fund’s performance could differ significantly from its stated investment objective. In addition, to the extent an Oil Fund has exposure to longer-dated crude oil futures contracts or other Financial Instruments, the performance of the Fund should be expected to deviate to a greater extent from the “spot” price of crude oil than if the Fund had exposure to shorter-dated futures contracts or Financial Instruments. For these and other reasons, the Oil Funds should be expected to perform very differently from the spot price of crude oil and may underperform investments that are linked to the “spot” price of crude oil. Change to the Oil Funds Benchmark Index Description of the New Benchmark The New Benchmark aims to track the performance of three separate contract schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in March and September. At each reset date, one-third of the New Benchmark is designated to follow a monthly roll schedule. Each month this portion of the New Benchmark rolls from the current futures contract (called “Lead” by Bloomberg, and which expires one month out) 130 Table of Contents into the following month’s contract (called “Next” by Bloomberg and which expires two months out). The second portion of the New Benchmark is always designated to be in a June contract, and follows an annual roll schedule in March of each year in which the June contract expiring in the current year is rolled into the June contract expiring the following year. The remaining portion is always designated to be in a December contract, and follows an annual roll schedule in September of each year in which the December contract expiring in the current year is rolled into the December contract expiring the following year. The weighting (i.e., percentage) of each of the three contract schedules included in the New Benchmark fluctuates above or below one-third between the semi-annual reset dates due to changing futures prices and the impact of rolling the futures positions. As a result, the weighting of each contract in the New Benchmark will “drift” away from equal weighting. The New Benchmark reflects the cost of rolling the futures contracts included in the New Benchmark, without regard to income earned on cash positions. The New Benchmark is not linked to the “spot” price of WTI crude oil. The methodology for determining the composition of the New Benchmark and for calculating its level may be changed at any time by Bloomberg without notice. The daily performance of the New Benchmark is published by Bloomberg Finance L.P. and is available under the Bloomberg ticker symbol: BCBCLI Index. Natural Disaster/Epidemic Risk Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your investment. Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. Contemporaneous with the onset of the COVID-19 pandemic in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil. This led to an oversupply of crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts. In April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. The futures contracts held by the Funds may experience a period of extraordinary contango in the future. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and can result in significant losses. These and other global economic shocks as a result of the COVID-19 pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses. 131 Table of Contents NOTE 8 – SUBSEQUENT EVENTS Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date. On March 11, 2022, ProShare Capital Management LLC announced that it plans to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidating funds”. The last day the liquidating funds will accept creation and redemption orders is May 2, 2022. Trading in the liquidating funds will be halted prior to market open on May 3, 2022. Beginning on May 3, 2022, the funds will not be traded on their respective exchanges, and there will be no secondary market for fund shares. On or about May 3, 2022, the funds will begin the process of liquidating their portfolios and will no longer be managed in accordance with their investment objectives. Any shareholders remaining in the liquidating funds will have their shares redeemed at net asset value on or about May 12, 2022.