ProShares Trust II 10-Q

10-Q Table of Contents UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q ☒ Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended June 30, 2022 . or ☐ Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from to . Commission file number: 001-34200 PROSHARES TRUST II (Exact name of registrant as specified in its charter) Delaware 87-6284802 (State or other jurisdiction of incorporation or organization) (I.R.S. Employer Identification No.) c/o ProShare Capital Management LLC 7272 Wisconsin Avenue , 21 st Floor Bethesda , Maryland 20814 (Address of principal executive offices) (Zip Code) ( 240 ) 497 - 6400 (Registrant’s telephone number, including area code) Securities registered pursuant to Section 12(b) of the Act: Title of each class Trading Symbol(s) Name of each exchange on which registered ProShares Short VIX Short-Term Futures ETF SVXY Cboe BZX Exchange ProShares Ultra Bloomberg Crude Oil UCO NYSE Arca ProShares Ultra Bloomberg Natural Gas BOIL NYSE Arca ProShares Ultra Euro ULE NYSE Arca ProShares Ultra Gold UGL NYSE Arca ProShares Ultra Silver AGQ NYSE Arca ProShares Ultra VIX Short-Term Futures ETF UVXY Cboe BZX Exchange ProShares Ultra Yen YCL NYSE Arca ProShares UltraShort Bloomberg Crude Oil SCO NYSE Arca ProShares UltraShort Bloomberg Natural Gas KOLD NYSE Arca ProShares UltraShort Euro EUO NYSE Arca ProShares UltraShort Gold GLL NYSE Arca ProShares UltraShort Silver ZSL NYSE Arca ProShares UltraShort Yen YCS NYSE Arca ProShares VIX Mid-Term Futures ETF VIXM Cboe BZX Exchange ProShares VIX Short-Term Futures ETF VIXY Cboe BZX Exchange Securities registered pursuant to Section 12(g) of the Act: None Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act. Large Accelerated Filer ☒ Accelerated Filer ☐ Non-Accelerated Filer ☐ Smaller Reporting Company ☐ Emerging Growth Company ☐ If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐ Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act.). ☐ Yes ☒ No Indicate by check mark whether the registrant has filed all documents and reports required to be filed by Sections 12, 13 or 15(d) of the Securities Exchange Act of 1934 subsequent to the distribution of securities under a plan confirmed by a court. ☒ Yes ☐ No As of August 2, 2022, the registrant had 260,819,037 shares of common stock, $0 par value per share, outstanding. Table of Contents PROSHARES TRUST II Table of Contents Page Part I. FINANCIAL INFORMATION Item 1. Financial Statements 1 Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 125 Item 3. Quantitative and Qualitative Disclosures About Market Risk 173 Item 4. Controls and Procedures 187 Part II. OTHER INFORMATION Item 1. Legal Proceedings 189 Item 1A. Risk Factors 189 Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 191 Item 3. Defaults Upon Senior Securities 193 Item 4. Mine Safety Disclosures 193 Item 5. Other Information 193 Item 6. Exhibits 194 Table of Contents Part I. FINANCIAL INFORMATION Item 1. Financial Statements. Index Documents Page Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows: ProShares Short VIX Short-Term Futures ETF 2 ProShares Ultra Bloomberg Crude Oil 7 ProShares Ultra Bloomberg Natural Gas 12 ProShares Ultra Euro 17 ProShares Ultra Gold 22 ProShares Ultra Silver 27 ProShares Ultra VIX Short-Term Futures ETF 32 ProShares Ultra Yen 37 ProShares UltraShort Bloomberg Crude Oil 42 ProShares UltraShort Bloomberg Natural Gas 47 ProShares UltraShort Euro 52 ProShares UltraShort Gold 57 ProShares UltraShort Silver 62 ProShares UltraShort Yen 67 ProShares VIX Mid-Term Futures ETF 72 ProShares VIX Short-Term Futures ETF 77 ProShares Trust II 82 Notes to Financial Statements 86 1 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 151,906,089 and $ 147,851,244 , respectively) $ 151,418,355 $ 147,815,719 Cash 34,531,284 44,359,519 Segregated cash balances with brokers for futures contracts 113,898,635 138,651,465 Receivable on open futures contracts 105,797,631 99,544,338 Interest receivable 76,049 2,868 Total assets 405,721,954 430,373,909 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed — 6,125,130 Payable on open futures contracts 1,735,890 — Brokerage commissions and futures account fees payable 12,121 104,312 Payable to Sponsor 328,987 331,873 Total liabilities 2,076,998 6,561,315 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 403,644,956 423,812,594 Total liabilities and shareholders’ equity $ 405,721,954 $ 430,373,909 Shares outstanding 8,384,307 6,884,307 Net asset value per share $ 48.14 $ 61.56 Market value per share (Note 2) $ 48.21 $ 61.55 See accompanying notes to financial statements. 2 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 38 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.967 % due 07/14/22 $ 25,000,000 $ 24,989,618 1.014 % due 07/21/22 50,000,000 49,970,140 0.223 % due 11/03/22 77,000,000 76,458,597 Total short-term U.S. government and agency obligations (cost $ 151,906,089 ) $ 151,418,355 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires July 2022 3,652 $ 104,309,520 $ 809,209 VIX Futures - Cboe, expires August 2022 3,346 97,627,580 708,405 $ 1,517,614 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 3 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 225,134 $ 33,687 $ 319,477 $ 67,577 Expenses Management fee 1,034,361 1,317,153 2,020,898 2,359,722 Brokerage commissions 177,552 253,949 365,250 429,859 Futures account fees 107,221 328,342 324,251 586,119 Total expenses 1,319,134 1,899,444 2,710,399 3,375,700 Net investment income (loss) ( 1,094,000 ) ( 1,865,757 ) ( 2,390,922 ) ( 3,308,123 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 13,029,194 ) 109,337,017 ( 54,129,808 ) 133,546,434 Short-term U.S. government and agency obligations ( 76,018 ) — ( 86,512 ) — Net realized gain (loss) ( 13,105,212 ) 109,337,017 ( 54,216,320 ) 133,546,434 Change in net unrealized appreciation (depreciation) on Futures contracts ( 34,466,848 ) ( 13,290,409 ) ( 29,757,664 ) 28,831,483 Short-term U.S. government and agency obligations ( 40,932 ) ( 17,721 ) ( 452,209 ) ( 14,495 ) Change in net unrealized appreciation (depreciation) ( 34,507,780 ) ( 13,308,130 ) ( 30,209,873 ) 28,816,988 Net realized and unrealized gain (loss) ( 47,612,992 ) 96,028,887 ( 84,426,193 ) 162,363,422 Net income (loss) $ ( 48,706,992 ) $ 94,163,130 $ ( 86,817,115 ) $ 159,055,299 See accompanying notes to financial statements. 4 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 495,588,849 $ 527,130,851 $ 423,812,594 $ 409,371,468 Addition of 1,600,000 , 450,000 , 4,600,000 and 2,850,000 shares, respectively 75,921,860 21,503,474 232,437,331 119,612,942 Redemption of 2,300,000 , 1,050,000 , 3,100,000 and 2,150,000 shares, respectively ( 119,158,761 ) ( 54,181,509 ) ( 165,787,854 ) ( 99,423,763 ) Net addition (redemption) of ( 700,000 ), ( 600,000 ), 1,500,000 and 700,000 shares, respectively ( 43,236,901 ) ( 32,678,035 ) 66,649,477 20,189,179 Net investment income (loss) ( 1,094,000 ) ( 1,865,757 ) ( 2,390,922 ) ( 3,308,123 ) Net realized gain (loss) ( 13,105,212 ) 109,337,017 ( 54,216,320 ) 133,546,434 Change in net unrealized appreciation (depreciation) ( 34,507,780 ) ( 13,308,130 ) ( 30,209,873 ) 28,816,988 Net income (loss) ( 48,706,992 ) 94,163,130 ( 86,817,115 ) 159,055,299 Shareholders’ equity, end of period $ 403,644,956 $ 588,615,946 $ 403,644,956 $ 588,615,946 See accompanying notes to financial statements. 5 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 86,817,115 ) $ 159,055,299 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 569,767,938 ) ( 371,956,927 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 565,832,801 237,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 206,220 ) ( 32,691 ) Net realized (gain) loss on investments 86,512 — Change in unrealized (appreciation) depreciation on investments 452,209 14,495 Decrease (Increase) in receivable on open futures contracts ( 6,253,293 ) ( 11,016,780 ) Decrease (Increase) in interest receivable ( 73,181 ) 1,167 Increase (Decrease) in payable to Sponsor ( 2,886 ) 124,617 Increase (Decrease) in brokerage commissions and futures account fees payable ( 92,191 ) 20,038 Increase (Decrease) in payable on open futures contracts 1,735,890 4,589,992 Net cash provided by (used in) operating activities ( 95,105,412 ) 17,799,210 Cash flow from financing activities Proceeds from addition of shares 232,437,331 119,612,942 Payment on shares redeemed ( 171,912,984 ) ( 99,423,763 ) Net cash provided by (used in) financing activities 60,524,347 20,189,179 Net increase (decrease) in cash ( 34,581,065 ) 37,988,389 Cash, beginning of period 183,010,984 266,579,220 Cash, end of period $ 148,429,919 $ 304,567,609 See accompanying notes to financial statements. 6 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 527,457,948 and $ 848,800,309 , respectively) $ 526,423,284 $ 848,757,567 Cash 395,184,001 86,582,912 Segregated cash balances with brokers for futures contracts 99,271,727 130,704,477 Segregated cash balances with brokers for swap agreements 234,394,000 — Unrealized appreciation on swap agreements — 63,928,293 Interest receivable 213,841 3,523 Total assets 1,255,486,853 1,129,976,772 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 20,080,952 — Payable on open futures contracts 21,213,241 25,317,560 Brokerage commissions and futures account fees payable 12,600 24,677 Payable to Sponsor 1,025,667 850,965 Unrealized depreciation on swap agreements 152,287,155 — Total liabilities 194,619,615 26,193,202 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 1,060,867,238 1,103,783,570 Total liabilities and shareholders’ equity $ 1,255,486,853 $ 1,129,976,772 Shares outstanding (Note 1 ) 25,493,096 51,243,096 Net asset value per share (Note 1 ) $ 41.61 $ 21.54 Market value per share (Note 1) (Note 2 ) $ 41.86 $ 21.70 See accompanying notes to financial statements. 7 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 50 % of shareholders’ equity) Federal Home Loan Discount Notes ^^ : 1.000 % due 07/01/22 $ 150,000,000 $ 150,000,000 U.S. Treasury Bills ^^ : 0.393 % due 07/21/22 † 47,000,000 46,971,932 0.706 % due 08/18/22 † 150,000,000 149,724,000 0.637 % due 11/03/22 † 181,000,000 179,727,352 Total short-term U.S. government and agency obligations (cost $ 527,457,948 ) $ 526,423,284 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires September 2022 2,204 $ 227,232,400 $ ( 17,930,940 ) WTI Crude Oil - NYMEX, expires December 2022 2,535 242,244,600 64,744,247 WTI Crude Oil - NYMEX, expires June 2023 2,688 235,522,560 11,641,492 $ 58,454,799 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 % 07/06/22 $ 215,921,141 $ ( 21,668,621 ) Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 07/06/22 321,089,755 ( 42,218,820 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 07/06/22 373,984,332 ( 37,530,948 ) Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.25 07/06/22 203,778,726 ( 20,435,337 ) Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.30 07/06/22 303,369,078 ( 30,433,429 ) Total Unrealized Depreciation $ ( 152,287,155 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of June 30, 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 June 30, 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. 8 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 1,264,011 $ 111,333 $ 1,572,891 $ 279,408 Expenses Management fee 3,098,904 2,794,292 6,183,716 5,329,377 Brokerage commissions 140,210 210,012 335,751 503,212 Futures account fees 109,601 317,748 362,288 416,685 Total expenses 3,348,715 3,322,052 6,881,755 6,249,274 Net investment income (loss) ( 2,084,704 ) ( 3,210,719 ) ( 5,308,864 ) ( 5,969,866 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 244,497,710 255,445,062 510,907,542 447,121,563 Swap agreements 118,798,382 65,060,597 651,811,620 207,735,324 Short-term U.S. government and agency obligations ( 4,653 ) — ( 7,789 ) — Net realized gain (loss) 363,291,439 320,505,659 1,162,711,373 654,856,887 Change in net unrealized appreciation (depreciation) on Futures contracts ( 187,136,364 ) 77,503,699 ( 89,000,726 ) 171,488,571 Swap agreements ( 24,001,881 ) 80,496,098 ( 216,215,448 ) 21,505,309 Short-term U.S. government and agency obligations ( 405,864 ) ( 80,658 ) ( 991,922 ) ( 39,085 ) Change in net unrealized appreciation (depreciation) ( 211,544,109 ) 157,919,139 ( 306,208,096 ) 192,954,795 Net realized and unrealized gain (loss) 151,747,330 478,424,798 856,503,277 847,811,682 Net income (loss) $ 149,662,626 $ 475,214,079 $ 851,194,413 $ 841,841,816 See accompanying notes to financial statements. 9 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 1,336,980,685 $ 1,088,579,093 $ 1,103,783,570 $ 902,739,250 Addition of 1,700,000 , 4,200,000 , 10,300,000 and 13,600,000 shares, respectively (Note 1) 72,419,653 60,208,663 402,736,686 177,252,853 Redemption of 11,450,000 , 20,400,000 , 36,050,000 and 46,200,000 shares, respectively (Note 1) ( 498,195,726 ) ( 320,470,933 ) ( 1,296,847,431 ) ( 618,303,017 ) Net addition (redemption) of ( 9,750,000 ), ( 16,200,000 ), ( 25,750,000 ) and ( 32,600,000 ) shares, respectively (Note 1) ( 425,776,073 ) ( 260,262,270 ) ( 894,110,745 ) ( 441,050,164 ) Net investment income (loss) ( 2,084,704 ) ( 3,210,719 ) ( 5,308,864 ) ( 5,969,866 ) Net realized gain (loss) 363,291,439 320,505,659 1,162,711,373 654,856,887 Change in net unrealized appreciation (depreciation) ( 211,544,109 ) 157,919,139 ( 306,208,096 ) 192,954,795 Net income (loss) 149,662,626 475,214,079 851,194,413 841,841,816 Shareholders’ equity, end of period $ 1,060,867,238 $ 1,303,530,902 $ 1,060,867,238 $ 1,303,530,902 See accompanying notes to financial statements. 10 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 851,194,413 $ 841,841,816 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 ( 4,782,347,856 ) ( 1,692,766,532 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 5,104,987,142 980,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 1,304,714 ) ( 158,785 ) Net realized (gain) loss on investments 7,789 — Change in unrealized (appreciation) depreciation on investments 217,207,370 ( 21,466,224 ) Decrease (Increase) in receivable on open futures contracts — ( 4,050,185 ) Decrease (Increase) in interest receivable ( 210,318 ) ( 38,568 ) Increase (Decrease) in payable to Sponsor 174,702 246,994 Increase (Decrease) in brokerage commissions and futures account fees payable ( 12,077 ) 22,929 Increase (Decrease) in payable on open futures contracts ( 4,104,319 ) — Increase (Decrease) in securities purchased payable — 149,968,500 Net cash provided by (used in) operating activities 1,385,592,132 253,599,945 Cash flow from financing activities Proceeds from addition of shares 402,736,686 177,252,853 Payment on shares redeemed ( 1,276,766,479 ) ( 621,930,951 ) Net cash provided by (used in) financing activities ( 874,029,793 ) ( 444,678,098 ) Net increase (decrease) in cash 511,562,339 ( 191,078,153 ) Cash, beginning of period 217,287,389 667,259,596 Cash, end of period $ 728,849,728 $ 476,181,443 See accompanying notes to financial statements. 1 1 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 105,954,114 and $ 90,936,719 , respectively) $ 105,739,904 $ 90,922,438 Cash 33,945,129 6,846,634 Segregated cash balances with brokers for futures contracts 52,657,500 47,289,091 Receivable from capital shares sold 19,786,612 20,448,741 Receivable on open futures contracts 13,543,290 33,998,620 Interest receivable 39,868 1,130 Total assets 225,712,303 199,506,654 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 5,988,252 — Payable on open futures contracts 32,204,426 5,403,658 Brokerage commissions and futures account fees payable 6,507 63,628 Payable to Sponsor 215,276 147,190 Total liabilities 38,414,461 5,614,476 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 187,297,842 193,892,178 Total liabilities and shareholders’ equity $ 225,712,303 $ 199,506,654 Shares outstanding 4,737,527 7,587,527 Net asset value per share $ 39.53 $ 25.55 Market value per share (Note 2) $ 42.10 $ 26.09 See accompanying notes to financial statements. 1 2 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 56 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.967 % due 07/14/22 $ 50,000,000 $ 49,979,235 0.393 % due 07/21/22 24,000,000 23,985,667 0.223 % due 11/03/22 32,000,000 31,775,002 Total short-term U.S. government and agency obligations (cost $ 105,954,114 ) $ 105,739,904 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires September 2022 6,954 $ 374,959,680 $ ( 194,426,957 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 1 3 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 146,470 $ 11,544 $ 186,051 $ 25,359 Expenses Management fee 534,624 152,958 931,234 407,773 Brokerage commissions 114,706 63,062 203,158 155,359 Futures account fees 63,213 12,887 134,330 94,735 Total expenses 712,543 228,907 1,268,722 657,867 Net investment income (loss) ( 566,073 ) ( 217,363 ) ( 1,082,671 ) ( 632,508 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 164,990,694 4,901,288 241,211,382 46,483,673 Short-term U.S. government and agency obligations — — ( 3,452 ) 551 Net realized gain (loss) 164,990,694 4,901,288 241,207,930 46,484,224 Change in net unrealized appreciation (depreciation) on Futures contracts ( 271,251,560 ) 28,350,804 ( 186,220,796 ) 10,550,021 Short-term U.S. government and agency obligations ( 36,909 ) ( 2,887 ) ( 199,929 ) ( 972 ) Change in net unrealized appreciation (depreciation) ( 271,288,469 ) 28,347,917 ( 186,420,725 ) 10,549,049 Net realized and unrealized gain (loss) ( 106,297,775 ) 33,249,205 54,787,205 57,033,273 Net income (loss) $ ( 106,863,848 ) $ 33,031,842 $ 53,704,534 $ 56,400,765 See accompanying notes to financial statements. 1 4 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 145,069,486 $ 74,307,070 $ 193,892,178 $ 169,800,371 Addition of 6,500,000 , 650,000 , 9,100,000 and 4,050,000 shares, respectively 549,486,344 13,706,591 637,366,699 90,187,414 Redemption of 4,350,000 , 2,150,000 , 11,950,000 and 10,150,000 shares, respectively ( 400,394,140 ) ( 50,832,276 ) ( 697,665,569 ) ( 246,175,323 ) Net addition (redemption) of 2,150,000 , ( 1,500,000 ), ( 2,850,000 ) and ( 6,100,000 ) shares, respectively 149,092,204 ( 37,125,685 ) ( 60,298,870 ) ( 155,987,909 ) Net investment income (loss) ( 566,073 ) ( 217,363 ) ( 1,082,671 ) ( 632,508 ) Net realized gain (loss) 164,990,694 4,901,288 241,207,930 46,484,224 Change in net unrealized appreciation (depreciation) ( 271,288,469 ) 28,347,917 ( 186,420,725 ) 10,549,049 Net income (loss) ( 106,863,848 ) 33,031,842 53,704,534 56,400,765 Shareholders’ equity, end of period $ 187,297,842 $ 70,213,227 $ 187,297,842 $ 70,213,227 See accompanying notes to financial statements. 1 5 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 53,704,534 $ 56,400,765 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 520,892,453 ) ( 118,983,722 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 505,991,302 118,999,676 Net amortization and accretion on short-term U.S. government and agency obligations ( 119,696 ) ( 13,040 ) Net realized (gain) loss on investments 3,452 ( 551 ) Change in unrealized (appreciation) depreciation on investments 199,929 972 Decrease (Increase) in receivable on open futures contracts 20,455,330 13,775,851 Decrease (Increase) in interest receivable ( 38,738 ) 2,763 Increase (Decrease) in payable to Sponsor 68,086 ( 91,354 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 57,121 ) 296 Increase (Decrease) in payable on open futures contracts 26,800,768 210,440 Net cash provided by (used in) operating activities 86,115,393 70,302,096 Cash flow from financing activities Proceeds from addition of shares 638,028,828 90,187,414 Payment on shares redeemed ( 691,677,317 ) ( 257,307,869 ) Net cash provided by (used in) financing activities ( 53,648,489 ) ( 167,120,455 ) Net increase (decrease) in cash 32,466,904 ( 96,818,359 ) Cash, beginning of period 54,135,725 137,292,722 Cash, end of period $ 86,602,629 $ 40,474,363 See accompanying notes to financial statements. 1 6 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 4,695,823 and $ 998,130 , respectively) $ 4,690,703 $ 997,678 Cash 5,061,750 6,891,458 Segregated cash balances with brokers for foreign currency forward contracts — 691,000 Unrealized appreciation on foreign currency forward contracts 17,639 84,150 Interest receivable 1,535 153 Total assets 9,771,627 8,664,439 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 5,967 3,846 Unrealized depreciation on foreign currency forward contracts 350,034 1,498 Total liabilities 356,001 5,344 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 9,415,626 8,659,095 Total liabilities and shareholders’ equity $ 9,771,627 $ 8,664,439 Shares outstanding 850,000 650,000 Net asset value per share $ 11.08 $ 13.32 Market value per share (Note 2) $ 11.11 $ 13.33 See accompanying notes to financial statements. 1 7 Table of Contents PROSHARES ULTRA EURO SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 50 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.393 % due 07/21/22 † $ 4,000,000 $ 3,997,611 0.554 % due 11/03/22 † 698,000 693,092 Total short-term U.S. government and agency obligations (cost $ 4,695,823 ) $ 4,690,703 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 07/08/22 4,532,921 $ 4,750,259 $ ( 123,538 ) Euro with UBS AG 07/08/22 14,836,502 15,547,860 ( 226,496 ) Total Unrealized Depreciation $ ( 350,034 ) Contracts to Sell Euro with UBS AG 07/08/22 ( 1,446,000 ) $ ( 1,515,331 ) $ 17,639 Total Unrealized Appreciation $ 17,639 † All or partial amount pledged as collateral for foreign currency forward contracts. ^ The positions and counterparties herein are as of June 30, 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. 1 8 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 6,522 $ 438 $ 11,109 $ 1,022 Expenses Management fee 15,037 9,416 35,315 19,494 Total expenses 15,037 9,416 35,315 19,494 Net investment income (loss) ( 8,515 ) ( 8,978 ) ( 24,206 ) ( 18,472 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 446,365 ) 95,412 ( 887,395 ) 68,070 Short-term U.S. government and agency obligations — — ( 5,949 ) — Net realized gain (loss) ( 446,365 ) 95,412 ( 893,344 ) 68,070 Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 282,077 ) ( 13,092 ) ( 415,047 ) ( 324,232 ) Short-term U.S. government and agency obligations 787 ( 127 ) ( 4,668 ) ( 39 ) Change in net unrealized appreciation (depreciation) ( 281,290 ) ( 13,219 ) ( 419,715 ) ( 324,271 ) Net realized and unrealized gain (loss) ( 727,655 ) 82,193 ( 1,313,059 ) ( 256,201 ) Net income (loss) $ ( 736,170 ) $ 73,215 $ ( 1,337,265 ) $ ( 274,673 ) See accompanying notes to financial statements. 1 9 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 6,236,982 $ 3,611,724 $ 8,659,095 $ 4,737,350 Addition of 450,000 , 100,000 , 550,000 and 100,000 shares, respectively 5,052,555 1,488,793 6,368,822 1,488,793 Redemption of 100,000 , 100,000 , 350,000 and 150,000 shares, respectively ( 1,137,741 ) ( 1,504,991 ) ( 4,275,026 ) ( 2,282,729 ) Net addition (redemption) of 350,000 , – , 200,000 and ( 50,000 ) shares, respectively 3,914,814 ( 16,198 ) 2,093,796 ( 793,936 ) Net investment income (loss) ( 8,515 ) ( 8,978 ) ( 24,206 ) ( 18,472 ) Net realized gain (loss) ( 446,365 ) 95,412 ( 893,344 ) 68,070 Change in net unrealized appreciation (depreciation) ( 281,290 ) ( 13,219 ) ( 419,715 ) ( 324,271 ) Net income (loss) ( 736,170 ) 73,215 ( 1,337,265 ) ( 274,673 ) Shareholders’ equity, end of period $ 9,415,626 $ 3,668,741 $ 9,415,626 $ 3,668,741 See accompanying notes to financial statements. 20 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 1,337,265 ) $ ( 274,673 ) 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 ) ( 2,999,505 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 2,290,249 2,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 9,602 ) ( 473 ) Net realized (gain) loss on investments 5,949 — Change in unrealized (appreciation) depreciation on investments 419,715 324,271 Decrease (Increase) in interest receivable ( 1,382 ) 40 Increase (Decrease) in payable to Sponsor 2,121 ( 586 ) Net cash provided by (used in) operating activities ( 4,614,504 ) ( 950,926 ) Cash flow from financing activities Proceeds from addition of shares 6,368,822 1,488,793 Payment on shares redeemed ( 4,275,026 ) ( 1,548,903 ) Net cash provided by (used in) financing activities 2,093,796 ( 60,110 ) Net increase (decrease) in cash ( 2,520,708 ) ( 1,011,036 ) Cash, beginning of period 7,582,458 4,652,092 Cash, end of period $ 5,061,750 $ 3,641,056 See accompanying notes to financial statements. 2 1 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 208,875,314 and $ 207,964,168 , respectively) $ 208,696,447 $ 207,956,320 Cash 32,582,080 9,328,332 Segregated cash balances with brokers for futures contracts 6,922,800 6,093,750 Segregated cash balances with brokers for swap agreements 2,207,000 — Unrealized appreciation on swap agreements — 8,639,188 Receivable on open futures contracts — 944,644 Interest receivable 32,405 690 Total assets 250,440,732 232,962,924 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 2,824,550 — Payable on open futures contracts 1,022,544 — Brokerage commissions and futures account fees payable — 4,034 Payable to Sponsor 202,927 178,356 Unrealized depreciation on swap agreements 6,451,858 — Total liabilities 10,501,879 182,390 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 239,938,853 232,780,534 Total liabilities and shareholders’ equity $ 250,440,732 $ 232,962,924 Shares outstanding 4,250,000 3,900,000 Net asset value per share $ 56.46 $ 59.69 Market value per share (Note 2) $ 56.50 $ 59.81 See accompanying notes to financial statements. 2 2 Table of Contents PROSHARES ULTRA GOLD SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 87 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.967 % due 07/14/22 $ 25,000,000 $ 24,989,618 0.393 % due 07/21/22 † 95,000,000 94,943,266 0.706 % due 08/18/22 † 75,000,000 74,862,000 0.223 % due 11/03/22 † 14,000,000 13,901,563 Total short-term U.S. government and agency obligations (cost $ 208,875,314 ) $ 208,696,447 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires August 2022 954 $ 172,416,420 $ ( 3,932,509 ) 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 % 07/06/22 $ 109,384,670 $ ( 2,221,389 ) Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.25 07/06/22 84,543,271 ( 1,919,639 ) Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 07/06/22 113,788,925 ( 2,310,830 ) Total Unrealized Depreciation $ ( 6,451,858 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of June 30, 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 June 30, 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. 2 3 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 319,154 $ 20,094 $ 414,267 $ 55,921 Expenses Management fee 716,148 568,040 1,387,563 1,136,247 Brokerage commissions 14,064 8,665 35,723 23,553 Futures account fees 8,664 13,354 28,169 45,756 Total expenses 738,876 590,059 1,451,455 1,205,556 Net investment income (loss) ( 419,722 ) ( 569,965 ) ( 1,037,188 ) ( 1,149,635 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 28,896,339 ) 7,294,570 ( 8,706,319 ) ( 9,511,327 ) Swap agreements ( 29,004,744 ) 38,211,797 8,623,832 3,769,562 Short-term U.S. government and agency obligations — — — 245 Net realized gain (loss) ( 57,901,083 ) 45,506,367 ( 82,487 ) ( 5,741,520 ) Change in net unrealized appreciation (depreciation) on Futures contracts 3,312,504 ( 4,648,838 ) ( 4,587,403 ) ( 6,902,587 ) Swap agreements 1,658,698 ( 28,812,307 ) ( 15,091,046 ) ( 27,792,857 ) Short-term U.S. government and agency obligations ( 159 ) ( 17,158 ) ( 171,019 ) ( 15,362 ) Change in net unrealized appreciation (depreciation) 4,971,043 ( 33,478,303 ) ( 19,849,468 ) ( 34,710,806 ) Net realized and unrealized gain (loss) ( 52,930,040 ) 12,028,064 ( 19,931,955 ) ( 40,452,326 ) Net income (loss) $ ( 53,349,762 ) $ 11,458,099 $ ( 20,969,143 ) $ ( 41,601,961 ) See accompanying notes to financial statements. 2 4 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 355,029,822 $ 214,548,056 $ 232,780,534 $ 263,540,473 Addition of 100,000 , 400,000 , 1,600,000 and 1,000,000 shares, respectively 6,573,039 23,214,269 102,257,715 60,276,530 Redemption of 1,150,000 , 100,000 , 1,250,000 and 650,000 shares, respectively ( 68,314,246 ) ( 5,763,721 ) ( 74,130,253 ) ( 38,758,339 ) Net addition (redemption) of ( 1,050,000 ), 300,000 , 350,000 and 350,000 shares, respectively ( 61,741,207 ) 17,450,548 28,127,462 21,518,191 Net investment income (loss) ( 419,722 ) ( 569,965 ) ( 1,037,188 ) ( 1,149,635 ) Net realized gain (loss) ( 57,901,083 ) 45,506,367 ( 82,487 ) ( 5,741,520 ) Change in net unrealized appreciation (depreciation) 4,971,043 ( 33,478,303 ) ( 19,849,468 ) ( 34,710,806 ) Net income (loss) ( 53,349,762 ) 11,458,099 ( 20,969,143 ) ( 41,601,961 ) Shareholders’ equity, end of period $ 239,938,853 $ 243,456,703 $ 239,938,853 $ 243,456,703 See accompanying notes to financial statements. 2 5 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 20,969,143 ) $ ( 41,601,961 ) 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 ( 704,533,509 ) ( 422,955,514 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 704,000,000 281,999,771 Net amortization and accretion on short-term U.S. government and agency obligations ( 377,637 ) ( 35,590 ) Net realized (gain) loss on investments — ( 245 ) Change in unrealized (appreciation) depreciation on investments 15,262,065 27,808,219 Decrease (Increase) in receivable on open futures contracts 944,644 ( 520,982 ) Decrease (Increase) in interest receivable ( 31,715 ) 4,321 Increase (Decrease) in payable to Sponsor 24,571 ( 13,610 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 4,034 ) 4,167 Increase (Decrease) in payable on open futures contracts 1,022,544 — Net cash provided by (used in) operating activities ( 4,662,214 ) ( 155,311,424 ) Cash flow from financing activities Proceeds from addition of shares 102,257,715 40,405,473 Payment on shares redeemed ( 71,305,703 ) ( 38,758,339 ) Net cash provided by (used in) financing activities 30,952,012 1,647,134 Net increase (decrease) in cash 26,289,798 ( 153,664,290 ) Cash, beginning of period 15,422,082 183,452,109 Cash, end of period $ 41,711,880 $ 29,787,819 See accompanying notes to financial statements. 2 6 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 290,825,356 and $ 451,896,236 , respectively) $ 290,458,173 $ 451,872,982 Cash 38,062,175 10,985,565 Segregated cash balances with brokers for futures contracts 6,634,250 14,502,938 Segregated cash balances with brokers for swap agreements 82,100,000 — Unrealized appreciation on swap agreements — 40,591,699 Receivable from capital shares sold 1,240,339 — Receivable on open futures contracts — 1,384,919 Interest receivable 57,161 1,582 Total assets 418,552,098 519,339,685 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed — 3,483,770 Payable on open futures contracts 2,248,743 — Brokerage commissions and futures account fees payable — 9,833 Payable to Sponsor 313,910 392,488 Unrealized depreciation on swap agreements 60,411,930 — Total liabilities 62,974,583 3,886,091 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 355,577,515 515,453,594 Total liabilities and shareholders’ equity $ 418,552,098 $ 519,339,685 Shares outstanding 14,346,526 14,796,526 Net asset value per share $ 24.78 $ 34.84 Market value per share (Note 2) $ 24.47 $ 34.74 See accompanying notes to financial statements. 2 7 Table of Contents PROSHARES ULTRA SILVER SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 82 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.967 % due 07/14/22 † $ 50,000,000 $ 49,979,235 0.818 % due 07/21/22 † 73,000,000 72,956,405 0.674 % due 07/28/22 50,000,000 49,962,875 0.706 % due 08/18/22 † 75,000,000 74,862,000 0.223 % due 11/03/22 † 43,000,000 42,697,658 Total short-term U.S. government and agency obligations (cost $ 290,825,356 ) $ 290,458,173 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires September 2022 773 $ 78,660,480 $ ( 4,317,941 ) 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 % 07/06/22 $ 153,262,171 $ ( 14,941,465 ) Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.30 07/06/22 177,466,859 ( 18,119,916 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 07/06/22 168,307,407 ( 15,214,853 ) Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 07/06/22 134,298,894 ( 12,135,696 ) Total Unrealized Depreciation $ ( 60,411,930 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of June 30, 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 June 30, 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. 2 8 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 421,514 $ 65,529 $ 561,963 $ 163,658 Expenses Management fee 1,082,340 1,615,157 2,299,939 3,246,292 Brokerage commissions 28,732 40,715 59,283 87,297 Futures account fees 6,188 48,893 26,693 211,080 Total expenses 1,117,260 1,704,765 2,385,915 3,544,669 Net investment income (loss) ( 695,746 ) ( 1,639,236 ) ( 1,823,952 ) ( 3,381,011 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 10,869,422 ) 10,593,269 ( 16,614,384 ) 17,489,539 Swap agreements ( 145,324,753 ) 105,777,210 ( 22,942,764 ) 103,791,491 Short-term U.S. government and agency obligations ( 1,174 ) — ( 1,164 ) 191 Net realized gain (loss) ( 156,195,349 ) 116,370,479 ( 39,558,312 ) 121,281,221 Change in net unrealized appreciation (depreciation) on Futures contracts ( 13,510,319 ) 372,122 ( 6,824,486 ) ( 52,219,911 ) Swap agreements ( 36,561,200 ) ( 48,708,892 ) ( 101,003,629 ) ( 133,882,561 ) Short-term U.S. government and agency obligations ( 64,280 ) ( 57,475 ) ( 343,929 ) ( 35,554 ) Change in net unrealized appreciation (depreciation) ( 50,135,799 ) ( 48,394,245 ) ( 108,172,044 ) ( 186,138,026 ) Net realized and unrealized gain (loss) ( 206,331,148 ) 67,976,234 ( 147,730,356 ) ( 64,856,805 ) Net income (loss) $ ( 207,026,894 ) $ 66,336,998 $ ( 149,554,308 ) $ ( 68,237,816 ) See accompanying notes to financial statements. 2 9 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 558,375,841 $ 572,501,249 $ 515,453,594 $ 745,304,028 Addition of 800,000 , 1,000,000 , 1,800,000 and 3,400,000 shares, respectively 26,625,358 46,374,159 65,659,299 166,773,794 Redemption of 750,000 , 450,000 , 2,250,000 and 3,700,000 shares, respectively ( 22,396,790 ) ( 23,433,679 ) ( 75,981,070 ) ( 182,061,279 ) Net addition (redemption) of 50,000 , 550,000 , ( 450,000 ) and ( 300,000 ) shares, respectively 4,228,568 22,940,480 ( 10,321,771 ) ( 15,287,485 ) Net investment income (loss) ( 695,746 ) ( 1,639,236 ) ( 1,823,952 ) ( 3,381,011 ) Net realized gain (loss) ( 156,195,349 ) 116,370,479 ( 39,558,312 ) 121,281,221 Change in net unrealized appreciation (depreciation) ( 50,135,799 ) ( 48,394,245 ) ( 108,172,044 ) ( 186,138,026 ) Net income (loss) ( 207,026,894 ) 66,336,998 ( 149,554,308 ) ( 68,237,816 ) Shareholders’ equity, end of period $ 355,577,515 $ 661,778,727 $ 355,577,515 $ 661,778,727 See accompanying notes to financial statements. 30 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 149,554,308 ) $ ( 68,237,816 ) 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 ( 1,255,430,782 ) ( 1,149,854,685 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,416,997,680 804,999,794 Net amortization and accretion on short-term U.S. government and agency obligations ( 497,182 ) ( 125,027 ) Net realized (gain) loss on investments 1,164 ( 191 ) Change in unrealized (appreciation) depreciation on investments 101,347,558 133,918,115 Decrease (Increase) in receivable on open futures contracts 1,384,919 ( 1,452,315 ) Decrease (Increase) in interest receivable ( 55,579 ) 4,936 Increase (Decrease) in payable to Sponsor ( 78,578 ) 4,844 Increase (Decrease) in brokerage commissions and futures account fees payable ( 9,833 ) 17,899 Increase (Decrease) in payable on open futures contracts 2,248,743 ( 2,312,939 ) Net cash provided by (used in) operating activities 116,353,802 ( 283,037,385 ) Cash flow from financing activities Proceeds from addition of shares 64,418,960 166,773,794 Payment on shares redeemed ( 79,464,840 ) ( 182,061,279 ) Net cash provided by (used in) financing activities ( 15,045,880 ) ( 15,287,485 ) Net increase (decrease) in cash 101,307,922 ( 298,324,870 ) Cash, beginning of period 25,488,503 446,401,960 Cash, end of period $ 126,796,425 $ 148,077,090 See accompanying notes to financial statements. 3 1 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 243,860,580 and $ 221,725,609 , respectively) $ 243,251,317 $ 221,660,593 Cash 82,159,514 108,688,034 Segregated cash balances with brokers for futures contracts 389,544,785 463,432,845 Receivable from capital shares sold 2,179,827 — Receivable on open futures contracts 259,159,176 33,597,688 Interest receivable 198,453 5,060 Total assets 976,493,072 827,384,220 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts — 9,447,456 Brokerage commissions and futures account fees payable 71,435 167,855 Payable to Sponsor 738,104 611,836 Unrealized depreciation on swap agreements — 477,437 Total liabilities 809,539 10,704,584 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 975,683,533 816,679,636 Total liabilities and shareholders’ equity $ 976,493,072 $ 827,384,220 Shares outstanding (Note 1) 67,228,420 65,828,420 Net asset value per share (Note 1) $ 14.51 $ 12.41 Market value per share (Note 1) (Note 2) $ 14.53 $ 12.43 See accompanying notes to financial statements. 3 2 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 25 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.967 % due 07/14/22 $ 50,000,000 $ 49,979,235 0.393 % due 07/21/22 50,000,000 49,970,140 0.674 % due 07/28/22 50,000,000 49,962,875 0.223 % due 11/03/22 94,000,000 93,339,067 Total short-term U.S. government and agency obligations (cost $ 243,860,580 ) $ 243,251,317 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires July 2022 26,481 $ 756,358,266 $ 41,121,658 VIX Futures - Cboe, expires August 2022 24,277 708,339,740 ( 5,677,140 ) $ 35,444,518 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 3 3 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 430,670 $ 202,556 $ 525,931 $ 316,525 Expenses Management fee 2,293,738 2,293,121 4,254,915 6,676,198 Brokerage commissions 970,211 1,173,276 1,906,969 3,129,904 Futures account fees 444,123 711,443 1,226,811 2,555,256 Total expenses 3,708,072 4,177,840 7,388,695 12,361,358 Net investment income (loss) ( 3,277,402 ) ( 3,975,284 ) ( 6,862,764 ) ( 12,044,833 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 91,039,435 ( 811,706,279 ) 349,477,533 ( 1,464,769,961 ) Swap agreements — ( 42,822,782 ) 22,556,586 ( 94,277,124 ) Short-term U.S. government and agency obligations ( 337,934 ) 2,137 ( 353,087 ) 20,657 Net realized gain (loss) 90,701,501 ( 854,526,924 ) 371,681,032 ( 1,559,026,428 ) Change in net unrealized appreciation (depreciation) on Futures contracts 196,657,178 244,143,655 161,801,275 ( 40,259,928 ) Swap agreements — — 477,437 24,807 Short-term U.S. government and agency obligations 78,171 ( 28,407 ) ( 544,247 ) ( 8,962 ) Change in net unrealized appreciation (depreciation) 196,735,349 244,115,248 161,734,465 ( 40,244,083 ) Net realized and unrealized gain (loss) 287,436,850 ( 610,411,676 ) 533,415,497 ( 1,599,270,511 ) Net income (loss) $ 284,159,448 $ ( 614,386,960 ) $ 526,552,733 $ ( 1,611,315,344 ) See accompanying notes to financial statements. 3 4 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 1,127,608,641 $ 1,284,373,170 $ 816,679,636 $ 1,356,204,199 Addition of 58,400,000 , 12,955,000 , 141,500,000 and 32,585,000 shares, respectively (Note 1) 799,757,076 434,635,046 1,971,472,943 2,373,778,077 Redemption of 74,700,000 , 5,629,671 , 140,100,000 and 15,169,671 shares, respectively (Note 1) ( 1,235,841,632 ) ( 263,750,553 ) ( 2,339,021,779 ) ( 1,277,796,229 ) Net addition (redemption) of ( 16,300,000 ), 7,325,329 , 1,400,000 and 17,415,329 shares, respectively (Note 1) ( 436,084,556 ) 170,884,493 ( 367,548,836 ) 1,095,981,848 Net investment income (loss) ( 3,277,402 ) ( 3,975,284 ) ( 6,862,764 ) ( 12,044,833 ) Net realized gain (loss) 90,701,501 ( 854,526,924 ) 371,681,032 ( 1,559,026,428 ) Change in net unrealized appreciation (depreciation) 196,735,349 244,115,248 161,734,465 ( 40,244,083 ) Net income (loss) 284,159,448 ( 614,386,960 ) 526,552,733 ( 1,611,315,344 ) Shareholders’ equity, end of period $ 975,683,533 $ 840,870,703 $ 975,683,533 $ 840,870,703 See accompanying notes to financial statements. 3 5 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 526,552,733 $ ( 1,611,315,344 ) 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 ( 1,476,792,269 ) ( 921,859,566 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,454,556,289 956,989,987 Net amortization and accretion on short-term U.S. government and agency obligations ( 252,157 ) ( 111,822 ) Net realized (gain) loss on investments 353,166 ( 20,657 ) Change in unrealized (appreciation) depreciation on investments 66,810 ( 15,845 ) Decrease (Increase) in receivable on open futures contracts ( 225,561,488 ) 3,699,493 Decrease (Increase) in interest receivable ( 193,393 ) 3,866 Increase (Decrease) in payable to Sponsor 126,268 ( 385,457 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 96,420 ) ( 230,052 ) Increase (Decrease) in payable on open futures contracts ( 9,447,456 ) ( 15,175,224 ) Increase (Decrease) in securities purchased payable — 17,072,317 Net cash provided by (used in) operating activities 269,312,083 ( 1,571,348,304 ) Cash flow from financing activities Proceeds from addition of shares 1,969,293,116 2,417,278,189 Payment on shares redeemed ( 2,339,021,779 ) ( 1,277,796,229 ) Net cash provided by (used in) financing activities ( 369,728,663 ) 1,139,481,960 Net increase (decrease) in cash ( 100,416,580 ) ( 431,866,344 ) Cash, beginning of period 572,120,879 1,069,671,996 Cash, end of period $ 471,704,299 $ 637,805,652 See accompanying notes to financial statements. 3 6 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 998,111 and $ – , respectively) $ 992,969 $ — Cash 4,110,683 2,232,820 Segregated cash balances with brokers for foreign currency forward contracts — 225,000 Unrealized appreciation on foreign currency forward contracts 2,012 821 Interest receivable 1,364 95 Total assets 5,107,028 2,458,736 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 3,093 1,954 Unrealized depreciation on foreign currency forward contracts 79,162 93,933 Total liabilities 82,255 95,887 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 5,024,773 2,362,849 Total liabilities and shareholders’ equity $ 5,107,028 $ 2,458,736 Shares outstanding 149,970 49,970 Net asset value per share $ 33.51 $ 47.29 Market value per share (Note 2) $ 33.49 $ 47.29 See accompanying notes to financial statements. 3 7 Table of Contents PROSHARES ULTRA YEN SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 20 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.554 % due 11/03/22 † $ 1,000,000 $ 992,969 Total short-term U.S. government and agency obligations (cost $ 998,111 ) $ 992,969 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 07/08/22 333,241,517 $ 2,456,755 $ ( 34,398 ) Yen with UBS AG 07/08/22 1,080,855,856 7,968,387 ( 44,764 ) Total Unrealized Depreciation $ ( 79,162 ) Contracts to Sell Yen with UBS AG 07/08/22 ( 54,170,000 ) $ ( 399,357 ) $ 2,012 Total Unrealized Appreciation $ 2,012 † All or partial amount pledged as collateral for foreign currency forward contracts. ^ The positions and counterparties herein are as of June 30, 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. 3 8 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 3,064 $ 307 $ 3,937 $ 663 Expenses Management fee 8,036 6,262 13,465 12,911 Total expenses 8,036 6,262 13,465 12,911 Net investment income (loss) ( 4,972 ) ( 5,955 ) ( 9,528 ) ( 12,248 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 761,478 ) ( 140,007 ) ( 880,249 ) ( 279,474 ) Short-term U.S. government and agency obligations — — 1,548 — Net realized gain (loss) ( 761,478 ) ( 140,007 ) ( 878,701 ) ( 279,474 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts 154,501 118,748 15,962 ( 137,341 ) Short-term U.S. government and agency obligations ( 2,316 ) ( 132 ) ( 5,142 ) ( 88 ) Change in net unrealized appreciation (depreciation) 152,185 118,616 10,820 ( 137,429 ) Net realized and unrealized gain (loss) ( 609,293 ) ( 21,391 ) ( 867,881 ) ( 416,903 ) Net income (loss) $ ( 614,265 ) $ ( 27,346 ) $ ( 877,409 ) $ ( 429,151 ) See accompanying notes to financial statements. 3 9 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 2,099,705 $ 2,587,694 $ 2,362,849 $ 2,989,499 Addition of 100,000 , – , 100,000 and – shares, respectively 3,539,333 — 3,539,333 — Net addition (redemption) of 100,000 , – , 100,000 and – shares, respectively 3,539,333 — 3,539,333 — Net investment income (loss) ( 4,972 ) ( 5,955 ) ( 9,528 ) ( 12,248 ) Net realized gain (loss) ( 761,478 ) ( 140,007 ) ( 878,701 ) ( 279,474 ) Change in net unrealized appreciation (depreciation) 152,185 118,616 10,820 ( 137,429 ) Net income (loss) ( 614,265 ) ( 27,346 ) ( 877,409 ) ( 429,151 ) Shareholders’ equity, end of period $ 5,024,773 $ 2,560,348 $ 5,024,773 $ 2,560,348 See accompanying notes to financial statements. 40 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 877,409 ) $ ( 429,151 ) 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 ) ( 1,499,740 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,548 500,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 2,342 ) ( 173 ) Net realized (gain) loss on investments ( 1,548 ) — Change in unrealized (appreciation) depreciation on investments ( 10,820 ) 137,429 Decrease (Increase) in interest receivable ( 1,269 ) 44 Increase (Decrease) in payable to Sponsor 1,139 ( 346 ) Net cash provided by (used in) operating activities ( 1,886,470 ) ( 1,291,937 ) Cash flow from financing activities Proceeds from addition of shares 3,539,333 — Net cash provided by (used in) financing activities 3,539,333 — Net increase (decrease) in cash 1,652,863 ( 1,291,937 ) Cash, beginning of period 2,457,820 2,924,696 Cash, end of period $ 4,110,683 $ 1,632,759 See accompanying notes to financial statements. 4 1 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 232,892,020 and $ 55,932,300 , respectively) $ 232,635,606 $ 55,916,023 Cash 90,387,278 29,602,412 Segregated cash balances with brokers for futures contracts 157,055,967 24,841,141 Receivable on open futures contracts 33,012,400 4,064,439 Interest receivable 99,815 1,359 Total assets 513,191,066 114,425,374 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 11,682,748 175,557 Brokerage commissions and futures account fees payable 12,618 7,944 Payable to Sponsor 338,396 74,271 Total liabilities 12,033,762 257,772 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 501,157,304 114,167,602 Total liabilities and shareholders’ equity $ 513,191,066 $ 114,425,374 Shares outstanding (Note 1) 21,755,220 1,776,760 Net asset value per share (Note 1) $ 23 .04 $ 64 .26 Market value per share (Note 1) (Note 2) $ 22 .93 $ 63 .75 See accompanying notes to financial statements. 4 2 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 46 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.967 % due 07/14/22 $ 75,000,000 $ 74,968,852 0.824 % due 07/21/22 72,000,000 71,957,002 0.674 % due 07/28/22 50,000,000 49,962,875 0.223 % due 11/03/22 36,000,000 35,746,877 Total short-term U.S. government and agency obligations (cost $ 232,892,020 ) $ 232,635,606 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires September 2022 3,134 $ 323,115,400 $ 23,341,763 WTI Crude Oil - NYMEX, expires December 2022 3,605 344,493,800 ( 352,389 ) WTI Crude Oil - NYMEX, expires June 2023 3,824 335,058,880 5,527,457 $ 28,516,831 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 4 3 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 289,299 $ 18,343 $ 343,206 $ 29,178 Expenses Management fee 946,110 181,035 1,438,757 402,298 Brokerage commissions 107,079 28,581 184,135 71,625 Futures account fees 85,802 17,468 155,979 65,180 Total expenses 1,138,991 227,084 1,778,871 539,103 Net investment income (loss) ( 849,692 ) ( 208,741 ) ( 1,435,665 ) ( 509,925 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 102,594,000 ) ( 26,010,421 ) ( 209,076,101 ) ( 75,188,186 ) Net realized gain (loss) ( 102,594,000 ) ( 26,010,421 ) ( 209,076,101 ) ( 75,188,186 ) Change in net unrealized appreciation (depreciation) on Futures contracts 34,810,301 ( 9,944,438 ) 36,926,293 ( 4,307,804 ) Short-term U.S. government and agency obligations ( 53,187 ) ( 2,994 ) ( 240,137 ) ( 784 ) Change in net unrealized appreciation (depreciation) 34,757,114 ( 9,947,432 ) 36,686,156 ( 4,308,588 ) Net realized and unrealized gain (loss) ( 67,836,886 ) ( 35,957,853 ) ( 172,389,945 ) ( 79,496,774 ) Net income (loss) $ ( 68,686,578 ) $ ( 36,166,594 ) $ ( 173,825,610 ) $ ( 80,006,699 ) See accompanying notes to financial statements. 4 4 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 416,799,231 $ 91,718,390 $ 114,167,602 $ 96,839,233 Addition of 12,320,000 , 387,500 , 27,890,000 and 777,500 shares, respectively (Note 1) 278,861,920 43,181,460 788,890,799 107,484,439 Redemption of 4,851,540 , 147,734 , 7,911,540 and 317,734 shares, respectively (Note 1) ( 125,817,269 ) ( 19,333,197 ) ( 228,075,487 ) ( 44,916,914 ) Net addition (redemption) of 7,468,460 , 239,766 , 19,978,460 and 459,766 shares, respectively (Note 1) 153,044,651 23,848,263 560,815,312 62,567,525 Net investment income (loss) ( 849,692 ) ( 208,741 ) ( 1,435,665 ) ( 509,925 ) Net realized gain (loss) ( 102,594,000 ) ( 26,010,421 ) ( 209,076,101 ) ( 75,188,186 ) Change in net unrealized appreciation (depreciation) 34,757,114 ( 9,947,432 ) 36,686,156 ( 4,308,588 ) Net income (loss) ( 68,686,578 ) ( 36,166,594 ) ( 173,825,610 ) ( 80,006,699 ) Shareholders’ equity, end of period $ 501,157,304 $ 79,400,059 $ 501,157,304 $ 79,400,059 See accompanying notes to financial statements. 4 5 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 173,825,610 ) $ ( 80,006,699 ) 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 ( 988,742,468 ) ( 92,987,219 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 812,000,000 60,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 217,252 ) ( 9,935 ) Change in unrealized (appreciation) depreciation on investments 240,137 784 Decrease (Increase) in receivable on open futures contracts ( 28,947,961 ) 32,573 Decrease (Increase) in interest receivable ( 98,456 ) 1,820 Increase (Decrease) in payable to Sponsor 264,125 ( 22,244 ) Increase (Decrease) in brokerage commissions and futures account fees payable 4,674 12,516 Increase (Decrease) in payable on open futures contracts 11,507,191 242,424 Net cash provided by (used in) operating activities ( 367,815,620 ) ( 112,735,980 ) Cash flow from financing activities Proceeds from addition of shares 788,890,799 107,484,439 Payment on shares redeemed ( 228,075,487 ) ( 44,916,914 ) Net cash provided by (used in) financing activities 560,815,312 62,567,525 Net increase (decrease) in cash 192,999,692 ( 50,168,455 ) Cash, beginning of period 54,443,553 97,113,373 Cash, end of period $ 247,443,245 $ 46,944,918 See accompanying notes to financial statements. 4 6 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 59,954,167 and $ 123,855,553 , respectively) $ 59,578,128 $ 123,821,548 Cash 49,173,153 53,547,476 Segregated cash balances with brokers for futures contracts 61,959,000 59,453,451 Receivable on open futures contracts 73,179,660 30,090,351 Interest receivable 37,048 1,749 Total assets 243,926,989 266,914,575 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 25,091,911 15,986,002 Payable on open futures contracts 6,843,311 8,542,438 Brokerage commissions and futures account fees payable 11,280 46,867 Payable to Sponsor 157,041 194,138 Total liabilities 32,103,543 24,769,445 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 211,823,446 242,145,130 Total liabilities and shareholders’ equity $ 243,926,989 $ 266,914,575 Shares outstanding (Note 1) 4,966,856 978,742 Net asset value per share (Note 1) $ 42.65 $ 247.40 Market value per share (Note 1) (Note 2) $ 40.02 $ 242.20 See accompanying notes to financial statements. 4 7 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 28 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.223 % due 11/03/22 $ 60,000,000 $ 59,578,128 Total short-term U.S. government and agency obligations (cost $ 59,954,167 ) $ 59,578,128 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires September 2022 7,871 $ 424,404,320 $ 154,070,341 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 4 8 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 122,188 $ 7,750 $ 178,013 $ 15,633 Expenses Management fee 510,704 191,311 1,053,068 350,648 Brokerage commissions 144,907 96,343 365,858 182,023 Futures account fees 76,956 33,853 206,885 57,126 Total expenses 732,567 321,507 1,625,811 589,797 Net investment income (loss) ( 610,379 ) ( 313,757 ) ( 1,447,798 ) ( 574,164 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 282,646,685 ) ( 10,305,304 ) ( 397,312,383 ) ( 16,664,698 ) Short-term U.S. government and agency obligations ( 199 ) — ( 58,809 ) — Net realized gain (loss) ( 282,646,884 ) ( 10,305,304 ) ( 397,371,192 ) ( 16,664,698 ) Change in net unrealized appreciation (depreciation) on Futures contracts 228,166,248 ( 33,691,003 ) 140,634,090 ( 17,797,456 ) Short-term U.S. government and agency obligations ( 87,121 ) ( 2,758 ) ( 342,034 ) ( 1,241 ) Change in net unrealized appreciation (depreciation) 228,079,127 ( 33,693,761 ) 140,292,056 ( 17,798,697 ) Net realized and unrealized gain (loss) ( 54,567,757 ) ( 43,999,065 ) ( 257,079,136 ) ( 34,463,395 ) Net income (loss) $ ( 55,178,136 ) $ ( 44,312,822 ) $ ( 258,526,934 ) $ ( 35,037,559 ) See accompanying notes to financial statements. 4 9 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 250,340,837 $ 69,459,275 $ 242,145,130 $ 24,977,745 Addition of 18,700,000 , 172,500 , 23,340,000 and 377,500 shares, respectively (Note 1) 489,076,501 93,913,245 944,035,742 235,963,431 Redemption of 17,601,764 , 35,000 , 19,351,886 and 177,500 shares, respectively (Note 1) ( 472,415,756 ) ( 21,534,398 ) ( 715,830,492 ) ( 128,378,317 ) Net addition (redemption) of 1,098,236 , 137,500 , 3,988,114 and 200,000 shares, respectively (Note 1) 16,660,745 72,378,847 228,205,250 107,585,114 Net investment income (loss) ( 610,379 ) ( 313,757 ) ( 1,447,798 ) ( 574,164 ) Net realized gain (loss) ( 282,646,884 ) ( 10,305,304 ) ( 397,371,192 ) ( 16,664,698 ) Change in net unrealized appreciation (depreciation) 228,079,127 ( 33,693,761 ) 140,292,056 ( 17,798,697 ) Net income (loss) ( 55,178,136 ) ( 44,312,822 ) ( 258,526,934 ) ( 35,037,559 ) Shareholders’ equity, end of period $ 211,823,446 $ 97,525,300 $ 211,823,446 $ 97,525,300 See accompanying notes to financial statements. 50 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 258,526,934 ) $ ( 35,037,559 ) 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 ( 346,906,626 ) ( 94,989,543 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 410,859,860 64,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 110,657 ) ( 7,481 ) Net realized (gain) loss on investments 58,809 — Change in unrealized (appreciation) depreciation on investments 342,034 1,241 Decrease (Increase) in receivable on open futures contracts ( 43,089,309 ) — Decrease (Increase) in interest receivable ( 35,299 ) ( 1,297 ) Increase (Decrease) in payable to Sponsor ( 37,097 ) 43,211 Increase (Decrease) in brokerage commissions and futures account fees payable ( 35,587 ) 9,927 Increase (Decrease) in payable on open futures contracts ( 1,699,127 ) 469,496 Net cash provided by (used in) operating activities ( 239,179,933 ) ( 65,512,005 ) Cash flow from financing activities Proceeds from addition of shares 944,035,742 235,963,431 Payment on shares redeemed ( 706,724,583 ) ( 130,982,494 ) Net cash provided by (used in) financing activities 237,311,159 104,980,937 Net increase (decrease) in cash ( 1,868,774 ) 39,468,932 Cash, beginning of period 113,000,927 19,147,382 Cash, end of period $ 111,132,153 $ 58,616,314 See accompanying notes to financial statements. 5 1 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 19,986,920 and $ 46,968,288 , respectively) $ 19,885,112 $ 46,961,125 Cash 39,223,441 7,554,065 Unrealized appreciation on foreign currency forward contracts 3,382,293 135,118 Interest receivable 17,859 603 Total assets 62,508,705 54,650,911 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 51,398 44,707 Unrealized depreciation on foreign currency forward contracts 187,210 343,159 Total liabilities 238,608 387,866 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 62,270,097 54,263,045 Total liabilities and shareholders’ equity $ 62,508,705 $ 54,650,911 Shares outstanding 2,050,000 2,100,000 Net asset value per share $ 30.38 $ 25.84 Market value per share (Note 2) $ 30.41 $ 25.86 See accompanying notes to financial statements. 5 2 Table of Contents PROSHARES ULTRASHORT EURO SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 32 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.393 % due 07/21/22 † $ 4,000,000 $ 3,997,611 0.223 % due 11/03/22 † 16,000,000 15,887,501 Total short-term U.S. government and agency obligations (cost $ 19,986,920 ) $ 19,885,112 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 07/08/22 12,080,000 $ 12,659,194 $ ( 101,019 ) Euro with UBS AG 07/08/22 12,060,000 12,638,235 ( 86,191 ) Total Unrealized Depreciation $ ( 187,210 ) Contracts to Sell Euro with Goldman Sachs International 07/08/22 ( 51,635,263 ) $ ( 54,110,993 ) $ 1,346,162 Euro with UBS AG 07/08/22 ( 91,489,199 ) ( 95,875,786 ) 2,036,131 Total Unrealized Appreciation $ 3,382,293 † All or partial amount pledged as collateral for foreign currency forward contracts. ^ The positions and counterparties herein are as of June 30, 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. 5 3 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 39,011 $ 5,640 $ 54,416 $ 12,806 Expenses Management fee 146,934 114,680 264,390 238,718 Total expenses 146,934 114,680 264,390 238,718 Net investment income (loss) ( 107,923 ) ( 109,040 ) ( 209,974 ) ( 225,912 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 3,065,129 ( 795,757 ) 5,607,263 ( 725,230 ) Short-term U.S. government and agency obligations — — 210,974 — Net realized gain (loss) 3,065,129 ( 795,757 ) 5,818,237 ( 725,230 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts 3,061,048 ( 509,443 ) 3,403,124 3,881,954 Short-term U.S. government and agency obligations ( 21,310 ) ( 1,727 ) ( 94,645 ) ( 887 ) Change in net unrealized appreciation (depreciation) 3,039,738 ( 511,170 ) 3,308,479 3,881,067 Net realized and unrealized gain (loss) 6,104,867 ( 1,306,927 ) 9,126,716 3,155,837 Net income (loss) $ 5,996,944 $ ( 1,415,967 ) $ 8,916,742 $ 2,929,925 See accompanying notes to financial statements. 5 4 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 50,498,084 $ 54,932,137 $ 54,263,045 $ 52,953,339 Addition of 500,000 , – , 550,000 and 200,000 shares, respectively 14,656,401 — 16,028,063 4,613,244 Redemption of 300,000 , 200,000 , 600,000 and 500,000 shares, respectively ( 8,881,332 ) ( 4,695,730 ) ( 16,937,753 ) ( 11,676,068 ) Net addition (redemption) of 200,000 , ( 200,000 ), ( 50,000 ) and ( 300,000 ) shares, respectively 5,775,069 ( 4,695,730 ) ( 909,690 ) ( 7,062,824 ) Net investment income (loss) ( 107,923 ) ( 109,040 ) ( 209,974 ) ( 225,912 ) Net realized gain (loss) 3,065,129 ( 795,757 ) 5,818,237 ( 725,230 ) Change in net unrealized appreciation (depreciation) 3,039,738 ( 511,170 ) 3,308,479 3,881,067 Net income (loss) 5,996,944 ( 1,415,967 ) 8,916,742 2,929,925 Shareholders’ equity, end of period $ 62,270,097 $ 48,820,440 $ 62,270,097 $ 48,820,440 See accompanying notes to financial statements. 5 5 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 8,916,742 $ 2,929,925 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 ( 44,986,222 ) ( 69,991,234 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 72,210,974 52,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 32,410 ) ( 6,372 ) Net realized (gain) loss on investments ( 210,974 ) — Change in unrealized (appreciation) depreciation on investments ( 3,308,479 ) ( 3,881,067 ) Decrease (Increase) in interest receivable ( 17,256 ) 970 Increase (Decrease) in payable to Sponsor 6,691 ( 7,018 ) Net cash provided by (used in) operating activities 32,579,066 ( 18,954,796 ) Cash flow from financing activities Proceeds from addition of shares 16,028,063 4,613,244 Payment on shares redeemed ( 16,937,753 ) ( 11,676,068 ) Net cash provided by (used in) financing activities ( 909,690 ) ( 7,062,824 ) Net increase (decrease) in cash 31,669,376 ( 26,017,620 ) Cash, beginning of period 7,554,065 44,132,228 Cash, end of period $ 39,223,441 $ 18,114,608 See accompanying notes to financial statements. 5 6 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 13,992,602 and $ 25,984,097 , respectively) $ 13,940,167 $ 25,980,516 Cash 17,059,170 1,287,229 Segregated cash balances with brokers for futures contracts 1,338,300 703,125 Unrealized appreciation on swap agreements 720,984 — Receivable from capital shares sold 1,579,684 — Receivable on open futures contracts 5,100 — Interest receivable 6,819 434 Total assets 34,650,224 27,971,304 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 14,954 92,537 Brokerage commissions and futures account fees payable — 294 Payable to Sponsor 23,986 25,512 Unrealized depreciation on swap agreements — 993,117 Total liabilities 38,940 1,111,460 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 34,611,284 26,859,844 Total liabilities and shareholders’ equity $ 34,650,224 $ 27,971,304 Shares outstanding 1,096,977 846,977 Net asset value per share $ 31.55 $ 31.71 Market value per share (Note 2) $ 31.59 $ 31.66 See accompanying notes to financial statements. 5 7 Table of Contents PROSHARES ULTRASHORT GOLD SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 40 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.393 % due 07/21/22 † $ 6,000,000 $ 5,996,417 0.223 % due 11/03/22 † 8,000,000 7,943,750 Total short-term U.S. government and agency obligations (cost $ 13,992,602 ) $ 13,940,167 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires August 2022 184 $ 33,254,320 $ 811,562 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 % 07/06/22 $ ( 14,809,140 ) $ 295,777 Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.20 07/06/22 ( 9,688,247 ) 193,824 Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 07/06/22 ( 11,585,084 ) 231,383 Total Unrealized Appreciation $ 720,984 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of June 30, 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 June 30, 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. 5 8 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 19,975 $ 3,176 $ 29,660 $ 6,138 Expenses Management fee 75,676 69,968 141,814 133,695 Brokerage commissions 2,985 2,283 5,796 5,873 Futures account fees 580 1,802 2,446 6,488 Total expenses 79,241 74,053 150,056 146,056 Net investment income (loss) ( 59,266 ) ( 70,877 ) ( 120,396 ) ( 139,918 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 1,310,720 ( 2,050,237 ) ( 680,529 ) ( 715,255 ) Swap agreements 3,247,150 ( 4,934,310 ) ( 1,070,274 ) ( 2,266,102 ) Short-term U.S. government and agency obligations — — 4 169 Net realized gain (loss) 4,557,870 ( 6,984,547 ) ( 1,750,799 ) ( 2,981,188 ) Change in net unrealized appreciation (depreciation) on Futures contracts 485,575 546,794 653,483 782,869 Swap agreements ( 187,339 ) 3,260,286 1,714,101 2,843,547 Short-term U.S. government and agency obligations ( 8,285 ) ( 1,027 ) ( 48,854 ) ( 216 ) Change in net unrealized appreciation (depreciation) 289,951 3,806,053 2,318,730 3,626,200 Net realized and unrealized gain (loss) 4,847,821 ( 3,178,494 ) 567,931 645,012 Net income (loss) $ 4,788,555 $ ( 3,249,371 ) $ 447,535 $ 505,094 See accompanying notes to financial statements. 5 9 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 32,598,451 $ 41,243,515 $ 26,859,844 $ 20,337,376 Addition of 700,000 , 300,000 , 1,150,000 and 1,050,000 shares, respectively 20,554,617 10,071,690 33,744,566 37,362,906 Redemption of 800,000 , 450,000 , 900,000 and 750,000 shares, respectively ( 23,330,339 ) ( 15,230,820 ) ( 26,440,661 ) ( 25,370,362 ) Net addition (redemption) of ( 100,000 ), ( 150,000 ), 250,000 and 300,000 shares, respectively ( 2,775,722 ) ( 5,159,130 ) 7,303,905 11,992,544 Net investment income (loss) ( 59,266 ) ( 70,877 ) ( 120,396 ) ( 139,918 ) Net realized gain (loss) 4,557,870 ( 6,984,547 ) ( 1,750,799 ) ( 2,981,188 ) Change in net unrealized appreciation (depreciation) 289,951 3,806,053 2,318,730 3,626,200 Net income (loss) 4,788,555 ( 3,249,371 ) 447,535 505,094 Shareholders’ equity, end of period $ 34,611,284 $ 32,835,014 $ 34,611,284 $ 32,835,014 See accompanying notes to financial statements. 60 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 447,535 $ 505,094 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 ( 17,987,491 ) ( 30,995,460 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 29,999,990 18,999,936 Net amortization and accretion on short-term U.S. government and agency obligations ( 21,000 ) ( 2,843 ) Net realized (gain) loss on investments ( 4 ) ( 169 ) Change in unrealized (appreciation) depreciation on investments ( 1,665,247 ) ( 2,843,331 ) Decrease (Increase) in receivable on open futures contracts ( 5,100 ) 1,317 Decrease (Increase) in interest receivable ( 6,385 ) 89 Increase (Decrease) in payable to Sponsor ( 1,526 ) 4,798 Increase (Decrease) in brokerage commissions and futures account fees payable ( 294 ) 406 Increase (Decrease) in payable on open futures contracts ( 77,583 ) 81,805 Net cash provided by (used in) operating activities 10,682,895 ( 14,248,358 ) Cash flow from financing activities Proceeds from addition of shares 32,164,882 37,362,906 Payment on shares redeemed ( 26,440,661 ) ( 25,370,362 ) Net cash provided by (used in) financing activities 5,724,221 11,992,544 Net increase (decrease) in cash 16,407,116 ( 2,255,814 ) Cash, beginning of period 1,990,354 20,633,371 Cash, end of period $ 18,397,470 $ 18,377,557 See accompanying notes to financial statements. 6 1 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 12,996,113 and $ 22,995,121 , respectively) $ 12,979,368 $ 22,994,261 Cash 12,637,173 1,829,901 Segregated cash balances with brokers for futures contracts 3,798,437 1,081,575 Segregated cash balances with brokers for swap agreements — 2,572,000 Unrealized appreciation on swap agreements 1,873,038 — Receivable from capital shares sold 1,587,633 — Receivable on open futures contracts 191,494 15,446 Interest receivable 5,185 378 Total assets 33,072,328 28,493,561 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts — 5,840 Brokerage commissions and futures account fees payable — 747 Payable to Sponsor 19,488 28,560 Unrealized depreciation on swap agreements — 1,921,414 Total liabilities 19,488 1,956,561 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 33,052,840 26,537,000 Total liabilities and shareholders’ equity $ 33,072,328 $ 28,493,561 Shares outstanding (Note 1) 1,041,329 991,329 Net asset value per share (Note 1) $ 31.74 $ 26.77 Market value per share (Note 1) (Note 2) $ 32.19 $ 26.84 See accompanying notes to financial statements. 6 2 Table of Contents PROSHARES ULTRASHORT SILVER SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 39 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.393 % due 07/21/22 † $ 11,000,000 $ 10,993,430 0.223 % due 11/03/22 † 2,000,000 1,985,938 Total short-term U.S. government and agency obligations (cost $ 12,996,113 ) $ 12,979,368 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires September 2022 445 $ 45,283,200 $ 2,516,890 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 % 07/06/22 $ ( 2,464,774 ) $ 221,841 Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.25 07/06/22 ( 8,978,838 ) 808,139 Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 07/06/22 ( 7,099,463 ) 638,732 Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 07/06/22 ( 2,270,181 ) 204,326 Total Unrealized Appreciation $ 1,873,038 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of June 30, 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 June 30, 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. 6 3 Table of Contents ROSHARES ULTRASHORT SILVER STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 18,743 $ 2,678 $ 27,663 $ 5,795 Expenses Management fee 62,381 72,831 123,334 157,576 Brokerage commissions 6,677 3,824 11,978 11,268 Futures account fees 1,169 4,207 4,443 14,198 Total expenses 70,227 80,862 139,755 183,042 Net investment income (loss) ( 51,484 ) ( 78,184 ) ( 112,092 ) ( 177,247 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 5,944,050 ( 216,957 ) 4,650,280 ( 1,453,150 ) Swap agreements 3,467,182 ( 5,659,499 ) ( 2,612,794 ) ( 7,355,657 ) Short-term U.S. government and agency obligations — — ( 190 ) 85 Net realized gain (loss) 9,411,232 ( 5,876,456 ) 2,037,296 ( 8,808,722 ) Change in net unrealized appreciation (depreciation) on Futures contracts 2,249,743 ( 3,005,003 ) 1,864,397 491,967 Swap agreements 1,599,944 2,081,517 3,794,452 6,050,311 Short-term U.S. government and agency obligations 3,625 ( 1,834 ) ( 15,885 ) ( 1,087 ) Change in net unrealized appreciation (depreciation) 3,853,312 ( 925,320 ) 5,642,964 6,541,191 Net realized and unrealized gain (loss) 13,264,544 ( 6,801,776 ) 7,680,260 ( 2,267,531 ) Net income (loss) $ 13,213,060 $ ( 6,879,960 ) $ 7,568,168 $ ( 2,444,778 ) See accompanying notes to financial statements. 6 4 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 23,406,516 $ 45,144,664 $ 26,537,000 $ 28,885,775 Addition of 700,000 , 300,000 , 1,800,000 and 2,750,000 shares, respectively (Note 1) 17,707,417 7,086,666 43,267,561 65,182,313 Redemption of 750,000 , 425,415 , 1,750,000 and 2,300,415 shares, respectively (Note 1) ( 21,274,153 ) ( 10,491,607 ) ( 44,319,889 ) ( 56,763,547 ) Net addition (redemption) of ( 50,000 ), ( 125,415 ), 50,000 and 449,585 shares, respectively (Note 1) ( 3,566,736 ) ( 3,404,941 ) ( 1,052,328 ) 8,418,766 Net investment income (loss) ( 51,484 ) ( 78,184 ) ( 112,092 ) ( 177,247 ) Net realized gain (loss) 9,411,232 ( 5,876,456 ) 2,037,296 ( 8,808,722 ) Change in net unrealized appreciation (depreciation) 3,853,312 ( 925,320 ) 5,642,964 6,541,191 Net income (loss) 13,213,060 ( 6,879,960 ) 7,568,168 ( 2,444,778 ) Shareholders’ equity, end of period $ 33,052,840 $ 34,859,763 $ 33,052,840 $ 34,859,763 See accompanying notes to financial statements. 6 5 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 7,568,168 $ ( 2,444,778 ) 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 ( 20,979,051 ) ( 39,995,436 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 30,999,081 22,999,988 Net amortization and accretion on short-term U.S. government and agency obligations ( 21,212 ) ( 3,358 ) Net realized (gain) loss on investments 190 ( 85 ) Change in unrealized (appreciation) depreciation on investments ( 3,778,567 ) ( 6,049,224 ) Decrease (Increase) in receivable on open futures contracts ( 176,048 ) 38,813 Decrease (Increase) in interest receivable ( 4,807 ) 304 Increase (Decrease) in payable to Sponsor ( 9,072 ) ( 3,427 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 747 ) 620 Increase (Decrease) in payable on open futures contracts ( 5,840 ) ( 80,422 ) Net cash provided by (used in) operating activities 13,592,095 ( 25,537,005 ) Cash flow from financing activities Proceeds from addition of shares 41,679,928 65,182,313 Payment on shares redeemed ( 44,319,889 ) ( 56,763,547 ) Net cash provided by (used in) financing activities ( 2,639,961 ) 8,418,766 Net increase (decrease) in cash 10,952,134 ( 17,118,239 ) Cash, beginning of period 5,483,476 32,155,049 Cash, end of period $ 16,435,610 $ 15,036,810 See accompanying notes to financial statements. 6 6 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 10,994,894 and $ 20,990,068 , respectively) $ 10,961,261 $ 20,987,825 Cash 33,655,143 3,003,251 Unrealized appreciation on foreign currency forward contracts 1,127,711 1,237,168 Interest receivable 12,600 339 Total assets 45,756,715 25,228,583 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 31,627 20,211 Unrealized depreciation on foreign currency forward contracts 156,206 367,588 Total liabilities 187,833 387,799 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 45,568,882 24,840,784 Total liabilities and shareholders’ equity $ 45,756,715 $ 25,228,583 Shares outstanding (Note 1 ) 798,580 598,580 Net asset value per share (Note 1 ) $ 57.06 $ 41.50 Market value per share (Note 1) (Note 2 ) $ 57.13 $ 41.50 See accompanying notes to financial statements. 6 7 Table of Contents PROSHARES ULTRASHORT YEN SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 24 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.393 % due 07/21/22 † $ 6,000,000 $ 5,996,417 0.223 % due 11/03/22 † 5,000,000 4,964,844 Total short-term U.S. government and agency obligations (cost $ 10,994,894 ) $ 10,961,261 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 07/08/22 1,505,180,000 $ 11,096,632 $ ( 156,206 ) Total Unrealized Depreciation $ ( 156,206 ) Contracts to Sell Yen with Goldman Sachs International 07/08/22 ( 1,658,463,165 ) $ ( 12,226,680 ) $ 164,849 Yen with UBS AG 07/08/22 ( 12,207,008,574 ) ( 89,993,668 ) 962,862 Total Unrealized Appreciation $ 1,127,711 † All or partial amount pledged as collateral for foreign currency forward contracts. ^ The positions and counterparties herein are as of June 30, 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. 6 8 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 26,913 $ 3,570 $ 36,312 $ 7,166 Expenses Management fee 93,181 72,446 153,001 138,999 Total expenses 93,181 72,446 153,001 138,999 Net investment income (loss) ( 66,268 ) ( 68,876 ) ( 116,689 ) ( 131,833 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 7,917,170 1,598,086 8,997,343 2,857,659 Short-term U.S. government and agency obligations — — 102,971 — Net realized gain (loss) 7,917,170 1,598,086 9,100,314 2,857,659 Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 1,364,477 ) ( 1,644,087 ) 101,925 1,256,801 Short-term U.S. government and agency obligations ( 3,452 ) ( 1,390 ) ( 31,390 ) ( 536 ) Change in net unrealized appreciation (depreciation) ( 1,367,929 ) ( 1,645,477 ) 70,535 1,256,265 Net realized and unrealized gain (loss) 6,549,241 ( 47,391 ) 9,170,849 4,113,924 Net income (loss) $ 6,482,973 $ ( 116,267 ) $ 9,054,160 $ 3,982,091 See accompanying notes to financial statements. 6 9 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 27,726,701 $ 34,921,840 $ 24,840,784 $ 23,691,070 Addition of 650,000 , – , 850,000 and 200,000 shares, respectively (Note 1) 34,515,397 — 44,120,719 7,132,412 Redemption of 450,000 , 200,000 , 650,000 and 200,000 shares, respectively (Note 1) ( 23,156,189 ) ( 7,573,825 ) ( 32,446,781 ) ( 7,573,825 ) Net addition (redemption) of 200,000 , ( 200,000 ), 200,000 and – shares, respectively (Note 1) 11,359,208 ( 7,573,825 ) 11,673,938 ( 441,413 ) Net investment income (loss) ( 66,268 ) ( 68,876 ) ( 116,689 ) ( 131,833 ) Net realized gain (loss) 7,917,170 1,598,086 9,100,314 2,857,659 Change in net unrealized appreciation (depreciation) ( 1,367,929 ) ( 1,645,477 ) 70,535 1,256,265 Net income (loss) 6,482,973 ( 116,267 ) 9,054,160 3,982,091 Shareholders’ equity, end of period $ 45,568,882 $ 27,231,748 $ 45,568,882 $ 27,231,748 See accompanying notes to financial statements. 70 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 9,054,160 $ 3,982,091 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 ) ( 33,495,479 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 28,102,971 21,500,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 20,093 ) ( 3,456 ) Net realized (gain) loss on investments ( 102,971 ) — Change in unrealized (appreciation) depreciation on investments ( 70,535 ) ( 1,256,265 ) Decrease (Increase) in interest receivable ( 12,261 ) 184 Increase (Decrease) in payable to Sponsor 11,416 1,932 Net cash provided by (used in) operating activities 18,977,954 ( 9,270,993 ) Cash flow from financing activities Proceeds from addition of shares 44,120,719 7,132,412 Payment on shares redeemed ( 32,446,781 ) ( 7,573,825 ) Net cash provided by (used in) financing activities 11,673,938 ( 441,413 ) Net increase (decrease) in cash 30,651,892 ( 9,712,406 ) Cash, beginning of period 3,003,251 24,274,564 Cash, end of period $ 33,655,143 $ 14,562,158 See accompanying notes to financial statements. 7 1 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 31,975,556 and $ 85,937,303 , respectively) $ 31,775,002 $ 85,922,969 Cash 48,979,153 8,130,069 Segregated cash balances with brokers for futures contracts 14,189,600 18,941,750 Receivable on open futures contracts 815,775 63,397 Interest receivable 22,932 1,097 Total assets 95,782,462 113,059,282 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts — 94,495 Brokerage commissions and futures account fees payable — 7,124 Payable to Sponsor 61,191 81,983 Total liabilities 61,191 183,602 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 95,721,271 112,875,680 Total liabilities and shareholders’ equity $ 95,782,462 $ 113,059,282 Shares outstanding 2,712,403 3,687,403 Net asset value per share $ 35.29 $ 30.61 Market value per share (Note 2) $ 35.38 $ 30.57 See accompanying notes to financial statements. 7 2 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 33 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.223 % due 11/03/22 $ 32,000,000 $ 31,775,002 Total short-term U.S. government and agency obligations (cost $ 31,975,556 ) $ 31,775,002 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires October 2022 569 $ 16,944,251 $ 1,648,250 VIX Futures - Cboe, expires November 2022 1,089 32,144,884 1,059,336 VIX Futures - Cboe, expires December 2022 1,090 31,400,611 444,206 VIX Futures - Cboe, expires January 2023 521 15,420,610 ( 71,125 ) $ 3,080,667 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 7 3 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 52,826 $ 8,349 $ 76,749 $ 18,573 Expenses Management fee 210,584 187,266 426,247 365,346 Brokerage commissions 15,500 16,096 40,369 27,408 Futures account fees 10,906 32,131 46,394 57,763 Total expenses 236,990 235,493 513,010 450,517 Net investment income (loss) ( 184,164 ) ( 227,144 ) ( 436,261 ) ( 431,944 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 7,862,052 ( 14,405,542 ) 12,653,885 ( 10,866,226 ) Short-term U.S. government and agency obligations — — ( 336 ) — Net realized gain (loss) 7,862,052 ( 14,405,542 ) 12,653,549 ( 10,866,226 ) Change in net unrealized appreciation (depreciation) on Futures contracts 4,040,230 3,575,301 3,705,055 ( 4,701,371 ) Short-term U.S. government and agency obligations ( 47,560 ) ( 3,271 ) ( 186,220 ) ( 2,121 ) Change in net unrealized appreciation (depreciation) 3,992,670 3,572,030 3,518,835 ( 4,703,492 ) Net realized and unrealized gain (loss) 11,854,722 ( 10,833,512 ) 16,172,384 ( 15,569,718 ) Net income (loss) $ 11,670,558 $ ( 11,060,656 ) $ 15,736,123 $ ( 16,001,662 ) See accompanying notes to financial statements. 7 4 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 97,869,914 $ 75,122,747 $ 112,875,680 $ 72,075,095 Addition of 300,000 , 1,025,000 , 1,000,000 and 1,425,000 shares, respectively 10,043,451 33,730,245 32,179,053 49,610,239 Redemption of 700,000 , 150,000 , 1,975,000 and 350,000 shares, respectively ( 23,862,652 ) ( 5,129,602 ) ( 65,069,585 ) ( 13,020,938 ) Net addition (redemption) of ( 400,000 ), 875,000 , ( 975,000 ) and 1,075,000 shares, respectively ( 13,819,201 ) 28,600,643 ( 32,890,532 ) 36,589,301 Net investment income (loss) ( 184,164 ) ( 227,144 ) ( 436,261 ) ( 431,944 ) Net realized gain (loss) 7,862,052 ( 14,405,542 ) 12,653,549 ( 10,866,226 ) Change in net unrealized appreciation (depreciation) 3,992,670 3,572,030 3,518,835 ( 4,703,492 ) Net income (loss) 11,670,558 ( 11,060,656 ) 15,736,123 ( 16,001,662 ) Shareholders’ equity, end of period $ 95,721,271 $ 92,662,734 $ 95,721,271 $ 92,662,734 See accompanying notes to financial statements. 7 5 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 15,736,123 $ ( 16,001,662 ) 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 ) ( 72,990,517 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 105,998,548 93,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 45,127 ) ( 8,188 ) Net realized (gain) loss on investments 336 — Change in unrealized (appreciation) depreciation on investments 186,220 2,121 Decrease (Increase) in receivable on open futures contracts ( 752,378 ) 136,487 Decrease (Increase) in interest receivable ( 21,835 ) ( 1,364 ) Increase (Decrease) in payable to Sponsor ( 20,792 ) 7,645 Increase (Decrease) in brokerage commissions and futures account fees payable ( 7,124 ) 2,100 Increase (Decrease) in payable on open futures contracts ( 94,495 ) 102,601 Net cash provided by (used in) operating activities 68,987,466 4,249,223 Cash flow from financing activities Proceeds from addition of shares 32,179,053 48,084,371 Payment on shares redeemed ( 65,069,585 ) ( 13,936,725 ) Net cash provided by (used in) financing activities ( 32,890,532 ) 34,147,646 Net increase (decrease) in cash 36,096,934 38,396,869 Cash, beginning of period 27,071,819 27,802,834 Cash, end of period $ 63,168,753 $ 66,199,703 See accompanying notes to financial statements. 7 6 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 169,905,842 and $ 150,887,871 , respectively) $ 169,526,219 $ 150,861,898 Cash 36,024,677 11,013,736 Segregated cash balances with brokers for futures contracts 97,881,220 104,947,080 Receivable from capital shares sold — 3,026,614 Receivable on open futures contracts 38,448,080 2,115,232 Interest receivable 72,133 1,774 Total assets 341,952,329 271,966,334 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts — 2,037,391 Brokerage commissions and futures account fees payable 18,674 38,926 Payable to Sponsor 219,339 186,853 Total liabilities 238,013 2,263,170 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 341,714,316 269,703,164 Total liabilities and shareholders’ equity $ 341,952,329 $ 271,966,334 Shares outstanding (Note 1) 18,757,826 17,832,826 Net asset value per share (Note 1) $ 18.22 $ 15.12 Market value per share (Note 1) (Note 2) $ 18.25 $ 15.17 See accompanying notes to financial statements. 7 7 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS JUNE 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 50 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.967 % due 07/14/22 $ 25,000,000 $ 24,989,618 0.894 % due 07/21/22 62,000,000 61,962,973 0.674 % due 07/28/22 25,000,000 24,981,438 0.223 % due 11/03/22 58,000,000 57,592,190 Total short-term U.S. government and agency obligations (cost $ 169,905,842 ) $ 169,526,219 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires July 2022 6,185 $ 176,657,825 $ 5,185,782 VIX Futures - Cboe, expires August 2022 5,672 165,494,213 ( 1,810,355 ) $ 3,375,427 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 7 8 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 207,903 $ 40,988 $ 278,612 $ 79,448 Expenses Management fee 773,717 669,363 1,479,408 1,494,823 Brokerage commissions 171,182 94,839 287,656 267,497 Futures account fees 115,783 174,368 316,440 439,514 Total expenses 1,060,682 938,570 2,083,504 2,201,834 Net investment income (loss) ( 852,779 ) ( 897,582 ) ( 1,804,892 ) ( 2,122,386 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 23,659,182 ( 175,846,641 ) 77,393,309 ( 252,481,234 ) Short-term U.S. government and agency obligations ( 397 ) — ( 300 ) — Net realized gain (loss) 23,658,785 ( 175,846,641 ) 77,393,009 ( 252,481,234 ) Change in net unrealized appreciation (depreciation) on Futures contracts 46,680,364 39,005,837 33,506,046 ( 14,433,077 ) Short-term U.S. government and agency obligations ( 79,587 ) ( 13,490 ) ( 353,650 ) ( 5,430 ) Change in net unrealized appreciation (depreciation) 46,600,777 38,992,347 33,152,396 ( 14,438,507 ) Net realized and unrealized gain (loss) 70,259,562 ( 136,854,294 ) 110,545,405 ( 266,919,741 ) Net income (loss) $ 69,406,783 $ ( 137,751,876 ) $ 108,740,513 $ ( 269,042,127 ) See accompanying notes to financial statements. 7 9 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 404,950,400 $ 349,578,758 $ 269,703,164 $ 293,390,549 Addition of 8,175,000 , 3,925,000 , 18,125,000 and 10,256,250 shares, respectively (Note 1) 141,195,554 124,484,014 302,368,469 451,376,724 Redemption of 13,800,000 , 1,992,503 , 17,200,000 and 4,280,003 shares, respectively (Note 1) ( 273,838,421 ) ( 63,958,221 ) ( 339,097,830 ) ( 203,372,471 ) Net addition (redemption) of ( 5,625,000 ), 1,932,497 , 925,000 and 5,976,247 shares, respectively (Note 1) ( 132,642,867 ) 60,525,793 ( 36,729,361 ) 248,004,253 Net investment income (loss) ( 852,779 ) ( 897,582 ) ( 1,804,892 ) ( 2,122,386 ) Net realized gain (loss) 23,658,785 ( 175,846,641 ) 77,393,009 ( 252,481,234 ) Change in net unrealized appreciation (depreciation) 46,600,777 38,992,347 33,152,396 ( 14,438,507 ) Net income (loss) 69,406,783 ( 137,751,876 ) 108,740,513 ( 269,042,127 ) Shareholders’ equity, end of period $ 341,714,316 $ 272,352,675 $ 341,714,316 $ 272,352,675 See accompanying notes to financial statements. 80 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 108,740,513 $ ( 269,042,127 ) 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 ( 772,834,858 ) ( 330,954,205 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 753,998,870 308,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 182,283 ) ( 43,465 ) Net realized (gain) loss on investments 300 — Change in unrealized (appreciation) depreciation on investments 353,650 5,430 Decrease (Increase) in receivable on open futures contracts ( 36,332,848 ) 317,767 Decrease (Increase) in interest receivable ( 70,359 ) 1,122 Increase (Decrease) in payable to Sponsor 32,486 ( 12,148 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 20,252 ) ( 15,157 ) Increase (Decrease) in payable on open futures contracts ( 2,037,391 ) 2,355,834 Net cash provided by (used in) operating activities 51,647,828 ( 289,386,949 ) Cash flow from financing activities Proceeds from addition of shares 305,395,083 451,376,724 Payment on shares redeemed ( 339,097,830 ) ( 203,372,471 ) Net cash provided by (used in) financing activities ( 33,702,747 ) 248,004,253 Net increase (decrease) in cash 17,945,081 ( 41,382,696 ) Cash, beginning of period 115,960,816 206,562,147 Cash, end of period $ 133,905,897 $ 165,179,451 See accompanying notes to financial statements. 8 1 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF FINANCIAL CONDITION June 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 2,087,271,449 and $ 2,505,722,885 , respectively) $ 2,082,952,015 $ 2,505,429,337 Cash 952,775,804 394,413,910 Segregated cash balances with brokers for futures contracts 1,005,152,221 1,010,799,328 Segregated cash balances with brokers for foreign currency forward contracts — 916,000 Segregated cash balances with brokers for swap agreements 318,701,000 2,572,000 Unrealized appreciation on swap agreements 2,594,022 113,159,180 Unrealized appreciation on foreign currency forward contracts 4,529,655 1,457,257 Receivable from capital shares sold 26,374,095 23,475,355 Receivable on open futures contracts 524,152,606 205,819,074 Interest receivable 895,067 22,943 Total assets 4,918,126,485 4,258,064,384 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 53,985,665 25,594,902 Payable on open futures contracts 76,965,857 51,142,167 Brokerage commissions and futures account fees payable 145,235 476,241 Payable to Sponsor 3,736,397 3,178,585 Unrealized depreciation on swap agreements 219,150,943 3,391,968 Unrealized depreciation on foreign currency forward contracts 772,612 806,178 Total liabilities 354,756,709 84,590,041 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 4,563,369,776 4,173,474,343 Total liabilities and shareholders’ equity $ 4,918,126,485 $ 4,258,064,384 Shares outstanding (Note 1) 178,619,037 151,164,114 See accompanying notes to financial statements. 8 2 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF OPERATIONS* (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Investment Income Interest $ 3,593,473 $ 536,552 $ 4,620,355 $ 1,086,294 Expenses Management fee 11,608,051 10,325,523 22,225,008 22,494,533 Brokerage commissions 1,894,153 1,992,098 3,802,918 4,895,898 Futures account fees 1,030,206 1,696,496 2,835,129 4,549,900 Total expenses 14,532,410 14,014,117 28,863,055 31,940,331 Net investment income (loss) ( 10,938,937 ) ( 13,477,565 ) ( 24,242,700 ) ( 30,854,037 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 101,692,223 ( 653,015,480 ) 510,140,998 ( 1,187,149,284 ) Swap agreements ( 48,816,783 ) 155,633,013 656,366,206 211,397,494 Options — — — — Foreign currency forward contracts 9,774,456 757,734 12,836,962 1,921,025 Short-term U.S. government and agency obligations ( 420,375 ) 2,137 ( 192,800 ) 21,898 Net realized gain (loss) 62,229,521 ( 496,622,596 ) 1,179,151,366 ( 973,808,867 ) Change in net unrealized appreciation (depreciation) on Futures contracts 10,131,053 328,994,435 62,770,119 71,883,297 Swap agreements ( 57,491,778 ) 8,316,702 ( 326,324,133 ) ( 131,251,444 ) Foreign currency forward contracts 1,568,995 ( 2,047,874 ) 3,105,964 4,677,182 Short-term U.S. government and agency obligations ( 768,379 ) ( 233,144 ) ( 4,025,886 ) ( 126,859 ) Change in net unrealized appreciation (depreciation) ( 46,560,109 ) 335,030,119 ( 264,473,936 ) ( 54,817,824 ) Net realized and unrealized gain (loss) 15,669,412 ( 161,592,477 ) 914,677,430 ( 1,028,626,691 ) Net income (loss) $ 4,730,475 $ ( 175,070,042 ) $ 890,434,730 $ ( 1,059,480,728 ) * The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. See accompanying notes to financial statements. 8 3 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY* (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 5,338,066,570 $ 4,534,203,653 $ 4,173,474,343 $ 4,474,251,414 Addition of 111,695,000 , 25,865,000 , 244,305,000 and 74,621,250 shares, respectively (Note 1) 2,545,986,476 913,598,315 5,628,786,761 3,948,096,111 Redemption of 134,203,304 , 33,480,323 , 245,538,426 and 87,095,323 shares, respectively (Note 1) ( 3,325,413,745 ) ( 867,885,062 ) ( 6,129,326,058 ) ( 2,958,019,933 ) Net addition (redemption) of ( 22,508,304 ), ( 7,615,323 ), ( 1,233,426 ) and ( 12,474,073 ) shares, respectively (Note 1) ( 779,427,269 ) 45,713,253 ( 500,539,297 ) 990,076,178 Net investment income (loss) ( 10,938,937 ) ( 13,477,565 ) ( 24,242,700 ) ( 30,854,037 ) Net realized gain (loss) 62,229,521 ( 496,622,596 ) 1,179,151,366 ( 973,808,867 ) Change in net unrealized appreciation (depreciation) ( 46,560,109 ) 335,030,119 ( 264,473,936 ) ( 54,817,824 ) Net income (loss) 4,730,475 ( 175,070,042 ) 890,434,730 ( 1,059,480,728 ) Shareholders’ equity, end of period $ 4,563,369,776 $ 4,404,846,864 $ 4,563,369,776 $ 4,404,846,864 * The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. See accompanying notes to financial statements. 8 4 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CASH FLOWS* (unaudited) Six Months Ended June 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 890,434,730 $ ( 1,059,480,728 ) 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 ( 11,579,158,324 ) ( 5,451,274,846 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 12,000,836,596 4,024,989,152 Net amortization and accretion on short-term U.S. government and agency obligations ( 3,419,714 ) ( 563,137 ) Net realized (gain) loss on investments 192,879 ( 21,898 ) Change in unrealized (appreciation) depreciation on investments 327,244,055 126,701,121 Decrease (Increase) in receivable on futures contracts ( 318,333,532 ) 964,203 Decrease (Increase) in interest receivable ( 872,124 ) ( 19,482 ) Increase (Decrease) in payable to Sponsor 557,811 ( 104,518 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 331,006 ) ( 154,311 ) Increase (Decrease) in payable on futures contracts 25,823,690 ( 9,525,111 ) Increase (Decrease) in securities purchased payable — 167,040,817 Net cash provided by (used in) operating activities 1,342,975,061 ( 2,201,448,738 ) Cash flow from financing activities Proceeds from addition of shares 5,625,888,021 3,970,199,298 Payment on shares redeemed ( 6,100,935,295 ) ( 2,975,566,551 ) Net cash provided by (used in) financing activities ( 475,047,274 ) 994,632,747 Net increase (decrease) in cash 867,927,787 ( 1,206,815,991 ) Cash, beginning of period 1,408,701,238 3,256,463,457 Cash, end of period $ 2,276,629,025 $ 2,049,647,466 * The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. See accompanying notes to financial statements. 8 5 Table of Contents PROSHARES TRUST II NOTES TO FINANCIAL STATEMENTS June 30, 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 June 30, 2022, the following sixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements. On March 11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on May 2, 2022. Trading in each liquidated fund was suspended prior to market open on May 3, 2022. Proceeds of the liquidation were sent to shareholders on May 12, 2022 (the “Distribution Date”). From May 3, 2022 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on May 12, 2022. The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $ 350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen. Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories. 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. 8 6 Table of Contents Share Splits and Reverse Share Splits The table below includes reverse Share splits for the Funds during the six months June 30, 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. Execution Date Date Trading (Prior to Opening Resumed at Post- Fund of Trading) Type of Split 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 ProShares UltraShort Yen May 25, 2022 2-for-1 forward Share split May 26, 2022 ProShares Ultra Bloomberg Crude Oil May 25, 2022 4-for-1 forward Share split May 26, 2022 ProShares UltraShort Bloomberg Natural Gas May 25, 2022 1-for-4 reverse Share split May 26, 2022 ProShares UltraShort Bloomberg Crude Oil May 25, 2022 1-for-5 reverse Share split May 26, 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. The forward splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund. Therefore, the forward splits did not change the aggregate net asset value of a shareholder’s investment at the time of the forward split. NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 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. 8 7 Table of Contents 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 June 30, 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. 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 six months ended June 30, 2022 were typically as follows. All times are Eastern Standard Time: Create/Redeem NAV Calculation NAV Fund Cut-off* Time Calculation Date Ultra Silver and UltraShort Silver 1:00 p.m. 1:25 p.m. June 30, 2022 Ultra Gold and UltraShort Gold 1:00 p.m. 1:30 p.m. June 30, 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. June 30, 2022 Ultra Euro, Ultra Yen, UltraShort Euro and UltraShort Yen 3:00 p.m. 4:00 p.m. June 30, 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. June 30, 2022 8 8 Table of Contents * 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 six months ended June 30, 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 six months ended June 30, 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 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). 8 9 Table of Contents 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 June 30, 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 VIX Short-Term Futures ETF $ 151,418,355 $ 1,517,614 $ — $ — $ 152,935,969 ProShares Ultra Bloomberg Crude Oil 526,423,284 58,454,799 — ( 152,287,155 ) 432,590,928 ProShares Ultra Bloomberg Natural Gas 105,739,904 ( 194,426,957 ) — — ( 88,687,053 ) ProShares Ultra Euro 4,690,703 — ( 332,395 ) — 4,358,308 ProShares Ultra Gold 208,696,447 ( 3,932,509 ) — ( 6,451,858 ) 198,312,080 ProShares Ultra Silver 290,458,173 ( 4,317,941 ) — ( 60,411,930 ) 225,728,302 ProShares Ultra VIX Short-Term Futures ETF 243,251,317 35,444,518 — — 278,695,835 ProShares Ultra Yen 992,969 — ( 77,150 ) — 915,819 ProShares UltraShort Bloomberg Crude Oil 232,635,606 28,516,831 — — 261,152,437 ProShares UltraShort Bloomberg Natural Gas 59,578,128 154,070,341 — — 213,648,469 ProShares UltraShort Euro 19,885,112 — 3,195,083 — 23,080,195 ProShares UltraShort Gold 13,940,167 811,562 — 720,984 15,472,713 ProShares UltraShort Silver 12,979,368 2,516,890 — 1,873,038 17,369,296 ProShares UltraShort Yen 10,961,261 — 971,505 — 11,932,766 ProShares VIX Mid-Term Futures ETF 31,775,002 3,080,667 — — 34,855,669 ProShares VIX Short-Term Futures ETF 169,526,219 3,375,427 — — 172,901,646 Combined Trust: $ 2,082,952,015 $ 85,111,242 $ 3,757,043 $ ( 216,556,921 ) $ 1,955,263,379 * 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. 9 0 Table of Contents 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 transf e rs into or out of Level 3 for the fiscal year end. 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. 9 1 Table of Contents 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. 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. From the beginning of the reporting period until the close of business on May 2, 2022, the volume of the derivative exposure for each liquidated fund relative to its net assets was generally representative to its investment objective. 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. 9 2 Table of Contents 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 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. 9 3 Table of Contents 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. 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. 9 4 Table of Contents 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 June 30, 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 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 June 30, 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 9 5 Table of Contents 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 June 30, 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’ 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 June 30, 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 Payable on open futures contracts ProShares Short VIX Short-Term Futures ETF $ 1,517,614 * $ — ProShares Ultra VIX Short-Term Futures ETF 41,121,658 * 5,677,140 * ProShares VIX Mid-Term Futures ETF 3,151,792 * 71,125 * ProShares VIX Short-Term Futures ETF 5,185,782 * 1,810,355 * 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 76,385,739 * 170,218,095 * ProShares Ultra Bloomberg Natural Gas — 194,426,957 * ProShares Ultra Gold — 10,384,367 * ProShares Ultra Silver — 64,729,871 * ProShares UltraShort Bloomberg Crude Oil 28,869,220 * 352,389 * ProShares UltraShort Bloomberg Natural Gas 154,070,341 * — ProShares UltraShort Gold 1,532,546 * — ProShares UltraShort Silver 4,389,928 * — Foreign Exchange Contracts Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts ProShares Ultra Euro 17,639 350,034 ProShares Ultra Yen 2,012 79,162 ProShares UltraShort Euro 3,382,293 187,210 ProShares UltraShort Yen 1,127,711 156,206 Combined Trust: $ 320,754,275 * $ 448,442,911 * * 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. 9 6 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 * 9 7 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the three months ended June 30, 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/ changes in unrealized appreciation (depreciation) on futures contracts ProShares Short VIX Short-Term Futures ETF $ ( 13,029,194 ) $ ( 34,466,848 ) ProShares Ultra VIX Short-Term Futures ETF 91,039,435 196,657,178 ProShares VIX Mid-Term Futures ETF 7,862,052 4,040,230 ProShares VIX Short-Term Futures ETF 23,659,182 46,680,364 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 363,296,092 ( 211,138,245 ) ProShares Ultra Bloomberg Natural Gas 164,990,694 ( 271,251,560 ) ProShares Ultra Gold ( 57,901,083 ) 4,971,202 ProShares Ultra Silver ( 156,194,175 ) ( 50,071,519 ) ProShares UltraShort Bloomberg Crude Oil ( 102,594,000 ) 34,810,301 ProShares UltraShort Bloomberg Natural Gas ( 282,646,685 ) 228,166,248 ProShares UltraShort Gold 4,557,870 298,236 ProShares UltraShort Silver 9,411,232 3,849,687 Foreign Exchange Contracts Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts ProShares Ultra Euro ( 446,365 ) ( 282,077 ) ProShares Ultra Yen ( 761,478 ) 154,501 ProShares UltraShort Euro 3,065,129 3,061,048 ProShares UltraShort Yen 7,917,170 ( 1,364,477 ) Combined Trust $ 62,225,876 $ ( 45,885,731 ) * 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. 9 8 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the six months ended June 30, 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 $ ( 54,129,808 ) $ ( 29,757,664 ) ProShares Ultra VIX Short-Term Futures ETF 372,034,119 162,278,712 ProShares VIX Mid-Term Futures ETF 12,653,885 3,705,055 ProShares VIX Short-Term Futures ETF 77,393,309 33,506,046 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 1,162,719,162 ( 305,216,174 ) ProShares Ultra Bloomberg Natural Gas 241,211,382 ( 186,220,796 ) ProShares Ultra Gold ( 82,487 ) ( 19,678,449 ) ProShares Ultra Silver ( 39,557,148 ) ( 107,828,115 ) ProShares UltraShort Bloomberg Crude Oil ( 209,076,101 ) 36,926,293 ProShares UltraShort Bloomberg Natural Gas ( 397,312,383 ) 140,634,090 ProShares UltraShort Gold ( 1,750,803 ) 2,367,584 ProShares UltraShort Silver 2,037,486 5,658,849 Foreign Exchange Contracts Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts ProShares Ultra Euro ( 887,395 ) ( 415,047 ) ProShares Ultra Yen ( 880,249 ) 15,962 ProShares UltraShort Euro 5,607,263 3,403,124 ProShares UltraShort Yen 8,997,343 101,925 Combined Trust: $ 1,178,977,575 $ ( 260,518,605 ) 9 9 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the three months ended June 30, 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 $ 109,337,017 $ ( 13,290,409 ) ProShares Ultra VIX Short-Term Futures ETF ( 854,529,061 ) 244,143,655 ProShares VIX Mid-Term Futures ETF ( 14,405,542 ) 3,575,301 ProShares VIX Short-Term Futures ETF ( 175,846,641 ) 39,005,837 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 320,505,659 157,999,797 ProShares Ultra Bloomberg Natural Gas 4,901,288 28,350,804 ProShares Ultra Gold 45,506,367 ( 33,461,145 ) ProShares Ultra Silver 116,370,479 ( 48,336,770 ) ProShares UltraShort Bloomberg Crude Oil ( 26,010,421 ) ( 9,944,438 ) ProShares UltraShort Bloomberg Natural Gas ( 10,305,304 ) ( 33,691,003 ) ProShares UltraShort Gold ( 6,984,547 ) 3,807,080 ProShares UltraShort Silver ( 5,876,456 ) ( 923,486 ) 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 ( 38,172 ) 17,623 ProShares Ultra Euro 95,412 ( 13,092 ) ProShares Ultra Yen ( 140,007 ) 118,748 ProShares UltraShort Australian Dollar ( 7,133 ) 58,291 ProShares UltraShort Euro ( 795,757 ) ( 509,443 ) ProShares UltraShort Yen 1,598,086 ( 1,644,087 ) Combined Trust $ ( 496,624,733 ) $ 335,263,263 100 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the six months ended June 30, 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 $ 133,546,434 $ 28,831,483 ProShares Ultra VIX Short-Term Futures ETF ( 1,559,047,085 ) ( 40,235,121 ) ProShares VIX Mid-Term Futures ETF ( 10,866,226 ) ( 4,701,371 ) ProShares VIX Short-Term Futures ETF ( 252,481,234 ) ( 14,433,077 ) 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 654,856,887 192,993,880 ProShares Ultra Bloomberg Natural Gas 46,483,673 10,550,021 ProShares Ultra Gold ( 5,741,765 ) ( 34,695,444 ) ProShares Ultra Silver 121,281,030 ( 186,102,472 ) ProShares UltraShort Bloomberg Crude Oil ( 75,188,186 ) ( 4,307,804 ) ProShares UltraShort Bloomberg Natural Gas ( 16,664,698 ) ( 17,797,456 ) ProShares UltraShort Gold ( 2,981,357 ) 3,626,416 ProShares UltraShort Silver ( 8,808,807 ) 6,542,278 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 31,221 96,177 ProShares Ultra Euro 68,070 ( 324,232 ) ProShares Ultra Yen ( 279,474 ) ( 137,341 ) ProShares UltraShort Australian Dollar ( 171,677 ) 264,343 ProShares UltraShort Euro ( 725,230 ) 3,881,954 ProShares UltraShort Yen 2,857,659 1,256,801 Combined Trust: $ ( 973,830,765 ) $ ( 54,690,965 ) 10 1 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 June 30, 2022. Fair Values of Derivative Instruments as of June 30, 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 $ — $ — $ — $ 152,287,155 $ — $ 152,287,155 ProShares Ultra Euro Foreign currency forward contracts 17,639 — 17,639 350,034 — 350,034 ProShares Ultra Gold Swap agreements — — — 6,451,858 — 6,451,858 ProShares Ultra Silver Swap agreements — — — 60,411,930 — 60,411,930 ProShares Ultra Yen Foreign currency forward contracts 2,012 — 2,012 79,162 — 79,162 ProShares UltraShort Euro Foreign currency forward contracts 3,382,293 — 3,382,293 187,210 — 187,210 ProShares UltraShort Gold Swap agreements 720,984 — 720,984 — — — ProShares UltraShort Silver Swap agreements 1,873,038 — 1,873,038 — — — ProShares UltraShort Yen Foreign currency forward contracts 1,127,711 — 1,127,711 156,206 — 156,206 Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 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”. 10 2 Table of Contents Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 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. $ ( 21,668,621 ) $ — $ 21,668,621 $ — Goldman Sachs International ( 42,218,820 ) — 42,218,820 — Morgan Stanley & Co. International PLC ( 37,530,948 ) — 37,530,948 — Societe Generale ( 20,435,337 ) 18,175,337 2,260,000 — UBS AG ( 30,433,429 ) 22,524,429 7,909,000 — ProShares Ultra Euro Goldman Sachs International ( 123,538 ) 123,538 — — UBS AG ( 208,857 ) 208,857 — — ProShares Ultra Gold Citibank, N.A. ( 2,221,389 ) 1,781,389 440,000 — Goldman Sachs International ( 1,919,639 ) 1,919,639 — — UBS AG ( 2,310,830 ) 543,830 1,767,000 — ProShares Ultra Silver Citibank, N.A. ( 14,941,465 ) — 14,941,465 — Goldman Sachs International ( 18,119,916 ) 18,119,916 — — Morgan Stanley & Co. International PLC ( 15,214,853 ) — 15,214,853 — UBS AG ( 12,135,696 ) 9,307,696 2,828,000 — ProShares Ultra Yen Goldman Sachs International ( 34,398 ) 34,398 — — UBS AG ( 42,752 ) 42,752 — — ProShares UltraShort Euro Goldman Sachs International 1,245,143 ( 1,245,143 ) — — UBS AG 1,949,940 ( 1,892,423 ) — 57,517 ProShares UltraShort Gold Citibank, N.A. 295,777 — — 295,777 Goldman Sachs International 193,824 — — 193,824 UBS AG 231,383 — — 231,383 ProShares UltraShort Silver Citibank, N.A. 221,841 — — 221,841 Goldman Sachs International 808,139 ( 510,736 ) — 297,403 Morgan Stanley & Co. International PLC 638,732 — ( 381,000 ) 257,732 UBS AG 204,326 — — 204,326 ProShares UltraShort Yen Goldman Sachs International 162,849 — — 162,849 UBS AG 806,656 ( 806,656 ) — — 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: 10 3 Table of Contents 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”. 10 4 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 Sponsor stopped charging the Management Fee to the liquidated funds on May 2, 2022, the date it was determined that liquidation was imminent. The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to, (i) the 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. 10 5 Table of Contents Non-Recurring Fees and Expenses Each Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds. The Administrator BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds. The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor. The Custodian BNY Mellon serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor. The Transfer Agent BNY Mellon serves as the Transfer Agent of the Funds for Authorized Participants and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor. The Distributor SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds. NOTE 5 – 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. 10 6 Table of Contents 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 services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10 % (and a variable transaction fee to the Matching VIX Funds of 0.05 %) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market. Transaction fees for the three and six months ended June 30, 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 June 30, 2022 Six Months Ended June 30, 2022 ProShares Short VIX Short-Term Futures ETF $ 58,615 $ 118,759 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 956,110 2,182,872 ProShares Ultra Yen — — ProShares UltraShort Bloomberg Crude Oil — — ProShares UltraShort Bloomberg Natural Gas — — ProShares UltraShort Euro — — ProShares UltraShort Gold — — ProShares UltraShort Silver — — ProShares UltraShort Yen — — ProShares VIX Mid-Term Futures ETF 10,258 29,225 ProShares VIX Short-Term Futures ETF 149,306 250,276 Combined Trust: $ 1,174,289 $ 2,581,132 10 7 Table of Contents NOTE 6 – FINANCIAL HIGHLIGHTS Selected Data for a Share Outstanding Throughout the Three Months Ended June 30, 2022 For the Three Months Ended June 30, 2022 (unaudited) Per Share Operating Performance Short VIX Short-Term Futures ETF Ultra Bloomberg Crude Oil* Ultra Bloomberg Natural Gas Ultra Euro Ultra Gold Net asset value, at March 31, 2022 $ 54.55 $ 37.94 $ 56.06 $ 12.47 $ 66.99 Net investment income (loss) ( 0.13 ) ( 0.07 ) ( 0.21 ) ( 0.02 ) ( 0.09 ) Net realized and unrealized gain (loss)# ( 6.28 ) 3.74 ( 16.32 ) ( 1.37 ) ( 10.44 ) Change in net asset value from operations ( 6.41 ) 3.67 ( 16.53 ) ( 1.39 ) ( 10.53 ) Net asset value, at June 30, 2022 $ 48.14 $ 41.61 $ 39.53 $ 11.08 $ 56.46 Market value per share, at March 31, 2022 † $ 54.56 $ 38.33 $ 56.31 $ 12.46 $ 66.14 Market value per share, at June 30, 2022 † $ 48.21 $ 41.86 $ 42.10 $ 11.11 $ 56.50 Total Return, at net asset value^ ( 11.8 )% 9 .7 % ( 29.5 )% ( 11.1 )% ( 15.7 )% Total Return, at market value^ ( 11.6 )% 9 .2 % ( 25.2 )% ( 10.8 )% ( 14.6 )% Ratios to Average Net Assets** Expense ratio^^ 1.21 % 1.01 % 1 .26 % 0.95 % 0 .98 % Net investment income gain (loss) ( 1.00 )% ( 0.64 )% ( 1.01 )% ( 0.54 )% ( 0.56 )% * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended June 30, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. 108 Table of Contents For the Three Months Ended June 30, 2022 (unaudited) Per Share Operating Performance Ultra Silver Ultra VIX Short-Term Futures ETF Ultra Yen UltraShort Bloomberg Crude Oil* UltraShort Bloomberg Natural Gas* Net asset value, at March 31, 2022 $ 39.06 $ 13.50 $ 42.02 $ 29.17 $ 64.71 Net investment income (loss) ( 0.05 ) ( 0.05 ) ( 0.05 ) ( 0.05 ) ( 0.08 ) Net realized and unrealized gain (loss)# ( 14.23 ) 1.06 ( 8.46 ) ( 6.08 ) ( 21.98 ) Change in net asset value from operations ( 14.28 ) 1.01 ( 8.51 ) ( 6.13 ) ( 22.06 ) Net asset value, at June 30, 2022 $ 24.78 $ 14.51 $ 33.51 $ 23.04 $ 42.65 Market value per share, at March 31, 2022 † $ 38.53 $ 13.46 $ 42.09 $ 28.95 $ 64.56 Market value per share, at June 30, 2022 † $ 24.47 $ 14.53 $ 33.49 $ 22.93 $ 40.02 Total Return, at net asset value^ ( 36.6 )% 7 .5 % ( 20.3 )% ( 21.0 )% ( 34.1 )% Total Return, at market value^ ( 36.5 )% 8 .0 % ( 20.4 )% ( 20.8 )% ( 38.0 )% Ratios to Average Net Assets** Expense ratio^^ 0.98 % 1.53 % 0.95 % 1.14 % 1.36 % Net investment income gain (loss) ( 0.61 )% ( 1.36 )% ( 0.59 )% ( 0.85 )% ( 1.14 )% * 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 June 30, 2022. ^^ The expense ratio would be 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. 109 Table of Contents For the Three Months Ended June 30, 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 March 31, 2022 $ 27.30 $ 27.23 $ 21.45 $ 46.32 $ 31.45 $ 16.61 Net investment income (loss) ( 0.05 ) ( 0.05 ) ( 0.05 ) ( 0.09 ) ( 0.06 ) ( 0.04 ) Net realized and unrealized gain (loss)# 3.13 4.37 10.34 10.83 3.90 1.65 Change in net asset value from operations 3.08 4.32 10.29 10.74 3.84 1.61 Net asset value, at June 30, 2022 $ 30.38 $ 31.55 $ 31.74 $ 57.06 $ 35.29 $ 18.22 Market value per share, at March 31, 2022 † $ 27.31 $ 27.61 $ 21.78 $ 46.37 $ 31.50 $ 16.57 Market value per share, at June 30, 2022 † $ 30.41 $ 31.59 $ 32.19 $ 57.13 $ 35.38 $ 18.25 Total Return, at net asset value^ 11.3 % 15.9 % 48.0 % 23.2 % 12.2 % 9 .6 % Total Return, at market value^ 11.4 % 14.4 % 47.8 % 23.2 % 12.3 % 10.1 % Ratios to Average Net Assets** Expense ratio^^ 0.95 % 0.99 % 1.06 % 0.95 % 0.96 % 1.16 % Net investment income gain (loss) ( 0.70 )% ( 0.74 )% ( 0.78 )% ( 0.68 )% ( 0.74 )% ( 0.94 )% * 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 June 30, 2022. ^^ 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. 1 10 Table of Contents Selected data for a Share outstanding throughout the three months ended June 30, 2021 For the Three Months Ended June 30, 2021 (unaudited) Per Share Operating Performance Short VIX Short-Term Futures ETF Ultra Bloomberg Crude Oil* Ultra Bloomberg Natural Gas Ultra Euro Ultra Gold Net asset value, at March 31, 2021 $ 47.13 $ 13.14 $ 21.31 $ 14.45 $ 54.32 Net investment income (loss) ( 0.17 ) ( 0.04 ) ( 0.08 ) ( 0.03 ) ( 0.14 ) Net realized and unrealized gain (loss)# 8.65 6.46 14.10 0.25 3.10 Change in net asset value from operations 8.48 6.42 14.02 0.22 2.96 Net asset value, at June 30, 2021 $ 55.61 $ 19.56 $ 35.33 $ 14.67 $ 57.28 Market value per share, at March 31, 2021 † $ 47.10 $ 13.21 $ 21.20 $ 14.47 $ 53.91 Market value per share, at June 30, 2021 † $ 55.55 $ 19.56 $ 37.17 $ 14.66 $ 57.22 Total Return, at net asset value^ 18.0 % 48.9 % 65.8 % 1.6 % 5.5 % Total Return, at market value^ 17.9 % 48.0 % 75.3 % 1.3 % 6.1 % Ratios to Average Net Assets** Expense ratio^^ 1.37 % 1.13 % 1.42 % 0.95 % 0.99 % Net investment income gain (loss) ( 1.35 )% ( 1.09 )% ( 1.35 )% ( 0.91 )% ( 0.95 )% * 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 June 30, 2021. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. 1 11 Table of Contents For the Three Months Ended June 30, 2021 (unaudited) Per Share Operating Performance Ultra Silver Ultra VIX Short-Term Futures ETF * Ultra Yen UltraShort Bloomberg Crude Oil * UltraShort Bloomberg Natural Gas* Net asset value, at March 31, 2021 $ 41.35 $ 56.32 $ 51.78 $ 143.99 $ 782.71 Net investment income (loss) ( 0.12 ) ( 0.17 ) ( 0.12 ) ( 0.31 ) ( 2.47 ) Net realized and unrealized gain (loss)# 4.74 ( 28.24 ) ( 0.42 ) ( 53.12 ) ( 349.17 ) Change in net asset value from operations 4.62 ( 28.41 ) ( 0.54 ) ( 53.43 ) ( 351.64 ) Net asset value, at June 30, 2021 $ 45.97 $ 27.91 $ 51.24 $ 90.56 $ 431.07 Market value per share, at March 31, 2021 † $ 41.10 $ 56.50 $ 51.78 $ 143.00 $ 786.40 Market value per share, at June 30, 2021 † $ 46.12 $ 27.98 $ 51.26 $ 90.55 $ 408.80 Total Return, at net asset value^ 11.2 % ( 50.5 )% ( 1.1 )% ( 37.1 )% ( 44.9 )% Total Return, at market value^ 12.2 % ( 50.5 )% ( 1.0 )% ( 36.7 )% ( 48.0 )% Ratios to Average Net Assets** Expense ratio^^ 1.00 % 1.73 % 0.95 % 1.19 % 1.60 % Net investment income gain (loss) ( 0.96 )% ( 1.65 )% ( 0.90 )% ( 1.10 )% ( 1.56 )% * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended June 30, 2021. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. 11 2 Table of Contents For the Three Months Ended June 30, 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 March 31, 2021 $ 24.41 $ 37.60 $ 27.92 $ 38.86 $ 34.74 $ 37.29 Net investment income (loss) ( 0.05 ) ( 0.08 ) ( 0.06 ) ( 0.09 ) ( 0.08 ) ( 0.09 ) Net realized and unrealized gain (loss)# ( 0.55 ) ( 2.85 ) ( 4.49 ) 0.21 ( 4.15 ) ( 13.11 ) Change in net asset value from operations ( 0.60 ) ( 2.93 ) ( 4.55 ) 0.12 ( 4.23 ) ( 13.20 ) Net asset value, at June 30, 2021 $ 23.81 $ 34.67 $ 23.37 $ 38.98 $ 30.51 $ 24.09 Market value per share, at March 31, 2021 † $ 24.42 $ 37.89 $ 28.04 $ 38.88 $ 35.06 $ 37.40 Market value per share, at June 30, 2021 † $ 23.82 $ 34.69 $ 23.28 $ 38.99 $ 30.54 $ 24.08 Total Return, at net asset value^ ( 2.5 )% ( 7.8 )% ( 16.3 )% 0.3 % ( 12.2 )% ( 35.6 )% Total Return, at market value^ ( 2.5 )% ( 8.4 )% ( 17.0 )% 0.3 % ( 12.9 )% ( 35.4 )% Ratios to Average Net Assets** Expense ratio^^ 0.95 % 1.01 % 1.05 % 0.95 % 1.07 % 1.19 % Net investment income gain (loss) ( 0.90 )% ( 0.96 )% ( 1.02 )% ( 0.90 )% ( 1.03 )% ( 1.14 )% * 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 June 30, 2021. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded. 11 3 Table of Contents Selected Data for a Share Outstanding Throughout the six Months Ended June 30, 2022 For the Six Months Ended June 30, 2022 (unaudited) Per Share Operating Performance 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 $ 61.56 $ 21.54 $ 25.55 $ 13.32 $ 59.69 Net investment income (loss) ( 0.29 ) ( 0.15 ) ( 0.29 ) ( 0.04 ) ( 0.22 ) Net realized and unrealized gain (loss)# ( 13.13 ) 20.22 14.27 ( 2.20 ) ( 3.01 ) Change in net asset value from operations ( 13.42 ) 20.07 13.98 ( 2.24 ) ( 3.23 ) Net asset value, at June 30, 2022 $ 48.14 $ 41.61 $ 39.53 $ 11.08 $ 56.46 Market value per share, at December 31, 2021 † $ 61.55 $ 21.70 $ 26.09 $ 13.33 $ 59.81 Market value per share, at June 30, 2022 † $ 48.21 $ 41.86 $ 42.10 $ 11.11 $ 56.50 Total Return, at net asset value^ ( 21.8 )% 93.2 % 54.7 % ( 16.8 )% ( 5.4 )% Total Return, at market value^ ( 21.7 )% 92.9 % 61.4 % ( 16.7 )% ( 5.5 )% Ratios to Average Net Assets** Expense ratio^^ 1.28 % 1.05 % 1.29 % 0.95 % 0.99 % Net investment income gain (loss) ( 1.12 )% ( 0.82 )% ( 1.10 )% ( 0.65 )% ( 0.71 )% * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended June 30, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. 11 4 Table of Contents For the Six Months Ended June 30, 2022 (unaudited) Per Share Operating Performance Ultra Silver Ultra VIX Short-Term Futures ETF * Ultra Yen UltraShort Bloomberg Crude Oil * UltraShort Bloomberg Natural Gas * Net asset value, at December 31, 2021 $ 34.84 $ 12.41 $ 47.29 $ 64.26 $ 247.40 Net investment income (loss) ( 0.13 ) ( 0.11 ) ( 0.13 ) ( 0.12 ) ( 0.31 ) Net realized and unrealized gain (loss)# ( 9.93 ) 2.21 ( 13.65 ) ( 41.10 ) ( 204.44 ) Change in net asset value from operations ( 10.06 ) 2.10 ( 13.78 ) ( 41.22 ) ( 204.75 ) Net asset value, at June 30, 2022 $ 24.78 $ 14.51 $ 33.51 $ 23.04 $ 42.65 Market value per share, at December 31, 2021 † $ 34.74 $ 12.43 $ 47.29 $ 63.75 $ 242.20 Market value per share, at June 30, 2022 † $ 24.47 $ 14.53 $ 33.49 $ 22.93 $ 40.02 Total Return, at net asset value^ ( 28.9 )% 17.0 % ( 29.2 )% ( 64.2 )% ( 82.8 )% Total Return, at market value^ ( 29.6 )% 16.9 % ( 29.2 )% ( 64.0 )% ( 83.5 )% Ratios to Average Net Assets** Expense ratio^^ 0.98 % 1.65 % 0.95 % 1.18 % 1.47 % Net investment income gain (loss) ( 0.75 )% ( 1.53 )% ( 0.67 )% ( 0.95 )% ( 1.30 )% * 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 June 30, 2022. ^^ The expense ratio would be 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. 11 5 Table of Contents For the Six Months Ended June 30, 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 $ 41.50 $ 30.61 $ 15.12 Net investment income (loss) ( 0.11 ) ( 0.12 ) ( 0.11 ) ( 0.17 ) ( 0.14 ) ( 0.09 ) Net realized and unrealized gain (loss)# 4.65 ( 0.04 ) 5.08 15.73 4.82 3.19 Change in net asset value from operations 4.54 ( 0.16 ) 4.97 15.56 4.68 3.10 Net asset value, at June 30, 2022 $ 30.38 $ 31.55 $ 31.74 $ 57.06 $ 35.29 $ 18.22 Market value per share, at December 31, 2021 † $ 25.86 $ 31.66 $ 26.84 $ 41.50 $ 30.57 $ 15.17 Market value per share, at June 30, 2022 † $ 30.41 $ 31.59 $ 32.19 $ 57.13 $ 35.38 $ 18.25 Total Return, at net asset value^ 17.5 % ( 0.5 )% 18.6 % 37.5 % 15.3 % 20.4 % Total Return, at market value^ 17.6 % ( 0.2 )% 19.9 % 37.7 % 15.7 % 20.3 % Ratios to Average Net Assets** Expense ratio^^ 0.95 % 1.00 % 1.07 % 0.95 % 1.02 % 1.20 % Net investment income gain (loss) ( 0.75 )% ( 0.81 )% ( 0.86 )% ( 0.72 )% ( 0.87 )% ( 1.04 )% * 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 June 30, 2022. ^^ 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. 11 6 Table of Contents Selected Data for a Share Outstanding Throughout the six Months Ended June 30, 2021 For the Six Months Ended June 30, 2021 (unaudited) Per Share Operating Performance 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 $ 41.42 $ 9.10 $ 21.00 $ 15.79 $ 67.57 Net investment income (loss) ( 0.31 ) ( 0.07 ) ( 0.17 ) ( 0.07 ) ( 0.29 ) Net realized and unrealized gain (loss)# 14.50 10.53 14.50 ( 1.05 ) ( 10.00 ) Change in net asset value from operations 14.19 10.46 14.33 ( 1.12 ) ( 10.29 ) Net asset value, at June 30, 2021 $ 55.61 $ 19.56 $ 35.33 $ 14.67 $ 57.28 Market value per share, at December 31, 2020 † $ 41.44 $ 9.07 $ 21.07 $ 15.81 $ 68.20 Market value per share, at June 30, 2021 † $ 55.55 $ 19.56 $ 37.17 $ 14.66 $ 57.22 Total Return, at net asset value^ 34.3 % 115.0 % 68.3 % ( 7.1 )% ( 15.2 )% Total Return, at market value^ 34.1 % 115.7 % 76.4 % ( 7.3 )% ( 16.1 )% Ratios to Average Net Assets** Expense ratio^^ 1.36 % 1.11 % 1.53 % 0.95 % 1.01 % Net investment income gain (loss) ( 1.33 )% ( 1.06 )% ( 1.47 )% ( 0.90 )% ( 0.96 )% * 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 June 30, 2021. ^^ The expense ratio would be 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. 11 7 Table of Contents For the Six Months Ended June 30, 2021 (unaudited) Per Share Operating Performance Ultra Silver Ultra VIX Short-Term Futures ETF * Ultra Yen UltraShort Bloomberg Crude Oil * UltraShort Bloomberg Natural Gas * Net asset value, at December 31, 2020 $ 50.71 $ 106.68 $ 59.83 $ 232.23 $ 951.82 Net investment income (loss) ( 0.24 ) ( 0.55 ) ( 0.25 ) ( 0.81 ) ( 5.26 ) Net realized and unrealized gain (loss)# ( 4.50 ) ( 78.22 ) ( 8.34 ) ( 140.86 ) ( 515.49 ) Change in net asset value from operations ( 4.74 ) ( 78.77 ) ( 8.59 ) ( 141.67 ) ( 520.75 ) Net asset value, at June 30, 2021 $ 45.97 $ 27.91 $ 51.24 $ 90.56 $ 431.07 Market value per share, at December 31, 2020 † $ 51.28 $ 106.50 $ 59.82 $ 232.80 $ 947.60 Market value per share, at June 30, 2021 † $ 46.12 $ 27.98 $ 51.26 $ 90.55 $ 408.80 Total Return, at net asset value^ ( 9.4 )% ( 73.8 )% ( 14.4 )% ( 61.0 )% ( 54.7 )% Total Return, at market value^ ( 10.1 )% ( 73.7 )% ( 14.3 )% ( 61.1 )% ( 56.9 )% Ratios to Average Net Assets** Expense ratio^^ 1.04 % 1.76 % 0.95 % 1.27 % 1.60 % Net investment income gain (loss) ( 0.99 )% ( 1.71 )% ( 0.90 )% ( 1.20 )% ( 1.56 )% * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended June 30, 2021. ^^ The expense ratio would be 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. 11 8 Table of Contents For the Six Months Ended June 30, 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 $ 33.91 $ 36.73 $ 55.03 Net investment income (loss) ( 0.10 ) ( 0.17 ) ( 0.13 ) ( 0.16 ) ( 0.18 ) ( 0.23 ) Net realized and unrealized gain (loss)# 1.38 3.41 ( 4.23 ) 5.22 ( 6.04 ) ( 30.71 ) Change in net asset value from operations 1.28 3.24 ( 4.36 ) 5.06 ( 6.22 ) ( 30.94 ) Net asset value, at June 30, 2021 $ 23.81 $ 34.67 $ 23.37 $ 38.98 $ 30.51 $ 24.09 Market value per share, at December 31, 2020 † $ 22.52 $ 31.14 $ 27.40 $ 33.91 $ 36.70 $ 54.96 Market value per share, at June 30, 2021 † $ 23.82 $ 34.69 $ 23.28 $ 38.99 $ 30.54 $ 24.08 Total Return, at net asset value^ 5.7 % 10.3 % ( 15.7 )% 15.0 % ( 16.9 )% ( 56.2 )% Total Return, at market value^ 5.8 % 11.4 % ( 15.0 )% 14.9 % ( 16.8 )% ( 56.2 )% Ratios to Average Net Assets** Expense ratio^^ 0.95 % 1.04 % 1.10 % 0.95 % 1.05 % 1.25 % Net investment income gain (loss) ( 0.90 )% ( 0.99 )% ( 1.07 )% ( 0.90 )% ( 1.00 )% ( 1.21 )% * 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 June 30, 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. 11 9 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. 1 20 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 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. 1 21 Table of Contents 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. 12 2 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 2021 may specify a January 2022 expiration. As that contract nears expiration, it may be replaced by selling the January 2022 contract and purchasing the contract expiring in March 2022. 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. 12 3 Table of Contents 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 20210, 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. 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. 12 4 Table of Contents Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations. This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions. Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements. Introduction ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of June 30, 2022, the following sixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds and the Geared VIX Funds, are collectively referred to as the “Geared Funds”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”. On May 11, 2021, the Trust announced a 1-for-10 reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF (ticker symbol: UVXY), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Crude Oil (ticker symbol: SCO), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and a 1-for-4 reverse split of the shares of beneficial interest of ProShares VIX Short-Term Futures ETF (ticker symbol: VIXY). The reverse splits were effective prior to market open on May 26, 2021, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the 4 funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits. On December 22, 2021, the Trust announced a 1-for-5 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Natural Gas ETF (ticker symbol: KOLD). The reverse splits were effective prior to market open on January 14, 2022, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits. On March 11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on May 2, 2022. Trading in each liquidated fund was suspended prior to market open on May 3, 2022. Proceeds of the liquidation were sent to shareholders on May 12, 2022 (the “Distribution Date”). From May 3, 2022 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on May 12, 2022. 125 Table of Contents On May 11, 2022, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and ProShares Ultra Bloomberg Crude Oil and a reverse share split on ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Bloomberg Crude Oil. The Splits did not change the value of a shareholder’s investment. Forward Split ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. ProShares Ultra Bloomberg Crude Oil executed a 4:1 Forward Split of its shares. The Forward Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Forward Split prices. The ticker symbol for the Funds did not change. The Forward Split decreased the price per share of the Funds with a proportionate increase in the number of shares outstanding. Reverse Split ProShares UltraShort Bloomberg Natural Gas executed a 1:4 Reverse Split of its shares. ProShares UltraShort Bloomberg Crude Oil executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y813 for KOLD and 74347Y797 for SCO). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding. The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen. The Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended. Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories. As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. Financial Instruments also are used to produce economically “inverse”, “inverse leveraged” or “leveraged” investment results for the Geared Funds. Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation. Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from -0.5x, -1x, -2x, 1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily. 126 Table of Contents Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”). ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public. The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov. Liquidity and Capital Resources In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and six months ended June 30, 2022 and 2021, each of the Funds earned interest income as follows: Fund Interest Income Three Months Ended June 30, 2022 Interest Income Three Months Ended June 30, 2021 Interest Income Six Months Ended June 30, 2022 Interest Income Six Months Ended June 30, 2021 ProShares Short VIX Short-Term Futures ETF 225,134 33,687 319,477 67,577 ProShares Ultra Bloomberg Crude Oil 1,264,011 111,333 1,572,891 279,408 ProShares Ultra Bloomberg Natural Gas 146,470 11,544 186,051 25,359 ProShares Ultra Euro 6,522 438 11,109 1,022 ProShares Ultra Gold 319,154 20,094 414,267 55,921 ProShares Ultra Silver 421,514 65,529 561,963 163,658 ProShares Ultra VIX Short-Term Futures ETF 430,670 202,556 525,931 316,525 ProShares Ultra Yen 3,064 307 3,937 663 127 Table of Contents ProShares UltraShort Bloomberg Crude Oil 289,299 18,343 343,206 29,178 ProShares UltraShort Bloomberg Natural Gas 122,188 7,750 178,013 15,633 ProShares UltraShort Euro 39,011 5,640 54,416 12,806 ProShares UltraShort Gold 19,975 3,176 29,660 6,138 ProShares UltraShort Silver 18,743 2,678 27,663 5,795 ProShares UltraShort Yen 26,913 3,570 36,312 7,166 ProShares VIX Mid-Term Futures ETF 52,826 8,349 76,749 18,573 ProShares VIX Short-Term Futures ETF 207,903 40,988 278,612 79,448 Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions. Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person. The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated. Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). Market Risk Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk. For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q. Credit Risk When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions. Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund. 128 Table of Contents Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank. Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used. The Sponsor attempts to minimize certain of these market and credit risks by normally: • executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; • limiting the outstanding amounts due from counterparties to the Funds; • not posting margin directly with a counterparty; • requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds; • limiting the amount of margin or premium posted at a FCM; and • ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for. Off-Balance Sheet Arrangements and Contractual Obligations As of August 9, 2022, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position. Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party. Critical Accounting Policies Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used. Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations. The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price). For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended June 30, 2022. 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. 129 Table of Contents Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy. Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements. The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations. Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively. Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit futures account fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually. 130 Table of Contents Results of Operations for the Three Months Ended June 30, 2022 Compared to the Three Months Ended June 30, 2021 ProShares Short VIX Short-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021: Three Months Ended June 30, 2022 Three Months Ended June 30, 2021 NAV beginning of period $ 495,588,849 $ 527,130,851 NAV end of period $ 403,644,956 $ 588,615,946 Percentage change in NAV (18.6 )% 11.7 % Shares outstanding beginning of period 9,084,307 11,184,307 Shares outstanding end of period 8,384,307 10,584,307 Percentage change in shares outstanding (7.7 )% (5.4 )% Shares created 1,600,000 450,000 Shares redeemed 2,300,000 1,050,000 Per share NAV beginning of period $ 54.55 $ 47.13 Per share NAV end of period $ 48.14 $ 55.61 Percentage change in per share NAV (11.8 )% 18.0 % Percentage change in benchmark 10.3 % (35.2 )% Benchmark annualized volatility 90.4 % 70.4 % During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 9,084,307 outstanding Shares at March 31, 2022 to 8,384,307 outstanding Shares at June 30, 2022. By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 11,184,307 outstanding Shares at March 31, 2021 to 10,584,307 outstanding Shares at June 30, 2021. For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to one-half the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.8% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 18.0% for the three months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022. The benchmark’s rise of 10.3% for the three months ended June 30, 2022, as compared to the benchmark’s decline of 35.2% for the three months ended June 30, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2022. 131 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021: Three Months Ended June 30, 2022 Three Months Ended June 30, 2021 Net investment income (loss) $ (1,094,000 ) $ (1,865,757 ) Management fee 1,034,361 1,317,153 Brokerage commission 177,552 253,949 Futures account fees 107,221 328,342 Net realized gain (loss) (13,105,212 ) 109,337,017 Change in net unrealized appreciation (depreciation) (34,507,780 ) (13,308,130 ) Net Income (loss) $ (48,706,992 ) $ 94,163,130 The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to an increase in the value of futures prices during the three months ended June 30, 2022. ProShares Ultra Bloomberg Crude Oil* Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021: Three Months Ended June 30, 2022 Three Months Ended June 30, 2021 NAV beginning of period $ 1,336,980,685 $ 1,088,579,093 NAV end of period $ 1,060,867,238 $ 1,303,530,902 Percentage change in NAV (20.7 )% 19.7 % Shares outstanding beginning of period 35,243,096 82,843,096 Shares outstanding end of period 25,493,096 66,643,096 Percentage change in shares outstanding (27.7 )% (19.6 )% Shares created 1,700,000 4,200,000 Shares redeemed 11,450,000 20,400,000 Per share NAV beginning of period $ 37.94 $ 13.14 Per share NAV end of period $ 41.61 $ 19.56 Percentage change in per share NAV 9.7 % 48.9 % Percentage change in benchmark 6.8 % 23.1 % Benchmark annualized volatility 37.5 % 23.9 % 132 Table of Contents During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily due to decrease in shareholder activity offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . The decrease in the Fund’s NAV offset by an increase from 8,810,774 outstanding Shares at March 31, 2022 to 25,493,096 outstanding Shares at June 30, 2022. By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . The increase in the Fund’s NAV was offset by a decrease from 82,843,096 outstanding Shares at March 31, 2021 to 66,643,096 outstanding Shares at June 30, 2021. For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.7% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 48.9% for the three months ended June 30, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022. The benchmark’s rise of 6.8% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 23.1% for the three months ended June 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended June 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021: Three Months Ended June 30, 2022 Three Months Ended June 30, 2021 Net investment income (loss) $ (2,084,704 ) $ (3,210,719 ) Management fee 3,098,904 2,794,292 Brokerage commission 140,210 210,012 Futures account fees 109,601 317,748 Net realized gain (loss) 363,291,439 320,505,659 Change in net unrealized appreciation (depreciation) (211,544,109 ) 157,919,139 Net Income (loss) $ 149,662,626 $ 475,214,079 The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil during the three months ended June 30, 2022. * See Note 1 of the Notes to Financial Statements in item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Ultra Bloomberg Crude Oil. 133 Table of Contents ProShares Ultra Bloomberg Natural Gas Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021: Three Months Ended June 30, 2022 Three Months Ended June 30, 2021 NAV beginning of period $ 145,069,486 $ 74,307,070 NAV end of period $ 187,297,842 $ 70,213,227 Percentage change in NAV 29.1 % (5.5 )% Shares outstanding beginning of period 2,587,527 3,487,527 Shares outstanding end of period 4,737,527 1,987,527 Percentage change in shares outstanding 83.1 % (43.0 )% Shares created 6,500,000 650,000 Shares redeemed 4,350,000 2,150,000 Per share NAV beginning of period $ 56.06 $ 21.31 Per share NAV end of period $ 39.53 $ 35.33 Percentage change in per share NAV (29.5 )% 65.8 % Percentage change in benchmark (6.0 )% 30.3 % Benchmark annualized volatility 37.5 % 27.8 % During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,587,527 outstanding Shares at March 31, 2022 to 4,737,527 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,487,527 outstanding Shares at March 31, 2021 to 1,987,527 outstanding Shares at June 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 29.5% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 65.8% for the three months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022. The benchmark’s decline of 6% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 30.3% for the three months ended June 30, 2021, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021: Three Months Ended June 30, 2022 Three Months Ended June 30, 2021 Net investment income (loss) $ (566,073 ) $ (217,363 ) Management fee 534,624 152,958 Brokerage commission 114,706 63,062 Futures account fees 63,213 12,887 Net realized gain (loss) 164,990,694 4,901,288 Change in net unrealized appreciation (depreciation) (271,288,469 ) 28,347,917 Net Income (loss) $ (106,863,848 ) $ 33,031,842 134 Table of Contents The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of Henry Hub Natural Gas during the three months ended June 30, 2022. ProShares Ultra Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021: Three Months Ended June 30, 2022 Three Months Ended June 30, 2021 NAV beginning of period $ 6,236,982 $ 3,611,724 NAV end of period $ 9,415,626 $ 3,668,741 Percentage change in NAV 51.0 % 1.6 % Shares outstanding beginning of period 500,000 250,000 Shares outstanding end of period 850,000 250,000 Percentage change in shares outstanding 70.0 % — % Shares created 450,000 100,000 Shares redeemed 100,000 100,000 Per share NAV beginning of period $ 12.47 $ 14.45 Per share NAV end of period $ 11.08 $ 14.67 Percentage change in per share NAV (11.1 )% 1.6 % Percentage change in benchmark (5.3 )% 1.1 % Benchmark annualized volatility 9.1 % 5.9 % During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 500,000 outstanding Shares at March 31, 2022 to 850,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2021 to June 30, 2021. For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.1% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 1.6% for the three months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022. The benchmark’s decline of 5.3% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 1.1% for the three months ended June 30, 2021, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2022. 135 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021: Three Months Ended June 30, 2022 Three Months Ended June 30, 2021 Net investment income (loss) $ (8,515 ) $ (8,978 ) Management fee 15,037 9,416 Net realized gain (loss) (446,365 ) 95,412 Change in net unrealized appreciation (depreciation) (281,290 ) (13,219 ) Net Income (loss) $ (736,170 ) $ 73,215 The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended June 30, 2022. ProShares Ultra Gold Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021: Three Months Ended June 30, 2022 Three Months Ended June 30, 2021 NAV beginning of period $ 355,029,822 $ 214,548,056 NAV end of period $ 239,938,853 $ 243,456,703 Percentage change in NAV (32.4 )% 13.5 % Shares outstanding beginning of period 5,300,000 3,950,000 Shares outstanding end of period 4,250,000 4,250,000 Percentage change in shares outstanding (19.8 )% 7.6 % Shares created 100,000 400,000 Shares redeemed 1,150,000 100,000 Per share NAV beginning of period $ 66.99 $ 54.32 Per share NAV end of period $ 56.46 $ 57.28 Percentage change in per share NAV (15.7 )% 5.5 % Percentage change in benchmark (7.6 )% 3.2 % Benchmark annualized volatility 13.8 % 14.6 % During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,300,000 outstanding Shares at March 31, 2022 to 4,250,000 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 3,950,000 outstanding Shares at March 31, 2021 to 4,250,000 outstanding Shares at June 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.7% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 5.5% for the three months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022. The benchmark’s decline of 7.6% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 3.2% for the three months ended June 30, 2021, can be attributed to a decrease in the value of gold futures contracts during the period ended June 30, 2022. 136 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021: Three Months Ended June 30, 2022 Three Months Ended June 30, 2021 Net investment income (loss) $ (419,722 ) $ (569,965 ) Management fee 716,148 568,040 Brokerage commission 14,064 8,665 Futures account fees 8,664 13,354 Net realized gain (loss) (57,901,083 ) 45,506,367 Change in net unrealized appreciation (depreciation) 4,971,043 (33,478,303 ) Net Income (loss) $ (53,349,762 ) $ 11,458,099 The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of futures prices during the three months ended June 30, 2022. ProShares Ultra Silver Fund Performance The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021: Three Months Ended June 30, 2022 Three Months Ended June 30, 2021 NAV beginning of period $ 558,375,841 $ 572,501,249 NAV end of period $ 355,577,515 $ 661,778,727 Percentage change in NAV (36.3 )% 15.6 % Shares outstanding beginning of period 14,296,526 13,846,526 Shares outstanding end of period 14,346,526 14,396,526 Percentage change in shares outstanding 0.3 % 4.0 % Shares created 800,000 1,000,000 Shares redeemed 750,000 450,000 Per share NAV beginning of period $ 39.06 $ 41.35 Per share NAV end of period $ 24.78 $ 45.97 Percentage change in per share NAV (36.6 )% 11.2 % Percentage change in benchmark (19.4 )% 6.5 % Benchmark annualized volatility 23.7 % 25.5 % During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 14,296,526 outstanding Shares at March 31, 2022 to 14,346,526 outstanding Shares at June 30, 2022. By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The increase in the Fund’s NAV also resulted in part from an increase from 13,846,526 outstanding Shares at March 31, 2021 to 14,396,526 outstanding Shares at June 30, 2021. For the three months en