What changed in this filing

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Item 3. Quantitative and Qualitative Disclosures About Market Risk

2022-08-09 compared with 2022-05-09 · 171 added, 250 removed, 358 unchanged (54% of the section changed)

7 unchanged sentences

The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments.

As of March 31, 2022 and 2021, each of the Fund’s positions were as follows:

ProShares Short Euro

As of March 31, 2022 and 2021, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts.

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

Futures Positions as of March 31, 2022

Notional Amount

Euro Fx Currency Futures (CME)

Futures Positions as of March 31, 2021

Notional Amount

Euro Fx Currency Futures (CME)

The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract.

Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs.

The Fund will generally attempt to adjust its positions in Financial Instruments each day

to have $1.00 of short exposure to the euro for every $1.00 of net assets.

Future period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one.

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

As of June 30, 2022 and 2021, each of the Fund’s positions were as follows:

ProShares Short VIX Short-Term Futures ETF

As of March 31, 2022 and 2021, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts.

The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2022

As of June 30, 2022 and 2021, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts.

The following table provides information about the Fund’s positions in VIX futures contracts as of June 30, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2022

Notional Amount

1 unchanged sentence

VIX Futures (Cboe)

Futures Positions as of March 31, 2021

Notional Amount

Futures Positions as of June 30, 2021

VIX Futures (Cboe)

The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The June 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract.

3 unchanged sentences

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Bloomberg Crude Oil:

As of March 31, 2022 and 2021, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index SM

and Bloomberg WTI Crude Oil Subindex SM

, respectively.

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

Futures Positions as of March 31, 2022

As of June 30, 2022 and 2021, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index SM

The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2022

Notional Amount

WTI Crude Oil (NYMEX)

September 2022

WTI Crude Oil (NYMEX)

1 unchanged sentence

WTI Crude Oil (NYMEX)

Swap Agreements as of March 31, 2022

Swap Agreements as of June 30, 2022

Reference Index

10 unchanged sentences

Bloomberg Commodity Balanced WTI Crude Oil Index

Futures Positions as of March 31, 2021

Futures Positions as of June 30, 2021

Notional Amount

WTI Crude Oil (NYMEX)

September 2021

WTI Crude Oil (NYMEX)

1 unchanged sentence

WTI Crude Oil (NYMEX)

Swap Agreements as of March 31, 2021

Swap Agreements as of June 30, 2021

Reference Index

1 unchanged sentence

Bloomberg Commodity Balanced WTI Crude Oil Index

Citibank, N.A.

Bloomberg Commodity Balanced WTI Crude Oil Index

Goldman Sachs International

5 unchanged sentences

Bloomberg Commodity Balanced WTI Crude Oil Index

The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The March 31, 2022 and 2021 swap notional values are calculated by multiplying the number of units times the closing level of the Index.

The June 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The June 30, 2022 and 2021 swap notional values are calculated by multiplying the number of units times the closing level of the Index.

These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable.

5 unchanged sentences

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party

accounts at the Fund’s third-party custodian.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Bloomberg Natural Gas:

As of March 31, 2022 and 2021, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts.

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

Futures Positions as of March 31, 2022

As of June 30, 2022 and 2021, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts.

The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2022

Notional Amount

Natural Gas (NYMEX)

Futures Positions as of March 31, 2021

September 2022

Futures Positions as of June 30, 2021

Notional Amount

Natural Gas (NYMEX)

The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

September 2021

The June 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable.

5 unchanged sentences

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Euro:

As of March 31, 2022 and 2021, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts.

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

Foreign Currency Forward Contracts as of March 31, 2022

As of June 30, 2022 and 2021, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts.

The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2022

Local Currency

Goldman Sachs International

Foreign Currency Forward Contracts as of March 31, 2021

Foreign Currency Forward Contracts as of June 30, 2021

Local Currency

Goldman Sachs International

The March 31, 2022 and 2021 USD market value equals the number of euros multiplied by the forward rate.

The June 30, 2022 and 2021 USD market value equals the number of euros multiplied by the forward rate.

These notional values will increase (decrease) proportionally with increases (decreases) in the forward price.

5 unchanged sentences

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party

accounts at the Fund’s third-party custodian.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Gold:

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

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

Futures Positions as of March 31, 2022

As of June 30, 2022 and 2021 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex SM

The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2022

Notional Amount

Gold Futures (COMEX)

Swap Agreements as of March 31, 2022

Swap Agreements as of June 30, 2022

Reference Index

5 unchanged sentences

Bloomberg Gold Subindex

Futures Positions as of March 31, 2021

Futures Positions as of June 30, 2021

Notional Amount

Gold Futures (COMEX)

Swap Agreements as of March 31, 2021

Swap Agreements as of June 30, 2021

Reference Index

5 unchanged sentences

Bloomberg Gold Subindex

The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The March 31, 2022 and 2021 swap notional values equal units multiplied by the swap price.

The June 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The June 30, 2022 and 2021 swap notional values equal units multiplied by the swap price.

These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable.

5 unchanged sentences

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party

accounts at the Fund’s third-party custodian.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Silver:

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

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

Futures Positions as of March 31, 2022

As of June 30, 2022 and 2021 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex SM

The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2022

Notional Amount

Silver Futures (COMEX)

Swap Agreements as of March 31, 2022

September 2022

Swap Agreements as of June 30, 2022

Reference Index

8 unchanged sentences

Bloomberg Silver Subindex

Futures Positions as of March 31, 2021

Futures Positions as of June 30, 2021

Notional Amount

Silver Futures (COMEX)

Swap Agreements as of March 31, 2021

September 2021

Swap Agreements as of June 30, 2021

Reference Index

8 unchanged sentences

Bloomberg Silver Subindex

The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The March 31, 2022 and 2021 and swap notional values equal units multiplied by the swap price.

The June 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The June 30, 2022 and 2021 and swap notional values equal units multiplied by the swap price.

These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable.

5 unchanged sentences

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

accounts at the Fund’s third-party custodian.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra VIX Short-Term Futures ETF

As of March 31, 2022 and 2021, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to VIX futures contracts.

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

Futures Positions as of March 31, 2022

As of June 30, 2022 and 2021, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to VIX futures contracts.

The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2022

Notional Amount

1 unchanged sentence

VIX Futures (Cboe)

Futures Positions as of March 31, 2021

Futures Positions as of June 30, 2021

Notional Amount

1 unchanged sentence

VIX Futures (Cboe)

Swap Agreements as of March 31, 2021

Swap Agreements as of June 30, 2021

Reference Index

2 unchanged sentences

Goldman Sachs & Co.

The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The March 31, 2022 and 2021 swap notional values are calculated by multiplying the number of units times the closing level of the Index.

These notional values will increase (decrease) proportionally with increases (decreases) in

the price of the futures contract or the level of the Index, as applicable.

Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs.

The June 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The June 30, 2022 and 2021 swap notional values are calculated by multiplying the number of units times the closing level of the Index.

These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable.

Additional gains (losses) associated with these contracts will be equal to any such

subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs.

The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets.

1 unchanged sentence

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

accounts at the Fund’s third-party custodian.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Yen:

As of March 31, 2022 and 2021, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts.

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

Foreign Currency Forward Contracts as of March 31, 2022

As of June 30, 2022 and 2021, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts.

The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2022

Local Currency

Goldman Sachs International

Foreign Currency Forward Contracts as of March 31, 2021

1,080,855,856

Foreign Currency Forward Contracts as of June 30, 2021

Local Currency

Goldman Sachs International

The March 31, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate.

The June 30, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate.

These notional values will increase (decrease) proportionally with increases (decreases) in the forward price.

5 unchanged sentences

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

accounts at the Fund’s third-party custodian.

ProShares UltraShort Australian Dollar:

As of March 31, 2022 and 2021, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts.

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

Futures Positions as of March 31, 2022

Notional Amount

Australian Dollar Fx Currency Futures (CME)

Futures Positions as of March 31, 2021

Notional Amount

Australian Dollar Fx Currency Futures (CME)

The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract.

The Fund will generally attempt to adjust its positions in Financial Instruments each day

to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets.

Future period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two.

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Bloomberg Crude Oil:

As of March 31, 2022 and 2021, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index SM

and Bloomberg WTI Crude Oil Subindex SM

, respectively.

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

Futures Positions as of March 31, 2022

As of June 30, 2022 and 2021, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts.

The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2022

Notional Amount

WTI Crude Oil (NYMEX)

September 2022

WTI Crude Oil (NYMEX)

1 unchanged sentence

WTI Crude Oil (NYMEX)

Futures Positions as of March 31, 2021

Futures Positions as of June 30, 2021

Notional Amount

WTI Crude Oil (NYMEX)

September 2021

WTI Crude Oil (NYMEX)

1 unchanged sentence

WTI Crude Oil (NYMEX)

The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

March 31, 2022 and 2021 short swap notional values are calculated by multiplying the number of units times the closing level of the Index.

These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable.

The June 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract.

4 unchanged sentences

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

accounts at the Fund’s third-party custodian.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Bloomberg Natural Gas:

As of March 31, 2022 and 2021, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts.

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

Futures Positions as of March 31, 2022

As of June 30, 2022 and 2021, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts.

The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2022

Notional Amount

Natural Gas (NYMEX)

Futures Positions as of March 31, 2021

September 2022

Futures Positions as of June 30, 2021

Notional Amount

Natural Gas (NYMEX)

The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier.

September 2021

The June 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier.

The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable.

Additional gains (losses) associated with these contracts will be equal to any such subsequent

decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs.

The Fund will generally attempt to adjust its positions in Financial Instruments each day

3 unchanged sentences

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of March 31, 2022 and 2021, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts.

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

Foreign Currency Forward Contracts as of March 31, 2022

As of June 30, 2022 and 2021, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts.

The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2022

Local Currency

Goldman Sachs International

Foreign Currency Forward Contracts as of March 31, 2021

Goldman Sachs International

Foreign Currency Forward Contracts as of June 30, 2021

Local Currency

Goldman Sachs International

The March 31, 2022 and 2021 USD market values equal the number of euros multiplied by the forward rate.

Goldman Sachs International

The June 30, 2022 and 2021 USD market values equal the number of euros multiplied by the forward rate.

These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price.

5 unchanged sentences

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party

accounts at the Fund’s third-party custodian.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Gold:

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

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

Futures Positions as of March 31, 2022

As of June 30, 2022 and 2021 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex SM

The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2022

Notional Amount

Gold Futures (COMEX)

Swap Agreements as of March 31, 2022

Swap Agreements as of June 30, 2022

Reference Index

5 unchanged sentences

Bloomberg Gold Subindex

Futures Positions as of March 31, 2021

Futures Positions as of June 30, 2021

Notional Amount

Gold Futures (COMEX)

Swap Agreements as of March 31, 2021

Swap Agreements as of June 30, 2021

Reference Index

5 unchanged sentences

Bloomberg Gold Subindex

The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The March 31, 2022 and 2021 swap notional values equal units multiplied by the swap price.

The June 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The June 30, 2022 and 2021 swap notional values equal units multiplied by the swap price.

These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable.

5 unchanged sentences

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

accounts at the Fund’s third-party custodian.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Silver:

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

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

Futures Positions as of March 31, 2022

As of June 30, 2022 and 2021 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex SM

The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2022

Notional Amount

Silver Futures (COMEX)

Swap Agreements as of March 31, 2022

September 2022

Swap Agreements as of June 30, 2022

Reference Index

8 unchanged sentences

Bloomberg Silver Subindex

Futures Positions as of March 31, 2021

Futures Positions as of June 30, 2021

Notional Amount

Silver Futures (COMEX)

Swap Agreements as of March 31, 2021

September 2021

Swap Agreements as of June 30, 2021

Reference Index

8 unchanged sentences

Bloomberg Silver Subindex

The March 31, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The March 31, 2022 and 2021 swap notional values equal units multiplied by the swap price.

The June 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The June 30, 2022 and 2021 swap notional values equal units multiplied by the swap price.

These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable.

Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases

(increases) in short notional values, before accounting for spreads or transaction or financing costs.

The Fund will generally attempt to adjust its positions in Financial Instruments each day

3 unchanged sentences

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

accounts at the Fund’s third-party custodian.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Yen:

As of March 31, 2022 and 2021, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts.

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

Foreign Currency Forward Contracts as of March 31, 2022

As of June 30, 2022 and 2021, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts.

The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2022

Local Currency

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(12,207,008,574

Foreign Currency Forward Contracts as of March 31, 2021

Foreign Currency Forward Contracts as of June 30, 2021

Local Currency

Goldman Sachs International

(2,069,325,165

(5,125,948,875

The March 31, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate.

The June 30, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate.

These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price.

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See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

accounts at the Fund’s third-party custodian.

ProShares VIX Mid-Term

As of March 31, 2022 and 2021, the ProShares VIX Mid-Term

Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts.

The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2022

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares VIX Mid-Term Futures ETF

As of June 30, 2022 and 2021, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts.

The following table provides information about the Fund’s positions in VIX futures contracts as of June 30, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2022

Notional Amount

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VIX Futures (Cboe)

November 2022

VIX Futures (Cboe)

September 2022

December 2022

VIX Futures (Cboe)

Futures Positions as of March 31, 2021

Futures Positions as of June 30, 2021

Notional Amount

1 unchanged sentence

VIX Futures (Cboe)

November 2021

VIX Futures (Cboe)

September 2021

December 2021

VIX Futures (Cboe)

The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The June 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract.

4 unchanged sentences

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares VIX Short-Term Futures ETF

As of March 31, 2022 and 2021, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts.

The following tables provide information about the Fund’s positions in VIX futures contracts as of March 31, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2022

As of June 30, 2022 and 2021, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts.

The following tables provide information about the Fund’s positions in VIX futures contracts as of June 30, 2022 and 2021, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2022

Notional Amount

1 unchanged sentence

VIX Futures (Cboe)

Futures Positions as of March 31, 2021

Futures Positions as of June 30, 2021

Notional Amount

1 unchanged sentence

VIX Futures (Cboe)

The March 31, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The June 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier.

The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract.

4 unchanged sentences

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

Qualitative Disclosure

As described in Item 7 in the Annual Report on Form 10-K,

it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, of its corresponding benchmark.

Each Short Fund seeks daily investment results, before fees and expenses, that correspond to one-half

the inverse (-0.5x)

or the inverse (-1x)

of the daily performance of its corresponding benchmark.

Each UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x)

of the daily performance of its corresponding benchmark.

As described in Item 7 in the Annual Report on Form 10-K, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, of its corresponding benchmark.

Each Short Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark.

Each UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark.

Each Ultra Fund seeks daily investment results, before fees and expenses, that correspond to one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark.

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Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads.

Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative one-half,

one, one and one-half,

two or three.

Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

See “Item 1A.

Risk Factors” in the Annual Report on Form 10-K

for additional information regarding performance for periods longer than a single day.

Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark.

For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes

are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held.

The inherent uncertainty of each Fund’s trading strategies and other factors could ultimately lead to a loss of all or substantially all of investors’ capital.

As described in Item 7 in the Annual Report on Form 10-K,

trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period.

As described in Item 7 in the Annual Report on Form 10-K, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period.

Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash.

2 unchanged sentences

As further described in “Item 1A.

Risk Factors” in the Annual Report on Form 10-K,

the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares.

Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares.

With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund.

2 unchanged sentences

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns.

For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1

period benchmark return, the two-day

period return for a theoretical two-times

fund would be equal to a (1.2 *0.8)-1

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

For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A.

Risk Factors” in the Annual Report on Form 10-K,

the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in

the price of these assets could materially adversely affect an investment in the Shares.

With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S.

With regard to the Currency Funds, several factors may affect

the value of the foreign currencies or the U.S.

dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund.

2 unchanged sentences

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns.

For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1

period benchmark return, the two-day

period return for a theoretical two-times

fund would be equal to a (1.2 *0.8)-1

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

Equity Market Volatility Sensitivity

As further described in “Item 1A.

Risk Factors” in the Annual Report on Form 10-K,

the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares.

Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares.

Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund.

1 unchanged sentence

Managing Market Risks

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

1.5x, or 2x), regardless of market direction or sentiment.

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-0.5x, -1x, -2x, 1.5x, or 2x), regardless of market direction or sentiment.

At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective.

As described in Item 7 of the Annual Report on Form 10-K,

these adjustments are done through the use of various Financial Instruments.

Factors common to all Funds that may require portfolio re-positioning

are create/redeem activity and index rebalances.

As described in Item 7 of the Annual Report on Form 10-K, these adjustments are done through the use of various Financial Instruments.

Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

For Geared Funds, the impact of the index’s movements each day also affects whether the Fund’s portfolio needs to be rebalanced.

14 unchanged sentences

The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk.

During the reporting period, cash positions were maintained in both non-interest

bearing and interest bearing demand deposit accounts.

During the reporting period, cash positions were maintained in both non-interest bearing and interest bearing demand deposit accounts.

The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 3. Quantitative and Qualitative Disclosures About Market Risk