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 September 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 October 31 , 2022, the registrant had 183,944,037 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 September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 136,764,766 and $ 147,851,244 , respectively) $ 136,590,474 $ 147,815,719 Cash 20,797,038 44,359,519 Segregated cash balances with brokers for futures contracts 89,792,144 138,651,465 Receivable on open futures contracts 77,902,927 99,544,338 Interest receivable 234,601 2,868 Total assets 325,317,184 430,373,909 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed — 6,125,130 Payable on open futures contracts 2,882,905 — Brokerage commissions and futures account fees payable 8,444 104,312 Payable to Sponsor 588,662 331,873 Non-recurring fees and expenses payable 6,122 — Total liabilities 3,486,133 6,561,315 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 321,831,051 423,812,594 Total liabilities and shareholders’ equity $ 325,317,184 $ 430,373,909 Shares outstanding 6,634,307 6,884,307 Net asset value per share $ 48.51 $ 61.56 Market value per share (Note 2) $ 48.59 $ 61.55 See accompanying notes to financial statements. 2 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 42 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.223 % due 11/03/22 $ 77,000,000 $ 76,818,657 2.682 % due 11/17/22 50,000,000 49,820,000 3.026 % due 12/01/22 10,000,000 9,951,817 Total short-term U.S. government and agency obligations (cost $ 136,764,766 ) $ 136,590,474 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires October 2022 3,083 $ 97,163,828 $ ( 12,969,545 ) VIX Futures - Cboe, expires November 2022 2,052 63,759,128 ( 3,296,473 ) $ ( 16,266,018 ) ^^ 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 September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 1,006,499 $ 8,152 $ 1,325,976 $ 75,729 Expenses Management fee 914,054 1,055,823 2,934,952 3,415,545 Brokerage commissions 152,661 208,885 517,911 638,744 Futures account fees 23,966 209,717 348,217 795,836 Non-recurring fees and expenses 6,122 — 6,122 — Total expenses 1,096,803 1,474,425 3,807,202 4,850,125 Net investment income (loss) ( 90,304 ) ( 1,466,273 ) ( 2,481,226 ) ( 4,774,396 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 27,694,574 34,573,906 ( 26,435,234 ) 168,120,340 Short-term U.S. government and agency obligations — ( 1,303 ) ( 86,512 ) ( 1,303 ) Net realized gain (loss) 27,694,574 34,572,603 ( 26,521,746 ) 168,119,037 Change in net unrealized appreciation (depreciation) on Futures contracts ( 17,783,632 ) ( 43,362,244 ) ( 47,541,296 ) ( 14,530,761 ) Short-term U.S. government and agency obligations 313,442 12,400 ( 138,767 ) ( 2,095 ) Change in net unrealized appreciation (depreciation) ( 17,470,190 ) ( 43,349,844 ) ( 47,680,063 ) ( 14,532,856 ) Net realized and unrealized gain (loss) 10,224,384 ( 8,777,241 ) ( 74,201,809 ) 153,586,181 Net income (loss) $ 10,134,080 $ ( 10,243,514 ) $ ( 76,683,035 ) $ 148,811,785 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 September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 403,644,956 $ 588,615,946 $ 423,812,594 $ 409,371,468 Addition of 450,000 , 550,000 , 5,050,000 and 3,400,000 shares, respectively 23,538,063 30,777,084 255,975,394 150,390,026 Redemption of 2,200,000 , 4,000,000 , 5,300,000 and 6,150,000 shares, respectively ( 115,486,048 ) ( 220,625,671 ) ( 281,273,902 ) ( 320,049,434 ) Net addition (redemption) of ( 1,750,000 ), ( 3,450,000 ), ( 250,000 ) and ( 2,750,000 ) shares, respectively ( 91,947,985 ) ( 189,848,587 ) ( 25,298,508 ) ( 169,659,408 ) Net investment income (loss) ( 90,304 ) ( 1,466,273 ) ( 2,481,226 ) ( 4,774,396 ) Net realized gain (loss) 27,694,574 34,572,603 ( 26,521,746 ) 168,119,037 Change in net unrealized appreciation (depreciation) ( 17,470,190 ) ( 43,349,844 ) ( 47,680,063 ) ( 14,532,856 ) Net income (loss) 10,134,080 ( 10,243,514 ) ( 76,683,035 ) 148,811,785 Shareholders’ equity, end of period $ 321,831,051 $ 388,523,845 $ 321,831,051 $ 388,523,845 See accompanying notes to financial statements. 5 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 76,683,035 ) $ 148,811,785 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 ( 1,119,341,677 ) ( 411,950,977 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,130,832,801 351,997,423 Net amortization and accretion on short-term U.S. government and agency obligations ( 491,158 ) ( 42,672 ) Net realized (gain) loss on investments 86,512 1,303 Change in unrealized (appreciation) depreciation on investments 138,767 2,095 Decrease (Increase) in receivable on open futures contracts 21,641,411 3,053,471 Decrease (Increase) in interest receivable ( 231,733 ) 2,611 Increase (Decrease) in payable to Sponsor 256,789 ( 22,522 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 95,868 ) ( 28,666 ) Increase (Decrease) in payable on open futures contracts 2,882,905 ( 996,159 ) Increase (Decrease) in non-recurring fees and expenses payable 6,122 — Net cash provided by (used in) operating activities ( 40,998,164 ) 90,827,692 Cash flow from financing activities Proceeds from addition of shares 255,975,394 150,390,026 Payment on shares redeemed ( 287,399,032 ) ( 320,049,434 ) Net cash provided by (used in) financing activities ( 31,423,638 ) ( 169,659,408 ) Net increase (decrease) in cash ( 72,421,802 ) ( 78,831,716 ) Cash, beginning of period 183,010,984 266,579,220 Cash, end of period $ 110,589,182 $ 187,747,504 See accompanying notes to financial statements. 6 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 535,375,763 and $ 848,800,309 , respectively) $ 535,064,695 $ 848,757,567 Cash 130,593,006 86,582,912 Segregated cash balances with brokers for futures contracts 55,730,479 130,704,477 Segregated cash balances with brokers for swap agreements 146,636,745 — Unrealized appreciation on swap agreements — 63,928,293 Receivable on open futures contracts 891,736 — Interest receivable 320,767 3,523 Total assets 869,237,428 1,129,976,772 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 16,409,207 — Payable on open futures contracts 2,911,771 25,317,560 Brokerage commissions and futures account fees payable 6,468 24,677 Payable to Sponsor 1,344,783 850,965 Unrealized depreciation on swap agreements 123,956,198 — Non-recurring fees and expenses payable 13,739 — Total liabilities 144,642,166 26,193,202 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 724,595,262 1,103,783,570 Total liabilities and shareholders’ equity $ 869,237,428 $ 1,129,976,772 Shares outstanding (Note 1) 27,643,096 51,243,096 Net asset value per share (Note 1) $ 26.21 $ 21.54 Market value per share (Note 1) (Note 2) $ 26.26 $ 21.70 See accompanying notes to financial statements. 7 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 74 % of shareholders’ equity) Federal Home Loan Discount Notes ^^ : 3.900 % due 10/03/22 $ 200,000,000 $ 199,971,110 U.S. Treasury Bills ^^ : 2.253 % due 10/06/22 † 50,000,000 49,989,230 0.637 % due 11/03/22 † 181,000,000 180,573,727 2.682 % due 11/17/22 † 30,000,000 29,892,000 3.026 % due 12/01/22 † 75,000,000 74,638,628 Total short-term U.S. government and agency obligations (cost $ 535,375,763 ) $ 535,064,695 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires December 2022 1,450 $ 114,144,000 $ 14,409,192 WTI Crude Oil - NYMEX, expires June 2023 1,535 112,055,000 ( 9,187,751 ) WTI Crude Oil - NYMEX, expires December 2023 1,610 112,152,600 ( 9,069,369 ) $ ( 3,847,928 ) 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 % 10/06/22 $ 175,709,387 $ ( 19,603,867 ) Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 10/06/22 218,463,160 ( 24,373,900 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 10/06/22 304,335,914 ( 33,954,709 ) Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.25 10/06/22 165,828,296 ( 18,489,319 ) Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.30 10/06/22 246,871,587 ( 27,534,403 ) Total Unrealized Depreciation $ ( 123,956,198 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of September 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 September 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 September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 2,391,191 $ 86,370 $ 3,964,082 $ 365,778 Expenses Management fee 2,118,088 2,775,351 8,301,804 8,104,728 Brokerage commissions 85,906 198,498 421,657 701,710 Futures account fees 19,466 215,514 381,754 632,199 Non-recurring fees and expenses 13,739 27,500 13,739 27,500 Total expenses 2,237,199 3,216,863 9,118,954 9,466,137 Net investment income (loss) 153,992 ( 3,130,493 ) ( 5,154,872 ) ( 9,100,359 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 58,028,223 ) 92,637,432 452,879,319 539,758,995 Swap agreements ( 286,550,709 ) 13,693,131 365,260,911 221,428,455 Short-term U.S. government and agency obligations — ( 4,742 ) ( 7,789 ) ( 4,742 ) Net realized gain (loss) ( 344,578,932 ) 106,325,821 818,132,441 761,182,708 Change in net unrealized appreciation (depreciation) on Futures contracts ( 62,302,727 ) ( 48,048,297 ) ( 151,303,453 ) 123,440,274 Swap agreements 28,330,957 31,138,258 ( 187,884,491 ) 52,643,567 Short-term U.S. government and agency obligations 723,596 31,451 ( 268,326 ) ( 7,634 ) Change in net unrealized appreciation (depreciation) ( 33,248,174 ) ( 16,878,588 ) ( 339,456,270 ) 176,076,207 Net realized and unrealized gain (loss) ( 377,827,106 ) 89,447,233 478,676,171 937,258,915 Net income (loss) $ ( 377,673,114 ) $ 86,316,740 $ 473,521,299 $ 928,158,556 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 September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 1,060,867,238 $ 1,303,530,902 $ 1,103,783,570 $ 902,739,250 Addition of 10,400,000 , 3,800,000 , 20,700,000 and 17,400,000 shares, respectively (Note 1) 335,779,871 62,865,806 738,516,557 240,118,659 Redemption of 8,250,000 , 18,800,000 , 44,300,000 and 65,000,000 shares, respectively (Note 1) ( 294,378,733 ) ( 362,099,732 ) ( 1,591,226,164 ) ( 980,402,749 ) Net addition (redemption) of 2,150,000 , ( 15,000,000 ), ( 23,600,000 ) and ( 47,600,000 ) shares, respectively (Note 1) 41,401,138 ( 299,233,926 ) ( 852,709,607 ) ( 740,284,090 ) Net investment income (loss) 153,992 ( 3,130,493 ) ( 5,154,872 ) ( 9,100,359 ) Net realized gain (loss) ( 344,578,932 ) 106,325,821 818,132,441 761,182,708 Change in net unrealized appreciation (depreciation) ( 33,248,174 ) ( 16,878,588 ) ( 339,456,270 ) 176,076,207 Net income (loss) ( 377,673,114 ) 86,316,740 473,521,299 928,158,556 Shareholders’ equity, end of period $ 724,595,262 $ 1,090,613,716 $ 724,595,262 $ 1,090,613,716 See accompanying notes to financial statements. 10 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 473,521,299 $ 928,158,556 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 ( 13,891,053,120 ) ( 2,012,720,434 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 14,207,412,141 1,397,994,503 Net amortization and accretion on short-term U.S. government and agency obligations ( 2,942,264 ) ( 230,377 ) Net realized (gain) loss on investments 7,789 4,742 Change in unrealized (appreciation) depreciation on investments 188,152,817 ( 52,635,933 ) Decrease (Increase) in receivable on open futures contracts ( 891,736 ) ( 1,163,751 ) Decrease (Increase) in interest receivable ( 317,244 ) 6,625 Increase (Decrease) in payable to Sponsor 493,818 127,586 Increase (Decrease) in brokerage commissions and futures account fees payable ( 18,209 ) 21,834 Increase (Decrease) in payable on open futures contracts ( 22,405,789 ) — Increase (Decrease) in non-recurring fees and expenses payable 13,739 27,500 Net cash provided by (used in) operating activities 951,973,241 259,590,851 Cash flow from financing activities Proceeds from addition of shares 738,516,557 240,118,659 Payment on shares redeemed ( 1,574,816,957 ) ( 967,135,937 ) Net cash provided by (used in) financing activities ( 836,300,400 ) ( 727,017,278 ) Net increase (decrease) in cash 115,672,841 ( 467,426,427 ) Cash, beginning of period 217,287,389 667,259,596 Cash, end of period $ 332,960,230 $ 199,833,169 See accompanying notes to financial statements. 11 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 106,619,159 and $ 90,936,719 , respectively) $ 106,563,264 $ 90,922,438 Cash 22,701,853 6,846,634 Segregated cash balances with brokers for futures contracts 99,662,520 47,289,091 Receivable from capital shares sold — 20,448,741 Receivable on open futures contracts 70,013,901 33,998,620 Interest receivable 158,525 1,130 Total assets 299,100,063 199,506,654 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 2,661,693 — Payable on open futures contracts 6,590,160 5,403,658 Brokerage commissions and futures account fees payable 15,382 63,628 Payable to Sponsor 441,940 147,190 Non-recurring fees and expenses payable 4,791 — Total liabilities 9,713,966 5,614,476 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 289,386,097 193,892,178 Total liabilities and shareholders’ equity $ 299,100,063 $ 199,506,654 Shares outstanding 5,437,527 7,587,527 Net asset value per share $ 53.22 $ 25.55 Market value per share (Note 2) $ 53.66 $ 26.09 See accompanying notes to financial statements. 12 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 37 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.223 % due 11/03/22 $ 32,000,000 $ 31,924,637 3.026 % due 12/01/22 75,000,000 74,638,627 Total short-term U.S. government and agency obligations (cost $ 106,619,159 ) $ 106,563,264 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires November 2022 8,556 $ 578,898,960 $ ( 97,363,745 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 13 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 909,204 $ 7,355 $ 1,095,255 $ 32,714 Expenses Management fee 658,525 161,130 1,589,759 568,903 Brokerage commissions 97,589 40,472 300,747 195,831 Futures account fees 43,620 18,263 177,950 112,998 Non-recurring fees and expenses 4,791 — 4,791 — Total expenses 804,525 219,865 2,073,247 877,732 Net investment income (loss) 104,679 ( 212,510 ) ( 977,992 ) ( 845,018 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 5,889,116 ) 33,925,711 235,322,266 80,409,384 Short-term U.S. government and agency obligations ( 4,181 ) 12 ( 7,633 ) 563 Net realized gain (loss) ( 5,893,297 ) 33,925,723 235,314,633 80,409,947 Change in net unrealized appreciation (depreciation) on Futures contracts 97,063,212 25,134,988 ( 89,157,584 ) 35,685,009 Short-term U.S. government and agency obligations 158,315 720 ( 41,614 ) ( 252 ) Change in net unrealized appreciation (depreciation) 97,221,527 25,135,708 ( 89,199,198 ) 35,684,757 Net realized and unrealized gain (loss) 91,328,230 59,061,431 146,115,435 116,094,704 Net income (loss) $ 91,432,909 $ 58,848,921 $ 145,137,443 $ 115,249,686 See accompanying notes to financial statements. 14 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 187,297,842 $ 70,213,227 $ 193,892,178 $ 169,800,371 Addition of 6,000,000 , 1,150,000 , 15,100,000 and 5,200,000 shares, respectively 425,638,048 79,122,213 1,063,004,747 169,309,627 Redemption of 5,300,000 , 1,400,000 , 17,250,000 and 11,550,000 shares, respectively ( 414,982,702 ) ( 63,145,980 ) ( 1,112,648,271 ) ( 309,321,303 ) Net addition (redemption) of 700,000 , ( 250,000 ), ( 2,150,000 ) and ( 6,350,000 ) shares, respectively 10,655,346 15,976,233 ( 49,643,524 ) ( 140,011,676 ) Net investment income (loss) 104,679 ( 212,510 ) ( 977,992 ) ( 845,018 ) Net realized gain (loss) ( 5,893,297 ) 33,925,723 235,314,633 80,409,947 Change in net unrealized appreciation (depreciation) 97,221,527 25,135,708 ( 89,199,198 ) 35,684,757 Net income (loss) 91,432,909 58,848,921 145,137,443 115,249,686 Shareholders’ equity, end of period $ 289,386,097 $ 145,038,381 $ 289,386,097 $ 145,038,381 See accompanying notes to financial statements. 15 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 145,137,443 $ 115,249,686 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 750,045,262 ) ( 143,979,838 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 734,916,266 140,999,619 Net amortization and accretion on short-term U.S. government and agency obligations ( 561,077 ) ( 16,708 ) Net realized (gain) loss on investments 7,633 ( 563 ) Change in unrealized (appreciation) depreciation on investments 41,614 252 Decrease (Increase) in receivable on open futures contracts ( 36,015,281 ) 1,271,737 Decrease (Increase) in interest receivable ( 157,395 ) 3,261 Increase (Decrease) in payable to Sponsor 294,750 ( 86,599 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 48,246 ) 145 Increase (Decrease) in payable on open futures contracts 1,186,502 — Increase (Decrease) in non-recurring fees and expenses payable 4,791 — Net cash provided by (used in) operating activities 94,761,738 113,440,992 Cash flow from financing activities Proceeds from addition of shares 1,083,453,488 156,788,492 Payment on shares redeemed ( 1,109,986,578 ) ( 320,453,849 ) Net cash provided by (used in) financing activities ( 26,533,090 ) ( 163,665,357 ) Net increase (decrease) in cash 68,228,648 ( 50,224,365 ) Cash, beginning of period 54,135,725 137,292,722 Cash, end of period $ 122,364,373 $ 87,068,357 See accompanying notes to financial statements. 16 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 697,652 and $ 998,130 , respectively) $ 696,356 $ 997,678 Cash 11,775,775 6,891,458 Segregated cash balances with brokers for foreign currency forward contracts 1,359,000 691,000 Unrealized appreciation on foreign currency forward contracts — 84,150 Receivable from capital shares sold 478,304 — Interest receivable 13,338 153 Total assets 14,322,773 8,664,439 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 21,934 3,846 Unrealized depreciation on foreign currency forward contracts 431,231 1,498 Non-recurring fees and expenses payable 237 — Total liabilities 453,402 5,344 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 13,869,371 8,659,095 Total liabilities and shareholders’ equity $ 14,322,773 $ 8,664,439 Shares outstanding 1,450,000 650,000 Net asset value per share $ 9.57 $ 13.32 Market value per share (Note 2) $ 9.57 $ 13.33 See accompanying notes to financial statements. 17 Table of Contents PROSHARES ULTRA EURO SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 5 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.554 % due 11/03/22 † $ 698,000 $ 696,356 Total short-term U.S. government and agency obligations (cost $ 697,652 ) $ 696,356 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 10/07/22 12,276,921 $ 12,037,961 $ ( 194,303 ) Euro with UBS AG 10/07/22 17,572,502 17,230,469 ( 236,275 ) Total Unrealized Depreciation $ ( 430,578 ) Contracts to Sell Euro with UBS AG 10/07/22 ( 1,566,000 ) $ ( 1,535,519 ) $ ( 653 ) Total Unrealized Depreciation $ ( 653 ) † All or partial amount pledged as collateral for foreign currency forward contracts. ^ The positions and counterparties herein are as of September 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. 18 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 36,856 $ 393 $ 47,965 $ 1,415 Expenses Management fee 31,331 8,664 66,646 28,158 Non-recurring fees and expenses 237 — 237 — Total expenses 31,568 8,664 66,883 28,158 Net investment income (loss) 5,288 ( 8,271 ) ( 18,918 ) ( 26,743 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 1,618,381 ) ( 254,219 ) ( 2,505,776 ) ( 186,149 ) Short-term U.S. government and agency obligations — — ( 5,949 ) — Net realized gain (loss) ( 1,618,381 ) ( 254,219 ) ( 2,511,725 ) ( 186,149 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 98,836 ) 72,810 ( 513,883 ) ( 251,422 ) Short-term U.S. government and agency obligations 3,824 43 ( 844 ) 4 Change in net unrealized appreciation (depreciation) ( 95,012 ) 72,853 ( 514,727 ) ( 251,418 ) Net realized and unrealized gain (loss) ( 1,713,393 ) ( 181,366 ) ( 3,026,452 ) ( 437,567 ) Net income (loss) $ ( 1,708,105 ) $ ( 189,637 ) $ ( 3,045,370 ) $ ( 464,310 ) See accompanying notes to financial statements. 19 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 9,415,626 $ 3,668,741 $ 8,659,095 $ 4,737,350 Addition of 700,000 , –, 1,250,000 and 100,000 shares, respectively 7,168,239 — 13,537,061 1,488,793 Redemption of 100,000 , –, 450,000 and 150,000 shares, respectively ( 1,006,389 ) — ( 5,281,415 ) ( 2,282,729 ) Net addition (redemption) of 600,000 , – , 800,000 and ( 50,000 ) shares, respectively 6,161,850 — 8,255,646 ( 793,936 ) Net investment income (loss) 5,288 ( 8,271 ) ( 18,918 ) ( 26,743 ) Net realized gain (loss) ( 1,618,381 ) ( 254,219 ) ( 2,511,725 ) ( 186,149 ) Change in net unrealized appreciation (depreciation) ( 95,012 ) 72,853 ( 514,727 ) ( 251,418 ) Net income (loss) ( 1,708,105 ) ( 189,637 ) ( 3,045,370 ) ( 464,310 ) Shareholders’ equity, end of period $ 13,869,371 $ 3,479,104 $ 13,869,371 $ 3,479,104 See accompanying notes to financial statements. 20 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 3,045,370 ) $ ( 464,310 ) 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 ( 5,984,290 ) ( 3,999,381 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 6,290,250 3,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 11,431 ) ( 531 ) Net realized (gain) loss on investments 5,949 — Change in unrealized (appreciation) depreciation on investments 514,727 251,418 Decrease (Increase) in interest receivable ( 13,185 ) 62 Increase (Decrease) in payable to Sponsor 18,088 ( 812 ) Increase (Decrease) in non-recurring fees and expenses payable 237 — Net cash provided by (used in) operating activities ( 2,225,025 ) ( 1,213,554 ) Cash flow from financing activities Proceeds from addition of shares 13,058,757 1,488,793 Payment on shares redeemed ( 5,281,415 ) ( 2,282,729 ) Net cash provided by (used in) financing activities 7,777,342 ( 793,936 ) Net increase (decrease) in cash 5,552,317 ( 2,007,490 ) Cash, beginning of period 7,582,458 4,652,092 Cash, end of period $ 13,134,775 $ 2,644,602 See accompanying notes to financial statements. 21 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 143,646,462 and $ 207,964,168 , respectively) $ 143,619,527 $ 207,956,320 Cash 8,231,351 9,328,332 Segregated cash balances with brokers for futures contracts 2,374,050 6,093,750 Segregated cash balances with brokers for swap agreements 12,629,200 — Unrealized appreciation on swap agreements — 8,639,188 Receivable on open futures contracts 120,937 944,644 Interest receivable 40,392 690 Total assets 167,015,457 232,962,924 Liabilities and shareholders’ equity Liabilities Brokerage commissions and futures account fees payable — 4,034 Payable to Sponsor 303,801 178,356 Unrealized depreciation on swap agreements 6,686,424 — Non-recurring fees and expenses payable 2,940 — Total liabilities 6,993,165 182,390 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 160,022,292 232,780,534 Total liabilities and shareholders’ equity $ 167,015,457 $ 232,962,924 Shares outstanding 3,400,000 3,900,000 Net asset value per share $ 47.07 $ 59.69 Market value per share (Note 2) $ 46.93 $ 59.81 See accompanying notes to financial statements. 22 Table of Contents PROSHARES ULTRA GOLD SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 90 % of shareholders’ equity) U.S. Treasury Bills ^^ : 2.253 % due 10/06/22 † $ 50,000,000 $ 49,989,230 0.223 % due 11/03/22 † 14,000,000 13,967,029 2.682 % due 11/17/22 † 40,000,000 39,856,000 3.026 % due 12/01/22 † 40,000,000 39,807,268 Total short-term U.S. government and agency obligations (cost $ 143,646,462 ) $ 143,619,527 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires December 2022 409 $ 68,384,800 $ ( 1,627,042 ) 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 % 10/06/22 $ 100,068,860 $ ( 2,464,705 ) Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.25 10/06/22 47,529,603 ( 1,657,776 ) Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 10/06/22 104,098,025 ( 2,563,943 ) Total Unrealized Depreciation $ ( 6,686,424 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of September 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 September 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. 23 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 678,282 $ 14,338 $ 1,092,549 $ 70,259 Expenses Management fee 475,457 582,103 1,863,020 1,718,350 Brokerage commissions 8,176 9,421 43,899 32,974 Futures account fees — 19,008 28,169 64,764 Non-recurring fees and expenses 2,940 — 2,940 — Total expenses 486,573 610,532 1,938,028 1,816,088 Net investment income (loss) 191,709 ( 596,194 ) ( 845,479 ) ( 1,745,829 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 13,871,427 ) ( 3,125,004 ) ( 22,577,746 ) ( 12,636,331 ) Swap agreements ( 25,954,159 ) ( 18,733,085 ) ( 17,330,327 ) ( 14,963,523 ) Short-term U.S. government and agency obligations ( 708 ) — ( 708 ) 245 Net realized gain (loss) ( 39,826,294 ) ( 21,858,089 ) ( 39,908,781 ) ( 27,599,609 ) Change in net unrealized appreciation (depreciation) on Futures contracts 2,305,467 319,305 ( 2,281,936 ) ( 6,583,282 ) Swap agreements ( 234,566 ) 15,245,013 ( 15,325,612 ) ( 12,547,844 ) Short-term U.S. government and agency obligations 151,932 9,966 ( 19,087 ) ( 5,396 ) Change in net unrealized appreciation (depreciation) 2,222,833 15,574,284 ( 17,626,635 ) ( 19,136,522 ) Net realized and unrealized gain (loss) ( 37,603,461 ) ( 6,283,805 ) ( 57,535,416 ) ( 46,736,131 ) Net income (loss) $ ( 37,411,752 ) $ ( 6,879,999 ) $ ( 58,380,895 ) $ ( 48,481,960 ) See accompanying notes to financial statements. 24 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 239,938,853 $ 243,456,703 $ 232,780,534 $ 263,540,473 Addition of 50,000 , 250,000 , 1,650,000 and 1,250,000 shares, respectively 2,645,499 14,836,141 104,903,214 75,112,671 Redemption of 900,000 , 350,000 , 2,150,000 and 1,000,000 shares, respectively ( 45,150,308 ) ( 20,494,998 ) ( 119,280,561 ) ( 59,253,337 ) Net addition (redemption) of ( 850,000 ), ( 100,000 ), ( 500,000 ) and 250,000 shares, respectively ( 42,504,809 ) ( 5,658,857 ) ( 14,377,347 ) 15,859,334 Net investment income (loss) 191,709 ( 596,194 ) ( 845,479 ) ( 1,745,829 ) Net realized gain (loss) ( 39,826,294 ) ( 21,858,089 ) ( 39,908,781 ) ( 27,599,609 ) Change in net unrealized appreciation (depreciation) 2,222,833 15,574,284 ( 17,626,635 ) ( 19,136,522 ) Net income (loss) ( 37,411,752 ) ( 6,879,999 ) ( 58,380,895 ) ( 48,481,960 ) Shareholders’ equity, end of period $ 160,022,292 $ 230,917,847 $ 160,022,292 $ 230,917,847 See accompanying notes to financial statements. 25 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 58,380,895 ) $ ( 48,481,960 ) 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 ( 913,776,847 ) ( 502,945,919 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 978,997,411 391,999,771 Net amortization and accretion on short-term U.S. government and agency obligations ( 903,566 ) ( 45,150 ) Net realized (gain) loss on investments 708 ( 245 ) Change in unrealized (appreciation) depreciation on investments 15,344,699 12,553,240 Decrease (Increase) in receivable on open futures contracts 823,707 ( 2,562,837 ) Decrease (Increase) in interest receivable ( 39,702 ) 3,902 Increase (Decrease) in payable to Sponsor 125,445 ( 42,591 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 4,034 ) 5,068 Increase (Decrease) in non-recurring fees and expenses payable 2,940 — Net cash provided by (used in) operating activities 22,189,866 ( 149,516,721 ) Cash flow from financing activities Proceeds from addition of shares 104,903,214 75,112,671 Payment on shares redeemed ( 119,280,561 ) ( 56,471,438 ) Net cash provided by (used in) financing activities ( 14,377,347 ) 18,641,233 Net increase (decrease) in cash 7,812,519 ( 130,875,488 ) Cash, beginning of period 15,422,082 183,452,109 Cash, end of period $ 23,234,601 $ 52,576,621 See accompanying notes to financial statements. 26 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 162,706,493 and $ 451,896,236 , respectively) $ 162,611,595 $ 451,872,982 Cash 42,840,235 10,985,565 Segregated cash balances with brokers for futures contracts 16,278,750 14,502,938 Segregated cash balances with brokers for swap agreements 70,036,000 — Unrealized appreciation on swap agreements 26,804,548 40,591,699 Receivable from capital shares sold 4,168,994 — Receivable on open futures contracts 1,699,398 1,384,919 Interest receivable 73,633 1,582 Total assets 324,513,153 519,339,685 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed — 3,483,770 Brokerage commissions and futures account fees payable — 9,833 Payable to Sponsor 536,368 392,488 Non-recurring fees and expenses payable 5,922 — Total liabilities 542,290 3,886,091 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 323,970,863 515,453,594 Total liabilities and shareholders’ equity $ 324,513,153 $ 519,339,685 Shares outstanding 15,546,526 14,796,526 Net asset value per share $ 20.84 $ 34.84 Market value per share (Note 2) $ 20.76 $ 34.74 See accompanying notes to financial statements. 27 Table of Contents PROSHARES ULTRA SILVER SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 50 % of shareholders’ equity) U.S. Treasury Bills ^^ : 2.253 % due 10/06/22 † $ 50,000,000 $ 49,989,230 0.223 % due 11/03/22 † 43,000,000 42,898,731 2.682 % due 11/17/22 † 50,000,000 49,820,000 3.026 % due 12/01/22 20,000,000 19,903,634 Total short-term U.S. government and agency obligations (cost $ 162,706,493 ) $ 162,611,595 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires December 2022 2,163 $ 205,906,785 $ ( 329,232 ) 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 % 10/06/22 $ 142,330,643 $ 8,433,031 Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.30 10/06/22 18,803,260 1,725,874 Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 10/06/22 156,302,767 9,256,039 Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 10/06/22 124,719,934 7,389,604 Total Unrealized Appreciation $ 26,804,548 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of September 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 September 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. 28 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 824,171 $ 44,511 $ 1,386,134 $ 208,169 Expenses Management fee 798,802 1,394,627 3,098,741 4,640,919 Brokerage commissions 34,796 27,419 94,079 114,716 Futures account fees — 47,170 26,693 258,250 Non-recurring fees and expenses 5,922 — 5,922 — Total expenses 839,520 1,469,216 3,225,435 5,013,885 Net investment income (loss) ( 15,349 ) ( 1,424,705 ) ( 1,839,301 ) ( 4,805,716 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 13,577,109 ) ( 49,762,947 ) ( 30,191,493 ) ( 32,273,408 ) Swap agreements ( 133,807,652 ) ( 151,552,363 ) ( 156,750,416 ) ( 47,760,872 ) Short-term U.S. government and agency obligations ( 6,553 ) ( 4,720 ) ( 7,717 ) ( 4,529 ) Net realized gain (loss) ( 147,391,314 ) ( 201,320,030 ) ( 186,949,626 ) ( 80,038,809 ) Change in net unrealized appreciation (depreciation) on Futures contracts 3,988,709 9,589,898 ( 2,835,777 ) ( 42,630,013 ) Swap agreements 87,216,478 ( 15,630,674 ) ( 13,787,151 ) ( 149,513,235 ) Short-term U.S. government and agency obligations 272,285 22,486 ( 71,644 ) ( 13,068 ) Change in net unrealized appreciation (depreciation) 91,477,472 ( 6,018,290 ) ( 16,694,572 ) ( 192,156,316 ) Net realized and unrealized gain (loss) ( 55,913,842 ) ( 207,338,320 ) ( 203,644,198 ) ( 272,195,125 ) Net income (loss) $ ( 55,929,191 ) $ ( 208,763,025 ) $ ( 205,483,499 ) $ ( 277,000,841 ) See accompanying notes to financial statements. 29 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 355,577,515 $ 661,778,727 $ 515,453,594 $ 745,304,028 Addition of 2,450,000 , 1,050,000 , 4,250,000 and 4,450,000 shares, respectively 52,469,935 38,538,861 118,129,234 205,312,655 Redemption of 1,250,000 , 300,000 , 3,500,000 and 4,000,000 shares, respectively ( 28,147,396 ) ( 11,245,087 ) ( 104,128,466 ) ( 193,306,366 ) Net addition (redemption) of 1,200,000 , 750,000 , 750,000 and 450,000 shares, respectively 24,322,539 27,293,774 14,000,768 12,006,289 Net investment income (loss) ( 15,349 ) ( 1,424,705 ) ( 1,839,301 ) ( 4,805,716 ) Net realized gain (loss) ( 147,391,314 ) ( 201,320,030 ) ( 186,949,626 ) ( 80,038,809 ) Change in net unrealized appreciation (depreciation) 91,477,472 ( 6,018,290 ) ( 16,694,572 ) ( 192,156,316 ) Net income (loss) ( 55,929,191 ) ( 208,763,025 ) ( 205,483,499 ) ( 277,000,841 ) Shareholders’ equity, end of period $ 323,970,863 $ 480,309,476 $ 323,970,863 $ 480,309,476 See accompanying notes to financial statements. 30 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 205,483,499 ) $ ( 277,000,841 ) 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 ( 2,619,720,954 ) ( 1,369,823,802 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 2,909,963,011 1,119,994,333 Net amortization and accretion on short-term U.S. government and agency obligations ( 1,060,031 ) ( 160,958 ) Net realized (gain) loss on investments 7,717 4,529 Change in unrealized (appreciation) depreciation on investments 13,858,795 149,526,303 Decrease (Increase) in receivable on open futures contracts ( 314,479 ) ( 421,500 ) Decrease (Increase) in interest receivable ( 72,051 ) 6,942 Increase (Decrease) in payable to Sponsor 143,880 ( 90,946 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 9,833 ) 9,969 Increase (Decrease) in payable on open futures contracts — ( 2,038,135 ) Increase (Decrease) in non-recurring fees and expenses payable 5,922 — Net cash provided by (used in) operating activities 97,318,478 ( 379,994,106 ) Cash flow from financing activities Proceeds from addition of shares 113,960,240 205,312,655 Payment on shares redeemed ( 107,612,236 ) ( 193,306,366 ) Net cash provided by (used in) financing activities 6,348,004 12,006,289 Net increase (decrease) in cash 103,666,482 ( 367,987,817 ) Cash, beginning of period 25,488,503 446,401,960 Cash, end of period $ 129,154,985 $ 78,414,143 See accompanying notes to financial statements. 31 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 273,396,698 and $ 221,725,609 , respectively) $ 273,202,387 $ 221,660,593 Cash 134,170,524 108,688,034 Segregated cash balances with brokers for futures contracts 363,142,800 463,432,845 Receivable on open futures contracts 262,520,415 33,597,688 Interest receivable 1,050,905 5,060 Total assets 1,034,087,031 827,384,220 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 36,597,293 — Payable on open futures contracts — 9,447,456 Brokerage commissions and futures account fees payable 66,068 167,855 Payable to Sponsor 1,913,775 611,836 Unrealized depreciation on swap agreements — 477,437 Non-recurring fees and expenses payable 20,117 — Total liabilities 38,597,253 10,704,584 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 995,489,778 816,679,636 Total liabilities and shareholders’ equity $ 1,034,087,031 $ 827,384,220 Shares outstanding 77,328,420 65,828,420 Net asset value per share $ 12.87 $ 12.41 Market value per share (Note 2) $ 12.85 $ 12.43 See accompanying notes to financial statements. 32 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 27 % of shareholders’ equity) U.S. Treasury Bills ^^ : 2.253 % due 10/06/22 $ 50,000,000 $ 49,989,230 0.223 % due 11/03/22 94,000,000 93,778,621 2.682 % due 11/17/22 50,000,000 49,820,000 3.026 % due 12/01/22 80,000,000 79,614,536 Total short-term U.S. government and agency obligations (cost $ 273,396,698 ) $ 273,202,387 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires October 2022 28,597 $ 901,263,052 $ 167,070,593 VIX Futures - Cboe, expires November 2022 19,065 592,381,961 29,704,256 $ 196,774,849 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 33 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 3,945,136 $ 11,979 $ 4,471,067 $ 328,504 Expenses Management fee 2,831,005 2,221,755 7,085,920 8,897,953 Brokerage commissions 1,276,819 1,095,975 3,183,788 4,225,879 Futures account fees 219,828 688,048 1,446,639 3,243,304 Non-recurring fees and expenses 20,117 — 20,117 — Total expenses 4,347,769 4,005,778 11,736,464 16,367,136 Net investment income (loss) ( 402,633 ) ( 3,993,799 ) ( 7,265,397 ) ( 16,038,632 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 289,871,717 ) ( 185,968,398 ) 59,605,816 ( 1,650,738,359 ) Swap agreements — ( 12,412,592 ) 22,556,586 ( 106,689,716 ) Short-term U.S. government and agency obligations ( 2,037 ) — ( 355,124 ) 20,657 Net realized gain (loss) ( 289,873,754 ) ( 198,380,990 ) 81,807,278 ( 1,757,407,418 ) Change in net unrealized appreciation (depreciation) on Futures contracts 161,330,331 178,803,476 323,131,606 138,543,548 Swap agreements — 7,933,765 477,437 7,958,572 Short-term U.S. government and agency obligations 414,952 4,980 ( 129,295 ) ( 3,982 ) Change in net unrealized appreciation (depreciation) 161,745,283 186,742,221 323,479,748 146,498,138 Net realized and unrealized gain (loss) ( 128,128,471 ) ( 11,638,769 ) 405,287,026 ( 1,610,909,280 ) Net income (loss) $ ( 128,531,104 ) $ ( 15,632,568 ) $ 398,021,629 $ ( 1,626,947,912 ) See accompanying notes to financial statements. 34 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 975,683,533 $ 840,870,703 $ 816,679,636 $ 1,356,204,199 Addition of 93,400,000 , 37,800,000 , 234,900,000 and 70,385,000 shares, respectively 1,064,364,417 923,628,398 3,035,837,360 3,297,406,475 Redemption of 83,300,000 , 26,150,000 , 223,400,000 and 41,319,671 shares, respectively ( 916,027,068 ) ( 728,020,660 ) ( 3,255,048,847 ) ( 2,005,816,889 ) Net addition (redemption) of 10,100,000 , 11,650,000 , 11,500,000 and 29,065,329 shares, respectively 148,337,349 195,607,738 ( 219,211,487 ) 1,291,589,586 Net investment income (loss) ( 402,633 ) ( 3,993,799 ) ( 7,265,397 ) ( 16,038,632 ) Net realized gain (loss) ( 289,873,754 ) ( 198,380,990 ) 81,807,278 ( 1,757,407,418 ) Change in net unrealized appreciation (depreciation) 161,745,283 186,742,221 323,479,748 146,498,138 Net income (loss) ( 128,531,104 ) ( 15,632,568 ) 398,021,629 ( 1,626,947,912 ) Shareholders’ equity, end of period $ 995,489,778 $ 1,020,845,873 $ 995,489,778 $ 1,020,845,873 See accompanying notes to financial statements. 35 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 398,021,629 $ ( 1,626,947,912 ) 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 ( 4,540,406,696 ) ( 1,136,829,195 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 4,489,474,762 1,106,989,987 Net amortization and accretion on short-term U.S. government and agency obligations ( 1,094,279 ) ( 132,855 ) Net realized (gain) loss on investments 355,124 ( 20,657 ) Change in unrealized (appreciation) depreciation on investments ( 348,142 ) ( 7,954,590 ) Decrease (Increase) in receivable on open futures contracts ( 228,922,727 ) ( 47,960,346 ) Decrease (Increase) in interest receivable ( 1,045,845 ) 1,723 Increase (Decrease) in payable to Sponsor 1,301,939 ( 244,979 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 101,787 ) ( 240,141 ) Increase (Decrease) in payable on open futures contracts ( 9,447,456 ) ( 16,496,871 ) Increase (Decrease) in non-recurring fees and expenses payable 20,117 — Net cash provided by (used in) operating activities 107,806,639 ( 1,729,835,836 ) Cash flow from financing activities Proceeds from addition of shares 3,035,837,360 3,346,492,863 Payment on shares redeemed ( 3,218,451,554 ) ( 1,978,946,702 ) Net cash provided by (used in) financing activities ( 182,614,194 ) 1,367,546,161 Net increase (decrease) in cash ( 74,807,555 ) ( 362,289,675 ) Cash, beginning of period 572,120,879 1,069,671,996 Cash, end of period $ 497,313,324 $ 707,382,321 See accompanying notes to financial statements. 36 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 999,501 and $ – , respectively) $ 997,645 $ — Cash 8,613,130 2,232,820 Segregated cash balances with brokers for foreign currency forward contracts 650,000 225,000 Unrealized appreciation on foreign currency forward contracts 6,055 821 Interest receivable 9,981 95 Total assets 10,276,811 2,458,736 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 16,256 1,954 Unrealized depreciation on foreign currency forward contracts 101,172 93,933 Non-recurring fees and expenses payable 194 — Total liabilities 117,622 95,887 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 10,159,189 2,362,849 Total liabilities and shareholders’ equity $ 10,276,811 $ 2,458,736 Shares outstanding 349,970 49,970 Net asset value per share $ 29.03 $ 47.29 Market value per share (Note 2) $ 29.06 $ 47.29 See accompanying notes to financial statements. 37 Table of Contents PROSHARES ULTRA YEN SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 10 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.554 % due 11/03/22 † $ 1,000,000 $ 997,645 Total short-term U.S. government and agency obligations (cost $ 999,501 ) $ 997,645 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 10/07/22 1,186,245,517 $ 8,201,765 $ ( 41,852 ) Yen with UBS AG 10/07/22 1,919,545,856 13,271,845 ( 59,320 ) Total Unrealized Depreciation $ ( 101,172 ) Contracts to Sell Yen with Goldman Sachs International 10/07/22 ( 33,368,000 ) $ ( 230,708 ) $ 1,998 Yen with UBS AG 10/07/22 ( 133,030,000 ) ( 919,774 ) 4,057 Total Unrealized Appreciation $ 6,055 † All or partial amount pledged as collateral for foreign currency forward contracts. ^ The positions and counterparties herein are as of September 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. 38 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 25,362 $ 260 $ 29,299 $ 923 Expenses Management fee 21,245 6,233 34,710 19,144 Non-recurring fees and expenses 194 — 194 — Total expenses 21,439 6,233 34,904 19,144 Net investment income (loss) 3,923 ( 5,973 ) ( 5,605 ) ( 18,221 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 1,652,590 ) ( 25,554 ) ( 2,532,839 ) ( 305,028 ) Short-term U.S. government and agency obligations — — 1,548 — Net realized gain (loss) ( 1,652,590 ) ( 25,554 ) ( 2,531,291 ) ( 305,028 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 17,967 ) 10,988 ( 2,005 ) ( 126,353 ) Short-term U.S. government and agency obligations 3,286 71 ( 1,856 ) ( 17 ) Change in net unrealized appreciation (depreciation) ( 14,681 ) 11,059 ( 3,861 ) ( 126,370 ) Net realized and unrealized gain (loss) ( 1,667,271 ) ( 14,495 ) ( 2,535,152 ) ( 431,398 ) Net income (loss) $ ( 1,663,348 ) $ ( 20,468 ) $ ( 2,540,757 ) $ ( 449,619 ) See accompanying notes to financial statements. 39 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 5,024,773 $ 2,560,348 $ 2,362,849 $ 2,989,499 Addition of 250,000 , –, 350,000 and – shares, respectively 8,285,325 — 11,824,658 — Redemption of 50,000 , –, 50,000 and – shares, respectively ( 1,487,561 ) — ( 1,487,561 ) — Net addition (redemption) of 200,000 , –, 300,000 and – shares, respectively 6,797,764 — 10,337,097 — Net investment income (loss) 3,923 ( 5,973 ) ( 5,605 ) ( 18,221 ) Net realized gain (loss) ( 1,652,590 ) ( 25,554 ) ( 2,531,291 ) ( 305,028 ) Change in net unrealized appreciation (depreciation) ( 14,681 ) 11,059 ( 3,861 ) ( 126,370 ) Net income (loss) ( 1,663,348 ) ( 20,468 ) ( 2,540,757 ) ( 449,619 ) Shareholders’ equity, end of period $ 10,159,189 $ 2,539,880 $ 10,159,189 $ 2,539,880 See accompanying notes to financial statements. 40 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 2,540,757 ) $ ( 449,619 ) 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 ( 3,732 ) ( 230 ) Net realized (gain) loss on investments ( 1,548 ) — Change in unrealized (appreciation) depreciation on investments 3,861 126,370 Decrease (Increase) in interest receivable ( 9,886 ) 45 Increase (Decrease) in payable to Sponsor 14,302 ( 355 ) Increase (Decrease) in non-recurring fees and expenses payable 194 — Net cash provided by (used in) operating activities ( 3,531,787 ) ( 1,323,529 ) Cash flow from financing activities Proceeds from addition of shares 11,824,658 — Payment on shares redeemed ( 1,487,561 ) — Net cash provided by (used in) financing activities 10,337,097 — Net increase (decrease) in cash 6,805,310 ( 1,323,529 ) Cash, beginning of period 2,457,820 2,924,696 Cash, end of period $ 9,263,130 $ 1,601,167 See accompanying notes to financial statements. 41 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 120,732,500 and $ 55,932,300 , respectively) $ 120,666,762 $ 55,916,023 Cash 124,862,617 29,602,412 Segregated cash balances with brokers for futures contracts 125,179,826 24,841,141 Receivable on open futures contracts 7,457,604 4,064,439 Interest receivable 330,847 1,359 Total assets 378,497,656 114,425,374 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 8,744,403 — Payable on open futures contracts 229,660 175,557 Brokerage commissions and futures account fees payable 11,258 7,944 Payable to Sponsor 713,698 74,271 Non-recurring fees and expenses payable 7,548 — Total liabilities 9,706,567 257,772 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 368,791,089 114,167,602 Total liabilities and shareholders’ equity $ 378,497,656 $ 114,425,374 Shares outstanding (Note 1) 12,155,220 1,776,760 Net asset value per share (Note 1) $ 30.34 $ 64.26 Market value per share (Note 1) (Note 2) $ 30.28 $ 63.75 See accompanying notes to financial statements. 42 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 33 % of shareholders’ equity) U.S. Treasury Bills ^^ : 2.253 % due 10/06/22 $ 35,000,000 $ 34,992,461 0.223 % due 11/03/22 36,000,000 35,915,216 3.026 % due 12/01/22 50,000,000 49,759,085 Total short-term U.S. government and agency obligations (cost $ 120,732,500 ) $ 120,666,762 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires December 2022 3,174 $ 249,857,280 $ 38,891,587 WTI Crude Oil - NYMEX, expires June 2023 3,344 244,112,000 41,214,314 WTI Crude Oil - NYMEX, expires December 2023 3,500 243,810,000 25,208,203 $ 105,314,104 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 43 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 1,748,548 $ 6,891 $ 2,091,754 $ 36,069 Expenses Management fee 1,160,746 201,146 2,599,503 603,444 Brokerage commissions 148,121 29,277 332,256 100,902 Futures account fees 39,563 18,193 195,542 83,373 Non-recurring fees and expenses 7,548 — 7,548 — Total expenses 1,355,978 248,616 3,134,849 787,719 Net investment income (loss) 392,570 ( 241,725 ) ( 1,043,095 ) ( 751,650 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 66,444,885 ( 11,449,562 ) ( 142,631,216 ) ( 86,637,748 ) Net realized gain (loss) 66,444,885 ( 11,449,562 ) ( 142,631,216 ) ( 86,637,748 ) Change in net unrealized appreciation (depreciation) on Futures contracts 76,797,273 ( 1,521,543 ) 113,723,566 ( 5,829,347 ) Short-term U.S. government and agency obligations 190,676 650 ( 49,461 ) ( 134 ) Change in net unrealized appreciation (depreciation) 76,987,949 ( 1,520,893 ) 113,674,105 ( 5,829,481 ) Net realized and unrealized gain (loss) 143,432,834 ( 12,970,455 ) ( 28,957,111 ) ( 92,467,229 ) Net income (loss) $ 143,825,404 $ ( 13,212,180 ) $ ( 30,000,206 ) $ ( 93,218,879 ) See accompanying notes to financial statements. 44 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 501,157,304 $ 79,400,059 $ 114,167,602 $ 96,839,233 Addition of 11,050,000 , 670,000 , 38,940,000 and 1,447,500 shares, respectively (Note 1) 263,018,131 56,590,239 1,051,908,930 164,074,678 Redemption of 20,650,000 , 310,000 , 28,561,540 and 627,734 shares, respectively (Note 1) ( 539,209,750 ) ( 29,202,905 ) ( 767,285,237 ) ( 74,119,819 ) Net addition (redemption) of ( 9,600,000 ), 360,000 , 10,378,460 and 819,766 shares, respectively (Note 1) ( 276,191,619 ) 27,387,334 284,623,693 89,954,859 Net investment income (loss) 392,570 ( 241,725 ) ( 1,043,095 ) ( 751,650 ) Net realized gain (loss) 66,444,885 ( 11,449,562 ) ( 142,631,216 ) ( 86,637,748 ) Change in net unrealized appreciation (depreciation) 76,987,949 ( 1,520,893 ) 113,674,105 ( 5,829,481 ) Net income (loss) 143,825,404 ( 13,212,180 ) ( 30,000,206 ) ( 93,218,879 ) Shareholders’ equity, end of period $ 368,791,089 $ 93,575,213 $ 368,791,089 $ 93,575,213 See accompanying notes to financial statements. 45 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 30,000,206 ) $ ( 93,218,879 ) 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 ( 5,037,566,739 ) ( 117,984,270 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 4,974,000,000 85,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 1,233,461 ) ( 12,980 ) Change in unrealized (appreciation) depreciation on investments 49,461 134 Decrease (Increase) in receivable on open futures contracts ( 3,393,165 ) 60,902 Decrease (Increase) in interest receivable ( 329,488 ) 1,916 Increase (Decrease) in payable to Sponsor 639,427 ( 13,396 ) Increase (Decrease) in brokerage commissions and futures account fees payable 3,314 12,910 Increase (Decrease) in payable on open futures contracts 54,103 ( 113,895 ) Increase (Decrease) in non-recurring fees and expenses payable 7,548 — Net cash provided by (used in) operating activities ( 97,769,206 ) ( 126,267,558 ) Cash flow from financing activities Proceeds from addition of shares 1,051,908,930 164,074,678 Payment on shares redeemed ( 758,540,834 ) ( 74,119,819 ) Net cash provided by (used in) financing activities 293,368,096 89,954,859 Net increase (decrease) in cash 195,598,890 ( 36,312,699 ) Cash, beginning of period 54,443,553 97,113,373 Cash, end of period $ 250,042,443 $ 60,800,674 See accompanying notes to financial statements. 46 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 84,743,350 and $ 123,855,553 , respectively) $ 84,676,656 $ 123,821,548 Cash 33,650,436 53,547,476 Segregated cash balances with brokers for futures contracts 88,384,720 59,453,451 Receivable on open futures contracts 47,756,152 30,090,351 Interest receivable 280,451 1,749 Total assets 254,748,415 266,914,575 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 11,781,470 15,986,002 Payable on open futures contracts — 8,542,438 Brokerage commissions and futures account fees payable 23,356 46,867 Payable to Sponsor 548,217 194,138 Non-recurring fees and expenses payable 5,374 — Total liabilities 12,358,417 24,769,445 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 242,389,998 242,145,130 Total liabilities and shareholders’ equity $ 254,748,415 $ 266,914,575 Shares outstanding (Note 1) 13,966,856 978,742 Net asset value per share (Note 1) $ 17.35 $ 247.40 Market value per share (Note 1) (Note 2) $ 17.21 $ 242.20 See accompanying notes to financial statements. 47 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 35 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.223 % due 11/03/22 $ 35,000,000 $ 34,917,571 3.026 % due 12/01/22 50,000,000 49,759,085 Total short-term U.S. government and agency obligations (cost $ 84,743,350 ) $ 84,676,656 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires November 2022 7,167 $ 484,919,220 $ 130,293,612 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 48 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 953,050 $ 9,879 $ 1,131,063 $ 25,512 Expenses Management fee 730,949 258,824 1,784,017 609,472 Brokerage commissions 173,386 67,808 539,244 249,831 Futures account fees 48,485 42,064 255,370 99,190 Non-recurring fees and expenses 5,374 — 5,374 — Total expenses 958,194 368,696 2,584,005 958,493 Net investment income (loss) ( 5,144 ) ( 358,817 ) ( 1,452,942 ) ( 932,981 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 8,173,631 ( 95,609,878 ) ( 389,138,752 ) ( 112,274,576 ) Short-term U.S. government and agency obligations ( 57,864 ) — ( 116,673 ) — Net realized gain (loss) 8,115,767 ( 95,609,878 ) ( 389,255,425 ) ( 112,274,576 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 23,776,729 ) ( 17,870,697 ) 116,857,361 ( 35,668,153 ) Short-term U.S. government and agency obligations 309,345 ( 839 ) ( 32,689 ) ( 2,080 ) Change in net unrealized appreciation (depreciation) ( 23,467,384 ) ( 17,871,536 ) 116,824,672 ( 35,670,233 ) Net realized and unrealized gain (loss) ( 15,351,617 ) ( 113,481,414 ) ( 272,430,753 ) ( 147,944,809 ) Net income (loss) $ ( 15,356,761 ) $ ( 113,840,231 ) $ ( 273,883,695 ) $ ( 148,877,790 ) See accompanying notes to financial statements. 49 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 211,823,446 $ 97,525,300 $ 242,145,130 $ 24,977,745 Addition of 58,900,000 , 1,025,000 , 82,240,000 and 1,402,500 shares, respectively (Note 1) 790,506,039 210,189,776 1,734,541,781 446,153,207 Redemption of 49,900,000 , 265,000 , 69,251,886 and 442,500 shares, respectively (Note 1) ( 744,582,726 ) ( 55,406,168 ) ( 1,460,413,218 ) ( 183,784,485 ) Net addition (redemption) of 9,000,000 , 760,000 , 12,988,114 and 960,000 shares, respectively (Note 1) 45,923,313 154,783,608 274,128,563 262,368,722 Net investment income (loss) ( 5,144 ) ( 358,817 ) ( 1,452,942 ) ( 932,981 ) Net realized gain (loss) 8,115,767 ( 95,609,878 ) ( 389,255,425 ) ( 112,274,576 ) Change in net unrealized appreciation (depreciation) ( 23,467,384 ) ( 17,871,536 ) 116,824,672 ( 35,670,233 ) Net income (loss) ( 15,356,761 ) ( 113,840,231 ) ( 273,883,695 ) ( 148,877,790 ) Shareholders’ equity, end of period $ 242,389,998 $ 138,468,677 $ 242,389,998 $ 138,468,677 See accompanying notes to financial statements. 50 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ ( 273,883,695 ) $ ( 148,877,790 ) 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 ( 641,286,804 ) ( 144,983,115 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 680,730,195 98,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 447,861 ) ( 12,252 ) Net realized (gain) loss on investments 116,673 – Change in unrealized (appreciation) depreciation on investments 32,689 2,080 Decrease (Increase) in receivable on open futures contracts ( 17,665,801 ) – Decrease (Increase) in interest receivable ( 278,702 ) ( 2,114 ) Increase (Decrease) in payable to Sponsor 354,079 85,465 Increase (Decrease) in brokerage commissions and futures account fees payable ( 23,511 ) 27,103 Increase (Decrease) in payable on open futures contracts ( 8,542,438 ) 14,455,099 Increase (Decrease) in non-recurring fees and expenses payable 5,374 – Net cash provided by (used in) operating activities ( 260,889,802 ) ( 181,305,524 ) Cash flow from financing activities Proceeds from addition of shares 1,734,541,781 446,153,207 Payment on shares redeemed ( 1,464,617,750 ) ( 170,017,033 ) Net cash provided by (used in) financing activities 269,924,031 276,136,174 Net increase (decrease) in cash 9,034,229 94,830,650 Cash, beginning of period 113,000,927 19,147,382 Cash, end of period $ 122,035,156 $ 113,978,032 See accompanying notes to financial statements. 51 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 45,894,901 and $ 46,968,288 , respectively) $ 45,854,318 $ 46,961,125 Cash 42,105,160 7,554,065 Segregated cash balances with brokers for foreign currency forward contracts 3,350,000 — Unrealized appreciation on foreign currency forward contracts 3,108,883 135,118 Receivable from capital shares sold 549 — Interest receivable 62,104 603 Total assets 94,481,014 54,650,911 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 3,484,180 — Payable to Sponsor 142,878 44,707 Unrealized depreciation on foreign currency forward contracts 267,843 343,159 Non-recurring fees and expenses payable 1,835 — Total liabilities 3,896,736 387,866 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 90,584,278 54,263,045 Total liabilities and shareholders’ equity $ 94,481,014 $ 54,650,911 Shares outstanding 2,600,000 2,100,000 Net asset value per share $ 34.84 $ 25.84 Market value per share (Note 2) $ 34.88 $ 25.86 See accompanying notes to financial statements. 52 Table of Contents PROSHARES ULTRASHORT EURO SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 51 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.223 % due 11/03/22 † $ 16,000,000 $ 15,962,318 2.682 % due 11/17/22 30,000,000 29,892,000 Total short-term U.S. government and agency obligations (cost $ 45,894,901 ) $ 45,854,318 Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Euro with UBS AG 10/07/22 38,000,000 $ 37,260,363 $ ( 267,843 ) Total Unrealized Depreciation $ ( 267,843 ) Contracts to Sell Euro with Goldman Sachs International 10/07/22 ( 78,612,263 ) $ ( 77,082,144 ) $ 1,292,731 Euro with UBS AG 10/07/22 ( 144,189,199 ) ( 141,382,682 ) 1,816,152 Total Unrealized Appreciation $ 3,108,883 † All or partial amount pledged as collateral for foreign currency forward contracts. ^ The positions and counterparties herein are as of September 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. 53 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 230,824 $ 5,008 $ 285,240 $ 17,814 Expenses Management fee 203,036 116,733 467,426 355,451 Non-recurring fees and expenses 1,835 — 1,835 — Total expenses 204,871 116,733 469,261 355,451 Net investment income (loss) 25,953 ( 111,725 ) ( 184,021 ) ( 337,637 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 11,086,708 2,974,466 16,693,971 2,249,236 Short-term U.S. government and agency obligations — — 210,974 — Net realized gain (loss) 11,086,708 2,974,466 16,904,945 2,249,236 Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 354,043 ) ( 618,447 ) 3,049,081 3,263,507 Short-term U.S. government and agency obligations 61,225 489 ( 33,420 ) ( 398 ) Change in net unrealized appreciation (depreciation) ( 292,818 ) ( 617,958 ) 3,015,661 3,263,109 Net realized and unrealized gain (loss) 10,793,890 2,356,508 19,920,606 5,512,345 Net income (loss) $ 10,819,843 $ 2,244,783 $ 19,736,585 $ 5,174,708 See accompanying notes to financial statements. 54 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 62,270,097 $ 48,820,440 $ 54,263,045 $ 52,953,339 Addition of 1,100,000 , 100,000 , 1,650,000 and 300,000 shares, respectively 36,183,635 2,387,142 52,211,698 7,000,386 Redemption of 550,000 , 200,000 , 1,150,000 and 700,000 shares, respectively ( 18,689,297 ) ( 4,811,548 ) ( 35,627,050 ) ( 16,487,616 ) Net addition (redemption) of 550,000 , ( 100,000 ), 500,000 and ( 400,000 ) shares, respectively 17,494,338 ( 2,424,406 ) 16,584,648 ( 9,487,230 ) Net investment income (loss) 25,953 ( 111,725 ) ( 184,021 ) ( 337,637 ) Net realized gain (loss) 11,086,708 2,974,466 16,904,945 2,249,236 Change in net unrealized appreciation (depreciation) ( 292,818 ) ( 617,958 ) 3,015,661 3,263,109 Net income (loss) 10,819,843 2,244,783 19,736,585 5,174,708 Shareholders’ equity, end of period $ 90,584,278 $ 48,640,817 $ 90,584,278 $ 48,640,817 See accompanying notes to financial statements. 55 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 19,736,585 $ 5,174,708 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 ( 74,843,167 ) ( 89,988,404 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 76,210,974 65,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 83,446 ) ( 9,950 ) Net realized (gain) loss on investments ( 210,974 ) — Change in unrealized (appreciation) depreciation on investments ( 3,015,661 ) ( 3,263,109 ) Decrease (Increase) in interest receivable ( 61,501 ) 1,752 Increase (Decrease) in payable to Sponsor 98,171 ( 7,152 ) Increase (Decrease) in non-recurring fees and expenses payable 1,835 — Net cash provided by (used in) operating activities 17,832,816 ( 23,092,155 ) Cash flow from financing activities Proceeds from addition of shares 52,211,149 7,000,386 Payment on shares redeemed ( 32,142,870 ) ( 16,487,616 ) Net cash provided by (used in) financing activities 20,068,279 ( 9,487,230 ) Net increase (decrease) in cash 37,901,095 ( 32,579,385 ) Cash, beginning of period 7,554,065 44,132,228 Cash, end of period $ 45,455,160 $ 11,552,843 See accompanying notes to financial statements. 56 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 7,998,387 and $ 25,984,097 , respectively) $ 7,981,159 $ 25,980,516 Cash 18,844,336 1,287,229 Segregated cash balances with brokers for futures contracts 905,588 703,125 Segregated cash balances with brokers for swap agreements 1,167,000 — Unrealized appreciation on swap agreements 802,204 — Interest receivable 26,029 434 Total assets 29,726,316 27,971,304 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 42,662 92,537 Brokerage commissions and futures account fees payable — 294 Payable to Sponsor 48,290 25,512 Unrealized depreciation on swap agreements — 993,117 Non-recurring fees and expenses payable 639 — Total liabilities 91,591 1,111,460 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 29,634,725 26,859,844 Total liabilities and shareholders’ equity $ 29,726,316 $ 27,971,304 Shares outstanding 796,977 846,977 Net asset value per share $ 37.18 $ 31.71 Market value per share (Note 2) $ 37.30 $ 31.66 See accompanying notes to financial statements. 57 Table of Contents PROSHARES ULTRASHORT GOLD SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 27 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.223 % due 11/03/22 † $ 8,000,000 $ 7,981,159 Total short-term U.S. government and agency obligations (cost $ 7,998,387 ) $ 7,981,159 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires December 2022 157 $ 26,250,400 $ 1,536,681 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 % 10/06/22 $ ( 13,547,911 ) $ 329,122 Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.20 10/06/22 ( 8,863,141 ) 215,613 Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 10/06/22 ( 10,598,433 ) 257,469 Total Unrealized Appreciation $ 802,204 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of September 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 September 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. 58 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 72,261 $ 3,075 $ 101,921 $ 9,213 Expenses Management fee 76,652 66,304 218,466 199,999 Brokerage commissions 3,565 3,301 9,361 9,174 Futures account fees — 1,856 2,446 8,344 Non-recurring fees and expenses 639 — 639 — Total expenses 80,856 71,461 230,912 217,517 Net investment income (loss) ( 8,595 ) ( 68,386 ) ( 128,991 ) ( 208,304 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 2,017,269 ( 883,113 ) 1,336,740 ( 1,598,368 ) Swap agreements 2,970,959 2,096,834 1,900,685 ( 169,268 ) Short-term U.S. government and agency obligations — — 4 169 Net realized gain (loss) 4,988,228 1,213,721 3,237,429 ( 1,767,467 ) Change in net unrealized appreciation (depreciation) on Futures contracts 725,119 ( 153,889 ) 1,378,602 628,980 Swap agreements 81,220 ( 1,744,696 ) 1,795,321 1,098,851 Short-term U.S. government and agency obligations 35,207 166 ( 13,647 ) ( 50 ) Change in net unrealized appreciation (depreciation) 841,546 ( 1,898,419 ) 3,160,276 1,727,781 Net realized and unrealized gain (loss) 5,829,774 ( 684,698 ) 6,397,705 ( 39,686 ) Net income (loss) $ 5,821,179 $ ( 753,084 ) $ 6,268,714 $ ( 247,990 ) See accompanying notes to financial statements. 59 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 34,611,284 $ 32,835,014 $ 26,859,844 $ 20,337,376 Addition of 350,000 , 650,000 , 1,500,000 and 1,700,000 shares, respectively 12,520,359 21,916,482 46,264,925 59,279,388 Redemption of 650,000 , 800,000 , 1,550,000 and 1,550,000 shares, respectively ( 23,318,097 ) ( 26,267,390 ) ( 49,758,758 ) ( 51,637,752 ) Net addition (redemption) of ( 300,000 ), ( 150,000 ), ( 50,000 ) and 150,000 shares, respectively ( 10,797,738 ) ( 4,350,908 ) ( 3,493,833 ) 7,641,636 Net investment income (loss) ( 8,595 ) ( 68,386 ) ( 128,991 ) ( 208,304 ) Net realized gain (loss) 4,988,228 1,213,721 3,237,429 ( 1,767,467 ) Change in net unrealized appreciation (depreciation) 841,546 ( 1,898,419 ) 3,160,276 1,727,781 Net income (loss) 5,821,179 ( 753,084 ) 6,268,714 ( 247,990 ) Shareholders’ equity, end of period $ 29,634,725 $ 27,731,022 $ 29,634,725 $ 27,731,022 See accompanying notes to financial statements. 60 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 6,268,714 $ ( 247,990 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 17,987,492 ) ( 40,994,386 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 35,999,990 22,999,935 Net amortization and accretion on short-term U.S. government and agency obligations ( 26,784 ) ( 4,402 ) Net realized (gain) loss on investments ( 4 ) ( 169 ) Change in unrealized (appreciation) depreciation on investments ( 1,781,674 ) ( 1,098,801 ) Decrease (Increase) in receivable on open futures contracts — 1,317 Decrease (Increase) in interest receivable ( 25,595 ) 443 Increase (Decrease) in payable to Sponsor 22,778 3,016 Increase (Decrease) in brokerage commissions and futures account fees payable ( 294 ) 211 Increase (Decrease) in payable on open futures contracts ( 49,875 ) 294,581 Increase (Decrease) in non-recurring fees and expenses payable 639 — Net cash provided by (used in) operating activities 22,420,403 ( 19,046,245 ) Cash flow from financing activities Proceeds from addition of shares 46,264,925 59,279,388 Payment on shares redeemed ( 49,758,758 ) ( 51,637,752 ) Net cash provided by (used in) financing activities ( 3,493,833 ) 7,641,636 Net increase (decrease) in cash 18,926,570 ( 11,404,609 ) Cash, beginning of period 1,990,354 20,633,371 Cash, end of period $ 20,916,924 $ 9,228,762 See accompanying notes to financial statements. 61 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 1,999,597 and $ 22,995,121 , respectively) $ 1,995,290 $ 22,994,261 Cash 24,898,921 1,829,901 Segregated cash balances with brokers for futures contracts 3,809,063 1,081,575 Segregated cash balances with brokers for swap agreements 4,826,000 2,572,000 Receivable on open futures contracts — 15,446 Interest receivable 25,398 378 Total assets 35,554,672 28,493,561 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 598,764 5,840 Brokerage commissions and futures account fees payable — 747 Payable to Sponsor 40,841 28,560 Unrealized depreciation on swap agreements 1,151,403 1,921,414 Non-recurring fees and expenses payable 612 — Total liabilities 1,791,620 1,956,561 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 33,763,052 26,537,000 Total liabilities and shareholders’ equity $ 35,554,672 $ 28,493,561 Shares outstanding 991,329 991,329 Net asset value per share $ 34.06 $ 26.77 Market value per share (Note 2) $ 34.15 $ 26.84 See accompanying notes to financial statements. 62 Table of Contents PROSHARES ULTRASHORT SILVER SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 6 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.223 % due 11/03/22 † $ 2,000,000 $ 1,995,290 Total short-term U.S. government and agency obligations (cost $ 1,999,597 ) $ 1,995,290 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires December 2022 506 $ 48,168,670 $ 1,453,369 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 % 10/06/22 $ ( 2,288,972 ) $ ( 136,329 ) Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.25 10/06/22 ( 8,338,415 ) ( 496,626 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 10/06/22 ( 6,593,089 ) ( 392,881 ) Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 10/06/22 ( 2,108,259 ) ( 125,567 ) Total Unrealized Depreciation $ ( 1,151,403 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of September 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 September 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. 63 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 63,222 $ 3,100 $ 90,885 $ 8,895 Expenses Management fee 67,215 90,963 190,549 248,539 Brokerage commissions 8,699 8,141 20,677 19,409 Futures account fees — 6,528 4,443 20,726 Non-recurring fees and expenses 612 — 612 — Total expenses 76,526 105,632 216,281 288,674 Net investment income (loss) ( 13,304 ) ( 102,532 ) ( 125,396 ) ( 279,779 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 1,719,839 523,159 6,370,119 ( 929,991 ) Swap agreements 4,495,568 6,138,986 1,882,774 ( 1,216,671 ) Short-term U.S. government and agency obligations — — ( 190 ) 85 Net realized gain (loss) 6,215,407 6,662,145 8,252,703 ( 2,146,577 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 1,063,521 ) 2,684,085 800,876 3,176,052 Swap agreements ( 3,024,441 ) 1,237,760 770,011 7,288,071 Short-term U.S. government and agency obligations 12,438 751 ( 3,447 ) ( 336 ) Change in net unrealized appreciation (depreciation) ( 4,075,524 ) 3,922,596 1,567,440 10,463,787 Net realized and unrealized gain (loss) 2,139,883 10,584,741 9,820,143 8,317,210 Net income (loss) $ 2,126,579 $ 10,482,209 $ 9,694,747 $ 8,037,431 See accompanying notes to financial statements. 64 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 33,052,840 $ 34,859,763 $ 26,537,000 $ 28,885,775 Addition of 1,000,000 , 1,000,000 , 2,800,000 and 3,750,000 shares, respectively 34,082,044 26,169,229 77,349,605 91,351,542 Redemption of 1,050,000 , 1,200,000 , 2,800,000 and 3,500,415 shares, respectively ( 35,498,411 ) ( 31,137,324 ) ( 79,818,300 ) ( 87,900,871 ) Net addition (redemption) of ( 50,000 ), ( 200,000 ), – and 249,585 shares, respectively ( 1,416,367 ) ( 4,968,095 ) ( 2,468,695 ) 3,450,671 Net investment income (loss) ( 13,304 ) ( 102,532 ) ( 125,396 ) ( 279,779 ) Net realized gain (loss) 6,215,407 6,662,145 8,252,703 ( 2,146,577 ) Change in net unrealized appreciation (depreciation) ( 4,075,524 ) 3,922,596 1,567,440 10,463,787 Net income (loss) 2,126,579 10,482,209 9,694,747 8,037,431 Shareholders’ equity, end of period $ 33,763,052 $ 40,373,877 $ 33,763,052 $ 40,373,877 See accompanying notes to financial statements. 65 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 9,694,747 $ 8,037,431 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 20,979,052 ) ( 49,994,362 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 41,999,081 27,999,988 Net amortization and accretion on short-term U.S. government and agency obligations ( 24,695 ) ( 4,676 ) Net realized (gain) loss on investments 190 ( 85 ) Change in unrealized (appreciation) depreciation on investments ( 766,564 ) ( 7,287,735 ) Decrease (Increase) in receivable on open futures contracts 15,446 39,445 Decrease (Increase) in interest receivable ( 25,020 ) 335 Increase (Decrease) in payable to Sponsor 12,281 3,356 Increase (Decrease) in brokerage commissions and futures account fees payable ( 747 ) 1,471 Increase (Decrease) in payable on open futures contracts 592,924 90,385 Increase (Decrease) in non-recurring fees and expenses payable 612 — Net cash provided by (used in) operating activities 30,519,203 ( 21,114,447 ) Cash flow from financing activities Proceeds from addition of shares 77,349,605 89,788,249 Payment on shares redeemed ( 79,818,300 ) ( 84,774,285 ) Net cash provided by (used in) financing activities ( 2,468,695 ) 5,013,964 Net increase (decrease) in cash 28,050,508 ( 16,100,483 ) Cash, beginning of period 5,483,476 32,155,049 Cash, end of period $ 33,533,984 $ 16,054,566 See accompanying notes to financial statements. 66 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 4,998,992 and $ 20,990,068 , respectively) $ 4,988,225 $ 20,987,825 Cash 44,231,706 3,003,251 Segregated cash balances with brokers for foreign currency forward contracts 2,320,000 — Unrealized appreciation on foreign currency forward contracts 580,211 1,237,168 Interest receivable 42,493 339 Total assets 52,162,635 25,228,583 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 68,901 20,211 Unrealized depreciation on foreign currency forward contracts 155,443 367,588 Non-recurring fees and expenses payable 953 — Total liabilities 225,297 387,799 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 51,937,338 24,840,784 Total liabilities and shareholders’ equity $ 52,162,635 $ 25,228,583 Shares outstanding (Note 1) 798,580 598,580 Net asset value per share (Note 1) $ 65.04 $ 41.50 Market value per share (Note 1) (Note 2) $ 65.02 $ 41.50 See accompanying notes to financial statements. 67 Table of Contents PROSHARES ULTRASHORT YEN SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 10 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.223 % due 11/03/22 † $ 5,000,000 $ 4,988,225 Total short-term U.S. government and agency obligations (cost $ 4,998,992 ) $ 4,988,225 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 10/07/22 513,732,000 $ 3,551,971 $ ( 61,321 ) Yen with UBS AG 10/07/22 1,169,990,000 8,089,375 ( 94,122 ) Total Unrealized Depreciation $ ( 155,443 ) Contracts to Sell Yen with Goldman Sachs International 10/07/22 ( 4,358,922,165 ) $ ( 30,137,828 ) $ 154,005 Yen with UBS AG 10/07/22 ( 12,349,528,574 ) ( 85,385,320 ) 426,206 Total Unrealized Appreciation $ 580,211 † All or partial amount pledged as collateral for foreign currency forward contracts. ^ The positions and counterparties herein are as of September 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. 68 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 115,191 $ 2,392 $ 151,503 $ 9,558 Expenses Management fee 106,598 57,037 259,599 196,036 Non-recurring fees and expenses 953 — 953 — Total expenses 107,551 57,037 260,552 196,036 Net investment income (loss) 7,640 ( 54,645 ) ( 109,049 ) ( 186,478 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 5,879,873 197,444 14,877,216 3,055,103 Short-term U.S. government and agency obligations — — 102,971 — Net realized gain (loss) 5,879,873 197,444 14,980,187 3,055,103 Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 546,737 ) ( 190,261 ) ( 444,812 ) 1,066,540 Short-term U.S. government and agency obligations 22,866 329 ( 8,524 ) ( 207 ) Change in net unrealized appreciation (depreciation) ( 523,871 ) ( 189,932 ) ( 453,336 ) 1,066,333 Net realized and unrealized gain (loss) 5,356,002 7,512 14,526,851 4,121,436 Net income (loss) $ 5,363,642 $ ( 47,133 ) $ 14,417,802 $ 3,934,958 See accompanying notes to financial statements. 69 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 45,568,882 $ 27,231,748 $ 24,840,784 $ 23,691,070 Addition of 250,000 , – , 1,100,000 and 200,000 shares, respectively (Note 1) 15,352,183 — 59,472,902 7,132,412 Redemption of 250,000 , 100,000 , 900,000 and 300,000 shares, respectively (Note 1) ( 14,347,369 ) ( 3,855,693 ) ( 46,794,150 ) ( 11,429,518 ) Net addition (redemption) of – , ( 100,000 ), 200,000 and ( 100,000 ) shares, respectively (Note 1) 1,004,814 ( 3,855,693 ) 12,678,752 ( 4,297,106 ) Net investment income (loss) 7,640 ( 54,645 ) ( 109,049 ) ( 186,478 ) Net realized gain (loss) 5,879,873 197,444 14,980,187 3,055,103 Change in net unrealized appreciation (depreciation) ( 523,871 ) ( 189,932 ) ( 453,336 ) 1,066,333 Net income (loss) 5,363,642 ( 47,133 ) 14,417,802 3,934,958 Shareholders’ equity, end of period $ 51,937,338 $ 23,328,922 $ 51,937,338 $ 23,328,922 See accompanying notes to financial statements. 70 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 14,417,802 $ 3,934,958 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 ( 17,984,732 ) ( 43,494,229 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 34,102,971 26,500,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 24,192 ) ( 4,425 ) Net realized (gain) loss on investments ( 102,971 ) — Change in unrealized (appreciation) depreciation on investments 453,336 ( 1,066,333 ) Decrease (Increase) in interest receivable ( 42,154 ) 553 Increase (Decrease) in payable to Sponsor 48,690 ( 1,517 ) Increase (Decrease) in non-recurring fees and expenses payable 953 — Net cash provided by (used in) operating activities 30,869,703 ( 14,130,993 ) Cash flow from financing activities Proceeds from addition of shares 59,472,902 7,132,412 Payment on shares redeemed ( 46,794,150 ) ( 11,429,518 ) Net cash provided by (used in) financing activities 12,678,752 ( 4,297,106 ) Net increase (decrease) in cash 43,548,455 ( 18,428,099 ) Cash, beginning of period 3,003,251 24,274,564 Cash, end of period $ 46,551,706 $ 5,846,465 See accompanying notes to financial statements. 71 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 31,993,547 and $ 85,937,303 , respectively) $ 31,924,637 $ 85,922,969 Cash 63,807,096 8,130,069 Segregated cash balances with brokers for futures contracts 15,672,400 18,941,750 Receivable on open futures contracts 828,618 63,397 Interest receivable 85,354 1,097 Total assets 112,318,105 113,059,282 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 1,761,987 — Payable on open futures contracts — 94,495 Brokerage commissions and futures account fees payable — 7,124 Payable to Sponsor 133,494 81,983 Non-recurring fees and expenses payable 2,050 — Total liabilities 1,897,531 183,602 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 110,420,574 112,875,680 Total liabilities and shareholders’ equity $ 112,318,105 $ 113,059,282 Shares outstanding 3,112,403 3,687,403 Net asset value per share $ 35.48 $ 30.61 Market value per share (Note 2) $ 35.50 $ 30.57 See accompanying notes to financial statements. 72 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 29 % of shareholders’ equity) U.S. Treasury Bills ^^ : 0.223 % due 11/03/22 $ 32,000,000 $ 31,924,637 Total short-term U.S. government and agency obligations (cost $ 31,993,547 ) $ 31,924,637 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires January 2023 728 $ 22,351,129 $ 1,353,160 VIX Futures - Cboe, expires February 2023 1,214 36,796,340 2,580,598 VIX Futures - Cboe, expires March 2023 1,214 36,638,520 2,105,825 VIX Futures - Cboe, expires April 2023 486 14,700,868 277,649 $ 6,317,232 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 73 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 220,211 $ 8,914 $ 296,960 $ 27,487 Expenses Management fee 201,508 221,356 627,755 586,702 Brokerage commissions 17,922 20,803 58,291 48,211 Futures account fees — 28,911 46,394 86,674 Non-recurring fees and expenses 2,050 — 2,050 — Total expenses 221,480 271,070 734,490 721,587 Net investment income (loss) ( 1,269 ) ( 262,156 ) ( 437,530 ) ( 694,100 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 1,349,272 ) ( 4,024,133 ) 11,304,613 ( 14,890,359 ) Short-term U.S. government and agency obligations — — ( 336 ) — Net realized gain (loss) ( 1,349,272 ) ( 4,024,133 ) 11,304,277 ( 14,890,359 ) Change in net unrealized appreciation (depreciation) on Futures contracts 3,236,565 10,651,835 6,941,620 5,950,464 Short-term U.S. government and agency obligations 131,644 1,117 ( 54,576 ) ( 1,004 ) Change in net unrealized appreciation (depreciation) 3,368,209 10,652,952 6,887,044 5,949,460 Net realized and unrealized gain (loss) 2,018,937 6,628,819 18,191,321 ( 8,940,899 ) Net income (loss) $ 2,017,668 $ 6,366,663 $ 17,753,791 $ ( 9,634,999 ) See accompanying notes to financial statements. 74 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 95,721,271 $ 92,662,734 $ 112,875,680 $ 72,075,095 Addition of 850,000 , 1,200,000 , 1,850,000 and 2,625,000 shares, respectively 28,312,142 37,425,551 60,491,195 87,035,790 Redemption of 450,000 , 275,000 , 2,425,000 and 625,000 shares, respectively ( 15,630,507 ) ( 8,781,811 ) ( 80,700,092 ) ( 21,802,749 ) Net addition (redemption) of 400,000 , 925,000 , ( 575,000 ) and 2,000,000 shares, respectively 12,681,635 28,643,740 ( 20,208,897 ) 65,233,041 Net investment income (loss) ( 1,269 ) ( 262,156 ) ( 437,530 ) ( 694,100 ) Net realized gain (loss) ( 1,349,272 ) ( 4,024,133 ) 11,304,277 ( 14,890,359 ) Change in net unrealized appreciation (depreciation) 3,368,209 10,652,952 6,887,044 5,949,460 Net income (loss) 2,017,668 6,366,663 17,753,791 ( 9,634,999 ) Shareholders’ equity, end of period $ 110,420,574 $ 127,673,137 $ 110,420,574 $ 127,673,137 See accompanying notes to financial statements. 75 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 17,753,791 $ ( 9,634,999 ) 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 ( 66,991,148 ) ( 112,984,923 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 120,998,548 96,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 63,980 ) ( 11,385 ) Net realized (gain) loss on investments 336 — Change in unrealized (appreciation) depreciation on investments 54,576 1,004 Decrease (Increase) in receivable on open futures contracts ( 765,221 ) ( 304,739 ) Decrease (Increase) in interest receivable ( 84,257 ) ( 995 ) Increase (Decrease) in payable to Sponsor 51,511 25,800 Increase (Decrease) in brokerage commissions and futures account fees payable ( 7,124 ) ( 1,377 ) Increase (Decrease) in payable on open futures contracts ( 94,495 ) — Increase (Decrease) in non-recurring fees and expenses payable 2,050 — Net cash provided by (used in) operating activities 70,854,587 ( 26,911,614 ) Cash flow from financing activities Proceeds from addition of shares 60,491,195 87,035,790 Payment on shares redeemed ( 78,938,105 ) ( 22,718,536 ) Net cash provided by (used in) financing activities ( 18,446,910 ) 64,317,254 Net increase (decrease) in cash 52,407,677 37,405,640 Cash, beginning of period 27,071,819 27,802,834 Cash, end of period $ 79,479,496 $ 65,208,474 See accompanying notes to financial statements. 76 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 157,803,304 and $ 150,887,871 , respectively) $ 157,672,634 $ 150,861,898 Cash 118,894,245 11,013,736 Segregated cash balances with brokers for futures contracts 104,019,800 104,947,080 Receivable from capital shares sold — 3,026,614 Receivable on open futures contracts 69,873,535 2,115,232 Interest receivable 364,107 1,774 Total assets 450,824,321 271,966,334 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 12,701,023 — Payable on open futures contracts — 2,037,391 Brokerage commissions and futures account fees payable 18,250 38,926 Payable to Sponsor 559,720 186,853 Non-recurring fees and expenses payable 8,700 — Total liabilities 13,287,693 2,263,170 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 437,536,628 269,703,164 Total liabilities and shareholders’ equity $ 450,824,321 $ 271,966,334 Shares outstanding 25,582,826 17,832,826 Net asset value per share $ 17.10 $ 15.12 Market value per share (Note 2) $ 17.10 $ 15.17 See accompanying notes to financial statements. 77 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2022 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 36 % of shareholders’ equity) U.S. Treasury Bills ^^ : 2.253 % due 10/06/22 $ 50,000,000 $ 49,989,230 0.223 % due 11/03/22 58,000,000 57,863,404 2.682 % due 11/17/22 50,000,000 49,820,000 Total short-term U.S. government and agency obligations (cost $ 157,803,304 ) $ 157,672,634 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires October 2022 8,381 $ 264,135,596 $ 46,212,286 VIX Futures - Cboe, expires November 2022 5,587 173,597,588 8,613,135 $ 54,825,421 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 78 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 1,400,201 $ 11,739 $ 1,678,813 $ 91,187 Expenses Management fee 874,070 660,051 2,353,478 2,154,874 Brokerage commissions 203,095 97,516 490,751 365,013 Futures account fees 54,944 151,758 371,384 591,272 Non-recurring fees and expenses 8,700 — 8,700 — Total expenses 1,140,809 909,325 3,224,313 3,111,159 Net investment income (loss) 259,392 ( 897,586 ) ( 1,545,500 ) ( 3,019,972 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 45,457,319 ) ( 51,868,433 ) 31,935,990 ( 304,349,667 ) Short-term U.S. government and agency obligations — — ( 300 ) — Net realized gain (loss) ( 45,457,319 ) ( 51,868,433 ) 31,935,690 ( 304,349,667 ) Change in net unrealized appreciation (depreciation) on Futures contracts 51,449,994 42,164,263 84,956,040 27,731,186 Short-term U.S. government and agency obligations 248,953 4,034 ( 104,697 ) ( 1,396 ) Change in net unrealized appreciation (depreciation) 51,698,947 42,168,297 84,851,343 27,729,790 Net realized and unrealized gain (loss) 6,241,628 ( 9,700,136 ) 116,787,033 ( 276,619,877 ) Net income (loss) $ 6,501,020 $ ( 10,597,722 ) $ 115,241,533 $ ( 279,639,849 ) See accompanying notes to financial statements. 79 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 341,714,316 $ 272,352,675 $ 269,703,164 $ 293,390,549 Addition of 17,775,000 , 6,300,000 , 35,900,000 and 16,556,250 shares, respectively 261,088,034 142,476,815 563,456,503 593,853,539 Redemption of 10,950,000 , 1,350,000 , 28,150,000 and 5,630,003 shares, respectively ( 171,766,742 ) ( 35,454,435 ) ( 510,864,572 ) ( 238,826,906 ) Net addition (redemption) of 6,825,000 , 4,950,000 , 7,750,000 and 10,926,247 shares, respectively 89,321,292 107,022,380 52,591,931 355,026,633 Net investment income (loss) 259,392 ( 897,586 ) ( 1,545,500 ) ( 3,019,972 ) Net realized gain (loss) ( 45,457,319 ) ( 51,868,433 ) 31,935,690 ( 304,349,667 ) Change in net unrealized appreciation (depreciation) 51,698,947 42,168,297 84,851,343 27,729,790 Net income (loss) 6,501,020 ( 10,597,722 ) 115,241,533 ( 279,639,849 ) Shareholders’ equity, end of period $ 437,536,628 $ 368,777,333 $ 437,536,628 $ 368,777,333 See accompanying notes to financial statements. 80 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 115,241,533 $ ( 279,639,849 ) 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 ( 2,462,189,566 ) ( 425,941,319 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 2,455,998,870 383,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 725,037 ) ( 50,698 ) Net realized (gain) loss on investments 300 — Change in unrealized (appreciation) depreciation on investments 104,697 1,396 Decrease (Increase) in receivable on open futures contracts ( 67,758,303 ) 834,150 Decrease (Increase) in interest receivable ( 362,333 ) ( 1,076 ) Increase (Decrease) in payable to Sponsor 372,867 17,527 Increase (Decrease) in brokerage commissions and futures account fees payable ( 20,676 ) ( 28,852 ) Increase (Decrease) in payable on open futures contracts ( 2,037,391 ) 1,181,913 Increase (Decrease) in non-recurring fees and expenses payable 8,700 — Net cash provided by (used in) operating activities 38,633,661 ( 320,626,808 ) Cash flow from financing activities Proceeds from addition of shares 566,483,117 593,853,539 Payment on shares redeemed ( 498,163,549 ) ( 238,826,906 ) Net cash provided by (used in) financing activities 68,319,568 355,026,633 Net increase (decrease) in cash 106,953,229 34,399,825 Cash, beginning of period 115,960,816 206,562,147 Cash, end of period $ 222,914,045 $ 240,961,972 See accompanying notes to financial statements. 81 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF FINANCIAL CONDITION September 30, 2022 (unaudited) December 31, 2021 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 1,816,371,072 and $ 2,505,722,885 , respectively) $ 1,815,105,624 $ 2,505,429,337 Cash 851,017,429 394,413,910 Segregated cash balances with brokers for futures contracts 964,952,140 1,010,799,328 Segregated cash balances with brokers for foreign currency forward contracts 7,679,000 916,000 Segregated cash balances with brokers for swap agreements 235,294,945 2,572,000 Unrealized appreciation on swap agreements 27,606,752 113,159,180 Unrealized appreciation on foreign currency forward contracts 3,695,149 1,457,257 Receivable from capital shares sold 4,647,847 23,475,355 Receivable on open futures contracts 539,065,223 205,819,074 Interest receivable 3,118,925 22,943 Total assets 4,452,183,034 4,258,064,384 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 94,141,256 25,594,902 Payable on open futures contracts 13,255,922 51,142,167 Brokerage commissions and futures account fees payable 149,226 476,241 Payable to Sponsor 7,423,558 3,178,585 Unrealized depreciation on swap agreements 131,794,025 3,391,968 Unrealized depreciation on foreign currency forward contracts 955,689 806,178 Non-recurring fees and expenses payable 81,773 — Total liabilities 247,801,449 84,590,041 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 4,204,381,585 4,173,474,343 Total liabilities and shareholders’ equity $ 4,452,183,034 $ 4,258,064,384 Shares outstanding (Note 9) 197,794,037 151,164,114 See accompanying notes to financial statements. 82 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF OPERATIONS* (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Investment Income Interest $ 14,620,209 $ 225,068 $ 19,240,564 $ 1,311,362 Expenses Management fee 11,269,281 9,892,153 33,494,289 32,386,686 Brokerage commissions 2,210,735 1,808,557 6,013,653 6,704,455 Futures account fees 449,872 1,447,030 3,285,001 5,996,930 Non-recurring fees and expenses 81,773 27,500 81,773 27,500 Total expenses 14,011,661 13,175,240 42,874,716 45,115,571 Net investment income (loss) 608,548 ( 12,950,172 ) ( 23,634,152 ) ( 43,804,209 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 321,993,985 ) ( 240,784,887 ) 188,147,013 ( 1,427,934,171 ) Swap agreements ( 438,845,993 ) ( 160,769,089 ) 217,520,213 50,628,405 Foreign currency forward contracts 13,695,610 2,892,137 26,532,572 4,813,162 Short-term U.S. government and agency obligations ( 71,343 ) ( 10,753 ) ( 264,143 ) 11,145 Net realized gain (loss) ( 747,215,711 ) ( 398,672,592 ) 431,935,655 ( 1,372,481,459 ) Change in net unrealized appreciation (depreciation) on Futures contracts 291,970,061 158,443,180 354,740,180 230,326,477 Swap agreements 112,369,648 38,179,426 ( 213,954,485 ) ( 93,072,018 ) Foreign currency forward contracts ( 1,017,583 ) ( 724,910 ) 2,088,381 3,952,272 Short-term U.S. government and agency obligations 3,053,986 88,814 ( 971,900 ) ( 38,045 ) Change in net unrealized appreciation (depreciation) 406,376,112 195,986,510 141,902,176 141,168,686 Net realized and unrealized gain (loss) ( 340,839,599 ) ( 202,686,082 ) 573,837,831 ( 1,231,312,773 ) Net income (loss) $ ( 340,231,051 ) $ ( 215,636,254 ) $ 550,203,679 $ ( 1,275,116,982 ) * 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. 83 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY* (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Shareholders’ equity, beginning of period $ 4,563,369,776 $ 4,404,846,864 $ 4,173,474,343 $ 4,474,251,414 Addition of 204,975,000 , 55,595,000 , 449,280,000 and 130,216,250 shares, respectively (Note 1) 3,360,951,964 1,649,296,999 8,989,738,725 5,597,393,110 Redemption of 185,800,000 , 55,500,000 , 431,338,426 and 142,595,323 shares, respectively (Note 1) ( 3,379,709,104 ) ( 1,600,549,402 ) ( 9,509,035,162 ) ( 4,558,569,335 ) Net addition (redemption) of 19,175,000 , 95,000 , 17,941,574 and ( 12,379,073 ) shares, respectively (Note 1) ( 18,757,140 ) 48,747,597 ( 519,296,437 ) 1,038,823,775 Net investment income (loss) 608,548 ( 12,950,172 ) ( 23,634,152 ) ( 43,804,209 ) Net realized gain (loss) ( 747,215,711 ) ( 398,672,592 ) 431,935,655 ( 1,372,481,459 ) Change in net unrealized appreciation (depreciation) 406,376,112 195,986,510 141,902,176 141,168,686 Net income (loss) ( 340,231,051 ) ( 215,636,254 ) 550,203,679 ( 1,275,116,982 ) Shareholders’ equity, end of period $ 4,204,381,585 $ 4,237,958,207 $ 4,204,381,585 $ 4,237,958,207 * The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. 84 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CASH FLOWS* (unaudited) Nine Months Ended September 30, 2022 2021 Cash flow from operating activities Net income (loss) $ 550,203,679 $ ( 1,275,116,982 ) 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 ( 32,181,153,315 ) ( 6,612,113,856 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 32,879,938,110 5,319,975,559 Net amortization and accretion on short-term U.S. government and agency obligations ( 9,697,124 ) ( 740,687 ) Net realized (gain) loss on investments 264,143 ( 11,145 ) Change in unrealized (appreciation) depreciation on investments 212,838,004 89,157,791 Decrease (Increase) in receivable on futures contracts ( 333,246,149 ) ( 47,134,619 ) Decrease (Increase) in interest receivable ( 3,095,982 ) 26,005 Increase (Decrease) in payable to Sponsor 4,244,972 ( 248,437 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 327,015 ) ( 220,325 ) Increase (Decrease) in payable on futures contracts ( 37,886,245 ) ( 3,570,592 ) Increase (Decrease) in non-recurring fees and expenses payable 81,773 27,500 Net cash provided by (used in) operating activities 1,082,164,851 ( 2,529,969,788 ) Cash flow from financing activities Proceeds from addition of shares 9,008,566,233 5,632,395,070 Payment on shares redeemed ( 9,440,488,808 ) ( 4,510,804,732 ) Net cash provided by (used in) financing activities ( 431,922,575 ) 1,121,590,338 Net increase (decrease) in cash 650,242,276 ( 1,408,379,450 ) Cash, beginning of period 1,408,701,238 3,256,463,457 Cash, end of period $ 2,058,943,514 $ 1,848,084,007 * 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. 85 Table of Contents PROSHARES TRUST II NOTES TO FINANCIAL STATEMENTS September 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 September 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. The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $ 350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen. Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories. Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation. The Geared Funds do not seek to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g., -0.5x, -1x, -2x, 1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly. Share Splits and Reverse Share Splits The table below includes reverse Share splits for the Funds during the nine months September 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. 86 Table of Contents Fund Execution Date (Prior to Opening of Trading) Type of Split Date Trading Resumed at Post- Split Price ProShares Ultra VIX Short-Term Futures ETF May 25, 2021 1-for-10 reverse Share split May 26, 2021 ProShares UltraShort Bloomberg Crude Oil May 25, 2021 1-for-4 reverse Share split May 26, 2021 ProShares UltraShort Silver May 25, 2021 1-for-4 reverse Share split May 26, 2021 ProShares VIX Short-Term Futures ETF May 25, 2021 1-for-4 reverse Share split May 26, 2021 ProShares UltraShort Bloomberg Natural Gas January 13, 2022 1-for-5 reverse Share split January 14, 2022 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. 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. 87 Table of Contents 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 September 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 nine months ended September 30, 2022 were typically as follows. All times are Eastern Standard Time: Fund Create/Redeem Cut-off* NAV Calculation Time NAV Calculation Date Ultra Silver and UltraShort Silver 1:00 p.m. 1:25 p.m. September 30, 2022 Ultra Gold and UltraShort Gold 1:00 p.m. 1:30 p.m. September 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. September 30, 2022 Ultra Euro, Ultra Yen, UltraShort Euro and UltraShort Yen 3:00 p.m. 4:00 p.m. September 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. September 30, 2022 * Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 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 nine months ended September 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 and Ultra Short Euro Fund, 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 and Ultra Short Euro Fund 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 88 Table of Contents contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy. Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements. Fair Value of Financial Instruments The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows: Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date. Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs). Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety. Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly. 89 Table of Contents The following table summarizes the valuation of investments at September 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 $ 136,590,474 $ ( 16,266,018 ) $ — $ — $ 120,324,456 ProShares Ultra Bloomberg Crude Oil 535,064,695 ( 3,847,928 ) — ( 123,956,198 ) 407,260,569 ProShares Ultra Bloomberg Natural Gas 106,563,264 ( 97,363,745 ) — — 9,199,519 ProShares Ultra Euro 696,356 — ( 431,231 ) — 265,125 ProShares Ultra Gold 143,619,527 ( 1,627,042 ) — ( 6,686,424 ) 135,306,061 ProShares Ultra Silver 162,611,595 ( 329,232 ) — 26,804,548 189,086,911 ProShares Ultra VIX Short-Term Futures ETF 273,202,387 196,774,849 — — 469,977,236 ProShares Ultra Yen 997,645 — ( 95,117 ) — 902,528 ProShares UltraShort Bloomberg Crude Oil 120,666,762 105,314,104 — — 225,980,866 ProShares UltraShort Bloomberg Natural Gas 84,676,656 130,293,612 — — 214,970,268 ProShares UltraShort Euro 45,854,318 — 2,841,040 — 48,695,358 ProShares UltraShort Gold 7,981,159 1,536,681 — 802,204 10,320,044 ProShares UltraShort Silver 1,995,290 1,453,369 — ( 1,151,403 ) 2,297,256 ProShares UltraShort Yen 4,988,225 — 424,768 — 5,412,993 ProShares VIX Mid-Term Futures ETF 31,924,637 6,317,232 — — 38,241,869 ProShares VIX Short-Term Futures ETF 157,672,634 54,825,421 — — 212,498,055 Combined Trust: $ 1,815,105,624 $ 377,081,303 $ 2,739,460 $ ( 104,187,273 ) $ 2,090,739,114 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities. The following table summarizes the valuation of investments at December 31, 2021 using the fair value hierarchy: Level I - Quoted Prices Level II - Other Significant Observable Inputs Fund Short-Term U.S. Government and Agencies Futures Contracts * Foreign Currency Forward Contracts Swap Agreements Total ProShares Short Euro $ — $ ( 5,400 ) $ — $ — $ ( 5,400 ) ProShares Short VIX Short-Term Futures ETF 147,815,719 31,275,278 — — 179,090,997 ProShares Ultra Bloomberg Crude Oil 848,757,567 147,455,525 — 63,928,293 1,060,141,385 ProShares Ultra Bloomberg Natural Gas 90,922,438 ( 8,206,161 ) — — 82,716,277 ProShares Ultra Euro 997,678 — 82,652 — 1,080,330 ProShares Ultra Gold 207,956,320 654,894 — 8,639,188 217,250,402 ProShares Ultra Silver 451,872,982 2,506,545 — 40,591,699 494,971,226 ProShares Ultra VIX Short-Term Futures ETF 221,660,593 ( 126,356,757 ) — ( 477,437 ) 94,826,399 ProShares Ultra Yen — — ( 93,112 ) — ( 93,112 ) ProShares UltraShort Australian Dollar 1,999,875 ( 65,155 ) — — 1,934,720 ProShares UltraShort Bloomberg Crude Oil 55,916,023 ( 8,409,462 ) — — 47,506,561 ProShares UltraShort Bloomberg Natural Gas 123,821,548 13,436,251 — — 137,257,799 ProShares UltraShort Euro 46,961,125 — ( 208,041 ) — 46,753,084 ProShares UltraShort Gold 25,980,516 158,079 — ( 993,117 ) 25,145,478 ProShares UltraShort Silver 22,994,261 652,493 — ( 1,921,414 ) 21,725,340 ProShares UltraShort Yen 20,987,825 — 869,580 — 21,857,405 ProShares VIX Mid-Term Futures ETF 85,922,969 ( 624,388 ) — — 85,298,581 ProShares VIX Short-Term Futures ETF 150,861,898 ( 30,130,619 ) — — 120,731,279 Combined Trust: $ 2,505,429,337 $ 22,341,123 $ 651,079 $ 109,767,212 $ 2,638,188,751 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. 90 Table of Contents There were no transfers into or out of Level 3 for the fiscal year end. The inputs or methodology used for valuing investment s are not necessarily an indication of the risk associated with investing in those securities. Investment Transactions and Related Income Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations. Brokerage Commissions and Futures Account Fees Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02 % of the Matching VIX Fund’s average net assets annually. Federal Income Tax Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year. Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof. NOTE 3 – INVESTMENTS Short-Term Investments The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. 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. 91 Table of Contents 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. 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. 92 Table of Contents When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed. Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless. Over-the-counter options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The over-the-counter market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss. Each Oil Fund (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance. Swap Agreements Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position. Swap agreements are two-party contracts that have traditionally been entered into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments. 93 Table of Contents Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset. Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques. Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 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 September 30, 2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. 94 Table of Contents The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. Forward Contracts Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements. The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at a third party custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 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. 95 Table of Contents 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 September 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 Receivable 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 $ — $ 16,266,018 * ProShares Ultra VIX Short-Term Futures ETF 196,774,849 * — ProShares VIX Mid-Term Futures ETF 6,317,232 * — ProShares VIX Short-Term Futures ETF 54,825,421 * — 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 14,409,192 * 142,213,318 * ProShares Ultra Bloomberg Natural Gas — 97,363,745 * ProShares Ultra Gold — 8,313,466 * ProShares Ultra Silver 26,804,548 * 329,232 * ProShares UltraShort Bloomberg Crude Oil 105,314,104 * — ProShares UltraShort Bloomberg Natural Gas 130,293,612 * — ProShares UltraShort Gold 2,338,885 * — ProShares UltraShort Silver 1,453,369 * 1,151,403 * 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 — 431,231 ProShares Ultra Yen 6,055 101,172 ProShares UltraShort Euro 3,108,883 267,843 ProShares UltraShort Yen 580,211 155,443 Combined Trust: $ 542,226,361 * $ 266,592,871 * * 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. 96 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 Receivable 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 * 97 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the three months ended September 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 $ 27,694,574 $ ( 17,783,632 ) ProShares Ultra VIX Short-Term Futures ETF ( 289,871,717 ) 161,330,331 ProShares VIX Mid-Term Futures ETF ( 1,349,272 ) 3,236,565 ProShares VIX Short-Term Futures ETF ( 45,457,319 ) 51,449,994 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 ( 344,578,932 ) ( 33,971,770 ) ProShares Ultra Bloomberg Natural Gas ( 5,889,116 ) 97,063,212 ProShares Ultra Gold ( 39,825,586 ) 2,070,901 ProShares Ultra Silver ( 147,384,761 ) 91,205,187 ProShares UltraShort Bloomberg Crude Oil 66,444,885 76,797,273 ProShares UltraShort Bloomberg Natural Gas 8,173,631 ( 23,776,729 ) ProShares UltraShort Gold 4,988,228 806,339 ProShares UltraShort Silver 6,215,407 ( 4,087,962 ) 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 ( 1,618,381 ) ( 98,836 ) ProShares Ultra Yen ( 1,652,590 ) ( 17,967 ) ProShares UltraShort Euro 11,086,708 ( 354,043 ) ProShares UltraShort Yen 5,879,873 ( 546,737 ) Combined Trust $ ( 747,144,368 ) $ 403,322,126 * 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. 98 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the nine months ended September 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 $ ( 26,435,234 ) $ ( 47,541,296 ) ProShares Ultra VIX Short-Term Futures ETF 82,162,402 323,609,043 ProShares VIX Mid-Term Futures ETF 11,304,613 6,941,620 ProShares VIX Short-Term Futures ETF 31,935,990 84,956,040 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 818,140,230 ( 339,187,944 ) ProShares Ultra Bloomberg Natural Gas 235,322,266 ( 89,157,584 ) ProShares Ultra Gold ( 39,908,073 ) ( 17,607,548 ) ProShares Ultra Silver ( 186,941,909 ) ( 16,622,928 ) ProShares UltraShort Bloomberg Crude Oil ( 142,631,216 ) 113,723,566 ProShares UltraShort Bloomberg Natural Gas ( 389,138,752 ) 116,857,361 ProShares UltraShort Gold 3,237,425 3,173,923 ProShares UltraShort Silver 8,252,893 1,570,887 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 ( 2,505,776 ) ( 513,883 ) ProShares Ultra Yen ( 2,532,839 ) ( 2,005 ) ProShares UltraShort Euro 16,693,971 3,049,081 ProShares UltraShort Yen 14,877,216 ( 444,812 ) Combined Trust: $ 431,833,207 $ 142,803,521 99 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the three months ended September 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 $ 34,573,906 $ ( 43,362,244 ) ProShares Ultra VIX Short-Term Futures ETF ( 198,380,990 ) 186,737,241 ProShares VIX Mid-Term Futures ETF ( 4,024,133 ) 10,651,835 ProShares VIX Short-Term Futures ETF ( 51,868,433 ) 42,164,263 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 106,330,563 ( 16,910,039 ) ProShares Ultra Bloomberg Natural Gas 33,925,711 25,134,988 ProShares Ultra Gold ( 21,858,089 ) 15,564,318 ProShares Ultra Silver ( 201,315,310 ) ( 6,040,776 ) ProShares UltraShort Bloomberg Crude Oil ( 11,449,562 ) ( 1,521,543 ) ProShares UltraShort Bloomberg Natural Gas ( 95,609,878 ) ( 17,870,697 ) ProShares UltraShort Gold 1,213,721 ( 1,898,585 ) ProShares UltraShort Silver 6,662,145 3,921,845 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 57,489 ( 4,770 ) ProShares Ultra Euro ( 254,219 ) 72,810 ProShares Ultra Yen ( 25,554 ) 10,988 ProShares UltraShort Australian Dollar 188,884 56,770 ProShares UltraShort Euro 2,974,466 ( 618,447 ) ProShares UltraShort Yen 197,444 ( 190,261 ) Combined Trust $ ( 398,661,839 ) $ 195,897,696 100 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the nine months ended September 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 $ 168,120,340 $ ( 14,530,761 ) ProShares Ultra VIX Short-Term Futures ETF ( 1,757,428,075 ) 146,502,120 ProShares VIX Mid-Term Futures ETF ( 14,890,359 ) 5,950,464 ProShares VIX Short-Term Futures ETF ( 304,349,667 ) 27,731,186 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 761,187,450 176,083,841 ProShares Ultra Bloomberg Natural Gas 80,409,384 35,685,009 ProShares Ultra Gold ( 27,599,854 ) ( 19,131,126 ) ProShares Ultra Silver ( 80,034,280 ) ( 192,143,248 ) ProShares UltraShort Bloomberg Crude Oil ( 86,637,748 ) ( 5,829,347 ) ProShares UltraShort Bloomberg Natural Gas ( 112,274,576 ) ( 35,668,153 ) ProShares UltraShort Gold ( 1,767,636 ) 1,727,831 ProShares UltraShort Silver ( 2,146,662 ) 10,464,123 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 88,710 91,407 ProShares Ultra Euro ( 186,149 ) ( 251,422 ) ProShares Ultra Yen ( 305,028 ) ( 126,353 ) ProShares UltraShort Australian Dollar 17,207 321,113 ProShares UltraShort Euro 2,249,236 3,263,507 ProShares UltraShort Yen 3,055,103 1,066,540 Combined Trust: $ ( 1,372,492,604 ) $ 141,206,731 101 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 September 30, 2022. ​​​​​​​ Fair Values of Derivative Instruments as of September 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 $ — $ — $ — $ 123,956,198 $ — $ 123,956,198 ProShares Ultra Euro Foreign currency forward contracts — — — 431,231 — 431,231 ProShares Ultra Gold Swap agreements — — — 6,686,424 — 6,686,424 ProShares Ultra Silver Swap agreements 26,804,548 — 26,804,548 — — — ProShares Ultra Yen Foreign currency forward contracts 6,055 — 6,055 101,172 — 101,172 ProShares UltraShort Euro Foreign currency forward contracts 3,108,883 — 3,108,883 267,843 — 267,843 ProShares UltraShort Gold Swap agreements 802,204 — 802,204 — — — ProShares UltraShort Silver Swap agreements — — — 1,151,403 — 1,151,403 ProShares UltraShort Yen Foreign currency forward contracts 580,211 — 580,211 155,443 — 155,443 102 Table of Contents Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 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”. Gross Amounts Not Offset in the Statements of Financial Condition as of September 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. $ ( 19,603,867 ) $ — $ 19,603,867 $ — Goldman Sachs International ( 24,373,900 ) — 24,373,900 — Morgan Stanley & Co. International PLC ( 33,954,709 ) — 33,954,709 — Societe Generale ( 18,489,319 ) 17,977,319 512,000 — UBS AG ( 27,534,403 ) 19,575,403 7,959,000 — ProShares Ultra Euro Goldman Sachs International ( 194,303 ) — 194,303 — UBS AG ( 236,928 ) — 236,928 — ProShares Ultra Gold Citibank, N.A. ( 2,464,705 ) — 2,464,705 — Goldman Sachs International ( 1,657,776 ) 1,588,776 69,000 — UBS AG ( 2,563,943 ) — 2,563,943 — ProShares Ultra Silver Citibank, N.A. 8,433,031 — — 8,433,031 Goldman Sachs International 1,725,874 ( 1,222,261 ) — 503,613 Morgan Stanley & Co. International PLC 9,256,039 — ( 6,573,000 ) 2,683,039 UBS AG 7,389,604 ( 2,828,730 ) — 4,560,874 ProShares Ultra Yen Goldman Sachs International ( 39,854 ) — 39,854 — UBS AG ( 55,263 ) — 55,263 — ProShares UltraShort Euro Goldman Sachs International 1,292,731 ( 1,292,731 ) — — UBS AG 1,548,309 ( 1,548,309 ) — — ProShares UltraShort Gold Citibank, N.A. 329,122 — — 329,122 Goldman Sachs International 215,613 ( 215,613 ) — — UBS AG 257,469 ( 257,469 ) — — ProShares UltraShort Silver Citibank, N.A. ( 136,329 ) — 136,329 — Goldman Sachs International ( 496,626 ) — 496,626 — Morgan Stanley & Co. International PLC ( 392,881 ) — 392,881 — UBS AG ( 125,567 ) — 125,567 — ProShares UltraShort Yen Goldman Sachs International 92,684 — — 92,684 UBS AG 332,084 — — 332,084 103 Table of Contents The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2021: Fair Values of Derivative Instruments as of December 31, 2021 Assets Liabilities Fund Gross Amounts of Recognized Assets presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets presented in the Statements of Financial Condition Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities presented in the Statements of Financial Condition ProShares Ultra Bloomberg Crude Oil Swap agreements $ 63,928,293 $ — $ 63,928,293 $ — $ — $ — ProShares Ultra Euro Foreign currency forward contracts 84,150 — 84,150 1,498 — 1,498 ProShares Ultra Gold Swap agreements 8,639,188 — 8,639,188 — — — ProShares Ultra Silver Swap agreements 40,591,699 — 40,591,699 — — — ProShares Ultra VIX Short-Term Futures ETF Swap agreements — — — 477,437 — 477,437 ProShares Ultra Yen Foreign currency forward contracts 821 — 821 93,933 — 93,933 ProShares UltraShort Euro Foreign currency forward contracts 135,118 — 135,118 343,159 — 343,159 ProShares UltraShort Gold Swap agreements — — — 993,117 — 993,117 ProShares UltraShort Silver Swap agreements — — — 1,921,414 — 1,921,414 ProShares UltraShort Yen Foreign currency forward contracts 1,237,168 — 1,237,168 367,588 — 367,588 Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2021. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”. 104 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 105 Table of Contents trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $ 100,000 per annum, ongoing SEC registration fees not exceeding 0.021 % per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10 % per annum of the net assets of a Fund, and report preparation and mailing expenses. Non-Recurring Fees and Expenses Each Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds. The Administrator BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds. The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting 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. 106 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 nine months ended September 30, 2022 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows: Three Months Ended Nine Months Ended Fund September 30, 2022 September 30, 2022 ProShares Short VIX Short-Term Futures ETF $ 41,819 $ 160,578 ProShares Ultra Bloomberg Crude Oil — — ProShares Ultra Bloomberg Natural Gas — — ProShares Ultra Euro — — ProShares Ultra Gold — — ProShares Ultra Silver — — ProShares Ultra VIX Short-Term Futures ETF 1,075,047 3,257,919 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 13,179 42,404 ProShares VIX Short-Term Futures ETF 182,543 432,819 Combined Trust: $ 1,312,588 $ 3,893,720 107 Table of Contents NOTE 6 – FINANCIAL HIGHLIGHTS Selected data for a Share outstanding throughout the three months ended September 30, 2022 For the Three Months Ended September 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 Ultra Silver Net asset value, at June 30, 2022 $ 48.14 $ 41.61 $ 39.53 $ 11.08 $ 56.46 $ 24.78 Net investment income (loss) ( 0.01 ) 0.01 0.03 0.00 (1) 0.05 0.00 (2) Net realized and unrealized gain (loss)# 0.38 ( 15.41 ) 13.66 ( 1.51 ) ( 9.44 ) ( 3.94 ) Change in net asset value from operations 0.37 ( 15.40 ) 13.69 ( 1.51 ) ( 9.39 ) ( 3.94 ) Net asset value, at September 30, 2022 $ 48.51 $ 26.21 $ 53.22 $ 9.57 $ 47.07 $ 20.84 Market value per share, at June 30, 2022 † $ 48.21 $ 41.86 $ 42.10 $ 11.11 $ 56.50 $ 24.47 Market value per share, at September 30, 2022 † $ 48.59 $ 26.26 $ 53.66 $ 9.57 $ 46.93 $ 20.76 Total Return, at net asset value^ 0.8 % ( 37.0 )% 34.6 % ( 13.7 )% ( 16.6 )% ( 15.9 )% Total Return, at market value^ 0.8 % ( 37.3 )% 27.5 % ( 13.9 )% ( 16.9 )% ( 15.2 )% Ratios to Average Net Assets** Expense ratio^^ 1.14 % 1.01 % 1.16 % 0.96 % 0.97 % 1.00 % Net investment income gain (loss) ( 0.09 )% 0.07 % 0.15 % 0.16 % 0.38 % ( 0.02 )% * 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 September 30, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. (1) Amount represents less than $ 0.005 . (2) Amount represents greater than $( 0.005 ). 108 Table of Contents For the Three Months Ended September 30, 2022 (unaudited) Per Share Operating Performance Ultra VIX Short-Term Futures ETF Ultra Yen UltraShort Bloomberg Crude Oil * UltraShort Bloomberg Natural Gas * UltraShort Euro UltraShort Gold Net asset value, at June 30, 2022 $ 14.51 $ 33.51 $ 23.04 $ 42.65 $ 30.38 $ 31.55 Net investment income (loss) 0.00 (1) 0.01 0.02 0.00 (1) 0.01 ( 0.01 ) Net realized and unrealized gain (loss)# ( 1.64 ) ( 4.49 ) 7.28 ( 25.30 ) 4.45 5.64 Change in net asset value from operations ( 1.64 ) ( 4.48 ) 7.30 ( 25.30 ) 4.46 5.63 Net asset value, at September 30, 2022 $ 12.87 $ 29.03 $ 30.34 $ 17.35 $ 34.84 $ 37.18 Market value per share, at June 30, 2022 † $ 14.53 $ 33.49 $ 22.93 $ 40.02 $ 30.41 $ 31.59 Market value per share, at September 30, 2022 † $ 12.85 $ 29.06 $ 30.28 $ 17.21 $ 34.88 $ 37.30 Total Return, at net asset value^ ( 11.3 )% ( 13.3 )% 31.7 % ( 59.3 )% 14.7 % 17.9 % Total Return, at market value^ ( 11.6 )% ( 13.2 )% 32.1 % ( 57.0 )% 14.7 % 18.1 % Ratios to Average Net Assets** Expense ratio^^ 1.46 % 0.96 % 1.11 % 1.25 % 0.96 % 1.00 % Net investment income gain (loss) ( 0.14 )% 0.18 % 0.32 % ( 0.01 )% 0.12 % ( 0.11 )% * 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 September 30, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. (1) Amount represents greater than $( 0.005 ). 109 Table of Contents For the Three Months Ended September 30, 2022 (unaudited) Per Share Operating Performance UltraShort Silver UltraShort Yen * VIX Mid- Term Futures ETF VIX Short- Term Futures ETF Net asset value, at June 30, 2022 $ 31.74 $ 57.06 $ 35.29 $ 18.22 Net investment income (loss) ( 0.02 ) 0.01 0.00 (1) 0.01 Net realized and unrealized gain (loss)# 2.34 7.97 0.19 ( 1.13 ) Change in net asset value from operations 2.32 7.98 0.19 ( 1.12 ) Net asset value, at September 30, 2022 $ 34.06 $ 65.04 $ 35.48 $ 17.10 Market value per share, at June 30, 2022 † $ 32.19 $ 57.13 $ 35.38 $ 18.25 Market value per share, at September 30, 2022 † $ 34.15 $ 65.02 $ 35.50 $ 17.10 Total Return, at net asset value^ 7.3 % 14.0 % 0.6 % ( 6.1 )% Total Return, at market value^ 6.1 % 13.8 % 0.3 % ( 6.3 )% Ratios to Average Net Assets** Expense ratio^^ 1.08 % 0.96 % 0.93 % 1.11 % Net investment income gain (loss) ( 0.19 )% 0.07 % ( 0.01 )% 0.25 % * 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 September 30, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded. (1) Amount represents greater than $( 0.005 ). 110 Table of Contents Selected data for a Share outstanding throughout the three months ended September 30, 2021 For the Three Months Ended September 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 Ultra Silver Net asset value, at June 30, 2021 $ 55.61 $ 19.56 $ 35.33 $ 14.67 $ 57.28 $ 45.97 Net investment income (loss) ( 0.19 ) ( 0.05 ) ( 0.14 ) ( 0.03 ) ( 0.14 ) ( 0.10 ) Net realized and unrealized gain (loss)# ( 0.96 ) 1.61 48.28 ( 0.72 ) ( 1.50 ) ( 14.16 ) Change in net asset value from operations ( 1.15 ) 1.56 48.14 ( 0.75 ) ( 1.64 ) ( 14.26 ) Net asset value, at September 30, 2021 $ 54.46 $ 21.12 $ 83.47 $ 13.92 $ 55.64 $ 31.71 Market value per share, at June 30, 2021 † $ 55.55 $ 19.56 $ 37.17 $ 14.66 $ 57.22 $ 46.12 Market value per share, at September 30, 2021 † $ 54.39 $ 21.06 $ 82.30 $ 13.92 $ 55.59 $ 31.99 Total Return, at net asset value^ ( 2.1 )% 8.0 % 136.3 % ( 5.1 )% ( 2.9 )% ( 31.0 )% Total Return, at market value^ ( 2.1 )% 7.7 % 121.4 % ( 5.1 )% ( 2.9 )% ( 30.6 )% Ratios to Average Net Assets** Expense ratio^^ 1.33 % 1.10 % 1.30 % 0.95 % 1.00 % 1.00 % Net investment income gain (loss) ( 1.32 )% ( 1.07 )% ( 1.25 )% ( 0.91 )% 0.97 % ( 0.97 )% * 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 September 30, 2021. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. 111 Table of Contents For the Three Months Ended September 30, 2021 (unaudited) Per Share Operating Performance Ultra VIX Short-Term Futures ETF Ultra Yen UltraShort Bloomberg Crude Oil * UltraShort Bloomberg Natural Gas * UltraShort Euro UltraShort Gold Net asset value, at June 30, 2021 $ 27.91 $ 51.24 $ 90.56 $ 431.07 $ 23.81 $ 34.67 Net investment income (loss) ( 0.11 ) ( 0.12 ) ( 0.26 ) ( 0.91 ) ( 0.06 ) ( 0.08 ) Net realized and unrealized gain (loss)# ( 3.37 ) ( 0.29 ) ( 14.64 ) ( 289.76 ) 1.19 0.21 Change in net asset value from operations ( 3.48 ) ( 0.41 ) ( 14.90 ) ( 290.67 ) 1.13 0.13 Net asset value, at September 30, 2021 $ 24.43 $ 50.83 $ 75.66 $ 140.40 $ 24.94 $ 34.80 Market value per share, at June 30, 2021 † $ 27.98 $ 51.26 $ 90.55 $ 408.80 $ 23.82 $ 34.69 Market value per share, at September 30, 2021 † $ 24.55 $ 50.82 $ 75.90 $ 142.40 $ 24.93 $ 34.82 Total Return, at net asset value^ ( 12.5 )% ( 0.8 )% ( 16.5 )% ( 67.4 )% 4.8 % 0.4 % Total Return, at market value^ ( 12.3 )% ( 0.9 )% ( 16.2 )% ( 65.2 )% 4.7 % 0.4 % Ratios to Average Net Assets** Expense ratio^^ 1.71 % 0.95 % 1.17 % 1.35 % 0.95 % 1.02 % Net investment income gain (loss) ( 1.71 )% ( 0.91 )% ( 1.14 )% ( 1.32 )% ( 0.91 )% ( 0.98 )% * 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 September 30, 2021. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. 112 Table of Contents For the Three Months Ended September 30, 2021 (unaudited) Per Share Operating Performance UltraShort Silver UltraShort Yen * VIX Mid- Term Futures ETF VIX Short- Term Futures ETF Net asset value, at June 30, 2021 $ 23.37 $ 38.98 $ 30.51 $ 24.09 Net investment income (loss) ( 0.07 ) ( 0.09 ) ( 0.08 ) ( 0.07 ) Net realized and unrealized gain (loss)# 7.97 0.08 1.79 ( 1.34 ) Change in net asset value from operations 7.90 ( 0.01 ) 1.71 ( 1.41 ) Net asset value, at September 30, 2021 $ 31.27 $ 38.97 $ 32.22 $ 22.68 Market value per share, at June 30, 2021 † $ 23.28 $ 38.99 $ 30.54 $ 24.08 Market value per share, at September 30, 2021 † $ 30.97 $ 38.98 $ 32.31 $ 22.80 Total Return, at net asset value^ 33.8 % ( 0.0 )% @ 5.6 % ( 5.8 )% Total Return, at market value^ 33.0 % ( 0.0 )% @ 5.8 % ( 5.3 )% Ratios to Average Net Assets** Expense ratio^^ 1.10 % 0.95 % 1.04 % 1.17 % Net investment income gain (loss) ( 1.07 )% ( 0.91 )% ( 1.01 )% ( 1.16 )% * 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 September 30, 2021. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded. @ Amount represents greater than ( 0.05 )%. 113 Table of Contents Selected Data for a Share Outstanding Throughout the nine Months Ended September 30, 2022 For the Nine Months Ended September 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 Ultra Silver Net asset value, at December 31, 2021 $ 61.56 $ 21.54 $ 25.55 $ 13.32 $ 59.69 $ 34.84 Net investment income (loss) ( 0.31 ) ( 0.16 ) ( 0.27 ) ( 0.02 ) ( 0.19 ) ( 0.13 ) Net realized and unrealized gain (loss)# ( 12.74 ) 4.83 27.94 ( 3.73 ) ( 12.43 ) ( 13.87 ) Change in net asset value from operations ( 13.05 ) 4.67 27.67 ( 3.75 ) ( 12.62 ) ( 14.00 ) Net asset value, at September 30, 2022 $ 48.51 $ 26.21 $ 53.22 $ 9.57 $ 47.07 $ 20.84 Market value per share, at December 31, 2021 † $ 61.55 $ 21.70 $ 26.09 $ 13.33 $ 59.81 $ 34.74 Market value per share, at September 30, 2022 † $ 48.59 $ 26.26 $ 53.66 $ 9.57 $ 46.93 $ 20.76 Total Return, at net asset value^ ( 21.2 )% 21.7 % 108.3 % ( 28.2 )% ( 21.1 )% ( 40.2 )% Total Return, at market value^ ( 21.1 )% 21.0 % 105.7 % ( 28.2 )% ( 21.5 )% ( 40.2 )% Ratios to Average Net Assets** Expense ratio^^ 1.23 % 1.04 % 1.24 % 0.95 % 0.99 % 0.99 % Net investment income gain (loss) ( 0.80 )% ( 0.59 )% ( 0.58 )% ( 0.27 )% ( 0.43 )% ( 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 September 30, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. 114 Table of Contents For the Nine Months Ended September 30, 2022 (unaudited) Per Share Operating Performance Ultra VIX Short-Term Futures ETF Ultra Yen UltraShort Bloomberg Crude Oil * UltraShort Bloomberg Natural Gas * UltraShort Euro UltraShort Gold Net asset value, at December 31, 2021 $ 12.41 $ 47.29 $ 64.26 $ 247.40 $ 25.84 $ 31.71 Net investment income (loss) ( 0.09 ) ( 0.04 ) ( 0.07 ) ( 0.14 ) ( 0.08 ) ( 0.13 ) Net realized and unrealized gain (loss)# 0.55 ( 18.22 ) ( 33.85 ) ( 229.91 ) 9.08 5.60 Change in net asset value from operations 0.46 ( 18.26 ) ( 33.92 ) ( 230.05 ) 9.00 5.47 Net asset value, at September 30, 2022 $ 12.87 $ 29.03 $ 30.34 $ 17.35 $ 34.84 $ 37.18 Market value per share, at December 31, 2021 † $ 12.43 $ 47.29 $ 63.75 $ 242.20 $ 25.86 $ 31.66 Market value per share, at September 30, 2022 † $ 12.85 $ 29.06 $ 30.28 $ 17.21 $ 34.88 $ 37.30 Total Return, at net asset value^ 3.7 % ( 38.6 )% ( 52.8 )% ( 93.0 )% 34.8 % 17.3 % Total Return, at market value^ 3.4 % ( 38.6 )% ( 52.5 )% ( 92.9 )% 34.9 % 17.8 % Ratios to Average Net Assets** Expense ratio^^ 1.57 % 0.96 % 1.15 % 1.38 % 0.95 % 1.00 % Net investment income gain (loss) ( 0.97 )% ( 0.15 )% ( 0.38 )% ( 0.77 )% ( 0.37 )% ( 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 September 30, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. 115 Table of Contents For the Nine Months Ended September 30, 2022 (unaudited) Per Share Operating Performance UltraShort Silver UltraShort Yen * VIX Mid- Term Futures ETF VIX Short- Term Futures ETF Net asset value, at December 31, 2021 $ 26.77 $ 41.50 $ 30.61 $ 15.12 Net investment income (loss) ( 0.13 ) ( 0.16 ) ( 0.15 ) ( 0.07 ) Net realized and unrealized gain (loss)# 7.42 23.70 5.02 2.05 Change in net asset value from operations 7.29 23.54 4.87 1.98 Net asset value, at September 30, 2022 $ 34.06 $ 65.04 $ 35.48 $ 17.10 Market value per share, at December 31, 2021 † $ 26.84 $ 41.50 $ 30.57 $ 15.17 Market value per share, at September 30, 2022 † $ 34.15 $ 65.02 $ 35.50 $ 17.10 Total Return, at net asset value^ 27.2 % 56.7 % 15.9 % 13.1 % Total Return, at market value^ 27.2 % 56.7 % 16.1 % 12.7 % Ratios to Average Net Assets** Expense ratio^^ 1.08 % 0.95 % 0.99 % 1.16 % Net investment income gain (loss) ( 0.63 )% ( 0.40 )% ( 0.59 )% ( 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 September 30, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded. 116 Table of Contents Selected Data for a Share Outstanding Throughout the nine Months Ended September 30, 2021 For the Nine Months Ended September 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 Ultra Silver Net asset value, at December 31, 2020 $ 41.42 $ 9.10 $ 21.00 $ 15.79 $ 67.57 $ 50.71 Net investment income (loss) ( 0.49 ) ( 0.12 ) ( 0.29 ) ( 0.10 ) ( 0.43 ) ( 0.33 ) Net realized and unrealized gain (loss)# 13.53 12.14 62.76 ( 1.77 ) ( 11.50 ) ( 18.67 ) Change in net asset value from operations 13.04 12.02 62.47 ( 1.87 ) ( 11.93 ) ( 19.00 ) Net asset value, at September 30, 2021 $ 54.46 $ 21.12 $ 83.47 $ 13.92 $ 55.64 $ 31.71 Market value per share, at December 31, 2020 † $ 41.44 $ 9.07 $ 21.07 $ 15.81 $ 68.20 $ 51.28 Market value per share, at September 30, 2021 † $ 54.39 $ 21.06 $ 82.30 $ 13.92 $ 55.59 $ 31.99 Total Return, at net asset value^ 31.5 % 132.2 % 297.6 % ( 11.9 )% ( 17.7 )% ( 37.5 )% Total Return, at market value^ 31.3 % 132.2 % 290.7 % ( 11.9 )% ( 18.5 )% ( 37.6 )% Ratios to Average Net Assets** Expense ratio^^ 1.35 % 1.11 % 1.47 % 0.95 % 1.00 % 1.03 % Net investment income gain (loss) ( 1.33 )% ( 1.07 )% ( 1.41 )% ( 0.90 )% ( 0.97 )% ( 0.98 )% * 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 September 30, 2021. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. 117 Table of Contents For the Nine Months Ended September 30, 2021 (unaudited) Per Share Operating Performance Ultra VIX Short-Term Futures ETF Ultra Yen UltraShort Bloomberg Crude Oil * UltraShort Bloomberg Natural Gas * UltraShort Euro UltraShort Gold Net asset value, at December 31, 2020 $ 106.68 $ 59.83 $ 232.23 $ 951.82 $ 22.53 $ 31.43 Net investment income (loss) ( 0.59 ) ( 0.36 ) ( 1.03 ) ( 4.56 ) ( 0.16 ) ( 0.25 ) Net realized and unrealized gain (loss)# ( 81.66 ) ( 8.64 ) ( 155.54 ) ( 806.86 ) 2.57 3.62 Change in net asset value from operations ( 82.25 ) ( 9.00 ) ( 156.57 ) ( 811.42 ) 2.41 3.37 Net asset value, at September 30, 2021 $ 24.43 $ 50.83 $ 75.66 $ 140.40 $ 24.94 $ 34.80 Market value per share, at December 31, 2020 † $ 106.50 $ 59.82 $ 232.80 $ 947.60 $ 22.52 $ 31.14 Market value per share, at September 30, 2021 † $ 24.55 $ 50.82 $ 75.90 $ 142.40 $ 24.93 $ 34.82 Total Return, at net asset value^ ( 77.1 )% ( 15.0 )% ( 67.4 )% ( 85.3 )% 10.7 % 10.7 % Total Return, at market value^ ( 77.0 )% ( 15.1 )% ( 67.4 )% ( 85.0 )% 10.7 % 11.8 % Ratios to Average Net Assets** Expense ratio^^ 1.75 % 0.95 % 1.24 % 1.49 % 0.95 % 1.03 % Net investment income gain (loss) ( 1.71 )% ( 0.90 )% ( 1.18 )% ( 1.45 )% ( 0.90 )% ( 0.99 )% * 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 September 30, 2021. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. 118 Table of Contents For the Nine Months Ended September 30, 2021 (unaudited) Per Share Operating Performance UltraShort Silver UltraShort Yen * VIX Mid- Term Futures ETF VIX Short- Term Futures ETF Net asset value, at December 31, 2020 $ 27.73 $ 33.91 $ 36.73 $ 55.03 Net investment income (loss) ( 0.20 ) ( 0.25 ) ( 0.25 ) ( 0.28 ) Net realized and unrealized gain (loss)# 3.74 5.31 ( 4.26 ) ( 32.07 ) Change in net asset value from operations 3.54 5.06 ( 4.51 ) ( 32.35 ) Net asset value, at September 30, 2021 $ 31.27 $ 38.97 $ 32.22 $ 22.68 Market value per share, at December 31, 2020 † $ 27.40 $ 33.91 $ 36.70 $ 54.96 Market value per share, at September 30, 2021 † $ 30.97 $ 38.98 $ 32.31 $ 22.80 Total Return, at net asset value^ 12.8 % 14.9 % ( 12.3 )% ( 58.8 )% Total Return, at market value^ 13.0 % 15.0 % ( 12.0 )% ( 58.5 )% Ratios to Average Net Assets** Expense ratio^^ 1.10 % 0.95 % 1.05 % 1.23 % Net investment income gain (loss) ( 1.07 )% ( 0.90 )% ( 1.01 )% ( 1.19 )% * 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 September 30, 2021. ^^ The expense ratio would be 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. 119 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. 120 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 121 Table of Contents agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day. In addition, cleared derivatives benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a FCM in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss. The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com. Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law. The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund. Leverage Risk The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day. For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and one-half times multiplier) include a two times the inverse (-2x), or a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50 % at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund or upward single-day or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times. Liquidity Risk Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated. 122 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. 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. 123 Table of Contents 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. 124 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 September 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”. 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. 125 Table of Contents 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. 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. 126 Table of Contents Forward and Reverse Split 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 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. 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. 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. 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 nine months ended September 30, 2022 and 2021, each of the Funds earned interest income as follows: Fund Interest Income Three Months Ended September 30, 2022 Interest Income Three Months Ended September 30, 2021 Interest Income Nine Months Ended September 30, 2022 Interest Income Nine Months Ended September 30, 2021 ProShares Short VIX Short-Term Futures ETF 1,006,499 8,152 1,325,976 75,729 ProShares Ultra Bloomberg Crude Oil 2,391,191 86,370 3,964,082 365,778 ProShares Ultra Bloomberg Natural Gas 909,204 7,355 1,095,255 32,714 ProShares Ultra Euro 36,856 393 47,965 1,415 ProShares Ultra Gold 678,282 14,338 1,092,549 70,259 ProShares Ultra Silver 824,171 44,511 1,386,134 208,169 ProShares Ultra VIX Short-Term Futures ETF 3,945,136 11,979 4,471,067 328,504 ProShares Ultra Yen 25,362 260 29,299 923 ProShares UltraShort Bloomberg Crude Oil 1,748,548 6,891 2,091,754 36,069 ProShares UltraShort Bloomberg Natural Gas 953,050 9,879 1,131,063 25,512 ProShares UltraShort Euro 230,824 5,008 285,240 17,814 ProShares UltraShort Gold 72,261 3,075 101,921 9,213 ProShares UltraShort Silver 63,222 3,100 90,885 8,895 ProShares UltraShort Yen 115,191 2,392 151,503 9,558 ProShares VIX Mid-Term Futures ETF 220,211 8,914 296,960 27,487 ProShares VIX Short-Term Futures ETF 1,400,201 11,739 1,678,813 91,187 127 Table of Contents Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions. Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person. The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated. Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). Market Risk Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk. For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q. Credit Risk When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions. 128 Table of Contents Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund. Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank. Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used. 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 November 8, 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). 129 Table of Contents 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 September 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. 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 September 30, 2022 Compared to the Three Months Ended September 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 September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 403,644,956 $ 588,615,946 NAV end of period $ 321,831,051 $ 388,523,845 Percentage change in NAV (20.3 )% (34.0 )% Shares outstanding beginning of period 8,384,307 10,584,307 Shares outstanding end of period 6,634,307 7,134,307 Percentage change in shares outstanding (20.9 )% (32.6 )% Shares created 450,000 550,000 Shares redeemed 2,200,000 4,000,000 Per share NAV beginning of period $ 48.14 $ 55.61 Per share NAV end of period $ 48.51 $ 54.46 Percentage change in per share NAV 0.8 % (2.1 )% Percentage change in benchmark (5.7 )% (5.6 )% Benchmark annualized volatility 51.0 % 69.6 % During the three months ended September 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,384,307 outstanding Shares at June 30, 2022 to 6,634,307 outstanding Shares at September 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,584,307 outstanding Shares at June 30, 2021 to 7,134,307 outstanding Shares at September 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. For the three months ended September 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 increase of 0.8% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV decrease of 2.1% for the three months ended September 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s decline of 5.7% for the three months ended September 30, 2022, as compared to the benchmark’s decline of 5.6% for the three months ended September 30, 2021, can be attributed to a greater decrease in the value of near-term futures contracts on the VIX futures curve during the period ended September 30, 2022. 131 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ (90,304 ) $ (1,466,273 ) Management fee 914,054 1,055,823 Brokerage commission 152,661 208,885 Futures account fees 23,966 209,717 Non-recurring fees and expenses 6,122 — Net realized gain (loss) 27,694,574 34,572,603 Change in net unrealized appreciation (depreciation) (17,470,190 ) (43,349,844 ) Net Income (loss) $ 10,134,080 $ (10,243,514 ) The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to greater decrease in the value of futures prices during the three months ended September 30, 2022. ProShares Ultra Bloomberg Crude Oil* Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 1,060,867,238 $ 1,303,530,902 NAV end of period $ 724,595,262 $ 1,090,613,716 Percentage change in NAV (31.7 )% (16.3 )% Shares outstanding beginning of period 25,493,096 66,643,096 Shares outstanding end of period 27,643,096 51,643,096 Percentage change in shares outstanding 8.4 % (22.5 )% Shares created 10,400,000 3,800,000 Shares redeemed 8,250,000 18,800,000 Per share NAV beginning of period $ 41.61 $ 19.56 Per share NAV end of period $ 26.21 $ 21.12 Percentage change in per share NAV (37.0 )% 8.0 % Percentage change in benchmark (18.6 )% 5.4 % Benchmark annualized volatility 42.8 % 30.9 % During the three months ended September 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 Commodity Balanced WTI Crude Oil Index SM . The decrease in the Fund’s NAV was offset by an increase from 25,493,096 outstanding Shares at June 30, 2022 to 27,643,096 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 66,643,096 outstanding Shares at June 30, 2021 to 51,643,096 outstanding Shares at September 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 Commodity Balanced WTI Crude Oil Index SM . 132 Table of Contents For the three months ended September 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 37.0% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 8.0% for the three months ended September 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s decline of 18.6% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2021, can be attributed to a decrease in the value of WTI Crude Oil during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ 153,992 $ (3,130,493 ) Management fee 2,118,088 2,775,351 Brokerage commission 85,906 198,498 Futures account fees 19,466 215,514 Non-recurring fees and expenses 13,739 27,500 Net realized gain (loss) (344,578,932 ) 106,325,821 Change in net unrealized appreciation (depreciation) (33,248,174 ) (16,878,588 ) Net Income (loss) $ (377,673,114 ) $ 86,316,740 The Fund’s net income decreased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to a decrease in the value of WTI Crude Oil during the three months ended September 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 reverse 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 September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 187,297,842 $ 70,213,227 NAV end of period $ 289,386,097 $ 145,038,381 Percentage change in NAV 54.5 % 106.6 % Shares outstanding beginning of period 4,737,527 1,987,527 Shares outstanding end of period 5,437,527 1,737,527 Percentage change in shares outstanding 14.8 % (12.6 )% Shares created 6,000,000 1,150,000 Shares redeemed 5,300,000 1,400,000 Per share NAV beginning of period $ 39.53 $ 35.33 Per share NAV end of period $ 53.22 $ 83.47 Percentage change in per share NAV 34.6 % 136.3 % Percentage change in benchmark 25.3 % 58.6 % Benchmark annualized volatility 76.6 % 48.6 % During the three months ended September 30, 2022, The increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . The increase in the Fund’s NAV also resulted in part from an increase from 4,737,527 outstanding Shares at June 30, 2022 to 5,437,527 outstanding Shares at September 30, 2022. By comparison, during the three months ended September 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 Natural Gas Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 1,987,527 outstanding Shares at June 30, 2021 to 1,737,527 outstanding Shares at September 30, 2021. For the three months ended September 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 34.6% for the three months ended September 30, 2022, as compared to the Fund’s per Share NAV increase of 136.3% for the three months ended September 30, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended September 30, 2022. The benchmark’s rise of 25.3% for the three months ended September 30, 2022, as compared to the benchmark’s rise of 58.6% for the three months ended September 30, 2021, can be attributed to lesser increase in the value of Henry Hub Natural Gas during the period ended September 30, 2022. Net Income/Loss The following table provides summary income information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 Net investment income (loss) $ 104,679 $ (212,510 ) Management fee 658,525 161,130 Brokerage commission 97,589 40,472 Futures account fees 43,620 18,263 Non-recurring fees and expenses 4,791 — Net realized gain (loss) (5,893,297 ) 33,925,723 Change in net unrealized appreciation (depreciation) 97,221,527 25,135,708 Net Income (loss) $ 91,432,909 $ 58,848,921 134 Table of Contents The Fund’s net income increased for the three months ended September 30, 2022 as compared to the three months ended September 30, 2021, primarily due to lesser increase in the value of Henry Hub Natural Gas during the three months ended September 30, 2022. ProShares Ultra Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended September 30, 2022 and 2021: Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 NAV beginning of period $ 9,415,626 $ 3,668,741 NAV end of period $ 13,869,371 $ 3,479,104 Percentage change in NAV 47.3 % (5.2 )% Shares outstanding beginning of period 850,000 250,000 Shares outstanding end of period 1,450,000 250,000 Percentage change in shares outstanding 70.6 % — % Shares created 700,000 — Shares redeemed 100,000 — Per share NAV beginning of period $ 11.08 $ 14.67 Per share NAV end of period $ 9.57 $ 13.92 Percentage change in per share NAV (13.7 )% (5.1 )% Percentage change in benchmark (6.0 )% (2.3 )% Benchmark annualized volatility 10.53 % 4.5 % During the three months ended September 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 850,000 outstanding Shares at June 30, 2022 to 1,450,000 outstanding Shares at September 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 com