What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2023-05-08 compared with 2022-11-08 · 421 added, 977 removed, 2787 unchanged (33% of the section changed)

21 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

December 31, 2022

6 unchanged sentences

Payable for capital shares redeemed

Payable on open futures contracts

Brokerage commissions and futures account fees payable

Payable to Sponsor

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

MARCH 31, 2023

Principal Amount

6 unchanged sentences

4.156 % due 04/18/23

4.205 % due 04/25/23

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

VIX Futures - Cboe, expires October 2022

VIX Futures - Cboe, expires November 2022

VIX Futures – Cboe, expires April 2023

VIX Futures – Cboe, expires May 2023

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

17 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

2 unchanged sentences

( 225,726,746

( 220,625,671

( 281,273,902

( 320,049,434

Net addition (redemption) of ( 1,150,000 ) and 2,200,000 shares, respectively

( 189,848,587

( 169,659,408

Net investment income (loss)

6 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

4 unchanged sentences

( 184,846,445

( 411,950,977

Proceeds from sales or maturities of short-term U.S.

government and agency obligations

1,130,832,801

Net amortization and accretion on short-term U.S.

7 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

3 unchanged sentences

( 222,035,742

( 320,049,434

Net cash provided by (used in) financing activities

( 169,659,408

Net increase (decrease) in cash

4 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

December 31, 2022

6 unchanged sentences

Interest receivable

1,129,976,772

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

Brokerage commissions and futures account fees payable

1 unchanged sentence

Unrealized depreciation on swap agreements

Non-recurring

fees and expenses payable

Total liabilities

2 unchanged sentences

Shareholders’ equity

1,103,783,570

Total liabilities and shareholders’ equity

1,129,976,772

Shares outstanding (Note 1)

4 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

MARCH 31, 2023

Principal Amount

2 unchanged sentences

( 25 % of shareholders’ equity)

Federal Home Loan Discount Notes ^^

3.900 % due 10/03/22

Treasury Bills ^^

9 unchanged sentences

(Depreciation)/Value

WTI Crude Oil - NYMEX, expires December 2022

WTI Crude Oil – NYMEX, expires June 2023

WTI Crude Oil – NYMEX, expires December 2023

WTI Crude Oil – NYMEX, expires June 2024

Total Return Swap Agreements ^

9 unchanged sentences

Total Unrealized

( 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 positions and counterparties herein are as of March 31, 2023.

The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.

1 unchanged sentence

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.

Reflects the floating financing rate, as of March 31, 2023, 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.

5 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

4 unchanged sentences

Swap agreements

( 286,550,709

Short-term U.S.

1 unchanged sentence

Net realized gain (loss)

( 344,578,932

Change in net unrealized appreciation (depreciation) on

Futures contracts

( 151,303,453

Swap agreements

( 141,361,963

( 192,213,567

Short-term U.S.

3 unchanged sentences

Net realized and unrealized gain (loss)

( 377,827,106

Net income (loss)

( 377,673,114

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1,103,783,570

1,303,530,902

1,103,783,570

Addition of 19,100,000 and 8,600,000 shares, respectively (Note 1)

2 unchanged sentences

( 798,651,705

( 1,591,226,164

( 980,402,749

Net addition (redemption) of 2,200,000 and ( 16,000,000 ) shares, respectively (Note 1)

( 468,334,672

( 852,709,607

( 740,284,090

Net investment income (loss)

Net realized gain (loss)

( 344,578,932

Change in net unrealized appreciation (depreciation)

1 unchanged sentence

Net income (loss)

( 377,673,114

Shareholders’ equity, end of period

1,336,980,685

1,090,613,716

See accompanying notes to financial statements.

1 unchanged sentence

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

18 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

6 unchanged sentences

( 453,151,162

( 727,017,278

Net increase (decrease) in cash

( 467,426,427

Cash, beginning of period

3 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

December 31, 2022

5 unchanged sentences

Interest receivable

1,206,107,289

Liabilities and shareholders’ equity

3 unchanged sentences

Payable to Sponsor

Non-recurring

fees and expenses payable

Unrealized depreciation on swap agreements

Total liabilities

2 unchanged sentences

Shareholders’ equity

1,139,983,773

Total liabilities and shareholders’ equity

1,206,107,289

Shares outstanding

4 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

MARCH 31, 2023

Principal Amount

5 unchanged sentences

4.329 % due 04/11/23 †

4.156 % due 04/18/23 †

4.205 % due 04/25/23 †

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

Natural Gas - NYMEX, expires November 2022

Natural Gas – NYMEX, expires May 2023

2,111,493,440

( 324,515,287

Total Return Swap Agreements ^

Notional Amount

(Depreciation)/Value

Swap agreement with Citibank, N.A.

based on Bloomberg Natural Gas Subindex

Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex

Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex

Total Unrealized

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of March 31, 2023.

The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.

New counterparties can be added at any time.

Rates shown represent discount rate at the time of purchase.

Reflects the floating financing rate, as of March 31, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

Total Return Swap Agreements payment is due at termination/maturity.

For swap agreements, a positive amount represents “long” exposure to the benchmark index.

A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

3 unchanged sentences

Futures contracts

( 1,100,791,083

Swap agreements

Short-term U.S.

1 unchanged sentence

Net realized gain (loss)

( 1,061,634,864

Change in net unrealized appreciation (depreciation) on

Futures contracts

Swap agreements

Short-term U.S.

2 unchanged sentences

Net realized and unrealized gain (loss)

( 1,114,644,554

Net income (loss)

( 1,109,154,913

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

4 unchanged sentences

( 297,271,429

( 309,321,303

Net addition (redemption) of 276,800,000 and ( 5,000,000 ) shares, respectively

1,662,987,573

( 209,391,074

Net investment income (loss)

Net realized gain (loss)

( 1,061,634,864

Change in net unrealized appreciation (depreciation)

Net income (loss)

( 1,109,154,913

Shareholders’ equity, end of period

See accompanying notes

1,139,983,773

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

Net income (loss)

( 1,109,154,913

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

5 unchanged sentences

government and agency obligations

7,527,849,267

Net amortization and accretion on short-term U.S.

7 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

( 1,191,161,155

Cash flow from financing activities

6 unchanged sentences

1,677,942,124

( 180,522,131

Net increase (decrease) in cash

4 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

December 31, 2022

Short-term U.S.

government and agency obligations (Note 3) (cost $ 697,652 and $ 998,130 , respectively)

Segregated cash balances with brokers for foreign currency forward contracts

Unrealized appreciation on foreign currency forward contracts

Receivable from capital shares sold

Interest receivable

2 unchanged sentences

Unrealized depreciation on foreign currency forward contracts

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

Principal Amount

Short-term U.S.

government and agency obligations

( 5 % of shareholders’ equity)

Treasury Bills ^^

0.554 % due 11/03/22 †

Total short-term U.S.

government and agency obligations

(cost $ 697,652 )

MARCH 31, 2023

Foreign Currency Forward Contracts ^

9 unchanged sentences

Contracts to Sell

Euro with Goldman Sachs International

Euro with UBS AG

Total Unrealized

All or partial amount pledged as collateral for foreign currency forward contracts.

The positions and counterparties herein are as of September 30, 2022.

The positions and counterparties herein are as of March 31, 2023.

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.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

Management fee

Non-recurring

fees and expenses

Total expenses

17 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

11 unchanged sentences

Increase (Decrease) in payable to Sponsor

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

December 31, 2022

7 unchanged sentences

Liabilities and shareholders’ equity

Brokerage commissions and futures account fees payable

Payable on open futures contracts

Payable to Sponsor

Unrealized depreciation on swap agreements

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

MARCH 31, 2023

Principal Amount

13 unchanged sentences

(Depreciation)/Value

Gold Futures - COMEX, expires December 2022

Gold Futures – COMEX, expires June 2023

Total Return Swap Agreements ^

7 unchanged sentences

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of September 30, 2022.

The positions and counterparties herein are as of March 31, 2023.

The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.

1 unchanged sentence

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.

Reflects the floating financing rate, as of March 31, 2023, 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.

5 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

4 unchanged sentences

Swap agreements

Short-term U.S.

government and agency obligations

Net realized gain (loss)

11 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1 unchanged sentence

Redemption of 350,000 and 100,000 shares, respectively

( 119,280,561

Net addition (redemption) of 50,000 and 1,400,000 shares, respectively

7 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

9 unchanged sentences

government and agency obligations

Net realized (gain) loss on investments

Change in unrealized (appreciation) depreciation on investments

3 unchanged sentences

Increase (Decrease) in brokerage commissions and futures account fees payable

Increase (Decrease) in non-recurring

fees and expenses payable

Increase (Decrease) in payable on open futures contracts

Net cash provided by (used in) operating activities

( 149,516,721

Cash flow from financing activities

1 unchanged sentence

Payment on shares redeemed

( 119,280,561

Net cash provided by (used in) financing activities

Net increase (decrease) in cash

( 130,875,488

Cash, beginning of period

3 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

December 31, 2022

4 unchanged sentences

Unrealized appreciation on swap agreements

Receivable from capital shares sold

Receivable on open futures contracts

2 unchanged sentences

Payable for capital shares redeemed

Brokerage commissions and futures account fees payable

Payable on open futures contracts

Payable to Sponsor

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

MARCH 31, 2023

Principal Amount

13 unchanged sentences

(Depreciation)/Value

Silver Futures - COMEX, expires December 2022

Silver Futures – COMEX, expires May 2023

Total Return Swap Agreements ^

1 unchanged sentence

(Depreciation)/Value

Swap agreement with Morgan Stanley & Co.

International PLC based on Bloomberg Silver Subindex

Swap agreement with Citibank, N.A.

1 unchanged sentence

Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex

Swap agreement with Morgan Stanley & Co.

International PLC based on Bloomberg Silver Subindex

Swap agreement with UBS AG based on Bloomberg Silver Subindex

1 unchanged sentence

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of September 30, 2022.

The positions and counterparties herein are as of March 31, 2023.

The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change.

1 unchanged sentence

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.

Reflects the floating financing rate, as of March 31, 2023, 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.

5 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

4 unchanged sentences

Swap agreements

( 133,807,652

( 151,552,363

( 156,750,416

Short-term U.S.

1 unchanged sentence

Net realized gain (loss)

( 147,391,314

( 201,320,030

( 186,949,626

Change in net unrealized appreciation (depreciation) on

1 unchanged sentence

Swap agreements

( 149,513,235

Short-term U.S.

1 unchanged sentence

Change in net unrealized appreciation (depreciation)

( 192,156,316

Net realized and unrealized gain (loss)

( 207,338,320

( 203,644,198

( 272,195,125

Net income (loss)

( 208,763,025

( 205,483,499

( 277,000,841

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1 unchanged sentence

Redemption of 1,150,000 and 1,500,000 shares, respectively

( 104,128,466

( 193,306,366

Net addition (redemption) of 750,000 and ( 500,000 ) shares, respectively

1 unchanged sentence

Net realized gain (loss)

( 147,391,314

( 201,320,030

( 186,949,626

Change in net unrealized appreciation (depreciation)

( 192,156,316

Net income (loss)

( 208,763,025

( 205,483,499

( 277,000,841

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

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:

6 unchanged sentences

1,858,000,000

1,119,994,333

Net amortization and accretion on short-term U.S.

7 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

( 379,994,106

Cash flow from financing activities

1 unchanged sentence

Payment on shares redeemed

( 107,612,236

( 193,306,366

Net cash provided by (used in) financing activities

Net increase (decrease) in cash

( 367,987,817

Cash, beginning of period

3 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

December 31, 2022

2 unchanged sentences

Segregated cash balances with brokers for futures contracts

Receivable from capital shares sold

Receivable on open futures contracts

Interest receivable

1,034,087,031

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable on open futures contracts

1 unchanged sentence

Payable to Sponsor

Unrealized depreciation on swap agreements

Non-recurring

fees and expenses payable

Total liabilities

3 unchanged sentences

Total liabilities and shareholders’ equity

1,034,087,031

Shares outstanding

4 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

MARCH 31, 2023

Principal Amount

6 unchanged sentences

4.205 % due 04/25/23

3.026 % due 12/01/22

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

VIX Futures - Cboe, expires October 2022

VIX Futures - Cboe, expires November 2022

VIX Futures – Cboe, expires April 2023

VIX Futures – Cboe, expires May 2023

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

4 unchanged sentences

( 182,233,430

( 185,968,398

( 1,650,738,359

Swap agreements

( 106,689,716

Short-term U.S.

2 unchanged sentences

( 182,241,208

( 198,380,990

( 1,757,407,418

Change in net unrealized appreciation (depreciation) on

6 unchanged sentences

( 180,203,681

( 1,610,909,280

Net income (loss)

( 178,061,858

( 1,626,947,912

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1,356,204,199

Addition of 83,700,000 and 83,100,000 shares, respectively

1,171,715,867

3,035,837,360

3,297,406,475

Redemption of 60,900,000 and 65,400,000 shares, respectively

1 unchanged sentence

( 1,103,180,147

( 3,255,048,847

( 2,005,816,889

Net addition (redemption) of 22,800,000 and 17,700,000 shares, respectively

( 219,211,487

1,291,589,586

Net investment income (loss)

1 unchanged sentence

( 182,241,208

( 198,380,990

( 1,757,407,418

Change in net unrealized appreciation (depreciation)

1 unchanged sentence

( 178,061,858

( 1,626,947,912

Shareholders’ equity, end of period

1,127,608,641

1,020,845,873

See accompanying notes to financial statements.

1 unchanged sentence

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

8 unchanged sentences

government and agency obligations

4,489,474,762

1,106,989,987

Net amortization and accretion on short-term U.S.

2 unchanged sentences

Change in unrealized (appreciation) depreciation on investments

Decrease (Increase) in securities sold receivable

Decrease (Increase) in receivable on open futures contracts

4 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

3 unchanged sentences

1,156,170,922

3,346,492,863

Payment on shares redeemed

2 unchanged sentences

Net cash provided by (used in) financing activities

( 182,614,194

1,367,546,161

Net increase (decrease) in cash

( 362,289,675

Cash, beginning of period

1,069,671,996

Cash, end of period

2 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

December 31, 2022

Short-term U.S.

government and agency obligations (Note 3) (cost $ 999,501 and $ – , respectively)

Segregated cash balances with brokers for foreign currency forward contracts

2 unchanged sentences

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable to Sponsor

Unrealized depreciation on foreign currency forward contracts

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

Principal Amount

Short-term U.S.

government and agency obligations

( 10 % of shareholders’ equity)

Treasury Bills ^^

0.554 % due 11/03/22 †

Total short-term U.S.

government and agency obligations

(cost $ 999,501 )

MARCH 31, 2023

Foreign Currency Forward Contracts ^

15 unchanged sentences

Total Unrealized

All or partial amount pledged as collateral for foreign currency forward contracts.

The positions and counterparties herein are as of September 30, 2022.

The positions and counterparties herein are as of March 31, 2023.

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.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

Management fee

Non-recurring

fees and expenses

Total expenses

17 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

11 unchanged sentences

Increase (Decrease) in payable to Sponsor

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

December 31, 2022

2 unchanged sentences

Segregated cash balances with brokers for futures contracts

Receivable from capital shares sold

Receivable on open futures contracts

5 unchanged sentences

Payable to Sponsor

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

MARCH 31, 2023

Principal Amount

5 unchanged sentences

4.156 % due 04/18/23

3.026 % due 12/01/22

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

WTI Crude Oil - NYMEX, expires December 2022

WTI Crude Oil – NYMEX, expires June 2023

WTI Crude Oil – NYMEX, expires December 2023

WTI Crude Oil – NYMEX, expires June 2024

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

4 unchanged sentences

( 106,482,101

Short-term U.S.

government and agency obligations

Net realized gain (loss)

6 unchanged sentences

Net realized and unrealized gain (loss)

( 104,553,059

Net income (loss)

( 105,139,032

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 5,300,000 and 15,570,000 shares, respectively (Note 1)

1,051,908,930

Redemption of 8,850,000 and 3,060,000 shares, respectively (Note 1)

8 unchanged sentences

Net income (loss)

( 105,139,032

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

Net income (loss)

( 105,139,032

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

5 unchanged sentences

government and agency obligations

4,974,000,000

Net amortization and accretion on short-term U.S.

government and agency obligations

Net realized (gain) loss on investments

Change in unrealized (appreciation) depreciation on investments

4 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

2 unchanged sentences

Proceeds from addition of shares

1,051,908,930

Payment on shares redeemed

( 247,121,308

( 102,258,218

Net cash provided by (used in) financing activities

( 138,080,157

Net increase (decrease) in cash

4 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

December 31, 2022

2 unchanged sentences

Segregated cash balances with brokers for futures contracts

Receivable from capital shares sold

Receivable on open futures contracts

5 unchanged sentences

Payable to Sponsor

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

MARCH 31, 2023

Principal Amount

4 unchanged sentences

4.401 % due 04/04/23

3.026 % due 12/01/22

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

Natural Gas - NYMEX, expires November 2022

Natural Gas - NYMEX, expires May 2023

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

4 unchanged sentences

( 114,665,698

( 112,274,576

Short-term U.S.

2 unchanged sentences

( 114,724,308

( 112,274,576

Change in net unrealized appreciation (depreciation) on

5 unchanged sentences

( 202,511,379

( 272,430,753

( 147,944,809

Net income (loss)

( 203,348,798

( 273,883,695

( 148,877,790

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

Addition of 7,250,000 and 4,640,000 shares, respectively (Note 1)

1,734,541,781

Redemption of 10,150,000 and 1,750,123 shares, respectively (Note 1)

1 unchanged sentence

( 243,414,736

( 183,784,485

Net addition (redemption) of ( 2,900,000 ) and 2,889,877 shares, respectively (Note 1)

( 126,224,568

Net investment income (loss)

1 unchanged sentence

( 114,724,308

( 112,274,576

Change in net unrealized appreciation (depreciation)

1 unchanged sentence

( 203,348,798

( 273,883,695

( 148,877,790

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

1 unchanged sentence

( 203,348,798

( 148,877,790

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

2 unchanged sentences

( 171,922,547

( 144,983,115

Proceeds from sales or maturities of short-term U.S.

9 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

( 183,758,449

( 181,305,524

Cash flow from financing activities

Proceeds from addition of shares

1,734,541,781

Payment on shares redeemed

2 unchanged sentences

Net cash provided by (used in) financing activities

( 160,034,764

Net increase (decrease) in cash

4 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

Short-term U.S.

2 unchanged sentences

Unrealized appreciation on foreign currency forward contracts

Receivable from capital shares sold

Interest receivable

3 unchanged sentences

Unrealized depreciation on foreign currency forward contracts

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

Principal Amount

Short-term U.S.

government and agency obligations

( 51 % of shareholders’ equity)

Treasury Bills ^^

0.223 % due 11/03/22 †

2.682 % due 11/17/22

Total short-term U.S.

government and agency obligations

(cost $ 45,894,901 )

MARCH 31, 2023

Foreign Currency Forward Contracts ^

5 unchanged sentences

Contracts to Purchase

Euro with Goldman Sachs International

Euro with UBS AG

3 unchanged sentences

Euro with UBS AG

( 144,189,199

( 141,382,682

Total Unrealized Appreciation

All or partial amount pledged as collateral for foreign currency forward contracts.

The positions and counterparties herein are as of September 30, 2022.

Total Unrealized

The positions and counterparties herein are as of March 31, 2023.

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.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

Management fee

Non-recurring

fees and expenses

Total expenses

17 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

11 unchanged sentences

Increase (Decrease) in payable to Sponsor

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

Short-term U.S.

government and agency obligations (Note 3) (cost $ 7,998,387 and $ 25,984,097 , respectively)

March 31, 2023

Segregated cash balances with brokers for futures contracts

Segregated cash balances with brokers for swap agreements

Unrealized appreciation on swap agreements

Receivable on open futures contracts

Interest receivable

1 unchanged sentence

Payable on open futures contracts

Brokerage commissions and futures account fees payable

Payable to Sponsor

Unrealized depreciation on swap agreements

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

Principal Amount

Short-term U.S.

government and agency obligations

( 27 % of shareholders’ equity)

Treasury Bills ^^

0.223 % due 11/03/22 †

Total short-term U.S.

government and agency obligations

(cost $ 7,998,387 )

MARCH 31, 2023

Futures Contracts Sold

1 unchanged sentence

(Depreciation)/Value

Gold Futures - COMEX, expires December 2022

Gold Futures – COMEX, expires June 2023

Total Return Swap Agreements ^

5 unchanged sentences

Swap agreement with UBS AG based on Bloomberg Gold Subindex

Total Unrealized Appreciation

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of September 30, 2022.

Total Unrealized

The positions and counterparties herein are as of March 31, 2023.

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.

Reflects the floating financing rate, as of March 31, 2023, 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.

5 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

19 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

14 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

Short-term U.S.

government and agency obligations (Note 3) (cost $ 1,999,597 and $ 22,995,121 , respectively)

March 31, 2023

Segregated cash balances with brokers for futures contracts

Segregated cash balances with brokers for swap agreements

Receivable from capital shares sold

Receivable on open futures contracts

2 unchanged sentences

Payable on open futures contracts

Brokerage commissions and futures account fees payable

Payable to Sponsor

Unrealized depreciation on swap agreements

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

Principal Amount

Short-term U.S.

government and agency obligations

( 6 % of shareholders’ equity)

Treasury Bills ^^

0.223 % due 11/03/22 †

Total short-term U.S.

government and agency obligations

(cost $ 1,999,597 )

MARCH 31, 2023

Futures Contracts Sold

1 unchanged sentence

(Depreciation)/Value

Silver Futures - COMEX, expires December 2022

Silver Futures – COMEX, expires May 2023

Total Return Swap Agreements ^

7 unchanged sentences

Swap agreement with UBS AG based on Bloomberg Silver Subindex

Total Unrealized Depreciation

All or partial amount pledged as collateral for swap agreements.

The positions and counterparties herein are as of September 30, 2022.

Total Unrealized

The positions and counterparties herein are as of March 31, 2023.

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.

Reflects the floating financing rate, as of March 31, 2023, 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.

5 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

19 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

14 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

Short-term U.S.

2 unchanged sentences

Unrealized appreciation on foreign currency forward contracts

Receivable from capital shares sold

Interest receivable

Liabilities and shareholders’ equity

Payable for capital shares redeemed

Payable to Sponsor

Unrealized depreciation on foreign currency forward contracts

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

Principal Amount

Short-term U.S.

government and agency obligations

( 10 % of shareholders’ equity)

Treasury Bills ^^

0.223 % due 11/03/22 †

Total short-term U.S.

government and agency obligations

(cost $ 4,998,992 )

MARCH 31, 2023

Foreign Currency Forward Contracts ^

6 unchanged sentences

Yen with Goldman Sachs International

1,438,381,000

Yen with UBS AG

7 unchanged sentences

Total Unrealized

All or partial amount pledged as collateral for foreign currency forward contracts.

The positions and counterparties herein are as of September 30, 2022.

The positions and counterparties herein are as of March 31, 2023.

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.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

Management fee

Non-recurring

fees and expenses

Total expenses

17 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

11 unchanged sentences

Increase (Decrease) in payable to Sponsor

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

Short-term U.S.

8 unchanged sentences

Payable to Sponsor

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

MARCH 31, 2023

Principal Amount

4 unchanged sentences

3.874 % due 04/11/23

4.156 % due 04/18/23

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

VIX Futures - Cboe, expires January 2023

VIX Futures - Cboe, expires February 2023

VIX Futures - Cboe, expires March 2023

VIX Futures - Cboe, expires April 2023

VIX Futures – Cboe, expires July 2023

VIX Futures – Cboe, expires August 2023

VIX Futures – Cboe, expires September 2023

VIX Futures – Cboe, expires October 2023

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

17 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

10 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

15 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

9 unchanged sentences

STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

Short-term U.S.

9 unchanged sentences

Payable to Sponsor

Non-recurring

fees and expenses payable

Total liabilities

9 unchanged sentences

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2022

MARCH 31, 2023

Principal Amount

Short-term U.S.

5 unchanged sentences

4.156 % due 04/18/23

4.205 % due 04/25/23

Total short-term U.S.

4 unchanged sentences

(Depreciation)/Value

VIX Futures - Cboe, expires October 2022

VIX Futures - Cboe, expires November 2022

VIX Futures – Cboe, expires April 2023

VIX Futures – Cboe, expires May 2023

Rates shown represent discount rate at the time of purchase.

3 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

1 unchanged sentence

Brokerage commissions

Futures account fees

Non-recurring

fees and expenses

Futures accounts fees

Total expenses

3 unchanged sentences

Futures contracts

( 304,349,667

Short-term U.S.

1 unchanged sentence

Net realized gain (loss)

( 304,349,667

Change in net unrealized appreciation (depreciation) on

4 unchanged sentences

Net realized and unrealized gain (loss)

( 276,619,877

Net income (loss)

( 279,639,849

See accompanying notes to financial statements.

2 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

2 unchanged sentences

( 104,771,717

( 510,864,572

( 238,826,906

Net addition (redemption) of 1,725,000 and 6,550,000 shares, respectively

1 unchanged sentence

Net realized gain (loss)

( 304,349,667

Change in net unrealized appreciation (depreciation)

Net income (loss)

( 279,639,849

Shareholders’ equity, end of period

2 unchanged sentences

STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

Net income (loss)

( 279,639,849

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

5 unchanged sentences

government and agency obligations

2,455,998,870

Net amortization and accretion on short-term U.S.

7 unchanged sentences

Increase (Decrease) in payable on open futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

( 320,626,808

Cash flow from financing activities

2 unchanged sentences

( 105,342,190

( 238,826,906

Net cash provided by (used in) financing activities

5 unchanged sentences

COMBINED STATEMENTS OF FINANCIAL CONDITION

September 30, 2022

March 31, 2023

Short-term U.S.

2 unchanged sentences

1,466,680,542

1,047,333,295

Segregated cash balances with brokers for futures contracts

16 unchanged sentences

Unrealized depreciation on foreign currency forward contracts

Non-recurring

fees and expenses payable

Total liabilities

12 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Investment Income

2 unchanged sentences

Futures account fees

Non-recurring

fees and expenses

Total expenses

4 unchanged sentences

( 1,085,860,567

( 240,784,887

( 1,427,934,171

Swap agreements

( 438,845,993

( 160,769,089

Foreign currency forward contracts

4 unchanged sentences

1,116,921,845

( 1,372,481,459

Change in net unrealized appreciation (depreciation) on

2 unchanged sentences

( 150,345,998

( 268,832,355

Foreign currency forward contracts

2 unchanged sentences

Change in net unrealized appreciation (depreciation)

Net realized and unrealized gain (loss)

( 181,707,249

( 217,913,827

Net realized and unrealized gain (loss)

( 1,179,810,469

1 unchanged sentence

( 1,157,966,816

( 215,636,254

( 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.

3 unchanged sentences

Three Months Ended

September 30,

Nine Months Ended

September 30,

Shareholders’ equity, beginning of period

1 unchanged sentence

4,173,474,343

4,474,251,414

Addition of 512,825,000 and 132,610,000 shares, respectively (Note 1)

1 unchanged sentence

3,082,800,285

8,989,738,725

5,597,393,110

Redemption of 217,550,000 and 111,335,123 shares, respectively (Note 1)

1 unchanged sentence

( 2,803,912,313

( 9,509,035,162

( 4,558,569,335

Net addition (redemption) of 295,275,000 and 21,274,877 shares, respectively (Note 1)

1,408,810,963

1,038,823,775

Net investment income (loss)

2 unchanged sentences

1,116,921,845

( 1,372,481,459

Change in net unrealized appreciation (depreciation)

Net income (loss)

( 181,707,249

( 217,913,827

Net income (loss)

( 1,157,966,816

2 unchanged sentences

5,338,066,570

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.

See accompanying notes to financial statements.

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

Nine Months Ended

September 30,

Three Months Ended

Cash flow from operating activities

14 unchanged sentences

Change in unrealized (appreciation) depreciation on investments

Decrease (Increase) in securities sold receivable

Decrease (Increase) in receivable on futures contracts

4 unchanged sentences

Increase (Decrease) in payable on futures contracts

Increase (Decrease) in non-recurring

fees and expenses payable

Net cash provided by (used in) operating activities

( 577,930,825

( 2,529,969,788

Cash flow from financing activities

7 unchanged sentences

1,385,649,111

1,121,590,338

Net increase (decrease) in cash

( 1,408,379,450

Cash, beginning of period

8 unchanged sentences

NOTES TO FINANCIAL STATEMENTS

September 30, 2022

March 31, 2023

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:

As of March 31, 2023, the following sixteen series of the Trust have commenced investment operations:

(i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term

8 unchanged sentences

The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

On March 11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol:

CROC) and ProShares Short Euro ETF (ticker symbol:

EUFX), together, the “liquidated funds”.

The last day the liquidated funds accepted creation orders was on May 2, 2022.

Trading in each liquidated fund was suspended prior to market open on May 3, 2022.

Proceeds of the liquidation were sent to shareholders on May 12, 2022 (the “Distribution Date”).

From May 3, 2022 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares.

Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on May 12, 2022.

The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $ 350 in each of the following Funds:

4 unchanged sentences

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

the inverse (-0.5x)

or the inverse (-1x)

of the daily performance of its corresponding benchmark.

9 unchanged sentences

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 table below includes reverse Share splits for the Funds during the three months March 31, 2023, and during the year ended December 31, 2022.

The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.

3 unchanged sentences

Resumed at Post-

ProShares Ultra VIX Short-Term Futures ETF

1-for-10 reverse Share split

ProShares UltraShort Bloomberg Crude Oil

1-for-4 reverse Share split

ProShares UltraShort Silver

1-for-4 reverse Share split

ProShares VIX Short-Term Futures ETF

1-for-4 reverse Share split

ProShares UltraShort Bloomberg Natural Gas

January 13, 2022

1-for-5 reverse Share split

reverse Share split

January 14, 2022

ProShares UltraShort Yen

2-for-1 forward Share split

forward Share split

ProShares Ultra Bloomberg Crude Oil

4-for-1 forward Share split

forward Share split

ProShares UltraShort Bloomberg Natural Gas

1-for-4 reverse Share split

reverse Share split

ProShares UltraShort Bloomberg Crude Oil

1-for-5 reverse Share split

reverse Share split

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.

24 unchanged sentences

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.

The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated March 31, 2023 and 2022, 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

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.

times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 2023 were typically as follows.

All times are Eastern Standard Time:

1 unchanged sentence

NAV Calculation

NAV Calculation Date

Calculation Date

Ultra Silver and UltraShort Silver

September 30, 2022

March 31, 2023

Ultra Gold and UltraShort Gold

September 30, 2022

March 31, 2023

Ultra Bloomberg Crude Oil,

2 unchanged sentences

UltraShort Bloomberg Natural Gas

September 30, 2022

March 31, 2023

UltraShort Euro and

UltraShort Yen

September 30, 2022

March 31, 2023

Short VIX Short-Term Futures ETF,

2 unchanged sentences

VIX Short-Term Futures ETF

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.

March 31, 2023

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

2 unchanged sentences

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.

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 UltraShort 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 UltraShort 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.

contracts valuations are typically categorized as Level I in the fair value hierarchy.

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.

21 unchanged sentences

Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.

The following table summarizes the valuation of investments at September 30, 2022 using the fair value hierarchy:

The following table summarizes the valuation of investments at March 31, 2023 using the fair value hierarchy:

Level I – Quoted Prices

5 unchanged sentences

ProShares Ultra Bloomberg Crude Oil

( 123,956,198

ProShares Ultra Bloomberg Natural Gas

( 324,515,287

ProShares Ultra Euro

14 unchanged sentences

( 229,171,227

2,090,739,114

Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.

7 unchanged sentences

Government and

ProShares Short Euro

ProShares Short VIX Short-Term Futures ETF

ProShares Ultra Bloomberg Crude Oil

1,060,141,385

ProShares Ultra Bloomberg Natural Gas

( 310,613,969

ProShares Ultra Euro

2 unchanged sentences

ProShares Ultra VIX Short-Term Futures ETF

( 126,356,757

ProShares Ultra Yen

ProShares UltraShort Australian Dollar

ProShares UltraShort Bloomberg Crude Oil

9 unchanged sentences

( 196,609,804

1,383,546,929

Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.

1 unchanged sentence

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.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

Investment Transactions and Related Income

32 unchanged sentences

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.

80 unchanged sentences

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

All of the outstanding swap agreements at March 31, 2023

contractually terminate within one month but may be terminated without penalty by either party at any time.

12 unchanged sentences

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.

As of March 31, 2023, the collateral posted by counterparties consisted of cash and/or U.S.

Treasury securities.

28 unchanged sentences

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.

As of March 31, 2023, the collateral posted by counterparties consisted of cash and/or U.S.

Treasury securities.

7 unchanged sentences

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

Fair Value of Derivative Instruments as of March 31, 2023

Asset Derivatives

8 unchanged sentences

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

ProShares Ultra VIX Short-Term Futures ETF

Receivable on open

futures contracts,

appreciation on swap

Payable on open futures

contracts, unrealized

depreciation on swap

ProShares Short VIX

Short-Term Futures ETF

ProShares Ultra VIX

Short-Term Futures ETF

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

ProShares VIX Short-

Term Futures ETF

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

ProShares Ultra Bloomberg Natural Gas

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

ProShares Ultra

Bloomberg Natural Gas

ProShares Ultra Gold

ProShares Ultra Silver

ProShares UltraShort Bloomberg Crude Oil

ProShares UltraShort Bloomberg Natural Gas

ProShares UltraShort Gold

ProShares UltraShort Silver

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 UltraShort

Bloomberg Crude Oil

ProShares UltraShort

Bloomberg Natural Gas

ProShares UltraShort

Foreign Exchange

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

ProShares Ultra Euro

ProShares Ultra Yen

ProShares UltraShort Euro

ProShares UltraShort

ProShares UltraShort Yen

6 unchanged sentences

Derivatives Not

Accounted for as

Hedging Instruments

Accounted for as Hedging

Statements of

3 unchanged sentences

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

ProShares Ultra VIX Short-Term Futures ETF

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

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

ProShares Ultra Bloomberg Natural Gas

ProShares Ultra Gold

ProShares Ultra Silver

ProShares UltraShort Bloomberg Crude Oil

ProShares UltraShort Bloomberg Natural Gas

ProShares UltraShort Gold

ProShares UltraShort Silver

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

ProShares Ultra Euro

ProShares Ultra Yen

ProShares UltraShort Australian Dollar

ProShares UltraShort Euro

ProShares UltraShort Yen

Combined Trust:

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

Realized Gain

Recognized in

(Depreciation) on

Recognized in

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

ProShares Ultra VIX Short-Term Futures ETF

( 289,871,717

Receivable on open

futures contracts,

appreciation on swap

Payable on open futures

contracts, unrealized

depreciation on swap

ProShares Short VIX

Short-Term Futures ETF

ProShares Ultra VIX

Short-Term Futures ETF

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

ProShares VIX Short-

Term Futures ETF

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

ProShares Ultra Bloomberg Natural Gas

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

ProShares Ultra

Bloomberg Natural Gas

ProShares Ultra Gold

ProShares Ultra Silver

( 147,384,761

ProShares UltraShort Bloomberg Crude Oil

ProShares UltraShort Bloomberg Natural Gas

ProShares UltraShort Gold

ProShares UltraShort Silver

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 UltraShort

Bloomberg Crude Oil

ProShares UltraShort

Bloomberg Natural Gas

ProShares UltraShort

Foreign Exchange

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

ProShares Ultra Euro

ProShares Ultra Yen

ProShares UltraShort Euro

ProShares UltraShort

ProShares UltraShort Yen

Combined Trust:

( 747,144,368

Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments.

1 unchanged sentence

The Effect of Derivative Instruments on the Statement of Operations

For the nine months ended September 30, 2022

For the three months ended March 31, 2023

Derivatives Not Accounted

8 unchanged sentences

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

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

ProShares Ultra VIX Short-Term Futures ETF

( 182,233,430

ProShares VIX Mid-Term

5 unchanged sentences

ProShares Ultra Bloomberg Natural Gas

ProShares Ultra Gold

ProShares Ultra Silver

( 1,061,631,294

ProShares UltraShort Bloomberg Crude Oil

( 142,631,216

ProShares UltraShort Bloomberg Natural Gas

( 389,138,752

ProShares UltraShort Gold

ProShares UltraShort Silver

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

ProShares Ultra Yen

ProShares UltraShort Euro

ProShares UltraShort Yen

Combined Trust:

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

Realized Gain

Recognized in

(Depreciation) on

Recognized in

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

ProShares Ultra VIX Short-Term Futures ETF

( 198,380,990

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

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

ProShares Ultra Bloomberg Natural Gas

ProShares Ultra Gold

ProShares Ultra Silver

( 201,315,310

ProShares UltraShort Bloomberg Crude Oil

4 unchanged sentences

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

ProShares Ultra Euro

ProShares Ultra Yen

ProShares UltraShort Australian Dollar

ProShares UltraShort Euro

2 unchanged sentences

( 998,089,690

( 181,490,158

The Effect of Derivative Instruments on the Statement of Operations

For the nine months ended September 30, 2021

For the three months ended March 31, 2022

Derivatives Not Accounted

8 unchanged sentences

VIX Futures Contracts

Net realized gain (loss) on futures contracts and/or swap

agreements/ changes in unrealized appreciation (depreciation) on

Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on

futures contracts and/or swap agreements

1 unchanged sentence

ProShares Ultra VIX Short-Term Futures ETF

( 1,757,428,075

ProShares VIX Mid-Term

ProShares VIX Short-Term Futures ETF

( 304,349,667

Commodities Contracts

Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements

alized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements

ProShares Ultra Bloomberg Crude Oil

2 unchanged sentences

ProShares Ultra Silver

( 192,143,248

ProShares UltraShort Bloomberg Crude Oil

( 106,482,101

ProShares UltraShort Bloomberg Natural Gas

12 unchanged sentences

1,116,694,270

( 214,656,320

Offsetting Assets and Liabilities

1 unchanged sentence

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.

The master netting agreements or similar arrang e

ments 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.

1 unchanged sentence

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

Fair Values of Derivative Instruments as of March 31, 2023

Gross Amounts

20 unchanged sentences

Swap agreements

ProShares Ultra Bloomberg Natural Gas

Swap agreements

ProShares Ultra Euro

14 unchanged sentences

Foreign currency forward contracts

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.

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2023.

These amounts may be collat e

ralized 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.

1 unchanged sentence

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

Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2023

Amounts of Recognized Assets /

1 unchanged sentence

Statements of Financial Condition

Financial Instruments for

the Benefit of (the Funds) /

the Counterparties

Financial Instruments for the

Benefit of (the Funds) / the

Counterparties

Cash Collateral for the

7 unchanged sentences

Societe Generale

ProShares Ultra Bloomberg

Citibank N.A.

Goldman Sachs International

ProShares Ultra Euro

52 unchanged sentences

Swap agreements

ProShares Ultra VIX Short-Term Futures ETF

Swap agreements

ProShares Ultra Yen

11 unchanged sentences

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”.

These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022

1 unchanged sentence

Assets / (Liabilities)

presented in the

Statements of Financial

Financial Instruments

for the Benefit of (the

Counterparties

Cash Collateral for the

Benefit of (the Funds)

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

ProShares Ultra Bloomberg Crude Oil

14 unchanged sentences

International PLC

ProShares Ultra VIX Short-Term Futures ETF

Goldman Sachs & Co.

ProShares Ultra Yen

14 unchanged sentences

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 Leveraged 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 Sponsor stopped charging the Management Fee to the ProShares UltraShort Australian Dollar ETF and

ProShares Short Euro ETF 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.

(“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, accounting and auditing fees and expenses, (ii) any Index licensors for the Funds;

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 fees and expenses of the Administrator, Custodian, Transfer Agent, Distributor (as each is defined below), and ProFunds Distributors, Inc., an affiliated broker-dealer of the Sponsor, as

well as accounting and auditing fees and

expenses, (ii) any Index licensors for the Funds;

and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations.

Fees associated with a Fund’s

trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $ 100,000 per annum, ongoing SEC registration fees not exceeding 0.021 % per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1

Fees associated with a Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $ 100,000 per annum, ongoing SEC registration fees not exceeding 0.021 % per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1

preparation and mailing fees not exceeding 0.10 % per annum of the net assets of a Fund, and report preparation and mailing expenses.

6 unchanged sentences

The Administrator

BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds.

BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds (the “Administrator”).

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.

3 unchanged sentences

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.

BNY Mellon serves as the Custodian of the Funds (the “Custodian”).

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.

1 unchanged sentence

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”).

BNY Mellon serves as the Transfer Agent (the “Transfer Agent”) of the Funds for entities that have entered into an Authorized Participant Agreement with one or more of the Funds (“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.

24 unchanged sentences

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:

Transaction fees for the three months ended March 31, 2023 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

September 30, 2022

March 31, 2023

ProShares Short VIX Short-Term Futures ETF

12 unchanged sentences

ProShares UltraShort Yen

ProShares VIX Mid-Term

ProShares VIX Mid-Term Futures ETF

ProShares VIX Short-Term Futures ETF

1 unchanged sentence

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

Net asset value, at June 30, 2022

Net investment income (loss)

Net realized and unrealized gain (loss)#

Change in net asset value from operations

Net asset value, at September 30, 2022

Market value per share, at June 30, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

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.

Amount represents less than $ 0.005 .

Amount represents greater than $( 0.005 ).

For the Three Months Ended September 30, 2022 (unaudited)

Per Share Operating

Natural Gas *

Net asset value, at June 30, 2022

Net investment income (loss)

Net realized and unrealized gain (loss)#

Change in net asset value from operations

Net asset value, at September 30, 2022

Market value per share, at June 30, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

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.

Amount represents greater than $( 0.005 ).

For the Three Months Ended September 30, 2022 (unaudited)

Per Share Operating

Net asset value, at June 30, 2022

Net investment income (loss)

Net realized and unrealized gain (loss)#

Change in net asset value from operations

Net asset value, at September 30, 2022

Market value per share, at June 30, 2022 †

Market value per share, at September 30, 2022 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

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.

Amount represents greater than $( 0.005 ).

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

Net asset value, at June 30, 2021

Net investment income (loss)

Net realized and unrealized gain (loss)#

Change in net asset value from operations

Net asset value, at September 30, 2021

Market value per share, at June 30, 2021 †

Market value per share, at September 30, 2021 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

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.

For the Three Months Ended September 30, 2021 (unaudited)

Per Share Operating

Natural Gas *

Net asset value, at June 30, 2021

Net investment income (loss)

Net realized and unrealized gain (loss)#

Change in net asset value from operations

Net asset value, at September 30, 2021

Market value per share, at June 30, 2021 †

Market value per share, at September 30, 2021 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

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.

For the Three Months Ended September 30, 2021 (unaudited)

Per Share Operating

Net asset value, at June 30, 2021

Net investment income (loss)

Net realized and unrealized gain (loss)#

Change in net asset value from operations

Net asset value, at September 30, 2021

Market value per share, at June 30, 2021 †

Market value per share, at September 30, 2021 †

Total Return, at net asset value^

Total Return, at market value^

Ratios to Average Net Assets**

Expense ratio^^

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

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 )%.

Selected Data for a Share Outstanding Throughout the nine Months Ended September 30, 2022

For the Nine Months Ended September 30, 2022 (unaudited)

S elected Data for a Share Outstanding Throughout the Three Months Ended March

For the Three Months Ended March 31, 2023 (unaudited)

Per Share Operating

3 unchanged sentences

Change in net asset value from operations

Net asset value, at September 30, 2022

Net asset value, at March 31, 2023

Market value per share, at December 31, 2022 †

Market value per share, at September 30, 2022 †

Market value per share, at March 31, 2023 †

Total Return, at net asset value^

3 unchanged sentences

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

1 unchanged sentence

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.

For the Nine Months Ended September 30, 2022 (unaudited)

Percentages are not annualized for the period ended March 31, 2023.

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.

For the Three Months Ended March 31, 2023 (unaudited)

Per Share Operating

Natural Gas *

Net asset value, at December 31, 2022

2 unchanged sentences

Change in net asset value from operations

Net asset value, at September 30, 2022

Net asset value, at March 31, 2023

Market value per share, at December 31, 2022 †

Market value per share, at September 30, 2022 †

Market value per share, at March 31, 2023 †

Total Return, at net asset value^

3 unchanged sentences

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

1 unchanged sentence

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.

For the Nine Months Ended September 30, 2022 (unaudited)

Percentages are not annualized for the period ended March 31, 2023.

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.

For the Three Months Ended March 31, 2023 (unaudited)

Per Share Operating

3 unchanged sentences

Change in net asset value from operations

Net asset value, at September 30, 2022

Net asset value, at March 31, 2023

Market value per share, at December 31, 2022 †

Market value per share, at September 30, 2022 †

Market value per share, at March 31, 2023 †

Total Return, at net asset value^

3 unchanged sentences

Net investment income gain (loss)

See Note 1 of these Notes to Financial Statements.

Percentages are annualized.

1 unchanged sentence

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.

Selected Data for a Share Outstanding Throughout the nine Months Ended September 30, 2021

For the Nine Months Ended September 30, 2021 (unaudited)

Percentages are not annualized for the period ended March 31, 2023.

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.

Selected Data for a Share Outstanding Throughout the Three Months Ended March 31, 2022

For the Three Months Ended March 31, 2022 (unaudited)

Per Share Operating

3 unchanged sentences

Change in net asset value from operations

Net asset value, at September 30, 2021

Net asset value, at March 31, 2022

Market value per share, at December 31, 2021 †

Market value per share, at September 30, 2021 †

Market value per share, at March 31, 2022 †

Total Return, at net asset value^

7 unchanged sentences

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.

Percentages are not annualized for the period ended March 31, 2022.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring

fees and expenses, and brokerage commissions and futures account fees were excluded.

For the Nine Months Ended September 30, 2021 (unaudited)

For the Three Months Ended March 31, 2022 (unaudited)

Per Share Operating

4 unchanged sentences

Change in net asset value from operations

Net asset value, at September 30, 2021

Net asset value, at March 31, 2022

Market value per share, at December 31, 2021 †

Market value per share, at September 30, 2021 †

Market value per share, at March 31, 2022 †

Total Return, at net asset value^

7 unchanged sentences

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.

Percentages are not annualized for the period ended March 31, 2022.

The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring

fees and expenses, and brokerage commissions and futures account fees were excluded.

For the Nine Months Ended September 30, 2021 (unaudited)

For the Three Months Ended March 31, 2022 (unaudited)

Per Share Operating

3 unchanged sentences

Change in net asset value from operations

Net asset value, at September 30, 2021

Net asset value, at March 31, 2022

Market value per share, at December 31, 2021 †

Market value per share, at September 30, 2021 †

Market value per share, at March 31, 2022 †

Total Return, at net asset value^

7 unchanged sentences

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.

Percentages are not annualized for the period ended March 31, 2022.

The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if non-recurring

5 unchanged sentences

the inverse (-0.5x),

the inverse (-1x),

two times the inverse (-2x),

46 unchanged sentences

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.

Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to in this Counterparty Risk section 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.

2 unchanged sentences

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 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.” Although some of the SEC requirements have not yet been made effective, the CFTC requirements are largely in place.

The CFTC requirements include rules for some of the types of derivatives transactions in which the Funds engages, 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.

As noted, all of the relevant 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.

3 unchanged sentences

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.

In the case of uncleared 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 uncleared 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 or otherwise, 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.

4 unchanged sentences

These agreements contain various conditions, events of default, termination events, covenants and representations.

The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the

agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement.

The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement.

For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund.

1 unchanged sentence

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

In addition, cleared derivatives benefit from daily mark-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.

To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a futures commission merchant in cleared swaps customer accounts, which are required by CFTC regulations to be separate from the futures commission merchant’s 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.

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 futures 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.

Bilateral OTC derivatives expose 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.

12 unchanged sentences

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),

times (1.5x) multiplier) include a two times the inverse (-2x),

or a two times (2x) multiplier, a single-day

31 unchanged sentences

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.

Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges.

Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits.

These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective.

On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds.

In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.

In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.

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.

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.

During April 2020, the collapse of demand for fuel as a result of economic conditions relating to COVID-19 and other factors created an oversupply of crude oil production that rapidly filled most available oil storage facilities.

As a result, market participants who contractually promised to buy and take delivery of crude oil were unable to store the crude oil and were at risk of default under the terms of the May 2020 WTI crude oil futures contract.

The scarcity in storage was widespread, and some market participants took the extreme measure of selling their futures contracts at a negative price (effectively paying another market participant to accept their crude oil).

As a result, for the first time in history, a period of “extraordinary contango” resulted in certain crude oil futures contracts trading below zero.

The oversupply of oil may continue, impacting futures contracts for other delivery months.

Such circumstances may arise as a result of a number of factors, including the following:

(1) disruptions in oil pipelines and other means to get oil out of storage and delivered to refineries (as might occur due to infrastructure deterioration, work stoppages, or weather/disaster);

(2) any agreement by oil producing nations regarding production limits;

or (3) potential government intervention (in the form of grants or other aid) to keep oil producers, and the workers they employ, in service.

It is not possible to predict if or when these economic conditions will reverse.

Any reversal of these conditions could have a significant negative impact on the performance of the Short Crude Oil Fund.

On February 24, 2022, Russia commenced a military attack on Ukraine.

The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil.

In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future could have a significant adverse impact on the Russian economy and related markets.

How long such conflict and related events will last and whether it will escalate further cannot be predicted.

Impacts from the conflicts and related events could have significant impact on a Fund’s performance, and the value of an investment in a Fund may decline significantly.

The price of futures contracts can change quickly and without warning.

If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.

Extreme market volatility and economic turbulence in the first part of 2020 has led to FCMs increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts.

Some FCMs may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts.

If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure.

The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.

NOTE 8 – SUBSEQUENT EVENTS

2 unchanged sentences

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

What changed 10-Q

Item 1. Financial Statements