ProShares Trust II 10-Q

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations. This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements. These forward-looking statements are based on information currently available to the Sponsor and are subject to a number of risks, uncertainties and other factors, both known, such as those described in “Risk Factors” in our Annual Report on Form 10-K for the fiscal year ended December 31, 2022 and in this Quarterly Report on Form 10-Q for the period ended March 31, 2023, and unknown, that could cause the actual results, performance, prospects or opportunities of the Funds to differ materially from those expressed in, or implied by, these forward-looking statements. Factors that could cause results to differ from those expressed in the forward-looking statements include those described in the aforementioned filings and in other SEC filings by the Funds, as well as the following: risks and uncertainty related to geopolitical conflict, world health crises and the global economic markets; risks associated with a rising rate environment; risks associated with regulatory and exchange daily price limits, position limits and accountability levels; and risks related to market competition. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions. Introduction Each of the Funds generally invests in instruments whose value is derived from the value of an underlying asset, rate or index (collectively, “Financial Instruments”), including futures contracts, swap agreements, forward contracts and other instruments as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to its applicable underlying commodity futures index, commodity, currency exchange rate or equity volatility index. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds. The “Short” Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation. Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from -0.5x, -2x, 1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”). ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase 1 Table of Contents and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public. The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov. Forward and Reverse Splits On May 11, 2022, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and ProShares Ultra Bloomberg Crude Oil and a reverse share split on ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Bloomberg Crude Oil. The Splits did not change the value of a shareholder’s investment. ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. ProShares Ultra Bloomberg Crude Oil executed a 4:1 Forward Split of its shares. The Forward Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Forward Split prices. The ticker symbol for the Funds did not change. The Forward Split decreased the price per share of the Funds with a proportionate increase in the number of shares outstanding. ProShares UltraShort Bloomberg Natural Gas executed a 1:4 Reverse Split of its shares. ProShares UltraShort Bloomberg Crude Oil executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y813 for KOLD and 74347Y797 for SCO). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding. Liquidity and Capital Resources In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three months ended March 31, 2023 and 2022, each of the Funds earned interest income as follows: Fund Interest Income Three Months Ended March 31, 2023 Interest Income Three Months Ended March 31, 2022 ProShares Short VIX Short-Term Futures ETF $ 2,109,122 $ 94,343 ProShares Ultra Bloomberg Crude Oil 6,007,908 308,880 ProShares Ultra Bloomberg Natural Gas 8,958,523 39,581 ProShares Ultra Euro 97,237 4,587 ProShares Ultra Gold 1,649,014 95,113 ProShares Ultra Silver 3,374,396 140,449 ProShares Ultra VIX Short-Term Futures ETF 4,416,655 95,261 ProShares Ultra Yen 120,118 873 ProShares UltraShort Bloomberg Crude Oil 2,003,209 53,907 ProShares UltraShort Bloomberg Natural Gas 1,186,752 55,825 ProShares UltraShort Euro 647,120 15,405 ProShares UltraShort Gold 132,562 9,685 ProShares UltraShort Silver 200,078 8,920 ProShares UltraShort Yen 204,200 9,399 ProShares VIX Mid-Term Futures ETF 647,920 23,923 ProShares VIX Short-Term Futures ETF 2,120,561 70,709 2 Table of Contents Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions. Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person. The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated. Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). Market Risk Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk. For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q. Credit Risk When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions. Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund. 3 Table of Contents Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank. Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used. The Sponsor attempts to minimize certain of these market and credit risks by normally: • executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; • limiting the outstanding amounts due from counterparties to the Funds; • not posting margin directly with a counterparty; • requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds; • limiting the amount of margin or premium posted at a futures commission merchant (FCM): and • ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for. Off-Balance Sheet Arrangements and Contractual Obligations As of May 8, 2023, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position. Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party. Critical Accounting Policies Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America (“GAAP”) requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used. Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations. The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price). For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended March 31, 2023. Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. 4 Table of Contents Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold and Silver Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold and Silver Funds, are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy. Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements. The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations. Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively. Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association fees, give up fees, pit futures account fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually. 5 Table of Contents Results of Operations for the Three Months Ended March 31, 2023 Compared to the Three Months Ended March 31, 2022 ProShares Short VIX Short-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 339,591,638 $ 423,812,594 NAV end of period $ 295,340,393 $ 495,588,849 Percentage change in NAV (13.0 )% 16.9 % Shares outstanding beginning of period 5,784,307 6,884,307 Shares outstanding end of period 4,634,307 9,084,307 Percentage change in shares outstanding (19.9 )% 32.0 % Shares created 2,450,000 3,000,000 Shares redeemed 3,600,000 800,000 Per share NAV beginning of period $ 58.71 $ 61.56 Per share NAV end of period $ 63.73 $ 54.55 Percentage change in per share NAV 8.6 % (11.4 )% Percentage change in benchmark (20.3 )% 10.2 % Benchmark annualized volatility 68.1 % 86.4 % During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,784,307 outstanding Shares at December 31, 2022 to 4,634,307 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 6,884,307 outstanding Shares at December 31, 2021 to 9,084,307 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.6% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 11.4% for the three months ended March 31, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. The benchmark’s decline of 20.3% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 10.2% for the three months ended March 31, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2023. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: 6 Table of Contents Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 1,416,842 $ (1,296,922 ) Management fee 565,777 986,537 Brokerage commission 126,503 187,698 Futures account fees — 217,030 Net realized gain (loss) 29,604,148 (41,111,108 ) Change in net unrealized appreciation (depreciation) 3,155,177 4,297,907 Net Income (loss) $ 34,176,167 $ (38,110,123 ) The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of futures prices during the three months ended March 31, 2023. ProShares Ultra Bloomberg Crude Oil* Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 859,094,274 $ 1,103,783,570 NAV end of period $ 811,668,456 $ 1,336,980,685 Percentage change in NAV (5.5 )% 21.2 % Shares outstanding beginning of period 28,393,096 51,243,096 Shares outstanding end of period 30,593,096 35,243,096 Percentage change in shares outstanding 7.7 % (31.2 )% Shares created 19,100,000 8,600,000 Shares redeemed 16,900,000 24,600,000 Per share NAV beginning of period $ 30.26 $ 21.54 Per share NAV end of period $ 26.53 $ 37.94 Percentage change in per share NAV (12.3 )% 76.1 % Percentage change in benchmark (5.4 )% 36.7 % Benchmark annualized volatility 30.8 % 46.0 % During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . The decrease in the Fund’s NAV was offset by an increase from 28,393,096 outstanding Shares at December 31, 2022 to 30,593,096 outstanding Shares at March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index SM . The increase in the Fund’s NAV was offset by a decrease from 51,243,096 outstanding Shares at December 31, 2021 to 35,243,096 outstanding Shares at March 31, 2022. For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.3% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 76.1% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. The benchmark’s decline of 5.4% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 36.7% for the three months ended March 31, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended March 31, 2023. 7 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 4,038,946 $ (3,224,160 ) Management fee 1,874,618 3,084,812 Brokerage commission 94,344 195,541 Futures account fees — 252,687 Net realized gain (loss) 85,780,427 799,419,934 Change in net unrealized appreciation (depreciation) (138,210,442 ) (94,663,987 ) Net Income (loss) $ (48,391,069 ) $ 701,531,787 The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the three months ended March 31, 2023. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Ultra Bloomberg Crude Oil. ProShares Ultra Bloomberg Natural Gas Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 586,151,113 $ 193,892,178 NAV end of period $ 1,139,983,773 $ 145,069,486 Percentage change in NAV 94.5 % (25.2 )% Shares outstanding beginning of period 32,287,527 7,587,527 Shares outstanding end of period 309,087,527 2,587,527 Percentage change in shares outstanding 857.3 % (65.9 )% Shares created 379,450,000 2,600,000 Shares redeemed 102,650,000 7,600,000 Per share NAV beginning of period $ 18.15 $ 25.55 Per share NAV end of period $ 3.69 $ 56.06 Percentage change in per share NAV (79.7 )% 119.4 % Percentage change in benchmark (50.4 )% 58.4 % Benchmark annualized volatility 78.6 % 72.9 % During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 32,287,527 outstanding Shares at December 31, 2022 to 309,087,527 outstanding Shares at March 31, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 7,587,527 outstanding Shares at December 31, 2021 to 2,587,527 outstanding Shares at March 31, 2022. 8 Table of Contents For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 79.7% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 119.4% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. The benchmark’s decline of 50.4% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 58.4% for the three months ended March 31, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended March 31, 2023. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 5,489,641 $ (516,598 ) Management fee 2,328,410 396,610 Brokerage commission 952,779 88,452 Futures account fees 187,693 71,117 Net realized gain (loss) (1,061,634,864 ) 76,217,236 Change in net unrealized appreciation (depreciation) (53,009,690 ) 84,867,744 Net Income (loss) $ (1,109,154,913 ) $ 160,568,382 The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of Henry Hub Natural Gas during the three months ended March 31, 2023. ProShares Ultra Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 10,704,662 $ 8,659,095 NAV end of period $ 8,616,433 $ 6,236,982 Percentage change in NAV (19.5 )% (28.0 )% Shares outstanding beginning of period 950,000 650,000 Shares outstanding end of period 750,000 500,000 Percentage change in shares outstanding (21.1 )% (23.1 )% Shares created 200,000 100,000 Shares redeemed 400,000 250,000 Per share NAV beginning of period $ 11.27 $ 13.32 Per share NAV end of period $ 11.49 $ 12.47 Percentage change in per share NAV 2.0 % (6.4 )% Percentage change in benchmark 1.31 % (2.8 )% Benchmark annualized volatility 9.21 % 8.6 % During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 750,000 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2022, the 9 Table of Contents decrease in the Fund’s NAV resulted primarily from a decrease from 650,000 outstanding Shares at December 31, 2021 to 500,000 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.0% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 6.4% for the three months ended March 31, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. The benchmark’s rise of 1.31% for the three months ended March 31, 2023, as compared to the benchmark’s decline of 2.8% for the three months ended March 31, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended March 31, 2023. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 72,991 $ (15,691 ) Management fee 24,246 20,278 Net realized gain (loss) 280,279 (446,979 ) Change in net unrealized appreciation (depreciation) (96,945 ) (138,425 ) Net Income (loss) $ 256,325 $ (601,095 ) The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended March 31, 2023. ProShares Ultra Gold Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 173,524,136 $ 232,780,534 NAV end of period $ 201,161,529 $ 355,029,822 Percentage change in NAV 15.9 % 52.5 % Shares outstanding beginning of period 3,150,000 3,900,000 Shares outstanding end of period 3,200,000 5,300,000 Percentage change in shares outstanding 1.6 % 35.9 % Shares created 400,000 1,500,000 Shares redeemed 350,000 100,000 Per share NAV beginning of period $ 55.09 $ 59.69 Per share NAV end of period $ 62.86 $ 66.99 Percentage change in per share NAV 14.1 % 12.2 % Percentage change in benchmark 8.1 % 6.6 % Benchmark annualized volatility 15.7 % 17.3 % 10 Table of Contents During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The increase in the Fund’s NAV also resulted in part from an increase from 3,150,000 outstanding Shares at December 31, 2022 to 3,200,000 outstanding Shares at March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,900,000 outstanding Shares at December 31, 2021 to 5,300,000 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.1% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 12.2% for the three months ended March 31, 2022, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. The benchmark’s rise of 8.1% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 6.6% for the three months ended March 31, 2022, can be attributed to a greater increase in the value of gold futures contracts during the period ended March 31, 2023. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 1,213,285 $ (617,466 ) Management fee 427,114 671,415 Brokerage commission 8,615 21,659 Futures account fees — 19,505 Net realized gain (loss) 10,799,896 57,818,596 Change in net unrealized appreciation (depreciation) 10,688,379 (24,820,511 ) Net Income (loss) $ 22,701,560 $ 32,380,619 The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in average net assets, which was offset by an increase in futures prices, during the three months ended March 31, 2023. ProShares Ultra Silver Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: 11 Table of Contents Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 414,285,878 $ 515,453,594 NAV end of period $ 429,115,334 $ 558,375,842 Percentage change in NAV 3.6 % 8.3 % Shares outstanding beginning of period 13,046,526 14,796,526 Shares outstanding end of period 13,796,526 14,296,526 Percentage change in shares outstanding 5.7 % (3.4 )% Shares created 1,900,000 1,000,000 Shares redeemed 1,150,000 1,500,000 Per share NAV beginning of period $ 31.75 $ 34.84 Per share NAV end of period $ 31.10 $ 39.06 Percentage change in per share NAV (2.0 )% 12.1 % Percentage change in benchmark 0.8 % 7.5 % Benchmark annualized volatility 27.6 % 31.9 % During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,796,526 outstanding Shares at March 31, 2023. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 14,796,526 outstanding Shares at December 31, 2021 to 14,296,526 outstanding Shares at March 31, 2022. For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.0% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 12.1% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. The benchmark’s rise of 0.8% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 7.5% for the three months ended March 31, 2022, can be attributed to a lesser increase in the value of silver futures contracts during the period ended March 31, 2023. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 2,476,275 $ (1,128,206 ) Management fee 871,559 1,217,599 Brokerage commission 26,562 30,551 Futures account fees — 20,505 Net realized gain (loss) (28,743,864 ) 116,637,037 Change in net unrealized appreciation (depreciation) 22,352,120 (58,036,245 ) Net Income (loss) $ (3,915,469 ) $ 57,472,586 The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a lesser increase in the value of futures prices during the three months ended March 31, 2023. 12 Table of Contents ProShares Ultra VIX Short-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 639,318,362 $ 816,679,636 NAV end of period $ 535,980,236 $ 1,127,608,641 Percentage change in NAV (16.2 )% 38.1 % Shares outstanding beginning of period 93,078,420 65,828,420 Shares outstanding end of period 115,878,420 83,528,420 Percentage change in shares outstanding 24.5 % 26.9 % Shares created 83,700,000 83,100,000 Shares redeemed 60,900,000 65,400,000 Per share NAV beginning of period $ 6.87 $ 12.41 Per share NAV end of period $ 4.63 $ 13.50 Percentage change in per share NAV (32.7 )% 8.8 % Percentage change in benchmark (20.3 )% 10.2 % Benchmark annualized volatility 68.1 % 86.4 % During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 93,078,420 outstanding Shares at December 31, 2022 to 115,878,420 outstanding Shares at March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 65,828,420 outstanding Shares at December 31, 2021 to 83,528,420 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 32.7% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 8.8% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. The benchmark’s decline of 20.3% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 10.2% for the three months ended March 31, 2022, can be attributed to a decrease in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2023. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: 13 Table of Contents Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 2,141,823 $ (3,585,362 ) Management fee 1,373,770 1,961,177 Brokerage commission 777,701 936,758 Futures account fees 123,361 782,688 Net realized gain (loss) (182,241,208 ) 280,979,531 Change in net unrealized appreciation (depreciation) 2,037,527 (35,000,884 ) Net Income (loss) $ (178,061,858 ) $ 242,393,285 The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of futures prices during the three months ended March 31, 2023. ProShares Ultra Yen Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 13,814,796 $ 2,362,849 NAV end of period $ 9,915,083 $ 2,099,705 Percentage change in NAV (28.2 )% (11.1 )% Shares outstanding beginning of period 399,970 49,970 Shares outstanding end of period 299,970 49,970 Percentage change in shares outstanding (25.0 )% — % Shares created 50,000 — Shares redeemed 150,000 — Per share NAV beginning of period $ 34.54 $ 47.29 Per share NAV end of period $ 33.05 $ 42.02 Percentage change in per share NAV (4.3 )% (11.1 )% Percentage change in benchmark (1.16 )% (5.5 )% Benchmark annualized volatility 12.37 % 7.1 % During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 399,970 outstanding Shares at December 31, 2022 to 299,970 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2021 to March 31, 2022. For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.3% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 11.1% for the three months ended March 31, 2022, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. 14 Table of Contents The benchmark’s decline of 1.16% for the three months ended March 31, 2023, as compared to the benchmark’s decline of 5.5% for the three months ended March 31, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2023. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 89,558 $ (4,556 ) Management fee 30,560 5,429 Net realized gain (loss) (298,808 ) (117,223 ) Change in net unrealized appreciation (depreciation) (494,067 ) (141,365 ) Net Income (loss) $ (703,317 ) $ (263,144 ) The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar, in conjunction with a significant increase in average shares outstanding during the three months ended March 31, 2023. ProShares UltraShort Bloomberg Crude Oil* Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 222,697,337 $ 114,167,602 NAV end of period $ 144,762,563 $ 416,799,231 Percentage change in NAV (35.0 )% 265.1 % Shares outstanding beginning of period 9,305,220 1,776,760 Shares outstanding end of period 5,755,220 14,286,760 Percentage change in shares outstanding (38.2 )% 704.1 % Shares created 5,300,000 15,570,000 Shares redeemed 8,850,000 3,060,000 Per share NAV beginning of period $ 23.93 $ 64.26 Per share NAV end of period $ 25.15 $ 29.17 Percentage change in per share NAV 5.1 % (54.6 )% Percentage change in benchmark (5.4 )% 36.6 % Benchmark annualized volatility 30.8 % 46.0 % During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,305,220 outstanding Shares at December 31, 2022 to 5,755,220 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 14,286,760 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index SM . 15 Table of Contents For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 5.1% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 54.6% for the three months ended March 31, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. The benchmark’s decline of 5.4% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 36.6% for the three months ended March 31, 2022, can be attributed to a decrease in the value of WTI Crude Oil during the period ended March 31, 2023. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 1,452,572 $ (585,973 ) Management fee 484,880 492,647 Brokerage commission 65,757 77,056 Futures account fees — 70,177 Net realized gain (loss) 27,614,767 (106,482,101 ) Change in net unrealized appreciation (depreciation) 10,956,230 1,929,042 Net Income (loss) $ 40,023,569 $ (105,139,032 ) The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the three months ended March 31, 2023. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil. ProShares UltraShort Bloomberg Natural Gas* Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: 16 Table of Contents Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 134,109,520 $ 242,145,130 NAV end of period $ 146,981,760 $ 250,340,837 Percentage change in NAV 9.6 % 3.4 % Shares outstanding beginning of period 4,966,856 978,742 Shares outstanding end of period 2,066,856 3,868,619 Percentage change in shares outstanding (58.4 )% 295.3 % Shares created 7,250,000 4,640,000 Shares redeemed 10,150,000 1,750,123 Per share NAV beginning of period $ 27.00 $ 247.40 Per share NAV end of period $ 71.11 $ 64.71 Percentage change in per share NAV 163.4 % (73.9 )% Percentage change in benchmark (50.4 )% 58.4 % Benchmark annualized volatility 78.6 % 72.9 % During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 4,966,856 outstanding Shares at December 31, 2022 to 2,066,856 outstanding Shares at March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 978,742 outstanding Shares at December 31, 2021 to 3,868,619 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 163.4% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 73.9% for the three months ended March 31, 2022, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. The benchmark’s decline of 50.4% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 58.4% for the three months ended March 31, 2022, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended March 31, 2023. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 650,640 $ (837,419 ) Management fee 296,862 542,364 Brokerage commission 209,641 220,951 Futures account fees 29,609 129,929 Net realized gain (loss) 183,405,966 (114,724,308 ) Change in net unrealized appreciation (depreciation) (44,959,798 ) (87,787,071 ) Net Income (loss) $ 139,096,808 $ (203,348,798 ) The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of Henry Hub Natural Gas, during the three months ended March 31, 2023. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Natural Gas. 17 Table of Contents ProShares UltraShort Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 75,113,179 $ 54,263,045 NAV end of period $ 59,537,260 $ 50,498,084 Percentage change in NAV (20.7 )% (6.9 )% Shares outstanding beginning of period 2,550,000 2,100,000 Shares outstanding end of period 2,050,000 1,850,000 Percentage change in shares outstanding (19.6 )% (11.9 )% Shares created 100,000 50,000 Shares redeemed 600,000 300,000 Per share NAV beginning of period $ 29.46 $ 25.84 Per share NAV end of period $ 29.04 $ 27.30 Percentage change in per share NAV (1.4 )% 5.6 % Percentage change in benchmark 1.31 % (2.8 )% Benchmark annualized volatility 9.21 % 8.6 % During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at December 31, 2022 to 2,050,000 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 1,850,000 outstanding Shares at March 31, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.4% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 5.6% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. The benchmark’s rise of 1.31% for the three months ended March 31, 2023, as compared to the benchmark’s decline of 2.8% for the three months ended March 31, 2022, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended March 31, 2023. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: 18 Table of Contents Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 485,552 $ (102,051 ) Management fee 161,568 117,456 Net realized gain (loss) (1,407,311 ) 2,753,108 Change in net unrealized appreciation (depreciation) 141,211 268,741 Net Income (loss) $ (780,548 ) $ 2,919,798 The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended March 31, 2023. ProShares UltraShort Gold Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 15,456,037 $ 26,859,844 NAV end of period $ 16,049,273 $ 32,598,451 Percentage change in NAV 3.8 % 21.4 % Shares outstanding beginning of period 496,977 846,977 Shares outstanding end of period 596,977 1,196,977 Percentage change in shares outstanding 20.1 % 41.3 % Shares created 300,000 450,000 Shares redeemed 200,000 100,000 Per share NAV beginning of period $ 31.10 $ 31.71 Per share NAV end of period $ 26.88 $ 27.23 Percentage change in per share NAV (13.6 )% (14.1 )% Percentage change in benchmark 8.1 % 6.6 % Benchmark annualized volatility 15.7 % 17.3 % During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 496,977 outstanding Shares at December 31, 2022 to 596,977 outstanding Shares at March 31, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 846,977 outstanding Shares at December 31, 2021 to 1,196,977 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.6% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 14.1% for the three months ended March 31, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. The benchmark’s rise of 8.1% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 6.6% for the three months ended March 31, 2022, can be attributed to a greater increase in the value of gold futures contracts during the period ended March 31, 2023. 19 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 94,828 $ (61,130 ) Management fee 36,373 66,138 Brokerage commission 1,361 2,811 Futures account fees — 1,866 Net realized gain (loss) (1,030,881 ) (6,308,669 ) Change in net unrealized appreciation (depreciation) (655,702 ) 2,028,779 Net Income (loss) $ (1,591,755 ) $ (4,341,020 ) The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a greater increase in the value of the futures prices during the three months ended March 31, 2023. ProShares UltraShort Silver Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 31,932,799 $ 26,537,000 NAV end of period $ 20,335,691 $ 23,406,516 Percentage change in NAV (36.3 )% (11.8 )% Shares outstanding beginning of period 1,641,329 991,329 Shares outstanding end of period 1,091,329 1,091,329 Percentage change in shares outstanding (33.5 )% 10.1 % Shares created 650,000 1,100,000 Shares redeemed 1,200,000 1,000,000 Per share NAV beginning of period $ 19.46 $ 26.77 Per share NAV end of period $ 18.63 $ 21.45 Percentage change in per share NAV (4.2 )% (19.9 )% Percentage change in benchmark 0.8 % 7.5 % Benchmark annualized volatility 27.6 % 31.9 % During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,641,329 outstanding Shares at December 31, 2022 to 1,091,329 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . By comparison, during the three months ended March 31, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 991,329 outstanding Shares at December 31, 2021 to 1,091,329 outstanding Shares at March 31, 2022. For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.2% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV decrease of 19.9% for the three months ended March 31, 2022, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. 20 Table of Contents The benchmark’s rise of 0.8% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 7.5% for the three months ended March 31, 2022, can be attributed to a lesser increase in the value of the silver futures contracts during the period ended March 31, 2023. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 134,207 $ (60,608 ) Management fee 60,168 60,953 Brokerage commission 5,703 5,301 Futures account fees — 3,274 Net realized gain (loss) 2,713,623 (7,373,936 ) Change in net unrealized appreciation (depreciation) (1,183,236 ) 1,789,652 Net Income (loss) $ 1,664,594 $ (5,644,892 ) The Fund’s net income increased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a lesser increase in the value of futures prices during the three months ended March 31, 2023. ProShares UltraShort Yen* Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 21,397,736 $ 24,840,784 NAV end of period $ 25,111,818 $ 27,726,701 Percentage change in NAV 17.4 % 11.6 % Shares outstanding beginning of period 398,580 598,580 Shares outstanding end of period 448,580 598,580 Percentage change in shares outstanding 12.5 % — % Shares created 200,000 200,000 Shares redeemed 150,000 200,000 Per share NAV beginning of period $ 53.68 $ 41.50 Per share NAV end of period $ 55.98 $ 46.32 Percentage change in per share NAV 4.3 % 11.6 % Percentage change in benchmark (1.16 )% (5.5 )% Benchmark annualized volatility 12.37 % 7.1 % During the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 398,580 outstanding Shares at December 31, 2022 to 448,580 outstanding Shares at March 31, 2023. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2021 to March 31, 2022. 21 Table of Contents For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.3% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 11.6% for the three months ended March 31, 2022, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. The benchmark’s decline of 1.16% for the three months ended March 31, 2023, as compared to the benchmark’s decline of 5.5% for the three months ended March 31, 2022, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2023. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 153,388 $ (50,421 ) Management fee 50,812 59,820 Net realized gain (loss) (1,027,976 ) 1,183,144 Change in net unrealized appreciation (depreciation) 1,859,501 1,438,464 Net Income (loss) $ 984,913 $ 2,571,187 The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2023. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Ultra Short Yen. ProShares VIX Mid-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: 22 Table of Contents Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 84,014,959 $ 112,875,680 NAV end of period $ 67,306,087 $ 97,869,914 Percentage change in NAV (19.9 )% (13.4 )% Shares outstanding beginning of period 2,762,403 3,687,403 Shares outstanding end of period 2,512,403 3,112,403 Percentage change in shares outstanding (9.1 )% (15.6 )% Shares created 275,000 700,000 Shares redeemed 525,000 1,275,000 Per share NAV beginning of period $ 30.41 $ 30.61 Per share NAV end of period $ 26.79 $ 31.45 Percentage change in per share NAV (11.9 )% 2.7 % Percentage change in benchmark (11.4 )% 3.3 % Benchmark annualized volatility 36.4 % 32.8 % During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,762,403 outstanding Shares at December 31, 2022 to 2,512,403 outstanding Shares at March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 3,687,403 outstanding Shares at December 31, 2021 to 3,112,403 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.9% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 2.7% for the three months ended March 31, 2022, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2023. The benchmark’s decline of 11.4% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 3.3% for the three months ended March 31, 2022, can be attributed to a decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended March 31, 2023. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 477,188 $ (252,097 ) Management fee 150,123 215,663 Brokerage commission 9,169 24,869 Futures account fees 11,440 35,488 Net realized gain (loss) (15,820,720 ) 4,791,497 Change in net unrealized appreciation (depreciation) 4,582,460 (473,835 ) Net Income (loss) $ (10,761,072 ) $ 4,065,565 The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of the futures prices during the three months ended March 31, 2023. 23 Table of Contents ProShares VIX Short-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 NAV beginning of period $ 266,580,320 $ 269,703,164 NAV end of period $ 226,765,204 $ 404,950,400 Percentage change in NAV (14.9 )% 50.1 % Shares outstanding beginning of period 23,382,826 17,832,826 Shares outstanding end of period 25,107,826 24,382,826 Percentage change in shares outstanding 7.4 % 36.7 % Shares created 11,500,000 9,950,000 Shares redeemed 9,775,000 3,400,000 Per share NAV beginning of period $ 11.40 $ 15.12 Per share NAV end of period $ 9.03 $ 16.61 Percentage change in per share NAV (20.8 )% 9.9 % Percentage change in benchmark (20.3 )% 10.2 % Benchmark annualized volatility 68.1 % 86.4 % During the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 23,382,826 outstanding Shares at December 31, 2022 to 25,107,826 outstanding Shares at March 31, 2023. By comparison, during the three months ended March 31, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 17,832,826 outstanding Shares at December 31, 2021 to 24,382,826 outstanding Shares at March 31, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. For the three months ended March 31, 2023 and 2022, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 20.8% for the three months ended March 31, 2023, as compared to the Fund’s per Share NAV increase of 9.9% for the three months ended March 31, 2022, was primarily due to deprecation in the value of the assets held by the Fund during the three months ended March 31, 2023. The benchmark’s decline of 20.3% for the three months ended March 31, 2023, as compared to the benchmark’s rise of 10.2% for the three months ended March 31, 2022, can be attributed to a decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended March 31, 2023. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2023 and 2022: Three Months Ended March 31, 2023 Three Months Ended March 31, 2022 Net investment income (loss) $ 1,455,917 $ (952,113 ) Management fee 517,488 705,691 Brokerage commission 96,497 116,474 Futures account fees 50,659 200,657 Net realized gain (loss) (46,096,694 ) 53,734,224 Change in net unrealized appreciation (depreciation) 1,130,026 (13,448,381 ) Net Income (loss) $ (43,510,751 ) $ 39,333,730 The Fund’s net income decreased for the three months ended March 31, 2023 as compared to the three months ended March 31, 2022, primarily due to a decrease in the value of the futures prices during the three months ended March 31, 2023. 24 Table of Contents