ProShares Trust II 10-Q

Item 1. Financial Statements. Index Documents Page Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows: 1 ProShares Short VIX Short-Term Futures ETF 2 ProShares Ultra Bloomberg Crude Oil 6 ProShares Ultra Bloomberg Natural Gas 11 ProShares Ultra Euro 16 ProShares Ultra Gold 21 ProShares Ultra Silver 26 ProShares Ultra VIX Short-Term Futures ETF 31 ProShares Ultra Yen 36 ProShares UltraShort Bloomberg Crude Oil 41 ProShares UltraShort Bloomberg Natural Gas 46 ProShares UltraShort Euro 51 ProShares UltraShort Gold 56 ProShares UltraShort Silver 61 ProShares UltraShort Yen 66 ProShares VIX Mid-Term Futures ETF 71 ProShares VIX Short-Term Futures ETF 76 ProShares Trust II 81 Notes to Financial Statements 85 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 104,655,954 and $ 144,283,581 , respectively) $ 104,670,946 $ 144,307,676 Cash 50,012,847 6,852,395 Segregated cash balances with brokers for futures contracts 96,778,870 127,094,546 Receivable on open futures contracts 12,792,560 67,086,947 Interest receivable 275,091 475,930 Total assets 264,530,314 345,817,494 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   5,861,814 Payable on open futures contracts 2,625,055 —   Brokerage commissions and futures account fees payable 8,960 21,576 Payable to Sponsor 197,552 342,466 Total liabilities 2,831,567 6,225,856 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 261,698,747 339,591,638 Total liabilities and shareholders’ equity $ 264,530,314 $ 345,817,494 Shares outstanding 3,034,307 5,784,307 Net asset value per share $ 86 .25 $ 58 .71 Market value per share (Note 2) $ 86 .34 $ 58 .68 See accompanying notes to financial statements. 1 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 40 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.407 % due 10/10/23 $ 20,000,000 $ 19,976,556 5.478 % due 10/17/23 45,000,000 44,900,905 5.499 % due 10/24/23 15,000,000 14,951,600 5.490 % due 11/14/23 25,000,000 24,841,885 Total short-term U.S. government and agency obligations (cost $ 104,655,954 ) $ 104,670,946 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires October 2023 4,373 $ 77,713,457 $ ( 1,730,931 ) VIX Futures - Cboe, expires November 2023 2,906 53,023,748 ( 656,454 ) $ ( 2,387,385 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 2 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 2,624,180 $ 1,006,499 $ 7,170,512 $ 1,325,976 Expenses Management fee 634,871 914,054 1,817,684 2,934,952 Brokerage commissions 137,943 152,661 387,868 517,911 Futures account fees —   23,966 —   348,217 Non-recurring fees and expenses —   6,122 —   6,122 Total expenses 772,814 1,096,803 2,205,552 3,807,202 Net investment income (loss) 1,851,366 ( 90,304 ) 4,964,960 ( 2,481,226 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 30,285,319 27,694,574 125,117,609 ( 26,435,234 ) Short-term U.S. government and agency obligations 4 —   ( 25,807 ) ( 86,512 ) Net realized gain (loss) 30,285,323 27,694,574 125,091,802 ( 26,521,746 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 26,316,590 ) ( 17,783,632 ) ( 13,479,766 ) ( 47,541,296 ) Short-term U.S. government and agency obligations ( 557 ) 313,442 ( 9,103 ) ( 138,767 ) Change in net unrealized appreciation (depreciation) ( 26,317,147 ) ( 17,470,190 ) ( 13,488,869 ) ( 47,680,063 ) Net realized and unrealized gain (loss) 3,968,176 10,224,384 111,602,933 ( 74,201,809 ) Net income (loss) $ 5,819,542 $ 10,134,080 $ 116,567,893 $ ( 76,683,035 ) See accompanying notes to financial statements. 3 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 282,353,267 $ 403,644,956 $ 339,591,638 $ 423,812,594 Addition of 650,000 , 450,000 , 3,650,000 and 5,050,000 shares, respectively 56,262,968 23,538,063 241,582,456 255,975,394 Redemption of 950,000 , 2,200,000 , 6,400,000 and 5,300,000 shares, respectively ( 82,737,030 ) ( 115,486,048 ) ( 436,043,240 ) ( 281,273,902 ) Net addition (redemption) of ( 300,000 ), ( 1,750,000 ), ( 2,750,000 ) and ( 250,000 ) shares, respectively ( 26,474,062 ) ( 91,947,985 ) ( 194,460,784 ) ( 25,298,508 ) Net investment income (loss) 1,851,366 ( 90,304 ) 4,964,960 ( 2,481,226 ) Net realized gain (loss) 30,285,323 27,694,574 125,091,802 ( 26,521,746 ) Change in net unrealized appreciation (depreciation) ( 26,317,147 ) ( 17,470,190 ) ( 13,488,869 ) ( 47,680,063 ) Net income (loss) 5,819,542 10,134,080 116,567,893 ( 76,683,035 ) Shareholders’ equity, end of period $ 261,698,747 $ 321,831,051 $ 261,698,747 $ 321,831,051 See accompanying notes to financial statements. 4 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ 116,567,893 $ ( 76,683,035 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 584,136,375 ) ( 1,119,341,677 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 626,824,736 1,130,832,801 Net amortization and accretion on short-term U.S. government and agency obligations ( 3,086,541 ) ( 491,158 ) Net realized (gain) loss on investments 25,807 86,512 Change in unrealized (appreciation) depreciation on investments 9,103 138,767 Decrease (Increase) in receivable on open futures contracts 54,294,387 21,641,411 Decrease (Increase) in interest receivable 200,839 ( 231,733 ) Increase (Decrease) in payable to Sponsor ( 144,914 ) 256,789 Increase (Decrease) in brokerage commissions and futures account fees payable ( 12,616 ) ( 95,868 ) Increase (Decrease) in payable on open futures contracts 2,625,055 2,882,905 Increase (Decrease) in non-recurring fees and expenses payable —  6,122 Net cash provided by (used in) operating activities 213,167,374 ( 40,998,164 ) Cash flow from financing activities Proceeds from addition of shares 241,582,456 255,975,394 Payment on shares redeemed ( 441,905,054 ) ( 287,399,032 ) Net cash provided by (used in) financing activities ( 200,322,598 ) ( 31,423,638 ) Net increase (decrease) in cash 12,844,776 ( 72,421,802 ) Cash, beginning of period 133,946,941 183,010,984 Cash, end of period $ 146,791,717 $ 110,589,182 See accompanying notes to financial statements. 5 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 264,043,695 and $ 313,413,683 , respectively) $ 264,081,088 $ 313,465,007 Cash 26,232,492 224,296,858 Segregated cash balances with brokers for futures contracts 31,197,841 76,813,658 Segregated cash balances with brokers for swap agreements 283,449,745 175,489,745 Unrealized appreciation on swap agreements 11,240,991 74,159,577 Receivable on open futures contracts —   8,466,027 Interest receivable 337,421 618,549 Total assets 616,539,578 873,309,421 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 8,912,592 13,545,014 Payable on open futures contracts 2,980,155 —   Brokerage commissions and futures account fees payable 2,674 7,154 Payable to Sponsor 519,825 662,979 Total liabilities 12,415,246 14,215,147 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 604,124,332 859,094,274 Total liabilities and shareholders’ equity $ 616,539,578 $ 873,309,421 Shares outstanding 17,143,096 28,393,096 Net asset value per share $ 35 .24 $ 30 .26 Market value per share (Note 2) $ 35 .28 $ 30 .31 See accompanying notes to financial statements. 6 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 44 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.407 % due 10/10/23 $ 50,000,000 $ 49,941,390 5.478 % due 10/17/23 90,000,000 89,801,811 5.499 % due 10/24/23 † 50,000,000 49,838,665 5.490 % due 11/14/23 50,000,000 49,683,770 5.497 % due 11/21/23 25,000,000 24,815,452 Total short-term U.S. government and agency obligations (cost $ 264,043,695 ) $ 264,081,088 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires December 2023 879 $ 78,055,200 $ 14,366,865 WTI Crude Oil - NYMEX, expires June 2024 920 74,630,400 10,551,545 WTI Crude Oil - NYMEX, expires December 2024 956 74,434,160 ( 188,490 ) $ 24,729,920 Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 % 10/06/23 $ 210,901,349 $ 1,869,634 Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 10/06/23 262,218,064 2,324,555 Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 10/06/23 151,363,911 1,607,761 Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.25 10/06/23 199,041,224 1,776,923 Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.30 10/06/23 157,428,427 3,662,118 Total Unrealized Appreciation $ 11,240,991 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of September 30, 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, 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. 7 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 5,340,428 $ 2,391,191 $ 17,226,428 $ 3,964,082 Expenses Management fee 1,629,737 2,118,088 5,249,353 8,301,804 Brokerage commissions 51,162 85,906 239,809 421,657 Futures account fees —   19,466 —   381,754 Non-recurring fees and expenses —   13,739 —   13,739 Total expenses 1,680,899 2,237,199 5,489,162 9,118,954 Net investment income (loss) 3,659,529 153,992 11,737,266 ( 5,154,872 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 45,265,209 ( 58,028,223 ) 85,471,042 452,879,319 Swap agreements 199,284,914 ( 286,550,709 ) 168,504,091 365,260,911 Short-term U.S. government and agency obligations 120 —   ( 59,258 ) ( 7,789 ) Net realized gain (loss) 244,550,243 ( 344,578,932 ) 253,915,875 818,132,441 Change in net unrealized appreciation (depreciation) on Futures contracts 15,311,614 ( 62,302,727 ) ( 1,561,796 ) ( 151,303,453 ) Swap agreements 12,933,232 28,330,957 ( 62,918,586 ) ( 187,884,491 ) Short-term U.S. government and agency obligations ( 67,874 ) 723,596 ( 13,931 ) ( 268,326 ) Change in net unrealized appreciation (depreciation) 28,176,972 ( 33,248,174 ) ( 64,494,313 ) ( 339,456,270 ) Net realized and unrealized gain (loss) 272,727,215 ( 377,827,106 ) 189,421,562 478,676,171 Net income (loss) $ 276,386,744 $ ( 377,673,114 ) $ 201,158,828 $ 473,521,299 See accompanying notes to financial statements. 8 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 738,194,368 $ 1,060,867,238 $ 859,094,274 $ 1,103,783,570 Addition of – , 10,400,000 , 34,650,000 and 20,700,000 shares, respectively —   335,779,871 812,713,784 738,516,557 Redemption of 13,950,000 , 8,250,000 , 45,900,000 and 44,300,000 shares, respectively ( 410,456,780 ) ( 294,378,733 ) ( 1,268,842,554 ) ( 1,591,226,164 ) Net addition (redemption) of ( 13,950,000 ), 2,150,000 , ( 11,250,000 ) and ( 23,600,000 ) shares, respectively ( 410,456,780 ) 41,401,138 ( 456,128,770 ) ( 852,709,607 ) Net investment income (loss) 3,659,529 153,992 11,737,266 ( 5,154,872 ) Net realized gain (loss) 244,550,243 ( 344,578,932 ) 253,915,875 818,132,441 Change in net unrealized appreciation (depreciation) 28,176,972 ( 33,248,174 ) ( 64,494,313 ) ( 339,456,270 ) Net income (loss) 276,386,744 ( 377,673,114 ) 201,158,828 473,521,299 Shareholders’ equity, end of period $ 604,124,332 $ 724,595,262 $ 604,124,332 $ 724,595,262 See accompanying notes to financial statements. 9 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ 201,158,828 $ 473,521,299 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 9,133,783,770 ) ( 13,891,053,120 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 9,194,559,106 14,207,412,141 Net amortization and accretion on short-term U.S. government and agency obligations ( 11,464,606 ) ( 2,942,264 ) Net realized (gain) loss on investments 59,258 7,789 Change in unrealized (appreciation) depreciation on investments 62,932,517 188,152,817 Decrease (Increase) in receivable on open futures contracts 8,466,027 ( 891,736 ) Decrease (Increase) in interest receivable 281,128 ( 317,244 ) Increase (Decrease) in payable to Sponsor ( 143,154 ) 493,818 Increase (Decrease) in brokerage commissions and futures account fees payable ( 4,480 ) ( 18,209 ) Increase (Decrease) in payable on open futures contracts 2,980,155 ( 22,405,789 ) Increase (Decrease) in non-recurring fees and expenses payable —  13,739 Net cash provided by (used in) operating activities 325,041,009 951,973,241 Cash flow from financing activities Proceeds from addition of shares 812,713,784 738,516,557 Payment on shares redeemed ( 1,273,474,976 ) ( 1,574,816,957 ) Net cash provided by (used in) financing activities ( 460,761,192 ) ( 836,300,400 ) Net increase (decrease) in cash ( 135,720,183 ) 115,672,841 Cash, beginning of period 476,600,261 217,287,389 Cash, end of period $ 340,880,078 $ 332,960,230 See accompanying notes to financial statements. 10 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 303,815,641 and $ 263,209,299 , respectively) $ 303,858,387 $ 263,260,158 Cash 24,873,663 13,689,494 Segregated cash balances with brokers for futures contracts 379,123,011 163,045,170 Segregated cash balances with brokers for swap agreements 74,778,263 —   Receivable on open futures contracts 126,823,271 149,650,221 Interest receivable 1,484,336 653,922 Total assets 910,940,931 590,298,965 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 32,487,150 1,826,653 Payable on open futures contracts 5,930,098 1,835,443 Brokerage commissions and futures account fees payable 36,861 35,242 Payable to Sponsor 709,247 450,514 Unrealized depreciation on swap agreements 1,438,294 —   Total liabilities 40,601,650 4,147,852 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 870,339,281 586,151,113 Total liabilities and shareholders’ equity $ 910,940,931 $ 590,298,965 Shares outstanding (Note 1) 16,118,544 1,614,376 Net asset value per share (Note 1) $ 54 .00 $ 363 .08 Market value per share (Note 1) (Note 2) $ 54 .38 $ 355 .60 See accompanying notes to financial statements. 11 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 35 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.407 % due 10/10/23 $ 50,000,000 $ 49,941,390 5.478 % due 10/17/23 100,000,000 99,779,790 5.499 % due 10/24/23 † 55,000,000 54,822,532 5.490 % due 11/14/23 50,000,000 49,683,770 5.497 % due 11/21/23 † 50,000,000 49,630,905 Total short-term U.S. government and agency obligations (cost $ 303,815,641 ) $ 303,858,387 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/ Value Natural Gas - NYMEX, expires November 2023 50,182 $ 1,469,830,780 $ ( 114,592,473 ) Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Natural Gas Subindex 0.50 % 10/06/23 $ 132,651,213 $ ( 706,090 ) Swap agreement with Goldman Sachs International based on Bloomberg Natural Gas Subindex 0.50 10/06/23 90,634,449 ( 482,438 ) Swap agreement with Societe General based on Bloomberg Natural Gas Subindex 0.32 10/06/23 47,221,373 ( 245,972 ) Swap agreement with UBS AG based on Bloomberg Natural Gas Subindex 0.35 10/06/23 725,704 ( 3,794 ) Total Unrealized Depreciation $ ( 1,438,294 ) † All or partial amount pledged as collateral for futures contracts. ^ The positions and counterparties herein are as of September 30, 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, 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. 12 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 9,098,504 $ 909,204 $ 26,923,732 $ 1,095,255 Expenses Management fee 2,303,082 658,525 7,220,063 1,589,759 Brokerage commissions 629,541 97,589 2,727,691 300,747 Futures account fees 131,828 43,620 531,306 177,950 Non-recurring fees and expenses —   4,791 —   4,791 Total expenses 3,064,451 804,525 10,479,060 2,073,247 Net investment income (loss) 6,034,053 104,679 16,444,672 ( 977,992 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 221,454,698 ( 5,889,116 ) ( 1,418,539,604 ) 235,322,266 Swap agreements 15,625,140 —   ( 22,895,121 ) —   Short-term U.S. government and agency obligations 198 ( 4,181 ) ( 7,018 ) ( 7,633 ) Net realized gain (loss) 237,080,036 ( 5,893,297 ) ( 1,441,441,743 ) 235,314,633 Change in net unrealized appreciation (depreciation) on Futures contracts ( 362,927,910 ) 97,063,212 196,021,496 ( 89,157,584 ) Swap agreements ( 47,526,551 ) —   ( 1,438,294 ) —   Short-term U.S. government and agency obligations ( 17,784 ) 158,315 ( 8,113 ) ( 41,614 ) Change in net unrealized appreciation (depreciation) ( 410,472,245 ) 97,221,527 194,575,089 ( 89,199,198 ) Net realized and unrealized gain (loss) ( 173,392,209 ) 91,328,230 ( 1,246,866,654 ) 146,115,435 Net income (loss) $ ( 167,358,156 ) $ 91,432,909 $ ( 1,230,421,982 ) $ 145,137,443 See accompanying notes to financial statements. 13 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 1,141,021,278 $ 187,297,842 $ 586,151,113 $ 193,892,178 Addition of 12,950,000 , 300,000 , 45,715,000 and 755,000 shares, respectively (Note 1) 739,093,446 425,638,048 3,899,918,459 1,063,004,747 Redemption of 13,253,332 , 265,000 , 31,210,832 and 862,500 shares, respectively (Note 1) ( 842,417,287 ) ( 414,982,702 ) ( 2,385,308,309 ) ( 1,112,648,271 ) Net addition (redemption) of ( 303,332 ), 35,000 , 14,504,168 and ( 107,500 ) shares, respectively (Note 1) ( 103,323,841 ) 10,655,346 1,514,610,150 ( 49,643,524 ) Net investment income (loss) 6,034,053 104,679 16,444,672 ( 977,992 ) Net realized gain (loss) 237,080,036 ( 5,893,297 ) ( 1,441,441,743 ) 235,314,633 Change in net unrealized appreciation (depreciation) ( 410,472,245 ) 97,221,527 194,575,089 ( 89,199,198 ) Net income (loss) ( 167,358,156 ) 91,432,909 ( 1,230,421,982 ) 145,137,443 Shareholders’ equity, end of period $ 870,339,281 $ 289,386,097 $ 870,339,281 $ 289,386,097 See accompanying notes to financial statements. 14 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ ( 1,230,421,982 ) $ 145,137,443 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 10,927,044,661 ) ( 750,045,262 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 10,897,274,725 734,916,266 Net amortization and accretion on short-term U.S. government and agency obligations ( 10,843,424 ) ( 561,077 ) Net realized (gain) loss on investments 7,018 7,633 Change in unrealized (appreciation) depreciation on investments 1,446,407 41,614 Decrease (Increase) in receivable on open futures contracts 22,826,950 ( 36,015,281 ) Decrease (Increase) in interest receivable ( 830,414 ) ( 157,395 ) Increase (Decrease) in payable to Sponsor 258,733 294,750 Increase (Decrease) in brokerage commissions and futures account fees payable 1,619 ( 48,246 ) Increase (Decrease) in payable on open futures contracts 4,094,655 1,186,502 Increase (Decrease) in non-recurring fees and expenses payable —  4,791 Net cash provided by (used in) operating activities ( 1,243,230,374 ) 94,761,738 Cash flow from financing activities Proceeds from addition of shares 3,899,918,459 1,083,453,488 Payment on shares redeemed ( 2,354,647,812 ) ( 1,109,986,578 ) Net cash provided by (used in) financing activities 1,545,270,647 ( 26,533,090 ) Net increase (decrease) in cash 302,040,273 68,228,648 Cash, beginning of period 176,734,664 54,135,725 Cash, end of period $ 478,774,937 $ 122,364,373 See accompanying notes to financial statements. 15 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Cash $ 5,923,008 $ 9,156,418 Segregated cash balances with brokers for foreign currency forward contracts 803,000 1,103,000 Unrealized appreciation on foreign currency forward contracts 867 514,115 Interest receivable 25,385 40,421 Total assets 6,752,260 10,813,954 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 5,200 10,833 Unrealized depreciation on foreign currency forward contracts 223,579 98,459 Total liabilities 228,779 109,292 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 6,523,481 10,704,662 Total liabilities and shareholders’ equity $ 6,752,260 $ 10,813,954 Shares outstanding 600,000 950,000 Net asset value per share $ 10 .87 $ 11 .27 Market value per share (Note 2) $ 10 .85 $ 11 .26 See accompanying notes to financial statements. 16 Table of Contents PROSHARES ULTRA EURO SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Euro with Goldman Sachs International 10/06/23 7,691,921 $ 8,134,350 $ ( 136,003 ) Euro with UBS AG 10/06/23 4,954,502 5,239,479 ( 87,576 ) Total Unrealized Depreciation $ ( 223,579 ) Contracts to Sell Euro with UBS AG 10/06/23 ( 323,000 ) $ ( 341,578 ) $ 867 Total Unrealized Appreciation $ 867 ^ The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. See accompanying notes to financial statements. 17 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 80,746 $ 36,856 $ 266,165 $ 47,965 Expenses Management fee 16,999 31,331 61,096 66,646 Non-recurring fees and expenses —   237 —   237 Total expenses 16,999 31,568 61,096 66,883 Net investment income (loss) 63,747 5,288 205,069 ( 18,918 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 22,385 ) ( 1,618,381 ) 336,185 ( 2,505,776 ) Short-term U.S. government and agency obligations —   —   —   ( 5,949 ) Net realized gain (loss) ( 22,385 ) ( 1,618,381 ) 336,185 ( 2,511,725 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 462,400 ) ( 98,836 ) ( 638,368 ) ( 513,883 ) Short-term U.S. government and agency obligations —   3,824 —   ( 844 ) Change in net unrealized appreciation (depreciation) ( 462,400 ) ( 95,012 ) ( 638,368 ) ( 514,727 ) Net realized and unrealized gain (loss) ( 484,785 ) ( 1,713,393 ) ( 302,183 ) ( 3,026,452 ) Net income (loss) $ ( 421,038 ) $ ( 1,708,105 ) $ ( 97,114 ) $ ( 3,045,370 ) See accompanying notes to financial statements. 18 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 7,535,435 $ 9,415,626 $ 10,704,662 $ 8,659,095 Addition of — , 700,000 , 200,000 and 1,250,000 shares, respectively —   7,168,239 2,296,437 13,537,061 Redemption of 50,000 , 100,000 , 550,000 and 450,000 shares, respectively ( 590,916 ) ( 1,006,389 ) ( 6,380,504 ) ( 5,281,415 ) Net addition (redemption) of ( 50,000 ), 600,000 , ( 350,000 ) and 800,000 shares, respectively ( 590,916 ) 6,161,850 ( 4,084,067 ) 8,255,646 Net investment income (loss) 63,747 5,288 205,069 ( 18,918 ) Net realized gain (loss) ( 22,385 ) ( 1,618,381 ) 336,185 ( 2,511,725 ) Change in net unrealized appreciation (depreciation) ( 462,400 ) ( 95,012 ) ( 638,368 ) ( 514,727 ) Net income (loss) ( 421,038 ) ( 1,708,105 ) ( 97,114 ) ( 3,045,370 ) Shareholders’ equity, end of period $ 6,523,481 $ 13,869,371 $ 6,523,481 $ 13,869,371 See accompanying notes to financial statements. 19 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ ( 97,114 ) $ ( 3,045,370 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations —  ( 5,984,290 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations —  6,290,250 Net amortization and accretion on short-term U.S. government and agency obligations —  ( 11,431 ) Net realized (gain) loss on investments —  5,949 Change in unrealized (appreciation) depreciation on investments 638,368 514,727 Decrease (Increase) in interest receivable 15,036 ( 13,185 ) Increase (Decrease) in payable to Sponsor ( 5,633 ) 18,088 Increase (Decrease) in non-recurring fees and expenses payable —  237 Net cash provided by (used in) operating activities 550,657 ( 2,225,025 ) Cash flow from financing activities Proceeds from addition of shares 2,296,437 13,058,757 Payment on shares redeemed ( 6,380,504 ) ( 5,281,415 ) Net cash provided by (used in) financing activities ( 4,084,067 ) 7,777,342 Net increase (decrease) in cash ( 3,533,410 ) 5,552,317 Cash, beginning of period 10,259,418 7,582,458 Cash, end of period $ 6,726,008 $ 13,134,775 See accompanying notes to financial statements. 20 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 109,649,343 and $ 129,100,287 , respectively) $ 109,664,879 $ 129,123,489 Cash 11,124,533 16,568,417 Segregated cash balances with brokers for futures contracts 2,074,800 2,611,350 Segregated cash balances with brokers for swap agreements 35,494,971 18,730,000 Unrealized appreciation on swap agreements —   6,496,466 Receivable on open futures contracts —   8,169 Interest receivable 73,655 126,595 Total assets 158,432,838 173,664,486 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 264,526 —   Payable to Sponsor 128,566 140,350 Unrealized depreciation on swap agreements 10,343,189 —   Total liabilities 10,736,281 140,350 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 147,696,557 173,524,136 Total liabilities and shareholders’ equity $ 158,432,838 $ 173,664,486 Shares outstanding 2,800,000 3,150,000 Net asset value per share $ 52 .75 $ 55 .09 Market value per share (Note 2) $ 52 .60 $ 55 .27 See accompanying notes to financial statements. 21 Table of Contents PROSHARES ULTRA GOLD SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 74 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.407 % due 10/10/23 $ 25,000,000 $ 24,970,695 5.478 % due 10/17/23 40,000,000 39,911,916 5.499 % due 10/24/23 25,000,000 24,919,333 5.490 % due 11/14/23 † 10,000,000 9,936,754 5.497 % due 11/21/23 10,000,000 9,926,181 Total short-term U.S. government and agency obligations (cost $ 109,649,343 ) $ 109,664,879 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires December 2023 264 $ 49,265,040 $ ( 2,617,740 ) Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/ Value Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex 0.25 % 10/06/23 $ 105,703,033 $ ( 4,441,216 ) Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.25 10/06/23 50,205,597 ( 2,109,437 ) Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 10/06/23 90,264,166 ( 3,792,536 ) Total Unrealized Depreciation $ ( 10,343,189 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of September 30, 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, 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. 22 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 1,837,846 $ 678,282 $ 5,470,056 $ 1,092,549 Expenses Management fee 417,418 475,457 1,318,793 1,863,020 Brokerage commissions 5,346 8,176 20,886 43,899 Futures account fees —   —   —   28,169 Non-recurring fees and expenses —   2,940 —   2,940 Total expenses 422,764 486,573 1,339,679 1,938,028 Net investment income (loss) 1,415,082 191,709 4,130,377 ( 845,479 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 6,609,223 ) ( 13,871,427 ) 1,311,944 ( 22,577,746 ) Swap agreements ( 10,266,780 ) ( 25,954,159 ) 9,808,518 ( 17,330,327 ) Short-term U.S. government and agency obligations 138 ( 708 ) ( 28,324 ) ( 708 ) Net realized gain (loss) ( 16,875,865 ) ( 39,826,294 ) 11,092,138 ( 39,908,781 ) Change in net unrealized appreciation (depreciation) on Futures contracts 2,767,991 2,305,467 ( 5,859,828 ) ( 2,281,936 ) Swap agreements ( 3,290,106 ) ( 234,566 ) ( 16,839,655 ) ( 15,325,612 ) Short-term U.S. government and agency obligations ( 18,571 ) 151,932 ( 7,666 ) ( 19,087 ) Change in net unrealized appreciation (depreciation) ( 540,686 ) 2,222,833 ( 22,707,149 ) ( 17,626,635 ) Net realized and unrealized gain (loss) ( 17,416,551 ) ( 37,603,461 ) ( 11,615,011 ) ( 57,535,416 ) Net income (loss) $ ( 16,001,469 ) $ ( 37,411,752 ) $ ( 7,484,634 ) $ ( 58,380,895 ) See accompanying notes to financial statements. 23 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 180,916,531 $ 239,938,853 $ 173,524,136 $ 232,780,534 Addition of 50,000 , 50,000 , 500,000 and 1,650,000 shares, respectively 3,076,173 2,645,499 31,285,647 104,903,214 Redemption of 350,000 , 900,000 , 850,000 and 2,150,000 shares, respectively ( 20,294,678 ) ( 45,150,308 ) ( 49,628,592 ) ( 119,280,561 ) Net addition (redemption) of ( 300,000 ), ( 850,000 ), ( 350,000 ) and ( 500,000 ) shares, respectively ( 17,218,505 ) ( 42,504,809 ) ( 18,342,945 ) ( 14,377,347 ) Net investment income (loss) 1,415,082 191,709 4,130,377 ( 845,479 ) Net realized gain (loss) ( 16,875,865 ) ( 39,826,294 ) 11,092,138 ( 39,908,781 ) Change in net unrealized appreciation (depreciation) ( 540,686 ) 2,222,833 ( 22,707,149 ) ( 17,626,635 ) Net income (loss) ( 16,001,469 ) ( 37,411,752 ) ( 7,484,634 ) ( 58,380,895 ) Shareholders’ equity, end of period $ 147,696,557 $ 160,022,292 $ 147,696,557 $ 160,022,292 See accompanying notes to financial statements. 24 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ ( 7,484,634 ) $ ( 58,380,895 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 886,531,310 ) ( 913,776,847 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 909,750,482 978,997,411 Net amortization and accretion on short-term U.S. government and agency obligations ( 3,796,552 ) ( 903,566 ) Net realized (gain) loss on investments 28,324 708 Change in unrealized (appreciation) depreciation on investments 16,847,321 15,344,699 Decrease (Increase) in receivable on open futures contracts 8,169 823,707 Decrease (Increase) in interest receivable 52,940 ( 39,702 ) Increase (Decrease) in payable to Sponsor ( 11,784 ) 125,445 Increase (Decrease) in brokerage commissions and futures account fees payable —  ( 4,034 ) Increase (Decrease) in payable on open futures contracts 264,526 —   Increase (Decrease) in non-recurring fees and expenses payable —  2,940 Net cash provided by (used in) operating activities 29,127,482 22,189,866 Cash flow from financing activities Proceeds from addition of shares 31,285,647 104,903,214 Payment on shares redeemed ( 49,628,592 ) ( 119,280,561 ) Net cash provided by (used in) financing activities ( 18,342,945 ) ( 14,377,347 ) Net increase (decrease) in cash 10,784,537 7,812,519 Cash, beginning of period 37,909,767 15,422,082 Cash, end of period $ 48,694,304 $ 23,234,601 See accompanying notes to financial statements. 25 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 199,247,238 and $ 228,617,421 , respectively) $ 199,275,356 $ 228,657,634 Cash 16,864,895 74,136,821 Segregated cash balances with brokers for futures contracts 14,064,000 19,452,250 Segregated cash balances with brokers for swap agreements 121,550,121 56,423,000 Unrealized appreciation on swap agreements —   39,224,212 Interest receivable 211,212 300,712 Total assets 351,965,584 418,194,629 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   1,615,382 Payable on open futures contracts 2,071,169 1,948,902 Payable to Sponsor 281,601 344,467 Unrealized depreciation on swap agreements 21,616,739 —   Total liabilities 23,969,509 3,908,751 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 327,996,075 414,285,878 Total liabilities and shareholders’ equity $ 351,965,584 $ 418,194,629 Shares outstanding 13,246,526 13,046,526 Net asset value per share $ 24 .76 $ 31 .75 Market value per share (Note 2) $ 24 .61 $ 32 .00 See accompanying notes to financial statements. 26 Table of Contents PROSHARES ULTRA SILVER SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 61 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.407 % due 10/10/23 $ 25,000,000 $ 24,970,695 5.478 % due 10/17/23 90,000,000 89,801,811 5.499 % due 10/24/23 25,000,000 24,919,332 5.490 % due 11/14/23 † 25,000,000 24,841,885 5.497 % due 11/21/23 35,000,000 34,741,633 Total short-term U.S. government and agency obligations (cost $ 199,247,238 ) $ 199,275,356 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires December 2023 1,756 $ 197,111,000 $ ( 6,167,328 ) Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/ Value Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex 0.25 % 10/06/23 $ 159,867,323 $ ( 7,524,763 ) Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.30 10/06/23 21,119,991 ( 994,790 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 10/06/23 143,290,980 ( 6,749,262 ) Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 10/06/23 134,864,794 ( 6,347,924 ) Total Unrealized Depreciation $ ( 21,616,739 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of September 30, 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, 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. 27 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 3,343,905 $ 824,171 $ 10,419,483 $ 1,386,134 Expenses Management fee 892,009 798,802 2,740,073 3,098,741 Brokerage commissions 27,874 34,796 101,511 94,079 Futures account fees —   —   —   26,693 Non-recurring fees and expenses —   5,922 —   5,922 Total expenses 919,883 839,520 2,841,584 3,225,435 Net investment income (loss) 2,424,022 ( 15,349 ) 7,577,899 ( 1,839,301 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 14,704,230 ) ( 13,577,109 ) 6,035,306 ( 30,191,493 ) Swap agreements ( 15,547,180 ) ( 133,807,652 ) ( 368,280 ) ( 156,750,416 ) Short-term U.S. government and agency obligations —   ( 6,553 ) ( 46,857 ) ( 7,717 ) Net realized gain (loss) ( 30,251,410 ) ( 147,391,314 ) 5,620,169 ( 186,949,626 ) Change in net unrealized appreciation (depreciation) on Futures contracts 3,810,588 3,988,709 ( 35,593,902 ) ( 2,835,777 ) Swap agreements ( 3,571,377 ) 87,216,478 ( 60,840,951 ) ( 13,787,151 ) Short-term U.S. government and agency obligations ( 20,937 ) 272,285 ( 12,095 ) ( 71,644 ) Change in net unrealized appreciation (depreciation) 218,274 91,477,472 ( 96,446,948 ) ( 16,694,572 ) Net realized and unrealized gain (loss) ( 30,033,136 ) ( 55,913,842 ) ( 90,826,779 ) ( 203,644,198 ) Net income (loss) $ ( 27,609,114 ) $ ( 55,929,191 ) $ ( 83,248,880 ) $ ( 205,483,499 ) See accompanying notes to financial statements. 28 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 356,791,659 $ 355,577,515 $ 414,285,878 $ 515,453,594 Addition of 1,500,000 , 2,450,000 , 4,100,000 and 4,250,000 shares, respectively 42,340,032 52,469,935 114,264,874 118,129,234 Redemption of 1,450,000 , 1,250,000 , 3,900,000 and 3,500,000 shares, respectively ( 43,526,502 ) ( 28,147,396 ) ( 117,305,797 ) ( 104,128,466 ) Net addition (redemption) of 50,000 , 1,200,000 , 200,000 and 750,000 shares, respectively ( 1,186,470 ) 24,322,539 ( 3,040,923 ) 14,000,768 Net investment income (loss) 2,424,022 ( 15,349 ) 7,577,899 ( 1,839,301 ) Net realized gain (loss) ( 30,251,410 ) ( 147,391,314 ) 5,620,169 ( 186,949,626 ) Change in net unrealized appreciation (depreciation) 218,274 91,477,472 ( 96,446,948 ) ( 16,694,572 ) Net income (loss) ( 27,609,114 ) ( 55,929,191 ) ( 83,248,880 ) ( 205,483,499 ) Shareholders’ equity, end of period $ 327,996,075 $ 323,970,863 $ 327,996,075 $ 323,970,863 See accompanying notes to financial statements. 29 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ ( 83,248,880 ) $ ( 205,483,499 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 2,785,919,203 ) ( 2,619,720,954 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 2,822,588,221 2,909,963,011 Net amortization and accretion on short-term U.S. government and agency obligations ( 7,345,692 ) ( 1,060,031 ) Net realized (gain) loss on investments 46,857 7,717 Change in unrealized (appreciation) depreciation on investments 60,853,046 13,858,795 Decrease (Increase) in receivable on open futures contracts —   ( 314,479 ) Decrease (Increase) in interest receivable 89,500 ( 72,051 ) Increase (Decrease) in payable to Sponsor ( 62,866 ) 143,880 Increase (Decrease) in brokerage commissions and futures account fees payable —  ( 9,833 ) Increase (Decrease) in payable on open futures contracts 122,267 —   Increase (Decrease) in non-recurring fees and expenses payable —  5,922 Net cash provided by (used in) operating activities 7,123,250 97,318,478 Cash flow from financing activities Proceeds from addition of shares 114,264,874 113,960,240 Payment on shares redeemed ( 118,921,179 ) ( 107,612,236 ) Net cash provided by (used in) financing activities ( 4,656,305 ) 6,348,004 Net increase (decrease) in cash 2,466,945 103,666,482 Cash, beginning of period 150,012,071 25,488,503 Cash, end of period $ 152,479,016 $ 129,154,985 See accompanying notes to financial statements. 30 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 84,569,073 and $ 34,728,989 , respectively) $ 84,581,081 $ 34,732,372 Cash 20,004,039 71,086,482 Segregated cash balances with brokers for futures contracts 133,149,681 323,761,025 Receivable from capital shares sold 9,725,630 —   Receivable on open futures contracts 41,678,702 209,470,270 Interest receivable 689,129 1,246,402 Total assets 289,828,262 640,296,551 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 6,477,149 —   Payable on open futures contracts —   348,988 Brokerage commissions and futures account fees payable 34,400 58,772 Payable to Sponsor 266,022 570,429 Total liabilities 6,777,571 978,189 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 283,050,691 639,318,362 Total liabilities and shareholders’ equity $ 289,828,262 $ 640,296,551 Shares outstanding (Note 1) 17,474,459 9,307,842 Net asset value per share (Note 1) $ 16 .20 $ 68 .69 Market value per share (Note 1) (Note 2) $ 16 .21 $ 68 .60 See accompanying notes to financial statements. 31 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 30 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.478 % due 10/17/23 $ 10,000,000 $ 9,977,979 5.499 % due 10/24/23 25,000,000 24,919,332 5.490 % due 11/14/23 50,000,000 49,683,770 Total short-term U.S. government and agency obligations (cost $ 84,569,073 ) $ 84,581,081 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires October 2023 14,181 $ 252,013,387 $ 26,387,450 VIX Futures - Cboe, expires November 2023 9,464 172,682,983 2,622,041 $ 29,009,491 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 32 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 3,255,531 $ 3,945,136 $ 12,422,781 $ 4,471,067 Expenses Management fee 803,793 2,831,005 3,507,644 7,085,920 Brokerage commissions 517,699 1,276,819 2,007,911 3,183,788 Futures account fees 103,793 219,828 354,153 1,446,639 Non-recurring fees and expenses —   20,117 —   20,117 Total expenses 1,425,285 4,347,769 5,869,708 11,736,464 Net investment income (loss) 1,830,246 ( 402,633 ) 6,553,073 ( 7,265,397 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 142,584,115 ) ( 289,871,717 ) ( 751,122,089 ) 59,605,816 Swap agreements —   —   —   22,556,586 Short-term U.S. government and agency obligations ( 141 ) ( 2,037 ) ( 3,731 ) ( 355,124 ) Net realized gain (loss) ( 142,584,256 ) ( 289,873,754 ) ( 751,125,820 ) 81,807,278 Change in net unrealized appreciation (depreciation) on Futures contracts 108,839,211 161,330,331 65,564,944 323,131,606 Swap agreements —   —   —   477,437 Short-term U.S. government and agency obligations 12,008 414,952 8,625 ( 129,295 ) Change in net unrealized appreciation (depreciation) 108,851,219 161,745,283 65,573,569 323,479,748 Net realized and unrealized gain (loss) ( 33,733,037 ) ( 128,128,471 ) ( 685,552,251 ) 405,287,026 Net income (loss) $ ( 31,902,791 ) $ ( 128,531,104 ) $ ( 678,999,178 ) $ 398,021,629 See accompanying notes to financial statements. 33 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 387,764,059 $ 975,683,533 $ 639,318,362 $ 816,679,636 Addition of 13,400,000 , 9,340,000 , 34,710,000 and 23,490,000 shares, respectively (Note 1) 217,623,291 1,064,364,417 1,109,114,165 3,035,837,360 Redemption of 16,903,383 , 8,330,000 , 26,543,383 and 22,340,000 shares, respectively (Note 1) ( 290,433,868 ) ( 916,027,068 ) ( 786,382,658 ) ( 3,255,048,847 ) Net addition (redemption) of ( 3,503,383 ), 1,010,000 , 8,166,617 and 1,150,000 shares, respectively (Note 1) ( 72,810,577 ) 148,337,349 322,731,507 ( 219,211,487 ) Net investment income (loss) 1,830,246 ( 402,633 ) 6,553,073 ( 7,265,397 ) Net realized gain (loss) ( 142,584,256 ) ( 289,873,754 ) ( 751,125,820 ) 81,807,278 Change in net unrealized appreciation (depreciation) 108,851,219 161,745,283 65,573,569 323,479,748 Net income (loss) ( 31,902,791 ) ( 128,531,104 ) ( 678,999,178 ) 398,021,629 Shareholders’ equity, end of period $ 283,050,691 $ 995,489,778 $ 283,050,691 $ 995,489,778 See accompanying notes to financial statements. 34 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ ( 678,999,178 ) $ 398,021,629 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 1,439,995,575 ) ( 4,540,406,696 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,392,250,029 4,489,474,762 Net amortization and accretion on short-term U.S. government and agency obligations ( 2,098,269 ) ( 1,094,279 ) Net realized (gain) loss on investments 3,731 355,124 Change in unrealized (appreciation) depreciation on investments ( 8,625 ) ( 348,142 ) Decrease (Increase) in receivable on open futures contracts 167,791,568 ( 228,922,727 ) Decrease (Increase) in interest receivable 557,273 ( 1,045,845 ) Increase (Decrease) in payable to Sponsor ( 304,407 ) 1,301,939 Increase (Decrease) in brokerage commissions and futures account fees payable ( 24,372 ) ( 101,787 ) Increase (Decrease) in payable on open futures contracts ( 348,988 ) ( 9,447,456 ) Increase (Decrease) in non-recurring fees and expenses payable —  20,117 Net cash provided by (used in) operating activities ( 561,176,813 ) 107,806,639 Cash flow from financing activities Proceeds from addition of shares 1,099,388,535 3,035,837,360 Payment on shares redeemed ( 779,905,509 ) ( 3,218,451,554 ) Net cash provided by (used in) financing activities 319,483,026 ( 182,614,194 ) Net increase (decrease) in cash ( 241,693,787 ) ( 74,807,555 ) Cash, beginning of period 394,847,507 572,120,879 Cash, end of period $ 153,153,720 $ 497,313,324 See accompanying notes to financial statements. 35 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Cash $ 16,103,538 $ 11,444,958 Segregated cash balances with brokers for foreign currency forward contracts 1,937,000 1,357,000 Unrealized appreciation on foreign currency forward contracts 8,894 1,152,834 Interest receivable 60,530 39,204 Total assets 18,109,962 13,993,996 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 12,399 10,915 Unrealized depreciation on foreign currency forward contracts 589,315 168,285 Total liabilities 601,714 179,200 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 17,508,248 13,814,796 Total liabilities and shareholders’ equity $ 18,109,962 $ 13,993,996 Shares outstanding 699,970 399,970 Net asset value per share $ 25 .01 $ 34 .54 Market value per share (Note 2) $ 25 .00 $ 34 .56 See accompanying notes to financial statements. 36 Table of Contents PROSHARES ULTRA YEN SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Yen with Goldman Sachs International 10/06/23 2,355,724,056 $ 15,780,833 $ ( 268,253 ) Yen with UBS AG 10/06/23 2,976,699,856 19,940,707 ( 321,062 ) Total Unrealized Depreciation $ ( 589,315 ) Contracts to Sell Yen with UBS AG 10/06/23 ( 97,972,000 ) $ ( 656,308 ) $ 8,894 Total Unrealized Appreciation $ 8,894 ^ The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. See accompanying notes to financial statements. 37 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 174,354 $ 25,362 $ 409,452 $ 29,299 Expenses Management fee 35,968 21,245 91,858 34,710 Non-recurring fees and expenses —   194 —   194 Total expenses 35,968 21,439 91,858 34,904 Net investment income (loss) 138,386 3,923 317,594 ( 5,605 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 1,854,770 ) ( 1,652,590 ) ( 2,923,720 ) ( 2,532,839 ) Short-term U.S. government and agency obligations —   —   —   1,548 Net realized gain (loss) ( 1,854,770 ) ( 1,652,590 ) ( 2,923,720 ) ( 2,531,291 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts 277,206 ( 17,967 ) ( 1,564,970 ) ( 2,005 ) Short-term U.S. government and agency obligations —   3,286 —   ( 1,856 ) Change in net unrealized appreciation (depreciation) 277,206 ( 14,681 ) ( 1,564,970 ) ( 3,861 ) Net realized and unrealized gain (loss) ( 1,577,564 ) ( 1,667,271 ) ( 4,488,690 ) ( 2,535,152 ) Net income (loss) $ ( 1,439,178 ) $ ( 1,663,348 ) $ ( 4,171,096 ) $ ( 2,540,757 ) See accompanying notes to financial statements. 38 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 12,330,974 $ 5,024,773 $ 13,814,796 $ 2,362,849 Addition of 300,000 , 250,000 , 500,000 and 350,000 shares, respectively 8,063,291 8,285,325 14,320,409 11,824,658 Redemption of 50,000 , 50,000 , 200,000 and 50,000 shares, respectively ( 1,446,839 ) ( 1,487,561 ) ( 6,455,861 ) ( 1,487,561 ) Net addition (redemption) of 250,000 , 200,000 , 300,000 and 300,000 shares, respectively 6,616,452 6,797,764 7,864,548 10,337,097 Net investment income (loss) 138,386 3,923 317,594 ( 5,605 ) Net realized gain (loss) ( 1,854,770 ) ( 1,652,590 ) ( 2,923,720 ) ( 2,531,291 ) Change in net unrealized appreciation (depreciation) 277,206 ( 14,681 ) ( 1,564,970 ) ( 3,861 ) Net income (loss) ( 1,439,178 ) ( 1,663,348 ) ( 4,171,096 ) ( 2,540,757 ) Shareholders’ equity, end of period $ 17,508,248 $ 10,159,189 $ 17,508,248 $ 10,159,189 See accompanying notes to financial statements. 39 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ ( 4,171,096 ) $ ( 2,540,757 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations —  ( 995,769 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations —  1,548 Net amortization and accretion on short-term U.S. government and agency obligations —  ( 3,732 ) Net realized (gain) loss on investments —  ( 1,548 ) Change in unrealized (appreciation) depreciation on investments 1,564,970 3,861 Decrease (Increase) in interest receivable ( 21,326 ) ( 9,886 ) Increase (Decrease) in payable to Sponsor 1,484 14,302 Increase (Decrease) in non-recurring fees and expenses payable —  194 Net cash provided by (used in) operating activities ( 2,625,968 ) ( 3,531,787 ) Cash flow from financing activities Proceeds from addition of shares 14,320,409 11,824,658 Payment on shares redeemed ( 6,455,861 ) ( 1,487,561 ) Net cash provided by (used in) financing activities 7,864,548 10,337,097 Net increase (decrease) in cash 5,238,580 6,805,310 Cash, beginning of period 12,801,958 2,457,820 Cash, end of period $ 18,040,538 $ 9,263,130 See accompanying notes to financial statements. 40 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 184,272,303 and $ 89,407,308 , respectively) $ 184,298,349 $ 89,426,935 Cash 26,182,767 74,627,051 Segregated cash balances with brokers for futures contracts 76,076,031 65,184,460 Receivable from capital shares sold 7,585,012 41,694 Receivable on open futures contracts 3,557,787 1,604,847 Interest receivable 279,874 384,856 Total assets 297,979,820 231,269,843 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   1,257,090 Payable on open futures contracts 993,204 7,102,680 Brokerage commissions and futures account fees payable 4,433 4,134 Payable to Sponsor 205,717 208,602 Total liabilities 1,203,354 8,572,506 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 296,776,466 222,697,337 Total liabilities and shareholders’ equity $ 297,979,820 $ 231,269,843 Shares outstanding 17,605,220 9,305,220 Net asset value per share $ 16 .86 $ 23 .93 Market value per share (Note 2) $ 16 .82 $ 23 .85 See accompanying notes to financial statements. 41 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 62 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.407 % due 10/10/23 $ 25,000,000 $ 24,970,695 5.478 % due 10/17/23 70,000,000 69,845,853 5.499 % due 10/24/23 25,000,000 24,919,332 5.490 % due 11/14/23 40,000,000 39,747,016 5.497 % due 11/21/23 25,000,000 24,815,453 Total short-term U.S. government and agency obligations (cost $ 184,272,303 ) $ 184,298,349 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires December 2023 2,296 $ 203,884,800 $ ( 16,612,860 ) WTI Crude Oil - NYMEX, expires June 2024 2,404 195,012,480 ( 9,249,968 ) WTI Crude Oil - NYMEX, expires December 2024 2,500 194,650,000 822,565 $ ( 25,040,263 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 42 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 2,609,417 $ 1,748,548 $ 6,172,654 $ 2,091,754 Expenses Management fee 548,671 1,160,746 1,392,728 2,599,503 Brokerage commissions 54,549 148,121 180,385 332,256 Futures account fees —   39,563 —   195,542 Non-recurring fees and expenses —   7,548 —   7,548 Total expenses 603,220 1,355,978 1,573,113 3,134,849 Net investment income (loss) 2,006,197 392,570 4,599,541 ( 1,043,095 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 47,764,820 ) 66,444,885 7,896,254 ( 142,631,216 ) Short-term U.S. government and agency obligations 60 —   ( 11,723 ) —   Net realized gain (loss) ( 47,764,760 ) 66,444,885 7,884,531 ( 142,631,216 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 38,026,419 ) 76,797,273 ( 35,285,156 ) 113,723,566 Short-term U.S. government and agency obligations 8,060 190,676 6,419 ( 49,461 ) Change in net unrealized appreciation (depreciation) ( 38,018,359 ) 76,987,949 ( 35,278,737 ) 113,674,105 Net realized and unrealized gain (loss) ( 85,783,119 ) 143,432,834 ( 27,394,206 ) ( 28,957,111 ) Net income (loss) $ ( 83,776,922 ) $ 143,825,404 $ ( 22,794,665 ) $ ( 30,000,206 ) See accompanying notes to financial statements. 43 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 112,854,952 $ 501,157,304 $ 222,697,337 $ 114,167,602 Addition of 17,250,000 , 11,050,000 , 28,800,000 and 38,940,000 shares, respectively 345,709,147 263,018,131 622,896,585 1,051,908,930 Redemption of 4,050,000 , 20,650,000 , 20,500,000 and 28,561,540 shares, respectively ( 78,010,711 ) ( 539,209,750 ) ( 526,022,791 ) ( 767,285,237 ) Net addition (redemption) of 13,200,000 , ( 9,600,000 ), 8,300,000 and 10,378,460 shares, respectively 267,698,436 ( 276,191,619 ) 96,873,794 284,623,693 Net investment income (loss) 2,006,197 392,570 4,599,541 ( 1,043,095 ) Net realized gain (loss) ( 47,764,760 ) 66,444,885 7,884,531 ( 142,631,216 ) Change in net unrealized appreciation (depreciation) ( 38,018,359 ) 76,987,949 ( 35,278,737 ) 113,674,105 Net income (loss) ( 83,776,922 ) 143,825,404 ( 22,794,665 ) ( 30,000,206 ) Shareholders’ equity, end of period $ 296,776,466 $ 368,791,089 $ 296,776,466 $ 368,791,089 See accompanying notes to financial statements. 44 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ ( 22,794,665 ) $ ( 30,000,206 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 881,618,883 ) ( 5,037,566,739 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 789,898,469 4,974,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 3,156,304 ) ( 1,233,461 ) Net realized (gain) loss on investments 11,723 —  Change in unrealized (appreciation) depreciation on investments ( 6,419 ) 49,461 Decrease (Increase) in receivable on open futures contracts ( 1,952,940 ) ( 3,393,165 ) Decrease (Increase) in interest receivable 104,982 ( 329,488 ) Increase (Decrease) in payable to Sponsor ( 2,885 ) 639,427 Increase (Decrease) in brokerage commissions and futures account fees payable 299 3,314 Increase (Decrease) in payable on open futures contracts ( 6,109,476 ) 54,103 Increase (Decrease) in non-recurring fees and expenses payable —  7,548 Net cash provided by (used in) operating activities ( 125,626,099 ) ( 97,769,206 ) Cash flow from financing activities Proceeds from addition of shares 615,353,267 1,051,908,930 Payment on shares redeemed ( 527,279,881 ) ( 758,540,834 ) Net cash provided by (used in) financing activities 88,073,386 293,368,096 Net increase (decrease) in cash ( 37,552,713 ) 195,598,890 Cash, beginning of period 139,811,511 54,443,553 Cash, end of period $ 102,258,798 $ 250,042,443 See accompanying notes to financial statements. 45 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 19,932,661 and $ 61,469,726 , respectively) $ 19,935,466 $ 61,482,526 Cash 17,318,005 5,724,380 Segregated cash balances with brokers for futures contracts 50,351,496 38,758,160 Receivable from capital shares sold 12,292,429 —   Receivable on open futures contracts 11,619,568 33,637,888 Interest receivable 228,248 293,818 Total assets 111,745,212 139,896,772 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   5,365,196 Payable on open futures contracts —   282,362 Brokerage commissions and futures account fees payable 4,417 7,497 Payable to Sponsor 77,733 132,197 Total liabilities 82,150 5,787,252 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 111,663,062 134,109,520 Total liabilities and shareholders’ equity $ 111,745,212 $ 139,896,772 Shares outstanding 1,816,856 4,966,856 Net asset value per share $ 61 .46 $ 27 .00 Market value per share (Note 2) $ 61 .04 $ 27 .56 See accompanying notes to financial statements. 46 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 18 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.499 % due 10/24/23 $ 20,000,000 $ 19,935,466 Total short-term U.S. government and agency obligations (cost $ 19,932,661 ) $ 19,935,466 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires November 2023 7,624 $ 223,306,960 $ 23,776,317 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 47 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 1,476,050 $ 953,050 $ 4,007,691 $ 1,131,063 Expenses Management fee 304,567 730,949 903,703 1,784,017 Brokerage commissions 133,782 173,386 577,070 539,244 Futures account fees 23,941 48,485 80,308 255,370 Non-recurring fees and expenses —   5,374 —   5,374 Total expenses 462,290 958,194 1,561,081 2,584,005 Net investment income (loss) 1,013,760 ( 5,144 ) 2,446,610 ( 1,452,942 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 10,798,451 ) 8,173,631 221,346,621 ( 389,138,752 ) Short-term U.S. government and agency obligations ( 174 ) ( 57,864 ) ( 1,437 ) ( 116,673 ) Net realized gain (loss) ( 10,798,625 ) 8,115,767 221,345,184 ( 389,255,425 ) Change in net unrealized appreciation (depreciation) on Futures contracts 44,086,649 ( 23,776,729 ) ( 62,113,081 ) 116,857,361 Short-term U.S. government and agency obligations 173 309,345 ( 9,995 ) ( 32,689 ) Change in net unrealized appreciation (depreciation) 44,086,822 ( 23,467,384 ) ( 62,123,076 ) 116,824,672 Net realized and unrealized gain (loss) 33,288,197 ( 15,351,617 ) 159,222,108 ( 272,430,753 ) Net income (loss) $ 34,301,957 $ ( 15,356,761 ) $ 161,668,718 $ ( 273,883,695 ) See accompanying notes to financial statements. 48 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 141,324,963 $ 211,823,446 $ 134,109,520 $ 242,145,130 Addition of 5,500,000 , 58,900,000 , 19,350,000 and 82,240,000 shares, respectively 295,245,731 790,506,039 1,128,672,428 1,734,541,781 Redemption of 6,250,000 , 49,900,000 , 22,500,000 and 69,251,886 shares, respectively ( 359,209,589 ) ( 744,582,726 ) ( 1,312,787,604 ) ( 1,460,413,218 ) Net addition (redemption) of ( 750,000 ), 9,000,000 , ( 3,150,000 ) and 12,988,114 shares, respectively ( 63,963,858 ) 45,923,313 ( 184,115,176 ) 274,128,563 Net investment income (loss) 1,013,760 ( 5,144 ) 2,446,610 ( 1,452,942 ) Net realized gain (loss) ( 10,798,625 ) 8,115,767 221,345,184 ( 389,255,425 ) Change in net unrealized appreciation (depreciation) 44,086,822 ( 23,467,384 ) ( 62,123,076 ) 116,824,672 Net income (loss) 34,301,957 ( 15,356,761 ) 161,668,718 ( 273,883,695 ) Shareholders’ equity, end of period $ 111,663,062 $ 242,389,998 $ 111,663,062 $ 242,389,998 See accompanying notes to financial statements. 49 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ 161,668,718 $ ( 273,883,695 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 228,632,508 ) ( 641,286,804 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 271,472,626 680,730,195 Net amortization and accretion on short-term U.S. government and agency obligations ( 1,304,490 ) ( 447,861 ) Net realized (gain) loss on investments 1,437 116,673 Change in unrealized (appreciation) depreciation on investments 9,995 32,689 Decrease (Increase) in receivable on open futures contracts 22,018,320 ( 17,665,801 ) Decrease (Increase) in interest receivable 65,570 ( 278,702 ) Increase (Decrease) in payable to Sponsor ( 54,464 ) 354,079 Increase (Decrease) in brokerage commissions and futures account fees payable ( 3,080 ) ( 23,511 ) Increase (Decrease) in payable on open futures contracts ( 282,362 ) ( 8,542,438 ) Increase (Decrease) in non-recurring fees and expenses payable —  5,374 Net cash provided by (used in) operating activities 224,959,762 ( 260,889,802 ) Cash flow from financing activities Proceeds from addition of shares 1,116,379,999 1,734,541,781 Payment on shares redeemed ( 1,318,152,800 ) ( 1,464,617,750 ) Net cash provided by (used in) financing activities ( 201,772,801 ) 269,924,031 Net increase (decrease) in cash 23,186,961 9,034,229 Cash, beginning of period 44,482,540 113,000,927 Cash, end of period $ 67,669,501 $ 122,035,156 See accompanying notes to financial statements. 50 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ —  and $ 39,991,822 , respectively) $ —   $ 39,996,624 Cash 37,961,502 30,687,235 Segregated cash balances with brokers for foreign currency forward contracts 4,464,121 6,844,121 Unrealized appreciation on foreign currency forward contracts 1,585,136 193,192 Interest receivable 164,862 109,830 Total assets 44,175,621 77,831,002 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 34,405 63,375 Unrealized depreciation on foreign currency forward contracts 136,808 2,654,448 Total liabilities 171,213 2,717,823 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 44,004,408 75,113,179 Total liabilities and shareholders’ equity $ 44,175,621 $ 77,831,002 Shares outstanding 1,400,000 2,550,000 Net asset value per share $ 31 .43 $ 29 .46 Market value per share (Note 2) $ 31 .43 $ 29 .45 See accompanying notes to financial statements. 51 Table of Contents PROSHARES ULTRASHORT EURO SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Euro with Goldman Sachs International 10/06/23 486,000 $ 513,954 $ ( 5,789 ) Euro with UBS AG 10/06/23 10,804,000 11,425,433 ( 131,019 ) Total Unrealized Depreciation $ ( 136,808 ) Contracts to Sell Euro with Goldman Sachs International 10/06/23 ( 43,752,263 ) $ ( 46,268,836 ) $ 769,294 Euro with UBS AG 10/06/23 ( 50,970,199 ) ( 53,901,938 ) 815,842 Total Unrealized Appreciation $ 1,585,136 ^ The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. See accompanying notes to financial statements. 52 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 523,684 $ 230,824 $ 1,764,550 $ 285,240 Expenses Management fee 111,472 203,036 404,141 467,426 Non-recurring fees and expenses —   1,835 —   1,835 Total expenses 111,472 204,871 404,141 469,261 Net investment income (loss) 412,212 25,953 1,360,409 ( 184,021 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 122,866 ) 11,086,708 ( 2,576,119 ) 16,693,971 Short-term U.S. government and agency obligations —   —   —   210,974 Net realized gain (loss) ( 122,866 ) 11,086,708 ( 2,576,119 ) 16,904,945 Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts 3,207,102 ( 354,043 ) 3,909,584 3,049,081 Short-term U.S. government and agency obligations —   61,225 ( 4,802 ) ( 33,420 ) Change in net unrealized appreciation (depreciation) 3,207,102 ( 292,818 ) 3,904,782 3,015,661 Net realized and unrealized gain (loss) 3,084,236 10,793,890 1,328,663 19,920,606 Net income (loss) $ 3,496,448 $ 10,819,843 $ 2,689,072 $ 19,736,585 See accompanying notes to financial statements. 53 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 50,931,301 $ 62,270,097 $ 75,113,179 $ 54,263,045 Addition of – , 1,100,000 , 100,000 and 1,650,000 shares, respectively —   36,183,635 3,051,886 52,211,698 Redemption of 350,000 , 550,000 , 1,250,000 and 1,150,000 shares, respectively ( 10,423,341 ) ( 18,689,297 ) ( 36,849,729 ) ( 35,627,050 ) Net addition (redemption) of ( 350,000 ), 550,000 , ( 1,150,000 ) and 500,000 shares, respectively ( 10,423,341 ) 17,494,338 ( 33,797,843 ) 16,584,648 Net investment income (loss) 412,212 25,953 1,360,409 ( 184,021 ) Net realized gain (loss) ( 122,866 ) 11,086,708 ( 2,576,119 ) 16,904,945 Change in net unrealized appreciation (depreciation) 3,207,102 ( 292,818 ) 3,904,782 3,015,661 Net income (loss) 3,496,448 10,819,843 2,689,072 19,736,585 Shareholders’ equity, end of period $ 44,004,408 $ 90,584,278 $ 44,004,408 $ 90,584,278 See accompanying notes to financial statements. 54 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ 2,689,072 $ 19,736,585 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 54,925,175 ) ( 74,843,167 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 95,000,000 76,210,974 Net amortization and accretion on short-term U.S. government and agency obligations ( 83,003 ) ( 83,446 ) Net realized (gain) loss on investments —  ( 210,974 ) Change in unrealized (appreciation) depreciation on investments ( 3,904,782 ) ( 3,015,661 ) Decrease (Increase) in interest receivable ( 55,032 ) ( 61,501 ) Increase (Decrease) in payable to Sponsor ( 28,970 ) 98,171 Increase (Decrease) in non-recurring fees and expenses payable —  1,835 Net cash provided by (used in) operating activities 38,692,110 17,832,816 Cash flow from financing activities Proceeds from addition of shares 3,051,886 52,211,149 Payment on shares redeemed ( 36,849,729 ) ( 32,142,870 ) Net cash provided by (used in) financing activities ( 33,797,843 ) 20,068,279 Net increase (decrease) in cash 4,894,267 37,901,095 Cash, beginning of period 37,531,356 7,554,065 Cash, end of period $ 42,425,623 $ 45,455,160 See accompanying notes to financial statements. 55 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Cash $ 9,138,880 $ 12,252,100 Segregated cash balances with brokers for futures contracts 557,700 232,313 Segregated cash balances with brokers for swap agreements 2,476,000 3,536,000 Unrealized appreciation on swap agreements 649,016 —   Receivable from capital shares sold 1,607,017 —   Receivable on open futures contracts 6,250 —   Interest receivable 38,854 42,135 Total assets 14,473,717 16,062,548 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 98,549 700 Payable to Sponsor 9,299 12,854 Unrealized depreciation on swap agreements —   592,957 Total liabilities 107,848 606,511 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 14,365,869 15,456,037 Total liabilities and shareholders’ equity $ 14,473,717 $ 16,062,548 Shares outstanding 446,977 496,977 Net asset value per share $ 32 .14 $ 31 .10 Market value per share (Note 2) $ 32 .20 $ 30 .99 See accompanying notes to financial statements. 56 Table of Contents PROSHARES ULTRASHORT GOLD SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires December 2023 71 $ 13,249,310 $ 510,754 Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex 0.25 % 10/06/23 $ ( 3,588,216 ) $ 149,583 Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.20 10/06/23 ( 4,702,766 ) 196,202 Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 10/06/23 ( 7,273,894 ) 303,231 Total Unrealized Appreciation $ 649,016 ^ The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. * Reflects the floating financing rate, as of September 30, 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. 57 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 142,707 $ 72,261 $ 459,321 $ 101,921 Expenses Management fee 32,970 76,652 112,212 218,466 Brokerage commissions 1,099 3,565 4,065 9,361 Futures account fees —   —   —   2,446 Non-recurring fees and expenses —   639 —   639 Total expenses 34,069 80,856 116,277 230,912 Net investment income (loss) 108,638 ( 8,595 ) 343,044 ( 128,991 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 807,474 2,017,269 131,315 1,336,740 Swap agreements 628,950 2,970,959 ( 1,278,923 ) 1,900,685 Short-term U.S. government and agency obligations —   —   —   4 Net realized gain (loss) 1,436,424 4,988,228 ( 1,147,608 ) 3,237,429 Change in net unrealized appreciation (depreciation) on Futures contracts ( 460,051 ) 725,119 609,640 1,378,602 Swap agreements 208,445 81,220 1,241,973 1,795,321 Short-term U.S. government and agency obligations —   35,207 —   ( 13,647 ) Change in net unrealized appreciation (depreciation) ( 251,606 ) 841,546 1,851,613 3,160,276 Net realized and unrealized gain (loss) 1,184,818 5,829,774 704,005 6,397,705 Net income (loss) $ 1,293,456 $ 5,821,179 $ 1,047,049 $ 6,268,714 See accompanying notes to financial statements. 58 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 15,809,378 $ 34,611,284 $ 15,456,037 $ 26,859,844 Addition of 100,000 , 350,000 , 700,000 and 1,500,000 shares, respectively 3,039,866 12,520,359 19,338,209 46,264,925 Redemption of 200,000 , 650,000 , 750,000 and 1,550,000 shares, respectively ( 5,776,831 ) ( 23,318,097 ) ( 21,475,426 ) ( 49,758,758 ) Net addition (redemption) of ( 100,000 ), ( 300,000 ), ( 50,000 ) and ( 50,000 ) shares, respectively ( 2,736,965 ) ( 10,797,738 ) ( 2,137,217 ) ( 3,493,833 ) Net investment income (loss) 108,638 ( 8,595 ) 343,044 ( 128,991 ) Net realized gain (loss) 1,436,424 4,988,228 ( 1,147,608 ) 3,237,429 Change in net unrealized appreciation (depreciation) ( 251,606 ) 841,546 1,851,613 3,160,276 Net income (loss) 1,293,456 5,821,179 1,047,049 6,268,714 Shareholders’ equity, end of period $ 14,365,869 $ 29,634,725 $ 14,365,869 $ 29,634,725 See accompanying notes to financial statements. 59 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ 1,047,049 $ 6,268,714 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations —  ( 17,987,492 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations —  35,999,990 Net amortization and accretion on short-term U.S. government and agency obligations —  ( 26,784 ) Net realized (gain) loss on investments —  ( 4 ) Change in unrealized (appreciation) depreciation on investments ( 1,241,973 ) ( 1,781,674 ) Decrease (Increase) in receivable on open futures contracts ( 6,250 ) —  Decrease (Increase) in interest receivable 3,281 ( 25,595 ) Increase (Decrease) in payable to Sponsor ( 3,555 ) 22,778 Increase (Decrease) in brokerage commissions and futures account fees payable —  ( 294 ) Increase (Decrease) in payable on open futures contracts 97,849 ( 49,875 ) Increase (Decrease) in non-recurring fees and expenses payable —  639 Net cash provided by (used in) operating activities ( 103,599 ) 22,420,403 Cash flow from financing activities Proceeds from addition of shares 17,731,192 46,264,925 Payment on shares redeemed ( 21,475,426 ) ( 49,758,758 ) Net cash provided by (used in) financing activities ( 3,744,234 ) ( 3,493,833 ) Net increase (decrease) in cash ( 3,847,833 ) 18,926,570 Cash, beginning of period 16,020,413 1,990,354 Cash, end of period $ 12,172,580 $ 20,916,924 See accompanying notes to financial statements. 60 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Cash $ 8,563,844 $ 21,887,346 Segregated cash balances with brokers for futures contracts 876,000 2,820,937 Segregated cash balances with brokers for swap agreements 6,426,200 7,875,000 Unrealized appreciation on swap agreements 1,014,468 —   Receivable from capital shares sold —   972,789 Receivable on open futures contracts 54,510 59,575 Interest receivable 46,359 60,480 Total assets 16,981,381 33,676,127 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 13,864 20,705 Unrealized depreciation on swap agreements —   1,722,623 Total liabilities 13,864 1,743,328 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 16,967,517 31,932,799 Total liabilities and shareholders’ equity $ 16,981,381 $ 33,676,127 Shares outstanding 791,329 1,641,329 Net asset value per share $ 21 .44 $ 19 .46 Market value per share (Note 2) $ 21 .55 $ 19 .30 See accompanying notes to financial statements. 61 Table of Contents PROSHARES ULTRASHORT SILVER SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires December 2023 109 $ 12,235,250 $ 851,237 Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex 0.25 % 10/06/23 $ ( 2,570,998 ) $ 120,165 Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.25 10/06/23 ( 9,365,796 ) 437,748 Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 10/06/23 ( 7,405,429 ) 345,878 Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 10/06/23 ( 2,368,019 ) 110,677 Total Unrealized Appreciation $ 1,014,468 ^ The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. * Reflects the floating financing rate, as of September 30, 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. 62 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 337,096 $ 63,222 $ 860,908 $ 90,885 Expenses Management fee 78,166 67,215 220,751 190,549 Brokerage commissions 13,775 8,699 28,436 20,677 Futures account fees —   —   —   4,443 Non-recurring fees and expenses —   612 —   612 Total expenses 91,941 76,526 249,187 216,281 Net investment income (loss) 245,155 ( 13,304 ) 611,721 ( 125,396 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 6,217,172 1,719,839 11,009,808 6,370,119 Swap agreements 704,259 4,495,568 ( 261,158 ) 1,882,774 Short-term U.S. government and agency obligations —   —   ( 906 ) ( 190 ) Net realized gain (loss) 6,921,431 6,215,407 10,747,744 8,252,703 Change in net unrealized appreciation (depreciation) on Futures contracts ( 107,686 ) ( 1,063,521 ) 1,791,737 800,876 Swap agreements 169,456 ( 3,024,441 ) 2,737,091 770,011 Short-term U.S. government and agency obligations —   12,438 —   ( 3,447 ) Change in net unrealized appreciation (depreciation) 61,770 ( 4,075,524 ) 4,528,828 1,567,440 Net realized and unrealized gain (loss) 6,983,201 2,139,883 15,276,572 9,820,143 Net income (loss) $ 7,228,356 $ 2,126,579 $ 15,888,293 $ 9,694,747 See accompanying notes to financial statements. 63 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 19,290,473 $ 33,052,840 $ 31,932,799 $ 26,537,000 Addition of 2,950,000 , 1,000,000 , 6,050,000 and 2,800,000 shares, respectively 51,792,185 34,082,044 107,105,060 77,349,605 Redemption of 3,100,000 , 1,050,000 , 6,900,000 and 2,800,000 shares, respectively ( 61,343,497 ) ( 35,498,411 ) ( 137,958,635 ) ( 79,818,300 ) Net addition (redemption) of ( 150,000 ), ( 50,000 ), ( 850,000 ) and – shares, respectively ( 9,551,312 ) ( 1,416,367 ) ( 30,853,575 ) ( 2,468,695 ) Net investment income (loss) 245,155 ( 13,304 ) 611,721 ( 125,396 ) Net realized gain (loss) 6,921,431 6,215,407 10,747,744 8,252,703 Change in net unrealized appreciation (depreciation) 61,770 ( 4,075,524 ) 4,528,828 1,567,440 Net income (loss) 7,228,356 2,126,579 15,888,293 9,694,747 Shareholders’ equity, end of period $ 16,967,517 $ 33,763,052 $ 16,967,517 $ 33,763,052 See accompanying notes to financial statements. 64 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ 15,888,293 $ 9,694,747 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 39,876,608 ) ( 20,979,052 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 39,937,156 41,999,081 Net amortization and accretion on short-term U.S. government and agency obligations ( 61,454 ) ( 24,695 ) Net realized (gain) loss on investments 906 190 Change in unrealized (appreciation) depreciation on investments ( 2,737,091 ) ( 766,564 ) Decrease (Increase) in receivable on open futures contracts 5,065 15,446 Decrease (Increase) in interest receivable 14,121 ( 25,020 ) Increase (Decrease) in payable to Sponsor ( 6,841 ) 12,281 Increase (Decrease) in brokerage commissions and futures account fees payable —  ( 747 ) Increase (Decrease) in payable on open futures contracts —   592,924 Increase (Decrease) in non-recurring fees and expenses payable —  612 Net cash provided by (used in) operating activities 13,163,547 30,519,203 Cash flow from financing activities Proceeds from addition of shares 108,077,849 77,349,605 Payment on shares redeemed ( 137,958,635 ) ( 79,818,300 ) Net cash provided by (used in) financing activities ( 29,880,786 ) ( 2,468,695 ) Net increase (decrease) in cash ( 16,717,239 ) 28,050,508 Cash, beginning of period 32,583,283 5,483,476 Cash, end of period $ 15,866,044 $ 33,533,984 See accompanying notes to financial statements. 65 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ - and $ 22,995,298 , respectively) $ —   $ 22,998,059 Cash 22,694,511 451,616 Segregated cash balances with brokers for foreign currency forward contracts 2,482,511 3,652,511 Unrealized appreciation on foreign currency forward contracts 969,376 963,369 Interest receivable 94,406 36,071 Total assets 26,240,804 28,101,626 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   2,683,455 Payable to Sponsor 19,843 29,633 Unrealized depreciation on foreign currency forward contracts 48,770 3,990,802 Total liabilities 68,613 6,703,890 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 26,172,191 21,397,736 Total liabilities and shareholders’ equity $ 26,240,804 $ 28,101,626 Shares outstanding 348,580 398,580 Net asset value per share $ 75 .08 $ 53 .68 Market value per share (Note 2) $ 75 .08 $ 53 .57 See accompanying notes to financial statements. 66 Table of Contents PROSHARES ULTRASHORT YEN SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Yen with UBS AG 10/06/23 428,237,000 $ 2,868,730 $ ( 48,770 ) Total Unrealized Depreciation $ ( 48,770 ) Contracts to Sell Yen with Goldman Sachs International 10/06/23 ( 3,330,184,165 ) $ ( 22,308,674 ) $ 406,284 Yen with UBS AG 10/06/23 ( 4,908,633,574 ) ( 32,882,597 ) 563,092 Total Unrealized Appreciation $ 969,376 ^ The positions and counterparties herein are as of September 30, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. See accompanying notes to financial statements. 67 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 274,125 $ 115,191 $ 733,679 $ 151,503 Expenses Management fee 58,762 106,598 167,753 259,599 Non-recurring fees and expenses —   953 —   953 Total expenses 58,762 107,551 167,753 260,552 Net investment income (loss) 215,363 7,640 565,926 ( 109,049 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 3,079,208 5,879,873 3,422,003 14,877,216 Short-term U.S. government and agency obligations —   —   —   102,971 Net realized gain (loss) 3,079,208 5,879,873 3,422,003 14,980,187 Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 1,059,246 ) ( 546,737 ) 3,948,039 ( 444,812 ) Short-term U.S. government and agency obligations —   22,866 ( 2,761 ) ( 8,524 ) Change in net unrealized appreciation (depreciation) ( 1,059,246 ) ( 523,871 ) 3,945,278 ( 453,336 ) Net realized and unrealized gain (loss) 2,019,962 5,356,002 7,367,281 14,526,851 Net income (loss) $ 2,235,325 $ 5,363,642 $ 7,933,207 $ 14,417,802 See accompanying notes to financial statements. 68 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 27,077,656 $ 45,568,882 $ 21,397,736 $ 24,840,784 Addition of – , 250,000 , 450,000 and 1,100,000 shares, respectively —   15,352,183 26,056,375 59,472,902 Redemption of 50,000 , 250,000 , 500,000 and 900,000 shares, respectively ( 3,140,790 ) ( 14,347,369 ) ( 29,215,127 ) ( 46,794,150 ) Net addition (redemption) of ( 50,000 ), – , ( 50,000 ) and 200,000 shares, respectively ( 3,140,790 ) 1,004,814 ( 3,158,752 ) 12,678,752 Net investment income (loss) 215,363 7,640 565,926 ( 109,049 ) Net realized gain (loss) 3,079,208 5,879,873 3,422,003 14,980,187 Change in net unrealized appreciation (depreciation) ( 1,059,246 ) ( 523,871 ) 3,945,278 ( 453,336 ) Net income (loss) 2,235,325 5,363,642 7,933,207 14,417,802 Shareholders’ equity, end of period $ 26,172,191 $ 51,937,338 $ 26,172,191 $ 51,937,338 See accompanying notes to financial statements. 69 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ 7,933,207 $ 14,417,802 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations —  ( 17,984,732 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 23,000,000 34,102,971 Net amortization and accretion on short-term U.S. government and agency obligations ( 4,702 ) ( 24,192 ) Net realized (gain) loss on investments —  ( 102,971 ) Change in unrealized (appreciation) depreciation on investments ( 3,945,278 ) 453,336 Decrease (Increase) in interest receivable ( 58,335 ) ( 42,154 ) Increase (Decrease) in payable to Sponsor ( 9,790 ) 48,690 Increase (Decrease) in non-recurring fees and expenses payable —  953 Net cash provided by (used in) operating activities 26,915,102 30,869,703 Cash flow from financing activities Proceeds from addition of shares 26,056,375 59,472,902 Payment on shares redeemed ( 31,898,582 ) ( 46,794,150 ) Net cash provided by (used in) financing activities ( 5,842,207 ) 12,678,752 Net increase (decrease) in cash 21,072,895 43,548,455 Cash, beginning of period 4,104,127 3,003,251 Cash, end of period $ 25,177,022 $ 46,551,706 See accompanying notes to financial statements. 70 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ – and $ 49,876,697 , respectively) $ –   $ 49,882,348 Cash 50,204,095 19,575,939 Segregated cash balances with brokers for futures contracts 9,032,162 14,384,050 Receivable on open futures contracts 560,581 142,794 Interest receivable 208,470 88,180 Total assets 60,005,308 84,073,311 Liabilities and shareholders’ equity Liabilities Brokerage commissions and futures account fees payable 2,387 3,688 Payable to Sponsor 34,897 54,664 Total liabilities 37,284 58,352 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 59,968,024 84,014,959 Total liabilities and shareholders’ equity $ 60,005,308 $ 84,073,311 Shares outstanding 3,087,403 2,762,403 Net asset value per share $ 19 .42 $ 30 .41 Market value per share (Note 2) $ 19 .41 $ 30 .36 See accompanying notes to financial statements. 71 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires January 2024 617 $ 11,784,515 $ ( 350,626 ) VIX Futures - Cboe, expires February 2024 1,028 19,841,839 ( 508,849 ) VIX Futures - Cboe, expires March 2024 1,028 20,146,847 ( 104,194 ) VIX Futures - Cboe, expires April 2024 411 8,178,119 19,997 $ ( 943,672 ) See accompanying notes to financial statements. 72 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 597,040 $ 220,211 $ 1,895,545 $ 296,960 Expenses Management fee 117,018 201,508 401,207 627,755 Brokerage commissions 8,822 17,922 30,191 58,291 Futures account fees 9,991 —   33,287 46,394 Non-recurring fees and expenses —   2,050 —   2,050 Total expenses 135,831 221,480 464,685 734,490 Net investment income (loss) 461,209 ( 1,269 ) 1,430,860 ( 437,530 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 12,244,511 ) ( 1,349,272 ) ( 35,008,564 ) 11,304,613 Short-term U.S. government and agency obligations —   —   —   ( 336 ) Net realized gain (loss) ( 12,244,511 ) ( 1,349,272 ) ( 35,008,564 ) 11,304,277 Change in net unrealized appreciation (depreciation) on Futures contracts 8,934,542 3,236,565 3,847,551 6,941,620 Short-term U.S. government and agency obligations —   131,644 ( 5,651 ) ( 54,576 ) Change in net unrealized appreciation (depreciation) 8,934,542 3,368,209 3,841,900 6,887,044 Net realized and unrealized gain (loss) ( 3,309,969 ) 2,018,937 ( 31,166,664 ) 18,191,321 Net income (loss) $ ( 2,848,760 ) $ 2,017,668 $ ( 29,735,804 ) $ 17,753,791 See accompanying notes to financial statements. 73 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 49,421,413 $ 95,721,271 $ 84,014,959 $ 112,875,680 Addition of 850,000 , 850,000 , 1,700,000 and 1,850,000 shares, respectively 16,840,213 28,312,142 38,658,971 60,491,195 Redemption of 175,000 , 450,000 , 1,375,000 and 2,425,000 shares, respectively ( 3,444,842 ) ( 15,630,507 ) ( 32,970,102 ) ( 80,700,092 ) Net addition (redemption) of 675,000 , 400,000 , 325,000 and ( 575,000 ) shares, respectively 13,395,371 12,681,635 5,688,869 ( 20,208,897 ) Net investment income (loss) 461,209 ( 1,269 ) 1,430,860 ( 437,530 ) Net realized gain (loss) ( 12,244,511 ) ( 1,349,272 ) ( 35,008,564 ) 11,304,277 Change in net unrealized appreciation (depreciation) 8,934,542 3,368,209 3,841,900 6,887,044 Net income (loss) ( 2,848,760 ) 2,017,668 ( 29,735,804 ) 17,753,791 Shareholders’ equity, end of period $ 59,968,024 $ 110,420,574 $ 59,968,024 $ 110,420,574 See accompanying notes to financial statements. 74 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ ( 29,735,804 ) $ 17,753,791 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 294,811,992 ) ( 66,991,148 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 345,000,000 120,998,548 Net amortization and accretion on short-term U.S. government and agency obligations ( 311,311 ) ( 63,980 ) Net realized (gain) loss on investments —  336 Change in unrealized (appreciation) depreciation on investments 5,651 54,576 Decrease (Increase) in receivable on open futures contracts ( 417,787 ) ( 765,221 ) Decrease (Increase) in interest receivable ( 120,290 ) ( 84,257 ) Increase (Decrease) in payable to Sponsor ( 19,767 ) 51,511 Increase (Decrease) in brokerage commissions and futures account fees payable ( 1,301 ) ( 7,124 ) Increase (Decrease) in payable on open futures contracts —   ( 94,495 ) Increase (Decrease) in non-recurring fees and expenses payable —  2,050 Net cash provided by (used in) operating activities 19,587,399 70,854,587 Cash flow from financing activities Proceeds from addition of shares 38,658,971 60,491,195 Payment on shares redeemed ( 32,970,102 ) ( 78,938,105 ) Net cash provided by (used in) financing activities 5,688,869 ( 18,446,910 ) Net increase (decrease) in cash 25,276,268 52,407,677 Cash, beginning of period 33,959,989 27,071,819 Cash, end of period $ 59,236,257 $ 79,479,496 See accompanying notes to financial statements. 75 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 104,624,795 and $ 89,329,814 , respectively) $ 104,639,666 $ 89,347,714 Cash 23,955,940 33,526,868 Segregated cash balances with brokers for futures contracts 65,304,529 91,634,942 Receivable on open futures contracts 17,543,264 52,643,553 Interest receivable 266,995 403,667 Total assets 211,710,394 267,556,744 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   570,473 Payable on open futures contracts —   223,719 Brokerage commissions and futures account fees payable 11,670 27,102 Payable to Sponsor 94,296 155,130 Total liabilities 105,966 976,424 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 211,604,428 266,580,320 Total liabilities and shareholders’ equity $ 211,710,394 $ 267,556,744 Shares outstanding (Note 1) 9,075,947 4,676,565 Net asset value per share (Note 1) $ 23 .31 $ 57 .00 Market value per share (Note 1) (Note 2) $ 23 .30 $ 56 .90 See accompanying notes to financial statements. 76 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2023 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 49 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.407 % due 10/10/23 $ 25,000,000 $ 24,970,695 5.478 % due 10/17/23 45,000,000 44,900,905 5.490 % due 11/14/23 25,000,000 24,841,885 5.497 % due 11/21/23 10,000,000 9,926,181 Total short-term U.S. government and agency obligations (cost $ 104,624,795 ) $ 104,639,666 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires October 2023 7,067 $ 125,589,070 $ 11,154,767 VIX Futures - Cboe, expires November 2023 4,719 86,104,290 719,403 $ 11,874,170 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 77 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Investment Income Interest $ 2,271,345 $ 1,400,201 $ 6,832,197 $ 1,678,813 Expenses Management fee 447,560 874,070 1,495,874 2,353,478 Brokerage commissions 58,426 203,095 250,314 490,751 Futures account fees 44,110 54,944 143,501 371,384 Non-recurring fees and expenses —   8,700 —   8,700 Total expenses 550,096 1,140,809 1,889,689 3,224,313 Net investment income (loss) 1,721,249 259,392 4,942,508 ( 1,545,500 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 54,950,042 ) ( 45,457,319 ) ( 228,276,043 ) 31,935,990 Short-term U.S. government and agency obligations —   —   ( 10,605 ) ( 300 ) Net realized gain (loss) ( 54,950,042 ) ( 45,457,319 ) ( 228,286,648 ) 31,935,690 Change in net unrealized appreciation (depreciation) on Futures contracts 41,847,057 51,449,994 21,670,993 84,956,040 Short-term U.S. government and agency obligations ( 5,866 ) 248,953 ( 3,029 ) ( 104,697 ) Change in net unrealized appreciation (depreciation) 41,841,191 51,698,947 21,667,964 84,851,343 Net realized and unrealized gain (loss) ( 13,108,851 ) 6,241,628 ( 206,618,684 ) 116,787,033 Net income (loss) $ ( 11,387,602 ) $ 6,501,020 $ ( 201,676,176 ) $ 115,241,533 See accompanying notes to financial statements. 78 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022 Shareholders’ equity, beginning of period $ 230,227,830 $ 341,714,316 $ 266,580,320 $ 269,703,164 Addition of 2,475,000 , 3,555,000 , 9,235,000 and 7,180,000 shares, respectively (Note 1) 56,655,376 261,088,034 324,424,030 563,456,503 Redemption of 2,625,618 , 2,190,000 , 4,835,618 and 5,630,000 shares, respectively (Note 1) ( 63,891,176 ) ( 171,766,742 ) ( 177,723,746 ) ( 510,864,572 ) Net addition (redemption) of ( 150,618 ), 1,365,000 , 4,399,382 and 1,550,000 shares, respectively (Note 1) ( 7,235,800 ) 89,321,292 146,700,284 52,591,931 Net investment income (loss) 1,721,249 259,392 4,942,508 ( 1,545,500 ) Net realized gain (loss) ( 54,950,042 ) ( 45,457,319 ) ( 228,286,648 ) 31,935,690 Change in net unrealized appreciation (depreciation) 41,841,191 51,698,947 21,667,964 84,851,343 Net income (loss) ( 11,387,602 ) 6,501,020 ( 201,676,176 ) 115,241,533 Shareholders’ equity, end of period $ 211,604,428 $ 437,536,628 $ 211,604,428 $ 437,536,628 See accompanying notes to financial statements. 79 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022 Cash flow from operating activities Net income (loss) $ ( 201,676,176 ) $ 115,241,533 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 614,146,126 ) ( 2,462,189,566 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 601,754,108 2,455,998,870 Net amortization and accretion on short-term U.S. government and agency obligations ( 2,913,568 ) ( 725,037 ) Net realized (gain) loss on investments 10,605 300 Change in unrealized (appreciation) depreciation on investments 3,029 104,697 Decrease (Increase) in receivable on open futures contracts 35,100,289 ( 67,758,303 ) Decrease (Increase) in interest receivable 136,672 ( 362,333 ) Increase (Decrease) in payable to Sponsor ( 60,834 ) 372,867 Increase (Decrease) in brokerage commissions and futures account fees payable ( 15,432 ) ( 20,676 ) Increase (Decrease) in payable on open futures contracts ( 223,719 ) ( 2,037,391 ) Increase (Decrease) in non-recurring fees and expenses payable —   8,700 Net cash provided by (used in) operating activities ( 182,031,152 ) 38,633,661 Cash flow from financing activities Proceeds from addition of shares 324,424,030 566,483,117 Payment on shares redeemed ( 178,294,219 ) ( 498,163,549 ) Net cash provided by (used in) financing activities 146,129,811 68,319,568 Net increase (decrease) in cash ( 35,901,341 ) 106,953,229 Cash, beginning of period 125,161,810 115,960,816 Cash, end of period $ 89,260,469 $ 222,914,045 See accompanying notes to financial statements. 80 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF FINANCIAL CONDITION September 30, 2023 (unaudited) December 31, 2022 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 1,374,810,703 and $ 1,466,423,925 , respectively) $ 1,375,005,218 $ 1,466,680,542 Cash 367,158,559 625,964,378 Segregated cash balances with brokers for futures contracts 858,586,121 925,792,861 Segregated cash balances with brokers for foreign currency forward contracts 9,686,632 12,956,632 Segregated cash balances with brokers for swap agreements 524,175,300 262,053,745 Unrealized appreciation on swap agreements 12,904,475 119,880,255 Unrealized appreciation on foreign currency forward contracts 2,564,273 2,823,510 Receivable from capital shares sold 31,210,088 1,014,483 Receivable on open futures contracts 214,636,493 522,770,291 Interest receivable 4,484,827 4,920,772 Total assets 3,400,411,986 3,944,857,469 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 47,876,891 32,725,077 Payable on open futures contracts 14,962,756 11,742,794 Brokerage commissions and futures account fees payable 105,802 165,165 Payable to Sponsor 2,610,466 3,210,113 Unrealized depreciation on swap agreements 33,398,222 2,315,580 Unrealized depreciation on foreign currency forward contracts 998,472 6,911,994 Total liabilities 99,952,609 57,070,723 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 3,300,459,377 3,887,786,746 Total liabilities and shareholders’ equity $ 3,400,411,986 $ 3,944,857,469 Shares outstanding (Note 1) 105,689,214 89,444,047 See accompanying notes to financial statements. 81 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF OPERATIONS (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022* Investment Income Interest $ 33,986,958 $ 14,620,209 $ 103,035,154 $ 19,240,564 Expenses Management fee 8,433,063 11,269,281 27,104,933 33,494,289 Brokerage commissions 1,640,018 2,210,735 6,556,137 6,013,653 Futures account fees 313,663 449,872 1,142,555 3,285,001 Non-recurring fees and expenses —   81,773 —   81,773 Total expenses 10,386,744 14,011,661 34,803,625 42,874,716 Net investment income (loss) 23,600,214 608,548 68,231,529 ( 23,634,152 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 14,374,480 ( 321,993,985 ) ( 1,974,626,401 ) 188,147,013 Swap agreements 190,429,303 ( 438,845,993 ) 153,509,127 217,520,213 Foreign currency forward contracts 1,079,187 13,695,610 ( 1,741,651 ) 26,532,572 Short-term U.S. government and agency obligations 205 ( 71,343 ) ( 195,666 ) ( 264,143 ) Net realized gain (loss) 205,883,175 ( 747,215,711 ) ( 1,823,054,591 ) 431,935,655 Change in net unrealized appreciation (depreciation) on Futures contracts ( 202,241,004 ) 291,970,061 135,612,832 354,740,180 Swap agreements ( 41,076,901 ) 112,369,648 ( 138,058,422 ) ( 213,954,485 ) Foreign currency forward contracts 1,962,662 ( 1,017,583 ) 5,654,285 2,088,381 Short-term U.S. government and agency obligations ( 111,348 ) 3,053,986 ( 62,102 ) ( 971,900 ) Change in net unrealized appreciation (depreciation) ( 241,466,591 ) 406,376,112 3,146,593 141,902,176 Net realized and unrealized gain (loss) ( 35,583,416 ) ( 340,839,599 ) ( 1,819,907,998 ) 573,837,831 Net income (loss) $ ( 11,983,202 ) $ ( 340,231,051 ) $ ( 1,751,676,469 ) $ 550,203,679 *   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. 82 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended September 30, Nine Months Ended September 30, 2023 2022 2023 2022* Shareholders’ equity, beginning of period $ 3,753,845,537 $ 4,563,369,776 $ 3,887,786,746 $ 4,173,474,343 Addition of 57,975,000 , 100,995,000 , 190,410,000 and 194,805,000 shares, respectively (Note 1) 1,835,741,719 3,360,951,964 8,495,699,775 8,989,738,725 Redemption of 63,757,333 , 97,035,000 , 174,164,833 and 191,370,926 shares, respectively (Note 1) ( 2,277,144,677 ) ( 3,379,709,104 ) ( 7,331,350,675 ) ( 9,509,035,162 ) Net addition (redemption) of ( 5,782,333 ), 3,960,000 , 16,245,167 and 3,434,074 shares, respectively (Note 1) ( 441,402,958 ) ( 18,757,140 ) 1,164,349,100 ( 519,296,437 ) Net investment income (loss) 23,600,214 608,548 68,231,529 ( 23,634,152 ) Net realized gain (loss) 205,883,175 ( 747,215,711 ) ( 1,823,054,591 ) 431,935,655 Change in net unrealized appreciation (depreciation) ( 241,466,591 ) 406,376,112 3,146,593 141,902,176 Net income (loss) ( 11,983,202 ) ( 340,231,051 ) ( 1,751,676,469 ) 550,203,679 Shareholders’ equity, end of period $ 3,300,459,377 $ 4,204,381,585 $ 3,300,459,377 $ 4,204,381,585 * The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. See accompanying notes to financial statements. 83 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CASH FLOWS (unaudited) Nine Months Ended September 30, 2023 2022* Cash flow from operating activities Net income (loss) $ ( 1,751,676,469 ) $ 550,203,679 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 27,871,422,186 ) ( 32,181,153,315 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 28,009,309,658 32,879,938,110 Net amortization and accretion on short-term U.S. government and agency obligations ( 46,469,916 ) ( 9,697,124 ) Net realized (gain) loss on investments 195,666 264,143 Change in unrealized (appreciation) depreciation on investments 132,466,239 212,838,004 Decrease (Increase) in receivable on futures contracts 308,133,798 ( 333,246,149 ) Decrease (Increase) in interest receivable 435,945 ( 3,095,982 ) Increase (Decrease) in payable to Sponsor ( 599,647 ) 4,244,972 Increase (Decrease) in brokerage commissions and futures account fees payable ( 59,363 ) ( 327,015 ) Increase (Decrease) in payable on futures contracts 3,219,962 ( 37,886,245 ) Increase (Decrease) in non-recurring fees and expenses payable —  81,773 Net cash provided by (used in) operating activities ( 1,216,466,313 ) 1,082,164,851 Cash flow from financing activities Proceeds from addition of shares 8,465,504,170 9,008,566,233 Payment on shares redeemed ( 7,316,198,861 ) ( 9,440,488,808 ) Net cash provided by (used in) financing activities 1,149,305,309 ( 431,922,575 ) Net increase (decrease) in cash ( 67,161,004 ) 650,242,276 Cash, beginning of period 1,826,767,616 1,408,701,238 Cash, end of period $ 1,759,606,612 $ 2,058,943,514 * 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. 84 Table of Contents PROSHARES TRUST II NOTES TO FINANCIAL STATEMENTS September 30, 2023 (unaudited) NOTE 1 - ORGANIZATION ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2023, the following sixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements. On March 11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on May 2, 2022. Trading in each liquidated fund was suspended prior to market open on May 3, 2022. Proceeds of the liquidation were sent to shareholders on May 12, 2022 (the “Distribution Date”). From May 3, 2022 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on May 12, 2022. The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $ 350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen. Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories. 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. The Geared Funds do not seek to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g., -0.5x, -2x, 1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly. 85 Table of Contents Share Splits and Reverse Share Splits The table below includes Share splits and reverse Share splits for the Funds during the nine months September 30, 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. Fund Execution Date (Prior to Opening of Trading) Type of Split Date Trading Resumed at Post- Split Price ProShares UltraShort Bloomberg Natural Gas January 13, 2022 1-for-5 reverse Share split January 14, 2022 ProShares UltraShort Yen May 25, 2022 2-for-1 forward Share split May 26, 2022 ProShares Ultra Bloomberg Crude Oil May 25, 2022 4-for-1 forward Share split May 26, 2022 ProShares UltraShort Bloomberg Natural Gas May 25, 2022 1-for-4 reverse Share split May 26, 2022 ProShares UltraShort Bloomberg Crude Oil May 25, 2022 1-for-5 reverse Share split May 26, 2022 ProShares Ultra Bloomberg Natural Gas June 23, 2023 1-for-20 reverse Share split June 24, 2023 ProShares Ultra VIX Short-Term Futures June 23, 2023 1-for-10 reverse Share split June 24, 2023 ProShares VIX Short-Term Futures June 23, 2023 1-for-5 reverse Share split June 24, 2023 The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split. The forward splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund. Therefore, the forward splits did not change the aggregate net asset value of a shareholder’s investment at the time of the forward split. NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2022, as filed with the SEC on February 28, 2023. Use of Estimates & Indemnifications The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant loss to be remote. 86 Table of Contents Basis of Presentation Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund. Statements of Cash Flows The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated September 30, 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 The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months ended September 30, 2023 were typically as follows. All times are Eastern Standard Time: Fund Create/Redeem Cut-off* NAV Calculation Time NAV Calculation Date Ultra Silver and UltraShort Silver 1:00 p.m. 1:25 p.m. September 29, 2023 Ultra Gold and UltraShort Gold 1:00 p.m. 1:30 p.m. September 29, 2023 Ultra Bloomberg Crude Oil, Ultra Bloomberg Natural Gas, UltraShort Bloomberg Crude Oil and UltraShort Bloomberg Natural Gas 2:00 p.m. 2:30 p.m. September 29, 2023 Ultra Euro, Ultra Yen, UltraShort Euro and UltraShort Yen 3:00 p.m. 4:00 p.m. September 29, 2023 Short VIX Short-Term Futures ETF, Ultra VIX Short-Term Futures ETF, VIX Mid-Term Futures ETF and VIX Short-Term Futures ETF 2:00 p.m. 4:00 p.m. September 29, 2023 * 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, 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, 2023. Investment Valuation Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy. 87 Table of Contents Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver 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. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy. Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements. Fair Value of Financial Instruments The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows: Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date. Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs). Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety. Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly. 88 Table of Contents The following table summarizes the valuation of investments at September 30, 2023 using the fair value hierarchy: Level I - Quoted Prices Level II - Other Significant Observable Inputs Fund Short-Term U.S. Government and Agencies Futures Contracts * Foreign Currency Forward Contracts Swap Agreements Total ProShares Short VIX Short-Term Futures ETF $ 104,670,946 $ ( 2,387,385 ) $ —  $ —  $ 102,283,561 ProShares Ultra Bloomberg Crude Oil 264,081,088 24,729,920 —  11,240,991 300,051,999 ProShares Ultra Bloomberg Natural Gas 303,858,387 ( 114,592,473 ) —  ( 1,438,294 ) 187,827,620 ProShares Ultra Euro —  —  ( 222,712 ) —  ( 222,712 ) ProShares Ultra Gold 109,664,879 ( 2,617,740 ) —  ( 10,343,189 ) 96,703,950 ProShares Ultra Silver 199,275,356 ( 6,167,328 ) —  ( 21,616,739 ) 171,491,289 ProShares Ultra VIX Short-Term Futures ETF 84,581,081 29,009,491 —  —  113,590,572 ProShares Ultra Yen —  —  ( 580,421 ) —  ( 580,421 ) ProShares UltraShort Bloomberg Crude Oil 184,298,349 ( 25,040,263 ) —  —  159,258,086 ProShares UltraShort Bloomberg Natural Gas 19,935,466 23,776,317 —  —  43,711,783 ProShares UltraShort Euro —  —  1,448,328 —  1,448,328 ProShares UltraShort Gold —  510,754 —  649,016 1,159,770 ProShares UltraShort Silver —  851,237 —  1,014,468 1,865,705 ProShares UltraShort Yen —  —  920,606 —  920,606 ProShares VIX Mid-Term Futures ETF —  ( 943,672 ) —  —  ( 943,672 ) ProShares VIX Short-Term Futures ETF 104,639,666 11,874,170 —  —  116,513,836 Combined Trust: $ 1,375,005,218 $ ( 60,996,972 ) $ 1,565,801 $ ( 20,493,747 ) $ 1,295,080,300 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities. The following table summarizes the valuation of investments at December 31, 2022 using the fair value hierarchy: Level I - Quoted Prices Level II - Other Significant Observable Inputs Fund Short-Term U.S. Government and Agencies Futures Contracts * Foreign Currency Forward Contracts Swap Agreements Total ProShares Short VIX Short-Term Futures ETF $ 144,307,676 $ 11,092,381 $ —  $ —  $ 155,400,057 ProShares Ultra Bloomberg Crude Oil 313,465,007 26,291,716 —  74,159,577 413,916,300 ProShares Ultra Bloomberg Natural Gas 263,260,158 ( 310,613,969 ) —  —  ( 47,353,811 ) ProShares Ultra Euro —  —  415,656 —  415,656 ProShares Ultra Gold 129,123,489 3,242,088 —  6,496,466 138,862,043 ProShares Ultra Silver 228,657,634 29,426,574 —  39,224,212 297,308,420 ProShares Ultra VIX Short-Term Futures ETF 34,732,372 ( 36,555,453 ) —  —  ( 1,823,081 ) ProShares Ultra Yen —  —  984,549 —  984,549 ProShares UltraShort Bloomberg Crude Oil 89,426,935 10,244,893 —  —  99,671,828 ProShares UltraShort Bloomberg Natural Gas 61,482,526 85,889,398 —  —  147,371,924 ProShares UltraShort Euro 39,996,624 —  ( 2,461,256 ) —  37,535,368 ProShares UltraShort Gold —  ( 98,886 ) —  ( 592,957 ) ( 691,843 ) ProShares UltraShort Silver —  ( 940,500 ) —  ( 1,722,623 ) ( 2,663,123 ) ProShares UltraShort Yen 22,998,059 —  ( 3,027,433 ) —  19,970,626 ProShares VIX Mid-Term Futures ETF 49,882,348 ( 4,791,223 ) —   —   45,091,125 ProShares VIX Short-Term Futures ETF 89,347,714 ( 9,796,823 ) —  —  79,550,891 Combined Trust: $ 1,466,680,542 $ ( 196,609,804 ) $ ( 4,088,484 ) $ 117,564,675 $ 1,383,546,929 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. 89 Table of Contents There were no transfers into or out of Level 3 for the quarter ended September 30, 2023 or the year ended December 31, 2022. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities. Investment Transactions and Related Income Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations. Brokerage Commissions and Futures Account Fees Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02 % of the Matching VIX Fund’s average net assets annually. Federal Income Tax Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year. Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof. 90 Table of Contents NOTE 3 – INVESTMENTS Short-Term Investments The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. Accounting for Derivative Instruments In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective. All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period. Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type. Futures Contracts The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract. Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction. Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market. 91 Table of Contents Option Contracts An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value. When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed. Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless. Over-the-counter options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The over-the-counter market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss. Each Oil Fund (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance. 92 Table of Contents Swap Agreements Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position. Swap agreements are two-party contracts that have traditionally been entered into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments. Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset. Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques. Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 2023 contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount. The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances. 93 Table of Contents The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. Forward Contracts Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements. The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at a third party custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2023, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. 94 Table of Contents Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin. A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor. The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period. 95 Table of Contents Fair Value of Derivative Instruments as of September 30, 2023 Asset Derivatives Liability Derivatives Derivatives Not Accounted for as Hedging Instruments Fund Statements of Financial Condition Location Unrealized Appreciation Statements of Financial Condition Location Unrealized Depreciation VIX Futures Contracts Receivable on open futures contracts, unrealized appreciation on swap agreements Payable on open futures contracts, unrealized depreciation on swap agreements ProShares Short VIX Short-Term Futures ETF $ —  $ 2,387,385 * ProShares Ultra VIX Short-Term Futures ETF 29,009,491 * —  ProShares VIX Mid-Term Futures ETF 19,997 * 963,669 * ProShares VIX Short-Term Futures ETF 11,874,170 * —  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 36,159,401 * 188,490 * ProShares Ultra Bloomberg Natural Gas —  116,030,767 * ProShares Ultra Gold —  12,960,929 * ProShares Ultra Silver —  27,784,068 * ProShares UltraShort Bloomberg Crude Oil 822,565 * 25,862,828 * ProShares UltraShort Bloomberg Natural Gas 23,776,317 * —  ProShares UltraShort Gold 1,159,770 * —  ProShares UltraShort Silver 1,865,705 * —  Foreign Exchange Contracts Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts ProShares Ultra Euro 867 223,579 ProShares Ultra Yen 8,894 589,315 ProShares UltraShort Euro 1,585,136 136,808 ProShares UltraShort Yen 969,376 48,770 Combined Trust: $ 107,251,689 * $ 187,176,608 * * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. 96 Table of Contents Fair Value of Derivative Instruments as of December 31, 2022 Asset Derivatives Liability Derivatives Derivatives Not Accounted for as Hedging Instruments Fund Statements of Financial Condition Location Unrealized Appreciation Statements of Financial Condition Location Unrealized Depreciation VIX Futures Contracts Receivable on open futures contracts, unrealized appreciation on swap agreements Payable on open futures contracts, unrealized depreciation on swap agreements ProShares Short VIX Short-Term Futures ETF $ 11,092,381 * $ —  ProShares Ultra VIX Short-Term Futures ETF —  36,555,453 * ProShares VIX Mid-Term Futures ETF —  4,791,223 * ProShares VIX Short-Term Futures ETF —  9,796,823 * 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 100,451,293 * —  ProShares Ultra Bloomberg Natural Gas —  310,613,969 * ProShares Ultra Gold 9,738,554 * —  ProShares Ultra Silver 68,650,786 * —  ProShares UltraShort Bloomberg Crude Oil 13,202,924 * 2,958,031 * ProShares UltraShort Bloomberg Natural Gas 85,889,398 * —  ProShares UltraShort Gold —  691,843 * ProShares UltraShort Silver —  2,663,123 * Foreign Exchange Contracts Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts ProShares Ultra Euro 514,115 98,459 ProShares Ultra Yen 1,152,834 168,285 ProShares UltraShort Euro 193,192 2,654,448 ProShares UltraShort Yen 963,369 3,990,802 Combined Trust: $ 291,848,846 * $ 374,982,459 * 97 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the three months ended September 30, 2023 Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements ProShares Short VIX Short-Term Futures ETF $ 30,285,319 $ ( 26,316,590 ) ProShares Ultra VIX Short-Term Futures ETF ( 142,584,115 ) 108,839,211 ProShares VIX Mid-Term Futures ETF ( 12,244,511 ) 8,934,542 ProShares VIX Short-Term Futures ETF ( 54,950,042 ) 41,847,057 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 244,550,123 28,244,846 ProShares Ultra Bloomberg Natural Gas 237,079,838 ( 410,454,461 ) ProShares Ultra Gold ( 16,876,003 ) ( 522,115 ) ProShares Ultra Silver ( 30,251,410 ) 239,211 ProShares UltraShort Bloomberg Crude Oil ( 47,764,820 ) ( 38,026,419 ) ProShares UltraShort Bloomberg Natural Gas ( 10,798,451 ) 44,086,649 ProShares UltraShort Gold 1,436,424 ( 251,606 ) ProShares UltraShort Silver 6,921,431 61,770 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 ( 22,385 ) ( 462,400 ) ProShares Ultra Yen ( 1,854,770 ) 277,206 ProShares UltraShort Euro ( 122,866 ) 3,207,102 ProShares UltraShort Yen 3,079,208 ( 1,059,246 ) Combined Trust $ 205,882,970 $ ( 241,355,243 ) 98 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the nine months ended September 30, 2023 Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements ProShares Short VIX Short-Term Futures ETF $ 125,117,609 $ ( 13,479,766 ) ProShares Ultra VIX Short-Term Futures ETF ( 751,122,089 ) 65,564,944 ProShares VIX Mid-Term Futures ETF ( 35,008,564 ) 3,847,551 ProShares VIX Short-Term Futures ETF ( 228,276,043 ) 21,670,993 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 253,975,133 ( 64,480,382 ) ProShares Ultra Bloomberg Natural Gas ( 1,441,434,725 ) 194,583,202 ProShares Ultra Gold 11,120,462 ( 22,699,483 ) ProShares Ultra Silver 5,667,026 ( 96,434,853 ) ProShares UltraShort Bloomberg Crude Oil 7,896,254 ( 35,285,156 ) ProShares UltraShort Bloomberg Natural Gas 221,346,621 ( 62,113,081 ) ProShares UltraShort Gold ( 1,147,608 ) 1,851,613 ProShares UltraShort Silver 10,748,650 4,528,828 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 336,185 ( 638,368 ) ProShares Ultra Yen ( 2,923,720 ) ( 1,564,970 ) ProShares UltraShort Euro ( 2,576,119 ) 3,909,584 ProShares UltraShort Yen 3,422,003 3,948,039 Combined Trust: $ ( 1,822,858,925 ) $ 3,208,695 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. 99 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the three months ended September 30, 2022 Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements ProShares Short VIX Short-Term Futures ETF $ 27,694,574 $ ( 17,783,632 ) ProShares Ultra VIX Short-Term Futures ETF ( 289,871,717 ) 161,330,331 ProShares VIX Mid-Term Futures ETF ( 1,349,272 ) 3,236,565 ProShares VIX Short-Term Futures ETF ( 45,457,319 ) 51,449,994 Commodities Contracts Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements ProShares Ultra Bloomberg Crude Oil ( 344,578,932 ) ( 33,971,770 ) ProShares Ultra Bloomberg Natural Gas ( 5,889,116 ) 97,063,212 ProShares Ultra Gold ( 39,825,586 ) 2,070,901 ProShares Ultra Silver ( 147,384,761 ) 91,205,187 ProShares UltraShort Bloomberg Crude Oil 66,444,885 76,797,273 ProShares UltraShort Bloomberg Natural Gas 8,173,631 ( 23,776,729 ) ProShares UltraShort Gold 4,988,228 806,339 ProShares UltraShort Silver 6,215,407 ( 4,087,962 ) Foreign Exchange Contracts Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts ProShares Ultra Euro ( 1,618,381 ) ( 98,836 ) ProShares Ultra Yen ( 1,652,590 ) ( 17,967 ) ProShares UltraShort Euro 11,086,708 ( 354,043 ) ProShares UltraShort Yen 5,879,873 ( 546,737 ) Combined Trust $ ( 747,144,368 ) $ 403,322,126 100 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the nine months ended September 30, 2022 Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements ProShares Short VIX Short-Term Futures ETF $ ( 26,435,234 ) $ ( 47,541,296 ) ProShares Ultra VIX Short-Term Futures ETF 82,162,402 323,609,043 ProShares VIX Mid-Term Futures ETF 11,304,613 6,941,620 ProShares VIX Short-Term Futures ETF 31,935,990 84,956,040 Commodities Contracts Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and swap agreements ProShares Ultra Bloomberg Crude Oil 818,140,230 ( 339,187,944 ) ProShares Ultra Bloomberg Natural Gas 235,322,266 ( 89,157,584 ) ProShares Ultra Gold ( 39,908,073 ) ( 17,607,548 ) ProShares Ultra Silver ( 186,941,909 ) ( 16,622,928 ) ProShares UltraShort Bloomberg Crude Oil ( 142,631,216 ) 113,723,566 ProShares UltraShort Bloomberg Natural Gas ( 389,138,752 ) 116,857,361 ProShares UltraShort Gold 3,237,425 3,173,923 ProShares UltraShort Silver 8,252,893 1,570,887 Foreign Exchange Contracts Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts ProShares Ultra Euro ( 2,505,776 ) ( 513,883 ) ProShares Ultra Yen ( 2,532,839 ) ( 2,005 ) ProShares UltraShort Euro 16,693,971 3,049,081 ProShares UltraShort Yen 14,877,216 ( 444,812 ) Combined Trust: $ 431,833,207 $ 142,803,521 101 Table of Contents Offsetting Assets and Liabilities Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2023. Fair Values of Derivative Instruments as of September 30, 2023 Assets Liabilities Fund Gross Amounts of Recognized Assets presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets presented in the Statements of Financial Condition Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities presented in the Statements of Financial Condition ProShares Ultra Bloomberg Crude Oil Swap agreements $ 11,240,991 $ —   $ 11,240,991 $ —   $ —   $ —   ProShares Ultra Bloomberg Natural Gas Swap agreements —   —   —   1,438,294 —   1,438,294 ProShares Ultra Euro Foreign currency forward contracts 867 —   867 223,579 —   223,579 ProShares Ultra Gold Swap agreements —   —   —   10,343,189 —   10,343,189 ProShares Ultra Silver Swap agreements —   —   —   21,616,739 —   21,616,739 ProShares Ultra Yen Foreign currency forward contracts 8,894 —   8,894 589,315 —   589,315 ProShares UltraShort Euro Foreign currency forward contracts 1,585,136 —   1,585,136 136,808 —   136,808 ProShares UltraShort Gold Swap agreements 649,016 —   649,016 —   —   —   ProShares UltraShort Silver Swap agreements 1,014,468 —   1,014,468 —   —   —   ProShares UltraShort Yen Foreign currency forward contracts 969,376 —   969,376 48,770 —   48,770 102 Table of Contents Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2023. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”. Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2023 Fund Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition Financial Instruments for the Benefit of (the Funds) / the Counterparties Cash Collateral for the Benefit of (the Funds) / the Counterparties Net Amount ProShares Ultra Bloomberg Crude Oil Citibank, N.A. $ 1,869,634 $ ( 1,869,634 ) $ —   $ —   Goldman Sachs International 2,324,555 ( 2,324,555 ) —   —   Morgan Stanley & Co. International PLC 1,607,761 ( 1,368,876 ) ( 238,885 ) —   Societe Generale 1,776,923 ( 1,776,923 ) —   —   UBS AG 3,662,118 ( 3,662,118 ) —   —   ProShares Ultra Bloomberg Natural Gas Citibank, N.A. ( 706,090 ) —   706,090 —   Goldman Sachs International ( 482,438 ) —   482,438 —   Societe Generale ( 245,972 ) —   245,972 —   UBS AG ( 3,794 ) —   3,794 —   ProShares Ultra Euro Goldman Sachs International ( 136,003 ) —   136,003 —   UBS AG ( 86,709 ) —   86,709 —   ProShares Ultra Gold Citibank, N.A. ( 4,441,216 ) —   4,441,216 —   Goldman Sachs International ( 2,109,437 ) —   2,109,437 —   UBS AG ( 3,792,536 ) —   3,792,536 —   ProShares Ultra Silver Citibank, N.A. ( 7,524,763 ) —   7,524,763 —   Goldman Sachs International ( 994,790 ) —   994,790 —   Morgan Stanley & Co. International PLC ( 6,749,262 ) —   6,749,262 —   UBS AG ( 6,347,924 ) —   6,347,924 —   ProShares Ultra Yen Goldman Sachs International ( 268,253 ) —   268,253 —   UBS AG ( 312,168 ) —   312,168 —   ProShares UltraShort Euro Goldman Sachs International 763,505 ( 763,505 ) —   —   UBS AG 684,823 ( 684,823 ) —   —   ProShares UltraShort Gold Citibank, N.A. 149,583 —   —   149,583 Goldman Sachs International 196,202 —   —   196,202 UBS AG 303,231 ( 262,149 ) —   41,082 ProShares UltraShort Silver Citibank, N.A. 120,165 —   —   120,165 Goldman Sachs International 437,748 ( 344,363 ) —   93,385 Morgan Stanley & Co. International PLC 345,878 —   —   345,878 UBS AG 110,677 —   —   110,677 ProShares UltraShort Yen Goldman Sachs International 406,284 ( 331,699 ) —   74,585 UBS AG 514,322 ( 290,824 ) —   223,498 103 Table of Contents The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2022: Fair Values of Derivative Instruments as of December 31, 2022 Assets Liabilities Fund Gross Amounts of Recognized Assets presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets presented in the Statements of Financial Condition Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities presented in the Statements of Financial Condition ProShares Ultra Bloomberg Crude Oil Swap agreements $ 74,159,577 $ —   $ 74,159,577 $ —   $ —   $ —   ProShares Ultra Euro Foreign currency forward contracts 514,115 —   514,115 98,459 —   98,459 ProShares Ultra Gold Swap agreements 6,496,466 —   6,496,466 —   —   —   ProShares Ultra Silver Swap agreements 39,224,212 —   39,224,212 —   —   —   ProShares Ultra Yen Foreign currency forward contracts 1,152,834 —   1,152,834 168,285 —   168,285 ProShares UltraShort Euro Foreign currency forward contracts 193,192 —   193,192 2,654,448 —   2,654,448 ProShares UltraShort Gold Swap agreements —   —   —   592,957 —   592,957 ProShares UltraShort Silver Swap agreements —   —   —   1,722,623 —   1,722,623 ProShares UltraShort Yen Foreign currency forward contracts 963,369 —   963,369 3,990,802 —   3,990,802 Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2022. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”. 104 Table of Contents Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2022 Fund Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition Financial Instruments for the Benefit of (the Funds) / the Counterparties Cash Collateral for the Benefit of (the Funds) / the Counterparties Net Amount ProShares Ultra Bloomberg Crude Oil Citibank, N.A. $ 11,723,388 $ —   $ ( 7,220,000 ) $ 4,503,388 Goldman Sachs International 14,575,933 ( 9,281,322 ) —   5,294,611 Morgan Stanley & Co. International PLC 20,305,392 —   ( 12,510,000 ) 7,795,392 Societe Generale 11,075,235 ( 7,038,055 ) —   4,037,180 UBS AG 16,479,629 ( 10,808,424 ) ( 41,993 ) 5,629,212 ProShares Ultra Euro Goldman Sachs International 217,491 —   —   217,491 UBS AG 198,165 ( 198,165 ) —   —   ProShares Ultra Gold Citibank, N.A. 2,582,849 —   ( 2,570,000 ) 12,849 Goldman Sachs International 1,226,772 ( 1,193,425 ) —   33,347 UBS AG 2,686,845 ( 2,682,652 ) ( 4,193 ) —   ProShares Ultra Silver Citibank, N.A. 12,628,472 —   ( 12,628,472 ) —   Goldman Sachs International 1,667,621 ( 1,667,621 ) —   —   Morgan Stanley & Co. International PLC 13,862,180 —   ( 10,733,000 ) 3,129,180 UBS AG 11,065,939 ( 11,065,939 ) —   —   ProShares Ultra Yen Goldman Sachs International 683,120 ( 308,636 ) —   374,484 UBS AG 301,429 —   —   301,429 ProShares UltraShort Euro Goldman Sachs International ( 1,121,150 ) —   1,121,150 —   UBS AG ( 1,340,106 ) —   1,340,106 —   ProShares UltraShort Gold Citibank, N.A. ( 181,291 ) —   181,291 —   Goldman Sachs International ( 231,533 ) —   231,533 —   UBS AG ( 180,133 ) —   180,133 —   ProShares UltraShort Silver Citibank, N.A. ( 203,969 ) —   203,969 —   Goldman Sachs International ( 743,029 ) —   743,029 —   Morgan Stanley & Co. International PLC ( 587,758 ) —   587,758 —   UBS AG ( 187,867 ) —   187,867 —   ProShares UltraShort Yen Goldman Sachs International ( 936,322 ) —   936,322 —   UBS AG ( 2,091,111 ) —   1,690,000 ( 401,111 ) 105 Table of Contents NOTE 4 – AGREEMENTS Management Fee 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 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. 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 preparation and mailing fees not exceeding 0.10 % per annum of the net assets of a Fund, and report preparation and mailing expenses. Non-Recurring Fees and Expenses Each Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds. 106 Table of Contents The Administrator BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds (the “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. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor. The Custodian BNY Mellon serves as the Custodian of the Funds (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. The Custodian’s fees are paid on behalf of the Funds by the Sponsor. The Transfer Agent BNY Mellon serves as the Transfer Agent of the Funds (the “Transfer Agent”) 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. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor. The Distributor SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds. NOTE 5 – CREATION AND REDEMPTION OF CREATION UNITS Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts. Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors. Transaction Fees on Creation and Redemption Transactions The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date. 107 Table of Contents Authorized Participants may pay a fixed transaction fee (typically $ 250 ) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10 % (and a variable transaction fee to the Matching VIX Funds of 0.05 %) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market. Transaction fees for the three and nine months ended September 30, 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 Fund September 30, 2023 September 30, 2023 ProShares Short VIX Short-Term Futures ETF $ 41,549 $ 203,485 ProShares Ultra Bloomberg Crude Oil —   —   ProShares Ultra Bloomberg Natural Gas —   —   ProShares Ultra Euro —   —   ProShares Ultra Gold —   —   ProShares Ultra Silver —   —   ProShares Ultra VIX Short-Term Futures ETF 248,309 1,068,660 ProShares Ultra Yen —   —   ProShares UltraShort Bloomberg Crude Oil —   —   ProShares UltraShort Bloomberg Natural Gas —   —   ProShares UltraShort Euro —   —   ProShares UltraShort Gold —   —   ProShares UltraShort Silver —   —   ProShares UltraShort Yen —   —   ProShares VIX Mid-Term Futures ETF 6,068 21,579 ProShares VIX Short-Term Futures ETF 47,895 215,117 Combined Trust: $ 343,821 $ 1,508,841 108 Table of Contents NOTE 6 – FINANCIAL HIGHLIGHTS Selected data for a Share outstanding throughout the three months ended September 30, 2023 For the Three Months Ended September 30, 2023 (unaudited) Per Share Operating Performance Short VIX Short-Term Futures ETF Ultra Bloomberg Crude Oil Ultra Bloomberg Natural Gas * Ultra Euro Ultra Gold Ultra Silver Net asset value, at June 30, 2023 $ 84.68 $ 23.74 $ 69.48 $ 11.59 $ 58.36 $ 27.04 Net investment income (loss) 0.60 0.16 0.38 0.10 0.47 0.18 Net realized and unrealized gain (loss)# 0.97 11.34 ( 15.86 ) ( 0.82 ) ( 6.08 ) ( 2.46 ) Change in net asset value from operations 1.57 11.50 ( 15.48 ) ( 0.72 ) ( 5.61 ) ( 2.28 ) Net asset value, at September 30, 2023 $ 86.25 $ 35.24 $ 54.00 $ 10.87 $ 52.75 $ 24.76 Market value per share, at June 30, 2023 † $ 84.68 $ 23.65 $ 68.99 $ 11.61 $ 58.24 $ 26.95 Market value per share, at September 30, 2023 † $ 86.34 $ 35.28 $ 54.38 $ 10.85 $ 52.60 $ 24.61 Total Return, at net asset value^ 1.9 % 48.4 % ( 22.3 )% ( 6.2 )% ( 9.6 )% ( 8 .4 )% Total Return, at market value^ 2.0 % 49.2 % ( 21.2 )% ( 6.6 )% ( 9.7 )% ( 8.7 )% Ratios to Average Net Assets** Expense ratio^^ 1.16 % 0.98 % 1 .26 % 0.95 % 0.96 % 0.98 % Net investment income gain (loss) 2.77 % 2.13 % 2 .49 % 3.56 % 3.22 % 2.58 % * 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, 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. 109 Table of Contents For the Three Months Ended September 30, 2023 (unaudited) Per Share Operating Performance Ultra VIX Short-Term Futures ETF * Ultra Yen UltraShort Bloomberg Crude Oil UltraShort Bloomberg Natural Gas UltraShort Euro UltraShort Gold Net asset value, at June 30, 2023 $ 18.48 $ 27.40 $ 25.62 $ 55.06 $ 29.10 $ 28.90 Net investment income (loss) 0.09 0.25 0.17 0.45 0.26 0.23 Net realized and unrealized gain (loss)# ( 2.37 ) ( 2.64 ) ( 8.93 ) 5.95 2.07 3.01 Change in net asset value from operations ( 2.28 ) ( 2.39 ) ( 8.76 ) 6.40 2.33 3.24 Net asset value, at September 30, 2023 $ 16.20 $ 25.01 $ 16.86 $ 61.46 $ 31.43 $ 32.14 Market value per share, at June 30, 2023 † $ 18.49 $ 27.42 $ 25.70 $ 55.45 $ 29.11 $ 28.96 Market value per share, at September 30, 2023 † $ 16.21 $ 25.00 $ 16.82 $ 61.04 $ 31.43 $ 32.20 Total Return, at net asset value^ ( 12.4 )% ( 8.7 )% ( 34.2 )% 11.6 % 8 .0 % 11.2 % Total Return, at market value^ ( 12.3 )% ( 8.8 )% ( 34.6 )% 10.1 % 8 .0 % 11.2 % Ratios to Average Net Assets** Expense ratio^^ 1.68 % 0.95 % 1.04 % 1.44 % 0.95 % 0.98 % Net investment income gain (loss) 2.16 % 3.66 % 3.47 % 3.16 % 3.51 % 3.13 % * 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, 2023. ^^ 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. 110 Table of Contents For the Three Months Ended September 30, 2023 (unaudited) Per Share Operating Performance UltraShort Silver UltraShort Yen VIX Mid-Term Futures ETF VIX Short- Term Futures ETF* Net asset value, at June 30, 2023 $ 20.49 $ 67.94 $ 20.49 $ 24.95 Net investment income (loss) 0.14 0.61 0.17 0.19 Net realized and unrealized gain (loss)# 0.81 6.53 ( 1.24 ) ( 1.83 ) Change in net asset value from operations 0.95 7.14 ( 1.07 ) ( 1.64 ) Net asset value, at September 30, 2023 $ 21.44 $ 75.08 $ 19.42 $ 23.31 Market value per share, at June 30, 2023 † $ 20.58 $ 67.95 $ 20.48 $ 24.96 Market value per share, at September 30, 2023 † $ 21.55 $ 75.08 $ 19.41 $ 23.30 Total Return, at net asset value^ 4.6 % 10.5 % ( 5.2 )% ( 6.6 )% Total Return, at market value^ 4.7 % 10.5 % ( 5.2 )% ( 6.6 )% Ratios to Average Net Assets** Expense ratio^^ 1.12 % 0.95 % 0.99 % 1.04 % Net investment income gain (loss) 2.98 % 3.48 % 3.35 % 3.27 % * 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, 2023. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded. 111 Table of Contents Selected data for a Share outstanding throughout the three months ended September 30, 2022 For the Three Months Ended September 30, 2022 (unaudited) Per Share Operating Performance Short VIX Short-Term Futures ETF Ultra Bloomberg Crude Oil Ultra Bloomberg Natural Gas* Ultra Euro Ultra Gold Ultra Silver Net asset value, at June 30, 2022 $ 48.14 $ 41.61 $ 790.70 $ 11.08 $ 56.46 $ 24.78 Net investment income (loss) ( 0.01 ) 0.01 0.58 0.00 (1) 0.05 0.00 (2) Net realized and unrealized gain (loss)# 0.38 ( 15.41 ) 273.12 ( 1.51 ) ( 9.44 ) ( 3.94 ) Change in net asset value from operations 0.37 ( 15.40 ) 273.70 ( 1.51 ) ( 9.39 ) ( 3.94 ) Net asset value, at September 30, 2022 $ 48.51 $ 26.21 $ 1064.40 $ 9.57 $ 47.07 $ 20.84 Market value per share, at June 30, 2022 † $ 48.21 $ 41.86 $ 842.00 $ 11.11 $ 56.50 $ 24.47 Market value per share, at September 30, 2022 † $ 48.59 $ 26.26 $ 1073.20 $ 9.57 $ 46.93 $ 20.76 Total Return, at net asset value^ 0.8 % ( 37.0 )% 34.6 % ( 13.7 )% ( 16.6 )% ( 15.9 )% Total Return, at market value^ 0.8 % ( 37.3 )% 27.5 % ( 13.9 )% ( 16.9 )% ( 15.2 )% Ratios to Average Net Assets** Expense ratio^^ 1.14 % 1 .01 % 1 .16 % 0.96 % 0.97 % 1.00 % Net investment income gain (loss) ( 0.09 )% 0 .07 % 0 .15 % 0.16 % 0.38 % ( 0.02 )% * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended September 30, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. (1) Amount represents less than $ 0.005 . (2) Amount represents greater than $( 0.005 ). 112 Table of Contents For the Three Months Ended September 30, 2022 (unaudited) Per Share Operating Performance Ultra VIX Short-Term Futures ETF* Ultra Yen UltraShort Bloomberg Crude Oil UltraShort Bloomberg Natural Gas UltraShort Euro UltraShort Gold Net asset value, at June 30, 2022 $ 145.13 $ 33.51 $ 23.04 $ 42.65 $ 30.38 $ 31.55 Net investment income (loss) ( 0.04 ) 0.01 0.02 0.00 (1) 0.01 ( 0.01 ) Net realized and unrealized gain (loss)# ( 16.35 ) ( 4.49 ) 7.28 ( 25.30 ) 4.45 5.64 Change in net asset value from operations ( 16.39 ) ( 4.48 ) 7.30 ( 25.30 ) 4.46 5.63 Net asset value, at September 30, 2022 $ 128.74 $ 29.03 $ 30.34 $ 17.35 $ 34.84 $ 37.18 Market value per share, at June 30, 2022 † $ 145.30 $ 33.49 $ 22.93 $ 40.02 $ 30.41 $ 31.59 Market value per share, at September 30, 2022 † $ 128.50 $ 29.06 $ 30.28 $ 17.21 $ 34.88 $ 37.30 Total Return, at net asset value^ ( 11.3 )% ( 13.3 )% 31.7 % ( 59.3 )% 14.7 % 17.9 % Total Return, at market value^ ( 11.6 )% ( 13.2 )% 32.1 % ( 57.0 )% 14.7 % 18.1 % Ratios to Average Net Assets** Expense ratio^^ 1 .46 % 0.96 % 1.11 % 1 .25 % 0.96 % 1.00 % Net investment income gain (loss) ( 0.14 )% 0.18 % 0.32 % ( 0.01 )% 0.12 % ( 0.11 )% * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended September 30, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. (1) Amount represents greater than $( 0.005 ). 113 Table of Contents For the Three Months Ended September 30, 2022 (unaudited) Per Share Operating Performance UltraShort Silver UltraShort Yen VIX Mid- Term Futures ETF VIX Short- Term Futures ETF* Net asset value, at June 30, 2022 $ 31.74 $ 57.06 $ 35.29 $ 91.09 Net investment income (loss) ( 0.02 ) 0.01 0.00 (1) 0.05 Net realized and unrealized gain (loss)# 2.34 7.97 0.19 ( 5.63 ) Change in net asset value from operations 2.32 7.98 0.19 ( 5.58 ) Net asset value, at September 30, 2022 $ 34.06 $ 65.04 $ 35.48 $ 85.51 Market value per share, at June 30, 2022 † $ 32.19 $ 57.13 $ 35.38 $ 91.25 Market value per share, at September 30, 2022 † $ 34.15 $ 65.02 $ 35.50 $ 85.50 Total Return, at net asset value^ 7 .3 % 14.0 % 0 .6 % ( 6.1 )% Total Return, at market value^ 6 .1 % 13.8 % 0 .3 % ( 6.3 )% Ratios to Average Net Assets** Expense ratio^^ 1.08 % 0.96 % 0.93 % 1.11 % Net investment income gain (loss) ( 0.19 )% 0.07 % ( 0.01 )% 0.25 % * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended September 30, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded. (1) Amount represents greater than $( 0.005 ). 114 Table of Contents S elected Data for a Share Outstanding Throughout the nine Months Ended September 30, 2023 For the Nine Months Ended September 30, 2023 (unaudited) Per Share Operating Performance Short VIX Short-Term Futures ETF Ultra Bloomberg Crude Oil Ultra Bloomberg Natural Gas* Ultra Euro Ultra Gold Ultra Silver Net asset value, at December 31, 2022 $ 58.71 $ 30.26 $ 363.08 $ 11.27 $ 55.09 $ 31.75 Net investment income (loss) 1.41 0.43 1.18 0.27 1.33 0.57 Net realized and unrealized gain (loss)# 26.13 4.55 ( 310.26 ) ( 0.67 ) ( 3.67 ) ( 7.56 ) Change in net asset value from operations 27.54 4.98 ( 309.08 ) ( 0.40 ) ( 2.34 ) ( 6.99 ) Net asset value, at September 30, 2023 $ 86.25 $ 35.24 $ 54.00 $ 10.87 $ 52.75 $ 24.76 Market value per share, at December 31, 2022 † $ 58.68 $ 30.31 $ 355.60 $ 11.26 $ 55.27 $ 32.00 Market value per share, at September 30, 2023 † $ 86.34 $ 35.28 $ 54.38 $ 10.85 $ 52.60 $ 24.61 Total Return, at net asset value^ 46.9 % 16.5 % ( 85.1 )% ( 3.5 )% ( 4.3 )% ( 22.0 )% Total Return, at market value^ 47.1 % 16.4 % ( 84.7 )% ( 3.6 )% ( 4.8 )% ( 23.1 )% Ratios to Average Net Assets** Expense ratio^^ 1.15 % 0.99 % 1 .38 % 0.95 % 0.97 % 0.99 % Net investment income gain (loss) 2.59 % 2.12 % 2 .16 % 3.19 % 2.98 % 2.63 % * 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, 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. 115 Table of Contents For the Nine Months Ended September 30, 2023 (unaudited) Per Share Operating Performance Ultra VIX Short-Term Futures ETF* Ultra Yen UltraShort Bloomberg Crude Oil UltraShort Bloomberg Natural Gas UltraShort Euro UltraShort Gold Net asset value, at December 31, 2022 $ 68.69 $ 34.54 $ 23.93 $ 27.00 $ 29.46 $ 31.10 Net investment income (loss) 0.40 0.74 0.53 1.11 0.70 0.61 Net realized and unrealized gain (loss)# ( 52.89 ) ( 10.27 ) ( 7.60 ) 33.35 1.27 0.43 Change in net asset value from operations ( 52.49 ) ( 9.53 ) ( 7.07 ) 34.46 1.97 1.04 Net asset value, at September 30, 2023 $ 16.20 $ 25.01 $ 16.86 $ 61.46 $ 31.43 $ 32.14 Market value per share, at December 31, 2022 † $ 68.60 $ 34.56 $ 23.85 $ 27.56 $ 29.45 $ 30.99 Market value per share, at September 30, 2023 † $ 16.21 $ 25.00 $ 16.82 $ 61.04 $ 31.43 $ 32.20 Total Return, at net asset value^ ( 76.4 )% ( 27.6 )% ( 29.6 )% 127.7 % 6.7 % 3.4 % Total Return, at market value^ ( 76.4 )% ( 27.7 )% ( 29.5 )% 121.5 % 6.7 % 3.9 % Ratios to Average Net Assets** Expense ratio^^ 1 .58 % 0 .95 % 1.07 % 1.64 % 0.95 % 0.98 % Net investment income gain (loss) 1 .77 % 3 .28 % 3.14 % 2.57 % 3.20 % 2.90 % * 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, 2023. ^^ 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. 116 Table of Contents For the Nine Months Ended September 30, 2023 (unaudited) Per Share Operating Performance UltraShort Silver UltraShort Yen VIX Mid- Term Futures ETF VIX Short- Term Futures ETF* Net asset value, at December 31, 2022 $ 19.46 $ 53.68 $ 30.41 $ 57.00 Net investment income (loss) 0.38 1.47 0.54 0.70 Net realized and unrealized gain (loss)# 1.60 19.93 ( 11.53 ) ( 34.39 ) Change in net asset value from operations 1.98 21.40 ( 10.99 ) ( 33.69 ) Net asset value, at September 30, 2023 $ 21.44 $ 75.08 $ 19.42 $ 23.31 Market value per share, at December 31, 2022 † $ 19.30 $ 53.57 $ 30.36 $ 56.90 Market value per share, at September 30, 2023 † $ 21.55 $ 75.08 $ 19.41 $ 23.30 Total Return, at net asset value^ 10.2 % 39.9 % ( 36.1 )% ( 59.1 )% Total Return, at market value^ 11.7 % 40.2 % ( 36.1 )% ( 59.1 )% Ratios to Average Net Assets** Expense ratio^^ 1.07 % 0.95 % 0 .98 % 1 .07 % Net investment income gain (loss) 2.63 % 3.20 % 3 .03 % 2 .81 % * 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, 2023. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded. 117 Table of Contents Selected Data for a Share Outstanding Throughout the nine Months Ended September 30, 2022 For the Nine Months Ended September 30, 2022 (unaudited) Per Share Operating Performance Short VIX Short-Term Futures ETF Ultra Bloomberg Crude Oil Ultra Bloomberg Natural Gas * Ultra Euro Ultra Gold Ultra Silver Net asset value, at December 31, 2021 $ 61.56 $ 21.54 $ 511.08 $ 13.32 $ 59.69 $ 34.84 Net investment income (loss) ( 0.31 ) ( 0.16 ) ( 5.33 ) ( 0.02 ) ( 0.19 ) ( 0.13 ) Net realized and unrealized gain (loss)# ( 12.74 ) 4.83 558.65 ( 3.73 ) ( 12.43 ) ( 13.87 ) Change in net asset value from operations ( 13.05 ) 4.67 553.32 ( 3.75 ) ( 12.62 ) ( 14.00 ) Net asset value, at September 30, 2022 $ 48.51 $ 26.21 $ 1,064.40 $ 9.57 $ 47.07 $ 20.84 Market value per share, at December 31, 2021 † $ 61.55 $ 21.70 $ 521.80 $ 13.33 $ 59.81 $ 34.74 Market value per share, at September 30, 2022 † $ 48.59 $ 26.26 $ 1,073.20 $ 9.57 $ 46.93 $ 20.76 Total Return, at net asset value^ ( 21.2 )% 21.7 % 108.3 % ( 28.2 )% ( 21.1 )% ( 40.2 )% Total Return, at market value^ ( 21.1 )% 21.0 % 105.7 % ( 28.2 )% ( 21.5 )% ( 40.2 )% Ratios to Average Net Assets** Expense ratio^^ 1 .23 % 1.04 % 1 .24 % 0.95 % 0 .99 % 0 .99 % Net investment income gain (loss) ( 0.80 )% ( 0.59 )% ( 0 .58 )% ( 0.27 )% ( 0.43 )% ( 0.56 )% * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended September 30, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. 118 Table of Contents For the Nine Months Ended September 30, 2022 (unaudited) Per Share Operating Performance Ultra VIX Short-Term Futures ETF * Ultra Yen UltraShort Bloomberg Crude Oil UltraShort Bloomberg Natural Gas UltraShort Euro UltraShort Gold Net asset value, at December 31, 2021 $ 124.06 $ 47.29 $ 64.26 $ 247.40 $ 25.84 $ 31.71 Net investment income (loss) ( 0.94 ) ( 0.04 ) ( 0.07 ) ( 0.14 ) ( 0.08 ) ( 0.13 ) Net realized and unrealized gain (loss)# 5.62 ( 18.22 ) ( 33.85 ) ( 229.91 ) 9.08 5.60 Change in net asset value from operations 4.68 ( 18.26 ) ( 33.92 ) ( 230.05 ) 9.00 5.47 Net asset value, at September 30, 2022 $ 128.74 $ 29.03 $ 30.34 $ 17.35 $ 34.84 $ 37.18 Market value per share, at December 31, 2021 † $ 124.30 $ 47.29 $ 63.75 $ 242.20 $ 25.86 $ 31.66 Market value per share, at September 30, 2022 † $ 128.50 $ 29.06 $ 30.28 $ 17.21 $ 34.88 $ 37.30 Total Return, at net asset value^ 3.7 % ( 38.6 )% ( 52.8 )% ( 93.0 )% 34.8 % 17.3 % Total Return, at market value^ 3.4 % ( 38.6 )% ( 52.5 )% ( 92.9 )% 34.9 % 17.8 % Ratios to Average Net Assets** Expense ratio^^ 1.57 % 0.96 % 1.15 % 1.38 % 0.95 % 1.00 % Net investment income gain (loss) ( 0.97 )% ( 0.15 )% ( 0.38 )% ( 0.77 )% ( 0.37 )% ( 0.56 )% * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended September 30, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. 119 Table of Contents For the Nine Months Ended September 30, 2022 (unaudited) Per Share Operating Performance UltraShort Silver UltraShort Yen VIX Mid-Term Futures ETF VIX Short- Term Futures ETF * Net asset value, at December 31, 2021 $ 26.77 $ 41.50 $ 30.61 $ 75.62 Net investment income (loss) ( 0.13 ) ( 0.16 ) ( 0.15 ) ( 0.35 ) Net realized and unrealized gain (loss)# 7.42 23.70 5.02 10.24 Change in net asset value from operations 7.29 23.54 4.87 9.89 Net asset value, at September 30, 2022 $ 34.06 $ 65.04 $ 35.48 $ 85.51 Market value per share, at December 31, 2021 † $ 26.84 $ 41.50 $ 30.57 $ 75.85 Market value per share, at September 30, 2022 † $ 34.15 $ 65.02 $ 35.50 $ 85.50 Total Return, at net asset value^ 27.2 % 56.7 % 15.9 % 13.1 % Total Return, at market value^ 27.2 % 56.7 % 16.1 % 12.7 % Ratios to Average Net Assets** Expense ratio^^ 1.08 % 0.95 % 0.99 % 1.16 % Net investment income gain (loss) ( 0.63 )% ( 0.40 )% ( 0.59 )% ( 0.56 )% * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended September 30, 2022. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. 120 Table of Contents NOTE 7 – RISK Correlation and Compounding Risk The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ in amount and possibly even direction from one-half the inverse (-0.5x), two times the inverse (-2x), one and one-half times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the period. A Geared Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short or UltraShort), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Geared Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Geared Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective over time. Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and one-half or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of an UltraShort Fund is designed to return two times the inverse (-2x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark. A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -0.5x, -2x, 1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day. 121 Table of Contents Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks. Counterparty Risk Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to 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. Regulatory Treatment Derivatives are generally traded in OTC markets and are subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities). Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” 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, 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. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants. Counterparty Credit Risk The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of 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. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions. OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day. 122 Table of Contents 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 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 futures customer segregated funds, under which the clearing house may access all of the commingled futures 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. 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. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com. Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law. The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund. Leverage Risk The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day. For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and one-half times (1.5x) multiplier) include a two times the inverse (-2x), or a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50 % at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund or upward single-day or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times. Liquidity Risk Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated. 123 Table of Contents “Contango” and “Backwardation” Risk In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2022 may specify a January 2023 expiration. As that contract nears expiration, it may be replaced by selling the January 2023 contract and purchasing the contract expiring in March 2023. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2023 contract would take place at a price that is higher than the price at which the March 2023 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds. Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds. Gold and silver have historically exhibited persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly. There have been times where WTI crude oil futures contracts experience “extraordinary contango or extraordinary backwardation”. For example, in April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. In the summer of 2022, the market for crude oil futures contracts experienced a period of extreme backwardation, but normalized towards the end of the year. The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. Conversely, investors in an UltraShort Fund could suffer significant losses or lose their entire investment if prices reversed or were subject to extraordinary backwardation. The effects of rolling futures contracts under extraordinary contango or backwardation market conditions generally are more exaggerated than rolling futures contracts under more typical contango or backwardation market conditions. Either scenario may result in significant losses. 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. 124 Table of Contents Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks The outbreak of COVID-19 (including any variants), or any future epidemic or pandemic similar to COVID-19, SARS, H1N1, or MERS, could have a significant adverse impact on the Funds and their investments, could adversely affect the Funds’ ability to fulfill its investment objectives, and could result in significant losses to the Funds. The extent of the impact of any outbreak on the performance of the Funds and their investments depend on many factors, including the duration and scope of such outbreak, the development and distribution of treatments and vaccines for viruses such as COVID-19, the extent of any such outbreak’s disruption to important global, regional and local supply chains and economic markets, and the impact of such outbreak on overall supply and demand, investor liquidity, consumer confidence and levels of economic activity, all of which are highly uncertain and cannot be predicted. Additionally, public health issues, war (such as the war between Russia and Ukraine), military conflicts, sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. 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, and the value of an investment in the Fund may decline significantly. On February 24, 2022, Russia commenced a military attack on Ukraine. The ongoing hostilities between the two countries could result in additional widespread conflict and could have a severe adverse effect on the region, the markets for gold, silver, oil, natural gas and other commodities, and the price of Financial Instruments based on such commodities, and other markets. As the war continues, sanctions on Russian exports in the future could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of the Financial Instruments in which each Fund invests may fluctuate widely as a result of the conflict and related events. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflict and related events could have significant impact on a Fund’s performance, and the value of an investment in the 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 Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date. 125 Table of Contents