ProShares Trust II 10-Q

10-Q Table of Contents UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q ☒ Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended March 31, 2024 . or ☐ Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from       to         . Commission file number: 001-34200 PROSHARES TRUST II (Exact name of registrant as specified in its charter) Delaware 87-6284802 (State or other jurisdiction of incorporation or organization) (I.R.S. Employer Identification No.) c/o ProShare Capital Management LLC 7272 Wisconsin Avenue , 21 st Floor Bethesda , Maryland 20814 (Address of principal executive offices) (Zip Code) ( 240 ) 497-6400 (Registrant’s telephone number, including area code) Securities registered pursuant to Section 12(b) of the Act: Title of each class Trading Symbol(s) Name of each exchange on which registered ProShares Short VIX Short-Term Futures ETF SVXY Cboe BZX Exchange ProShares Ultra Bloomberg Crude Oil UCO NYSE Arca ProShares Ultra Bloomberg Natural Gas BOIL NYSE Arca ProShares Ultra Euro ULE NYSE Arca ProShares Ultra Gold UGL NYSE Arca ProShares Ultra Silver AGQ NYSE Arca ProShares Ultra VIX Short-Term Futures ETF UVXY Cboe BZX Exchange ProShares Ultra Yen YCL NYSE Arca ProShares UltraShort Bloomberg Crude Oil SCO NYSE Arca ProShares UltraShort Bloomberg Natural Gas KOLD NYSE Arca ProShares UltraShort Euro EUO NYSE Arca ProShares UltraShort Gold GLL NYSE Arca ProShares UltraShort Silver ZSL NYSE Arca ProShares UltraShort Yen YCS NYSE Arca ProShares VIX Mid-Term Futures ETF VIXM Cboe BZX Exchange ProShares VIX Short-Term Futures ETF VIXY Cboe BZX Exchange Securities registered pursuant to Section 12(g) of the Act: None Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒  Yes  ☐ No Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒  Yes  ☐ No Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act. Large Accelerated Filer ☒ Accelerated Filer ☐ Non-Accelerated Filer ☐ Smaller Reporting Company ☐ Emerging Growth Company ☐ If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐ Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act.). ☐ Yes  ☒  No Indicate by check mark whether the registrant has filed all documents and reports required to be filed by Sections 12, 13 or 15(d) of the Securities Exchange Act of 1934 subsequent to the distribution of securities under a plan confirmed by a court. ☒ Yes ☐ No As of May 2, 2024, the registrant had 126,184,561 shares of common stock, $0 par value per share, outstanding. Table of Contents PROSHARES TRUST II Table of Contents Page Part I. FINANCIAL INFORMATION Item 1. Financial Statements (unaudited) 1 Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 118 Item 3. Quantitative and Qualitative Disclosures About Market Risk 145 Item 4. Controls and Procedures 159 Part II. OTHER INFORMATION Item 1. Legal Proceedings 161 Item 1A. Risk Factors 161 Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 162 Item 3. Defaults Upon Senior Securities 164 Item 4. Mine Safety Disclosures 164 Item 5. Other Information 164 Item 6. Exhibits 165 Table of Contents Part I. FINANCIAL INFORMATION Item 1. Financial Statements. Index Documents Page Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows: ProShares Short VIX Short-Term Futures ETF 2 ProShares Ultra Bloomberg Crude Oil 7 ProShares Ultra Bloomberg Natural Gas 12 ProShares Ultra Euro 17 ProShares Ultra Gold 22 ProShares Ultra Silver 27 ProShares Ultra VIX Short-Term Futures ETF 32 ProShares Ultra Yen 37 ProShares UltraShort Bloomberg Crude Oil 42 ProShares UltraShort Bloomberg Natural Gas 47 ProShares UltraShort Euro 52 ProShares UltraShort Gold 57 ProShares UltraShort Silver 62 ProShares UltraShort Yen 67 ProShares VIX Mid-Term Futures ETF 72 ProShares VIX Short-Term Futures ETF 77 ProShares Trust II 82 Notes to Financial Statements 86 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 148,766,040 and $ 109,391,681 , respectively) $ 148,757,467 $ 109,410,342 Cash 35,336,557 54,492,235 Segregated cash balances with brokers for futures contracts 92,929,810 88,647,616 Receivable on open futures contracts 38,527,249 30,330,665 Interest receivable 403,104 456,930 Total assets 315,954,187 283,337,788 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   15,522,316 Payable on open futures contracts 1,713,926 372,680 Brokerage commissions and futures account fees payable 7,440 9,571 Payable to Sponsor 254,022 248,862 Total liabilities 1,975,388 16,153,429 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 313,978,799 267,184,359 Total liabilities and shareholders’ equity $ 315,954,187 $ 283,337,788 Shares outstanding (Note 8) 5,568,614 5,168,614 Net asset value per share (Note 8) $ 56.38 $ 51.69 Market value per share (Note 8) (Note 2) $ 56.37 $ 51.70 See accompanying notes to financial statements. 2 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS MARCH 31, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 47 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.365 % due 04/18/24 $ 50,000,000 $ 49,875,215 5.269 % due 06/06/24 50,000,000 49,521,960 5.352 % due 06/18/24 25,000,000 24,717,792 5.349 % due 07/09/24 25,000,000 24,642,500 Total short-term U.S. government and agency obligations (cost $ 148,766,040 ) $ 148,757,467 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires April 2024 6,720 $ 96,557,664 $ 7,932,302 VIX Futures - Cboe, expires May 2024 3,920 60,440,520 80,735 $ 8,013,037 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 3 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 3,309,285 $ 2,109,122 Expenses Management fee 740,396 565,777 Brokerage commissions 171,599 126,503 Total expenses 911,995 692,280 Net investment income (loss) 2,397,290 1,416,842 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 28,496,948 29,604,148 Short-term U.S. government and agency obligations 17,669 —   Net realized gain (loss) 28,514,617 29,604,148 Change in net unrealized appreciation (depreciation) on Futures contracts ( 4,627,587 ) 3,178,807 Short-term U.S. government and agency obligations ( 27,234 ) ( 23,630 ) Change in net unrealized appreciation (depreciation) ( 4,654,821 ) 3,155,177 Net realized and unrealized gain (loss) 23,859,796 32,759,325 Net income (loss) $ 26,257,086 $ 34,176,167 See accompanying notes to financial statements. 4 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 267,184,359 $ 339,591,638 Addition of 2,400,000 and 4,900,000 shares, respectively (Note 8) 128,429,751 147,299,334 Redemption of 2,000,000 and 7,200,000 shares, respectively (Note 8) ( 107,892,397 ) ( 225,726,746 ) Net addition (redemption) of 400,000 and ( 2,300,000 ) shares, respectively (Note 8) 20,537,354 ( 78,427,412 ) Net investment income (loss) 2,397,290 1,416,842 Net realized gain (loss) 28,514,617 29,604,148 Change in net unrealized appreciation (depreciation) ( 4,654,821 ) 3,155,177 Net income (loss) 26,257,086 34,176,167 Shareholders’ equity, end of period $ 313,978,799 $ 295,340,393 See accompanying notes to financial statements. 5 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ 26,257,086 $ 34,176,167 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 ( 172,768,544 ) ( 99,763,542 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 135,017,669 150,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 1,605,815 ) ( 813,036 ) Net realized (gain) loss on investments ( 17,669 ) —   Change in unrealized (appreciation) depreciation on investments 27,234 23,630 Decrease (Increase) in receivable on open futures contracts ( 8,196,584 ) 23,629,273 Decrease (Increase) in interest receivable 53,826 3,869 Increase (Decrease) in payable to Sponsor 5,160 ( 150,813 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 2,131 ) ( 16,391 ) Increase (Decrease) in payable on open futures contracts 1,341,246 —   Net cash provided by (used in) operating activities ( 19,888,522 ) 107,089,157 Cash flow from financing activities Proceeds from addition of shares 128,429,751 147,299,334 Payment on shares redeemed ( 123,414,713 ) ( 222,035,742 ) Net cash provided by (used in) financing activities 5,015,038 ( 74,736,408 ) Net increase (decrease) in cash ( 14,873,484 ) 32,352,749 Cash, beginning of period 143,139,851 133,946,941 Cash, end of period $ 128,266,367 $ 166,299,690 See accompanying notes to financial statements. 6 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 301,987,549 and $ 233,435,026 , respectively) $ 301,974,899 $ 233,476,941 Cash 9,434,959 123,662,313 Segregated cash balances with brokers for futures contracts 33,977,462 70,781,753 Segregated cash balances with brokers for swap agreements 202,937,760 203,734,760 Unrealized appreciation on swap agreements 47,666,365 17,954,935 Receivable from capital shares sold —   5,255,022 Receivable on open futures contracts 2,343,342 —   Interest receivable 217,730 568,017 Total assets 598,552,517 655,433,741 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 899,964 2,099,944 Brokerage commissions and futures account fees payable 3,652 5,682 Payable to Sponsor 472,006 534,678 Total liabilities 1,375,622 2,640,304 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 597,176,895 652,793,437 Total liabilities and shareholders’ equity $ 598,552,517 $ 655,433,741 Shares outstanding 17,993,096 24,843,096 Net asset value per share $ 33.19 $ 26.28 Market value per share (Note 2) $ 33.00 $ 26.10 See accompanying notes to financial statements. 7 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS MARCH 31, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 51 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.365 % due 04/18/24 $ 50,000,000 $ 49,875,215 5.273 % due 05/14/24 † 30,000,000 29,811,159 5.269 % due 06/06/24 † 75,000,000 74,282,940 5.352 % due 06/18/24 † 50,000,000 49,435,585 5.349 % due 07/09/24 100,000,000 98,570,000 Total short-term U.S. government and agency obligations (cost $ 301,987,549 ) $ 301,974,899 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires June 2024 1,009 $ 83,161,780 $ 12,762,625 WTI Crude Oil - NYMEX, expires December 2024 1,066 82,977,440 5,557,088 WTI Crude Oil - NYMEX, expires June 2025 1,108 82,723,280 3,592,032 $ 21,911,745 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 % 04/08/24 $ 207,504,255 $ 10,459,881 Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 04/08/24 257,994,386 13,004,988 Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 04/08/24 129,073,877 6,506,359 Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.25 04/08/24 195,835,168 9,882,872 Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.30 04/08/24 154,892,648 7,812,265 Total Unrealized Appreciation $ 47,666,365 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of March 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. * Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 8 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 5,010,450 $ 6,007,908 Expenses Management fee 1,477,017 1,874,618 Brokerage commissions 61,804 94,344 Total expenses 1,538,821 1,968,962 Net investment income (loss) 3,471,629 4,038,946 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 16,466,837 10,834,024 Swap agreements 76,651,763 74,946,403 Short-term U.S. government and agency obligations 12,505 —   Net realized gain (loss) 93,131,105 85,780,427 Change in net unrealized appreciation (depreciation) on Futures contracts 25,426,977 3,202,447 Swap agreements 29,711,430 ( 141,361,963 ) Short-term U.S. government and agency obligations ( 54,565 ) ( 50,926 ) Change in net unrealized appreciation (depreciation) 55,083,842 ( 138,210,442 ) Net realized and unrealized gain (loss) 148,214,947 ( 52,430,015 ) Net income (loss) $ 151,686,576 $ ( 48,391,069 ) See accompanying notes to financial statements. 9 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 652,793,437 $ 859,094,274 Addition of 4,050,000 and 19,100,000 shares, respectively 109,039,827 459,350,575 Redemption of 10,900,000 and 16,900,000 shares, respectively ( 316,342,945 ) ( 458,385,324 ) Net addition (redemption) of ( 6,850,000 ) and 2,200,000 shares, respectively ( 207,303,118 ) 965,251 Net investment income (loss) 3,471,629 4,038,946 Net realized gain (loss) 93,131,105 85,780,427 Change in net unrealized appreciation (depreciation) 55,083,842 ( 138,210,442 ) Net income (loss) 151,686,576 ( 48,391,069 ) Shareholders’ equity, end of period $ 597,176,895 $ 811,668,456 See accompanying notes to financial statements. 10 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ 151,686,576 $ ( 48,391,069 ) 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 ( 379,945,998 ) ( 7,526,215,542 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 315,012,505 7,644,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 3,606,525 ) ( 4,072,062 ) Net realized (gain) loss on investments ( 12,505 ) —   Change in unrealized (appreciation) depreciation on investments ( 29,656,865 ) 141,412,889 Decrease (Increase) in receivable on open futures contracts ( 2,343,342 ) ( 5,775,330 ) Decrease (Increase) in interest receivable 350,287 ( 188,100 ) Increase (Decrease) in payable to Sponsor ( 62,672 ) ( 31,541 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 2,030 ) ( 667 ) Increase (Decrease) in payable on open futures contracts ( 1,199,980 ) —   Net cash provided by (used in) operating activities 50,219,451 200,738,578 Cash flow from financing activities Proceeds from addition of shares 114,294,849 459,350,575 Payment on shares redeemed ( 316,342,945 ) ( 424,214,999 ) Net cash provided by (used in) financing activities ( 202,048,096 ) 35,135,576 Net increase (decrease) in cash ( 151,828,645 ) 235,874,154 Cash, beginning of period 398,178,826 476,600,261 Cash, end of period $ 246,350,181 $ 712,474,415 See accompanying notes to financial statements. 11 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ – and $ 64,445,510 , respectively) $ —   $ 64,459,117 Cash 241,325,015 326,252,692 Segregated cash balances with brokers for futures contracts 211,412,836 256,589,331 Receivable from capital shares sold 42,021,325 4,281,925 Receivable on open futures contracts 101,640,598 117,168,017 Interest receivable 762,494 1,925,643 Total assets 597,162,268 770,676,725 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   19,366,361 Payable on open futures contracts 15,959,212 20,739,542 Brokerage commissions and futures account fees payable 19,369 52,349 Payable to Sponsor 442,310 625,665 Total liabilities 16,420,891 40,783,917 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 580,741,377 729,892,808 Total liabilities and shareholders’ equity $ 597,162,268 $ 770,676,725 Shares outstanding 44,218,544 25,568,544 Net asset value per share $ 13.13 $ 28.55 Market value per share (Note 2) $ 12.86 $ 28.44 See accompanying notes to financial statements. 12 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS MARCH 31, 2024 (unaudited) Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires May 2024 65,891 $ 1,161,658,330 $ ( 92,772,278 ) See accompanying notes to financial statements. 13 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 6,452,140 $ 8,958,523 Expenses Management fee 1,449,427 2,328,410 Brokerage commissions 703,092 952,779 Futures accounts fees 88,985 187,693 Total expenses 2,241,504 3,468,882 Net investment income (loss) 4,210,636 5,489,641 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 242,180,914 ) ( 1,100,791,083 ) Swap agreements —   39,159,789 Short-term U.S. government and agency obligations —   ( 3,570 ) Net realized gain (loss) ( 242,180,914 ) ( 1,061,634,864 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 136,379,348 ) ( 13,901,318 ) Swap agreements —   ( 39,088,319 ) Short-term U.S. government and agency obligations ( 13,607 ) ( 20,053 ) Change in net unrealized appreciation (depreciation) ( 136,392,955 ) ( 53,009,690 ) Net realized and unrealized gain (loss) ( 378,573,869 ) ( 1,114,644,554 ) Net income (loss) $ ( 374,363,233 ) $ ( 1,109,154,913 ) See accompanying notes to financial statements. 14 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 729,892,808 $ 586,151,113 Addition of 40,100,000 and 18,972,500 shares, respectively (Note 1) 730,517,767 2,345,948,834 Redemption of 21,450,000 and 5,132,500 shares, respectively (Note 1) ( 505,305,965 ) ( 682,961,261 ) Net addition (redemption) of 18,650,000 and 13,840,000 shares, respectively (Note 1) 225,211,802 1,662,987,573 Net investment income (loss) 4,210,636 5,489,641 Net realized gain (loss) ( 242,180,914 ) ( 1,061,634,864 ) Change in net unrealized appreciation (depreciation) ( 136,392,955 ) ( 53,009,690 ) Net income (loss) ( 374,363,233 ) ( 1,109,154,913 ) Shareholders’ equity, end of period $ 580,741,377 $ 1,139,983,773 See accompanying notes to financial statements. 15 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 374,363,233 ) $ ( 1,109,154,913 ) 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 —   ( 7,560,364,945 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 65,000,000 7,527,849,267 Net amortization and accretion on short-term U.S. government and agency obligations ( 554,490 ) ( 3,957,517 ) Net realized (gain) loss on investments —   3,570 Change in unrealized (appreciation) depreciation on investments 13,607 39,108,372 Decrease (Increase) in receivable on open futures contracts 15,527,419 ( 82,107,988 ) Decrease (Increase) in interest receivable 1,163,149 ( 1,249,353 ) Increase (Decrease) in payable to Sponsor ( 183,355 ) 509,363 Increase (Decrease) in brokerage commissions and futures account fees payable ( 32,980 ) 38,432 Increase (Decrease) in payable on open futures contracts ( 4,780,330 ) ( 1,835,443 ) Net cash provided by (used in) operating activities ( 298,210,213 ) ( 1,191,161,155 ) Cash flow from financing activities Proceeds from addition of shares 692,778,367 2,336,728,392 Payment on shares redeemed ( 524,672,326 ) ( 658,786,268 ) Net cash provided by (used in) financing activities 168,106,041 1,677,942,124 Net increase (decrease) in cash ( 130,104,172 ) 486,780,969 Cash, beginning of period 582,842,023 176,734,664 Cash, end of period $ 452,737,851 $ 663,515,633 See accompanying notes to financial statements. 16 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Cash $ 6,451,388 $ 6,162,459 Segregated cash balances with brokers for foreign currency forward contracts 533,000 623,000 Unrealized appreciation on foreign currency forward contracts 965 308,424 Interest receivable 27,781 27,219 Total assets 7,013,134 7,121,102 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 5,556 5,612 Unrealized depreciation on foreign currency forward contracts 203,530 1,475 Total liabilities 209,086 7,087 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 6,804,048 7,114,015 Total liabilities and shareholders’ equity $ 7,013,134 $ 7,121,102 Shares outstanding 600,000 600,000 Net asset value per share $ 11.34 $ 11.86 Market value per share (Note 2) $ 11.32 $ 11.84 See accompanying notes to financial statements. 17 Table of Contents PROSHARES ULTRA EURO SCHEDULE OF INVESTMENTS MARCH 31, 2024 (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 04/05/24 5,678,921 $ 6,127,948 $ ( 90,225 ) Euro with UBS AG 04/05/24 7,153,502 7,719,122 ( 113,305 ) Total Unrealized Depreciation $ ( 203,530 ) Contracts to Sell Euro with UBS AG 04/05/24 ( 221,000 ) $ ( 238,475 ) $ 965 Total Unrealized Appreciation $ 965 ^ The positions and counterparties herein are as of March 31, 2024. 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. 18 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 78,486 $ 97,237 Expenses Management fee 15,935 24,246 Total expenses 15,935 24,246 Net investment income (loss) 62,551 72,991 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 144,574 280,279 Net realized gain (loss) 144,574 280,279 Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 509,514 ) ( 96,945 ) Change in net unrealized appreciation (depreciation) ( 509,514 ) ( 96,945 ) Net realized and unrealized gain (loss) ( 364,940 ) 183,334 Net income (loss) $ ( 302,389 ) $ 256,325 See accompanying notes to financial statements. 19 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 7,114,015 $ 10,704,662 Addition of 100,000 and 200,000 shares, respectively 1,140,357 2,296,437 Redemption of 100,000 and 400,000 shares, respectively ( 1,147,935 ) ( 4,640,991 ) Net addition (redemption) of – and ( 200,000 ) shares, respectively ( 7,578 ) ( 2,344,554 ) Net investment income (loss) 62,551 72,991 Net realized gain (loss) 144,574 280,279 Change in net unrealized appreciation (depreciation) ( 509,514 ) ( 96,945 ) Net income (loss) ( 302,389 ) 256,325 Shareholders’ equity, end of period $ 6,804,048 $ 8,616,433 See accompanying notes to financial statements. 20 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 302,389 ) $ 256,325 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Change in unrealized (appreciation) depreciation on investments 509,514 96,945 Decrease (Increase) in interest receivable ( 562 ) 9,474 Increase (Decrease) in payable to Sponsor ( 56 ) ( 3,189 ) Net cash provided by (used in) operating activities 206,507 359,555 Cash flow from financing activities Proceeds from addition of shares 1,140,357 2,296,437 Payment on shares redeemed ( 1,147,935 ) ( 4,640,991 ) Net cash provided by (used in) financing activities ( 7,578 ) ( 2,344,554 ) Net increase (decrease) in cash 198,929 ( 1,984,999 ) Cash, beginning of period 6,785,459 10,259,418 Cash, end of period $ 6,984,388 $ 8,274,419 See accompanying notes to financial statements. 21 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 138,592,669 and $ 59,496,177 , respectively) $ 138,587,964 $ 59,507,594 Cash 28,188,613 92,898,206 Segregated cash balances with brokers for futures contracts 5,728,800 4,523,500 Segregated cash balances with brokers for swap agreements 31,280,271 31,930,271 Unrealized appreciation on swap agreements 7,535,027 3,078,593 Receivable from capital shares sold 3,599,595 —   Receivable on open futures contracts 1,065,148 —   Interest receivable 146,036 276,736 Total assets 216,131,454 192,214,900 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts —   564,042 Payable to Sponsor 160,613 148,835 Total liabilities 160,613 712,877 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 215,970,841 191,502,023 Total liabilities and shareholders’ equity $ 216,131,454 $ 192,214,900 Shares outstanding 3,000,000 3,000,000 Net asset value per share $ 71.99 $ 63.83 Market value per share (Note 2) $ 72.26 $ 63.87 See accompanying notes to financial statements. 22 Table of Contents PROSHARES ULTRA GOLD SCHEDULE OF INVESTMENTS MARCH 31, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 64 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.365 % due 04/18/24 $ 20,000,000 $ 19,950,086 5.273 % due 05/14/24 20,000,000 19,874,106 5.269 % due 06/06/24 † 25,000,000 24,760,980 5.390 % due 06/18/24 † 25,000,000 24,717,792 5.349 % due 07/09/24 50,000,000 49,285,000 Total short-term U.S. government and agency obligations (cost $ 138,592,669 ) $ 138,587,964 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation) /Value Gold Futures - COMEX, expires June 2024 649 $ 145,272,160 $ 2,377,155 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 % 04/08/24 $ 123,084,977 $ 3,235,432 Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.25 04/08/24 58,461,471 1,536,727 Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 04/08/24 105,107,323 2,762,868 Total Unrealized Appreciation $ 7,535,027 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of March 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. * Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 23 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 2,013,915 $ 1,649,014 Expenses Management fee 436,603 427,114 Brokerage commissions 9,873 8,615 Total expenses 446,476 435,729 Net investment income (loss) 1,567,439 1,213,285 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 6,965,052 2,760,579 Swap agreements 11,506,219 8,039,317 Short-term U.S. government and agency obligations 3,011 —   Net realized gain (loss) 18,474,282 10,799,896 Change in net unrealized appreciation (depreciation) on Futures contracts ( 1,719,120 ) 1,854,323 Swap agreements 4,456,434 8,856,793 Short-term U.S. government and agency obligations ( 16,122 ) ( 22,737 ) Change in net unrealized appreciation (depreciation) 2,721,192 10,688,379 Net realized and unrealized gain (loss) 21,195,474 21,488,275 Net income (loss) $ 22,762,913 $ 22,701,560 See accompanying notes to financial statements. 24 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 191,502,023 $ 173,524,136 Addition of 450,000 and 400,000 shares, respectively 29,329,988 24,973,354 Redemption of 450,000 and 350,000 shares, respectively ( 27,624,083 ) ( 20,037,521 ) Net addition (redemption) of – and 50,000 shares, respectively 1,705,905 4,935,833 Net investment income (loss) 1,567,439 1,213,285 Net realized gain (loss) 18,474,282 10,799,896 Change in net unrealized appreciation (depreciation) 2,721,192 10,688,379 Net income (loss) 22,762,913 22,701,560 Shareholders’ equity, end of period $ 215,970,841 $ 201,161,529 See accompanying notes to financial statements. 25 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ 22,762,913 $ 22,701,560 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 ( 162,692,795 ) ( 264,664,939 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 85,003,011 300,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 1,403,697 ) ( 1,094,933 ) Net realized (gain) loss on investments ( 3,011 ) —   Change in unrealized (appreciation) depreciation on investments ( 4,440,312 ) ( 8,834,056 ) Decrease (Increase) in receivable on open futures contracts ( 1,065,148 ) 8,169 Decrease (Increase) in interest receivable 130,700 ( 119,918 ) Increase (Decrease) in payable to Sponsor 11,778 4,685 Increase (Decrease) in payable on open futures contracts ( 564,042 ) 684,839 Net cash provided by (used in) operating activities ( 62,260,603 ) 48,685,407 Cash flow from financing activities Proceeds from addition of shares 25,730,393 24,973,354 Payment on shares redeemed ( 27,624,083 ) ( 20,037,521 ) Net cash provided by (used in) financing activities ( 1,893,690 ) 4,935,833 Net increase (decrease) in cash ( 64,154,293 ) 53,621,240 Cash, beginning of period 129,351,977 37,909,767 Cash, end of period $ 65,197,684 $ 91,531,007 See accompanying notes to financial statements. 26 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 205,091,268 and $ 114,255,151 , respectively) $ 205,080,219 $ 114,276,025 Cash 63,426,794 160,468,637 Segregated cash balances with brokers for futures contracts 20,833,500 23,499,000 Segregated cash balances with brokers for swap agreements 99,214,121 95,226,292 Unrealized appreciation on swap agreements 8,532,455 —   Receivable from capital shares sold 5,705,998 2,728,828 Receivable on open futures contracts 714,136 —   Interest receivable 399,563 598,623 Total assets 403,906,786 396,797,405 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts —   3,503,958 Payable to Sponsor 322,042 319,853 Unrealized depreciation on swap agreements —   2,827,221 Total liabilities 322,042 6,651,032 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 403,584,744 390,146,373 Total liabilities and shareholders’ equity $ 403,906,786 $ 396,797,405 Shares outstanding 14,146,526 14,296,526 Net asset value per share $ 28.53 $ 27.29 Market value per share (Note 2) $ 28.74 $ 27.17 See accompanying notes to financial statements. 27 Table of Contents PROSHARES ULTRA SILVER SCHEDULE OF INVESTMENTS MARCH 31, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 51 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.365 % due 04/18/24 $ 32,000,000 $ 31,920,138 5.273 % due 05/14/24 40,000,000 39,748,212 5.269 % due 06/06/24 † 50,000,000 49,521,960 5.352 % due 06/18/24 † 35,000,000 34,604,909 5.349 % due 07/09/24 50,000,000 49,285,000 Total short-term U.S. government and agency obligations (cost $ 205,091,268 ) $ 205,080,219 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized   Appreciation   (Depreciation)/Value Silver Futures - COMEX, expires May 2024 2,406 $ 299,739,480 $ 22,681,594 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 % 04/08/24 $ 183,114,057 $ 3,081,663 Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.30 04/08/24 22,879,089 384,359 Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 04/08/24 155,225,776 2,607,725 Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 04/08/24 146,097,767 2,458,708 Total Unrealized Appreciation $ 8,532,455 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of March 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. * Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 28 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 3,634,857 $ 3,374,396 Expenses Management fee 873,901 871,559 Brokerage commissions 28,042 26,562 Total expenses 901,943 898,121 Net investment income (loss) 2,732,914 2,476,275 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 5,638,782 ) 3,641,746 Swap agreements 1,168,070 ( 32,385,610 ) Short-term U.S. government and agency obligations 4,797 —   Net realized gain (loss) ( 4,465,915 ) ( 28,743,864 ) Change in net unrealized appreciation (depreciation) on Futures contracts 10,280,846 ( 751,963 ) Swap agreements 11,359,676 23,139,621 Short-term U.S. government and agency obligations ( 31,923 ) ( 35,538 ) Change in net unrealized appreciation (depreciation) 21,608,599 22,352,120 Net realized and unrealized gain (loss) 17,142,684 ( 6,391,744 ) Net income (loss) $ 19,875,598 $ ( 3,915,469 ) See accompanying notes to financial statements. 29 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 390,146,373 $ 414,285,878 Addition of 2,300,000 and 1,900,000 shares, respectively 58,374,730 51,232,279 Redemption of 2,450,000 and 1,150,000 shares, respectively ( 64,811,957 ) ( 32,487,354 ) Net addition (redemption) of ( 150,000 ) and 750,000 shares, respectively ( 6,437,227 ) 18,744,925 Net investment income (loss) 2,732,914 2,476,275 Net realized gain (loss) ( 4,465,915 ) ( 28,743,864 ) Change in net unrealized appreciation (depreciation) 21,608,599 22,352,120 Net income (loss) 19,875,598 ( 3,915,469 ) Shareholders’ equity, end of period $ 403,584,744 $ 429,115,334 See accompanying notes to financial statements. 30 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ 19,875,598 $ ( 3,915,469 ) 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 ( 263,537,090 ) ( 1,776,762,620 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 175,004,797 1,858,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 2,299,027 ) ( 2,414,024 ) Net realized (gain) loss on investments ( 4,797 ) —   Change in unrealized (appreciation) depreciation on investments ( 11,327,753 ) ( 23,104,083 ) Decrease (Increase) in receivable on open futures contracts ( 714,136 ) ( 1,907,867 ) Decrease (Increase) in interest receivable 199,060 ( 100,488 ) Increase (Decrease) in payable to Sponsor 2,189 ( 57,403 ) Increase (Decrease) in payable on open futures contracts ( 3,503,958 ) ( 1,948,902 ) Net cash provided by (used in) operating activities ( 86,305,117 ) 47,789,144 Cash flow from financing activities Proceeds from addition of shares 55,397,560 51,232,279 Payment on shares redeemed ( 64,811,957 ) ( 34,102,736 ) Net cash provided by (used in) financing activities ( 9,414,397 ) 17,129,543 Net increase (decrease) in cash ( 95,719,514 ) 64,918,687 Cash, beginning of period 279,193,929 150,012,071 Cash, end of period $ 183,474,415 $ 214,930,758 See accompanying notes to financial statements. 31 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 59,312,431 and $ – , respectively) $ 59,307,872 $ —   Cash 41,175,228 86,615,956 Segregated cash balances with brokers for futures contracts 136,617,804 210,845,154 Receivable from capital shares sold 3,777,822 —   Receivable on open futures contracts 37,710,482 50,510,206 Interest receivable 533,452 924,148 Total assets 279,122,660 348,895,464 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 648,632 —   Brokerage commissions and futures account fees payable 23,097 36,088 Payable to Sponsor 210,282 303,633 Total liabilities 882,011 339,721 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 278,240,649 348,555,743 Total liabilities and shareholders’ equity $ 279,122,660 $ 348,895,464 Shares outstanding (Note 8) 8,844,891 8,264,891 Net asset value per share (Note 8) $ 31.46 $ 42.17 Market value per share (Note 8) (Note 2) $ 31.60 $ 42.20 See accompanying notes to financial statements. 32 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS MARCH 31, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 21 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.269 % due 06/06/24 $ 35,000,000 $ 34,665,372 5.349 % due 07/09/24 25,000,000 24,642,500 Total short-term U.S. government and agency obligations (cost $ 59,312,431 ) $ 59,307,872 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires April 2024 17,863 $ 160,660,770 $ ( 17,550,463 ) VIX Futures - Cboe, expires May 2024 10,420 256,668,088 ( 348,320 ) $ ( 17,898,783 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 33 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 2,758,242 $ 4,416,655 Expenses Management fee 667,531 1,373,770 Brokerage commissions 486,546 777,701 Futures accounts fees 86,170 123,361 Total expenses 1,240,247 2,274,832 Net investment income (loss) 1,517,995 2,141,823 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 91,003,229 ) ( 182,233,430 ) Short-term U.S. government and agency obligations 10,637 ( 7,778 ) Net realized gain (loss) ( 90,992,592 ) ( 182,241,208 ) Change in net unrealized appreciation (depreciation) on Futures contracts 13,285,128 2,046,250 Short-term U.S. government and agency obligations ( 4,559 ) ( 8,723 ) Change in net unrealized appreciation (depreciation) 13,280,569 2,037,527 Net realized and unrealized gain (loss) ( 77,712,023 ) ( 180,203,681 ) Net income (loss) $ ( 76,194,028 ) $ ( 178,061,858 ) See accompanying notes to financial statements. 34 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 348,555,743 $ 639,318,362 Addition of 2,820,000 and 1,674,000 shares, respectively (Note 1) (Note 8) 94,706,832 436,460,449 Redemption of 2,240,000 and 1,218,000 shares, respectively (Note 1) (Note 8) ( 88,827,898 ) ( 361,736,717 ) Net addition (redemption) of 580,000 and 456,000 shares, respectively (Note 1) (Note 8) 5,878,934 74,723,732 Net investment income (loss) 1,517,995 2,141,823 Net realized gain (loss) ( 90,992,592 ) ( 182,241,208 ) Change in net unrealized appreciation (depreciation) 13,280,569 2,037,527 Net income (loss) ( 76,194,028 ) ( 178,061,858 ) Shareholders’ equity, end of period $ 278,240,649 $ 535,980,236 See accompanying notes to financial statements. 35 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 76,194,028 ) $ ( 178,061,858 ) 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 ( 105,703,000 ) ( 664,522,118 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 46,921,617 629,900,478 Net amortization and accretion on short-term U.S. government and agency obligations ( 520,411 ) ( 526,310 ) Net realized (gain) loss on investments ( 10,637 ) 7,778 Change in unrealized (appreciation) depreciation on investments 4,559 8,723 Decrease (Increase) in receivable on open futures contracts 12,799,724 109,195,498 Decrease (Increase) in interest receivable 390,696 ( 107,914 ) Increase (Decrease) in payable to Sponsor ( 93,351 ) ( 112,552 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 12,991 ) ( 16,834 ) Increase (Decrease) in payable on open futures contracts 648,632 371,040 Net cash provided by (used in) operating activities ( 121,769,190 ) ( 103,864,069 ) Cash flow from financing activities Proceeds from addition of shares 90,929,010 423,036,558 Payment on shares redeemed ( 88,827,898 ) ( 361,736,717 ) Net cash provided by (used in) financing activities 2,101,112 61,299,841 Net increase (decrease) in cash ( 119,668,078 ) ( 42,564,228 ) Cash, beginning of period 297,461,110 394,847,507 Cash, end of period $ 177,793,032 $ 352,283,279 See accompanying notes to financial statements. 36 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Cash $ 38,021,417 $ 27,001,312 Segregated cash balances with brokers for foreign currency forward contracts 5,920,471 2,976,399 Unrealized appreciation on foreign currency forward contracts 5,548 1,534,924 Interest receivable 142,575 104,541 Total assets 44,090,011 31,617,176 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   1,373,167 Payable to Sponsor 30,272 22,600 Unrealized depreciation on foreign currency forward contracts 2,065,194 15,639 Total liabilities 2,095,466 1,411,406 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 41,994,545 30,205,770 Total liabilities and shareholders’ equity $ 44,090,011 $ 31,617,176 Shares outstanding 1,799,970 1,099,970 Net asset value per share $ 23.33 $ 27.46 Market value per share (Note 2) $ 23.35 $ 27.49 See accompanying notes to financial statements. 37 Table of Contents PROSHARES ULTRA YEN SCHEDULE OF INVESTMENTS MARCH 31, 2024 (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 04/05/24 6,299,288,056 $ 41,644,228 $ ( 954,143 ) Yen with UBS AG 04/05/24 6,445,204,856 42,608,876 ( 1,111,051 ) Total Unrealized Depreciation $ ( 2,065,194 ) Contracts to Sell Yen with UBS AG 04/05/24 ( 36,515,000 ) $ ( 241,399 ) $ 5,548 Total Unrealized Appreciation $ 5,548 ^ The positions and counterparties herein are as of March 31, 2024. 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. 38 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 370,254 $ 120,118 Expenses Management fee 77,236 30,560 Total expenses 77,236 30,560 Net investment income (loss) 293,018 89,558 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 2,031,575 ) ( 298,808 ) Net realized gain (loss) ( 2,031,575 ) ( 298,808 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 3,578,931 ) ( 494,067 ) Change in net unrealized appreciation (depreciation) ( 3,578,931 ) ( 494,067 ) Net realized and unrealized gain (loss) ( 5,610,506 ) ( 792,875 ) Net income (loss) $ ( 5,317,488 ) $ ( 703,317 ) See accompanying notes to financial statements. 39 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 30,205,770 $ 13,814,796 Addition of 800,000 and 50,000 shares, respectively 19,596,625 1,812,626 Redemption of 100,000 and 150,000 shares, respectively ( 2,490,362 ) ( 5,009,022 ) Net addition (redemption) of 700,000 and ( 100,000 ) shares, respectively 17,106,263 ( 3,196,396 ) Net investment income (loss) 293,018 89,558 Net realized gain (loss) ( 2,031,575 ) ( 298,808 ) Change in net unrealized appreciation (depreciation) ( 3,578,931 ) ( 494,067 ) Net income (loss) ( 5,317,488 ) ( 703,317 ) Shareholders’ equity, end of period $ 41,994,545 $ 9,915,083 See accompanying notes to financial statements. 40 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 5,317,488 ) $ ( 703,317 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Change in unrealized (appreciation) depreciation on investments 3,578,931 494,067 Decrease (Increase) in interest receivable ( 38,034 ) 4,301 Increase (Decrease) in payable to Sponsor 7,672 ( 1,699 ) Net cash provided by (used in) operating activities ( 1,768,919 ) ( 206,648 ) Cash flow from financing activities Proceeds from addition of shares 19,596,625 1,812,626 Payment on shares redeemed ( 3,863,529 ) ( 3,355,657 ) Net cash provided by (used in) financing activities 15,733,096 ( 1,543,031 ) Net increase (decrease) in cash 13,964,177 ( 1,749,679 ) Cash, beginning of period 29,977,711 12,801,958 Cash, end of period $ 43,941,888 $ 11,052,279 See accompanying notes to financial statements. 41 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 123,822,272 and $ 49,673,923 , respectively) $ 123,814,531 $ 49,683,885 Cash 25,792,785 91,925,442 Segregated cash balances with brokers for futures contracts 49,385,885 49,648,726 Receivable from capital shares sold 3,980,628 —   Receivable on open futures contracts —   654,887 Interest receivable 237,927 285,610 Total assets 203,211,756 192,198,550 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   3,096,091 Payable on open futures contracts 5,534,125 —   Brokerage commissions and futures account fees payable 3,387 3,509 Payable to Sponsor 161,949 135,358 Total liabilities 5,699,461 3,234,958 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 197,512,295 188,963,592 Total liabilities and shareholders’ equity $ 203,211,756 $ 192,198,550 Shares outstanding 12,405,220 9,105,220 Net asset value per share $ 15.92 $ 20.75 Market value per share (Note 2) $ 16.02 $ 20.89 See accompanying notes to financial statements. 42 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS MARCH 31, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 63 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.365 % due 04/18/24 $ 15,000,000 $ 14,962,564 5.273 % due 05/14/24 20,000,000 19,874,106 5.269 % due 06/06/24 40,000,000 39,617,568 5.352 % due 06/18/24 25,000,000 24,717,793 5.349 % due 07/09/24 25,000,000 24,642,500 Total short-term U.S. government and agency obligations (cost $ 123,822,272 ) $ 123,814,531 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires June 2024 1,601 $ 131,954,420 $ ( 6,262,875 ) WTI Crude Oil - NYMEX, expires December 2024 1,693 131,783,120 ( 270,752 ) WTI Crude Oil - NYMEX, expires June 2025 1,758 131,252,280 ( 5,461,484 ) $ ( 11,995,111 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 43 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 2,242,767 $ 2,003,209 Expenses Management fee 451,585 484,880 Brokerage commissions 53,961 65,757 Total expenses 505,546 550,637 Net investment income (loss) 1,737,221 1,452,572 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 12,515,601 ) 27,614,279 Short-term U.S. government and agency obligations 6,779 488 Net realized gain (loss) ( 12,508,822 ) 27,614,767 Change in net unrealized appreciation (depreciation) on Futures contracts ( 34,431,430 ) 10,971,115 Short-term U.S. government and agency obligations ( 17,703 ) ( 14,885 ) Change in net unrealized appreciation (depreciation) ( 34,449,133 ) 10,956,230 Net realized and unrealized gain (loss) ( 46,957,955 ) 38,570,997 Net income (loss) $ ( 45,220,734 ) $ 40,023,569 See accompanying notes to financial statements. 44 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 188,963,592 $ 222,697,337 Addition of 8,450,000 and 5,300,000 shares, respectively 150,729,657 127,905,875 Redemption of 5,150,000 and 8,850,000 shares, respectively ( 96,960,220 ) ( 245,864,218 ) Net addition (redemption) of 3,300,000 and ( 3,550,000 ) shares, respectively 53,769,437 ( 117,958,343 ) Net investment income (loss) 1,737,221 1,452,572 Net realized gain (loss) ( 12,508,822 ) 27,614,767 Change in net unrealized appreciation (depreciation) ( 34,449,133 ) 10,956,230 Net income (loss) ( 45,220,734 ) 40,023,569 Shareholders’ equity, end of period $ 197,512,295 $ 144,762,563 See accompanying notes to financial statements. 45 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 45,220,734 ) $ 40,023,569 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 ( 162,869,137 ) ( 239,587,448 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 90,006,779 284,998,708 Net amortization and accretion on short-term U.S. government and agency obligations ( 1,279,212 ) ( 956,401 ) Net realized (gain) loss on investments ( 6,779 ) ( 488 ) Change in unrealized (appreciation) depreciation on investments 17,703 14,885 Decrease (Increase) in receivable on open futures contracts 654,887 1,604,847 Decrease (Increase) in interest receivable 47,683 103,592 Increase (Decrease) in payable to Sponsor 26,591 ( 68,565 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 122 ) ( 727 ) Increase (Decrease) in payable on open futures contracts 5,534,125 526,742 Net cash provided by (used in) operating activities ( 113,088,216 ) 86,658,714 Cash flow from financing activities Proceeds from addition of shares 146,749,029 109,041,151 Payment on shares redeemed ( 100,056,311 ) ( 247,121,308 ) Net cash provided by (used in) financing activities 46,692,718 ( 138,080,157 ) Net increase (decrease) in cash ( 66,395,498 ) ( 51,421,443 ) Cash, beginning of period 141,574,168 139,811,511 Cash, end of period $ 75,178,670 $ 88,390,068 See accompanying notes to financial statements. 46 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 54,451,445 and $ – , respectively) $ 54,447,299 $ —   Cash 10,722,485 73,282,564 Segregated cash balances with brokers for futures contracts 27,668,768 35,326,076 Receivable from capital shares sold —   9,611,378 Receivable on open futures contracts 12,531,347 22,414,082 Interest receivable 177,094 447,861 Total assets 105,546,993 141,081,961 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 8,069,201 —   Payable on open futures contracts 3,043,723 —   Brokerage commissions and futures account fees payable 4,183 10,461 Payable to Sponsor 84,531 108,408 Total liabilities 11,201,638 118,869 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 94,345,355 140,963,092 Total liabilities and shareholders’ equity $ 105,546,993 $ 141,081,961 Shares outstanding (Note 8) 1,233,712 2,933,712 Net asset value per share (Note 8) $ 76.47 $ 48.05 Market value per share (Note 8) (Note 2) $ 78.35 $ 48.21 See accompanying notes to financial statements. 47 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS MARCH 31, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 58 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.273 % due 05/14/24 $ 5,000,000 $ 4,968,526 5.269 % due 06/06/24 25,000,000 24,760,980 5.390 % due 06/18/24 25,000,000 24,717,793 Total short-term U.S. government and agency obligations (cost $ 54,451,445 ) $ 54,447,299 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires May 2024 10,700 $ 188,641,000 $ 20,277,127 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 48 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 1,347,078 $ 1,186,752 Expenses Management fee 262,444 296,862 Brokerage commissions 261,254 209,641 Futures accounts fees 16,033 29,609 Total expenses 539,731 536,112 Net investment income (loss) 807,347 650,640 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 44,654,357 183,408,644 Short-term U.S. government and agency obligations ( 1,743 ) ( 2,678 ) Net realized gain (loss) 44,652,614 183,405,966 Change in net unrealized appreciation (depreciation) on Futures contracts 23,830,634 ( 44,952,803 ) Short-term U.S. government and agency obligations ( 4,146 ) ( 6,995 ) Change in net unrealized appreciation (depreciation) 23,826,488 ( 44,959,798 ) Net realized and unrealized gain (loss) 68,479,102 138,446,168 Net income (loss) $ 69,286,449 $ 139,096,808 See accompanying notes to financial statements. 49 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 140,963,092 $ 134,109,520 Addition of 6,600,000 and 14,500,000 shares, respectively (Note 8) 330,055,174 376,009,637 Redemption of 8,300,000 and 20,300,000 shares, respectively (Note 8) ( 445,959,360 ) ( 502,234,205 ) Net addition (redemption) of ( 1,700,000 ) and ( 5,800,000 ) shares, respectively (Note 8) ( 115,904,186 ) ( 126,224,568 ) Net investment income (loss) 807,347 650,640 Net realized gain (loss) 44,652,614 183,405,966 Change in net unrealized appreciation (depreciation) 23,826,488 ( 44,959,798 ) Net income (loss) 69,286,449 139,096,808 Shareholders’ equity, end of period $ 94,345,355 $ 146,981,760 See accompanying notes to financial statements. 50 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ 69,286,449 $ 139,096,808 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 ( 98,718,829 ) ( 34,903,867 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 44,796,807 71,888,275 Net amortization and accretion on short-term U.S. government and agency obligations ( 531,166 ) ( 508,358 ) Net realized (gain) loss on investments 1,743 2,678 Change in unrealized (appreciation) depreciation on investments 4,146 6,995 Decrease (Increase) in receivable on open futures contracts 9,882,735 14,440,205 Decrease (Increase) in interest receivable 270,767 78,984 Increase (Decrease) in payable to Sponsor ( 23,877 ) ( 37,297 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 6,278 ) 1,562 Increase (Decrease) in payable on open futures contracts 3,043,723 11,040,838 Net cash provided by (used in) operating activities 28,006,220 201,106,823 Cash flow from financing activities Proceeds from addition of shares 339,666,552 347,564,637 Payment on shares redeemed ( 437,890,159 ) ( 507,599,401 ) Net cash provided by (used in) financing activities ( 98,223,607 ) ( 160,034,764 ) Net increase (decrease) in cash ( 70,217,387 ) 41,072,059 Cash, beginning of period 108,608,640 44,482,540 Cash, end of period $ 38,391,253 $ 85,554,599 See accompanying notes to financial statements. 51 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Cash $ 33,082,139 $ 34,758,230 Segregated cash balances with brokers for foreign currency forward contracts 4,392,112 6,332,112 Unrealized appreciation on foreign currency forward contracts 1,164,063 38,029 Interest receivable 151,231 159,359 Total assets 38,789,545 41,287,730 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 31,554 33,372 Unrealized depreciation on foreign currency forward contracts 45,109 1,886,808 Total liabilities 76,663 1,920,180 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 38,712,882 39,367,550 Total liabilities and shareholders’ equity $ 38,789,545 $ 41,287,730 Shares outstanding 1,250,000 1,350,000 Net asset value per share $ 30.97 $ 29.16 Market value per share (Note 2) $ 30.96 $ 29.15 See accompanying notes to financial statements. 52 Table of Contents PROSHARES ULTRASHORT EURO SCHEDULE OF INVESTMENTS MARCH 31, 2024 (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 04/05/24 2,089,000 $ 2,254,174 $ ( 24,577 ) Euro with UBS AG 04/05/24 2,400,000 2,589,766 ( 20,532 ) Total Unrealized Depreciation $ ( 45,109 ) Contracts to Sell Euro with Goldman Sachs International 04/05/24 ( 38,956,263 ) $ ( 42,036,495 ) $ 611,935 Euro with UBS AG 04/05/24 ( 37,273,199 ) ( 40,220,352 ) 552,128 Total Unrealized Appreciation $ 1,164,063 ^ The positions and counterparties herein are as of March 31, 2024. 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. 53 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 458,317 $ 647,120 Expenses Management fee 95,250 161,568 Total expenses 95,250 161,568 Net investment income (loss) 363,067 485,552 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 943,861 ) ( 1,407,311 ) Short-term U.S. government and agency obligations 4,641 —   Net realized gain (loss) ( 939,220 ) ( 1,407,311 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts 2,967,733 146,013 Short-term U.S. government and agency obligations —   ( 4,802 ) Change in net unrealized appreciation (depreciation) 2,967,733 141,211 Net realized and unrealized gain (loss) 2,028,513 ( 1,266,100 ) Net income (loss) $ 2,391,580 $ ( 780,548 ) See accompanying notes to financial statements. 54 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 39,367,550 $ 75,113,179 Addition of – and 100,000 shares, respectively —   3,051,886 Redemption of 100,000 and 600,000 shares, respectively ( 3,046,248 ) ( 17,847,257 ) Net addition (redemption) of ( 100,000 ) and ( 500,000 ) shares, respectively ( 3,046,248 ) ( 14,795,371 ) Net investment income (loss) 363,067 485,552 Net realized gain (loss) ( 939,220 ) ( 1,407,311 ) Change in net unrealized appreciation (depreciation) 2,967,733 141,211 Net income (loss) 2,391,580 ( 780,548 ) Shareholders’ equity, end of period $ 38,712,882 $ 59,537,260 See accompanying notes to financial statements. 55 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ 2,391,580 $ ( 780,548 ) 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 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 4,641 95,000,000 Net amortization and accretion on short-term U.S. government and agency obligations —   ( 83,003 ) Net realized (gain) loss on investments ( 4,641 ) —   Change in unrealized (appreciation) depreciation on investments ( 2,967,733 ) ( 141,211 ) Decrease (Increase) in interest receivable 8,128 ( 34,330 ) Increase (Decrease) in payable to Sponsor ( 1,818 ) ( 12,013 ) Net cash provided by (used in) operating activities ( 569,843 ) 39,023,720 Cash flow from financing activities Proceeds from addition of shares —   3,051,886 Payment on shares redeemed ( 3,046,248 ) ( 16,411,868 ) Net cash provided by (used in) financing activities ( 3,046,248 ) ( 13,359,982 ) Net increase (decrease) in cash ( 3,616,091 ) 25,663,738 Cash, beginning of period 41,090,342 37,531,356 Cash, end of period $ 37,474,251 $ 63,195,094 See accompanying notes to financial statements. 56 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Cash $ 11,632,081 $ 9,309,908 Segregated cash balances with brokers for futures contracts 488,400 261,450 Segregated cash balances with brokers for swap agreements 2,499,614 2,375,125 Receivable from capital shares sold 1,172,457 —   Receivable on open futures contracts —   17,324 Interest receivable 50,067 41,501 Total assets 15,842,619 12,005,308 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 178,749 —   Payable to Sponsor 11,405 9,708 Unrealized depreciation on swap agreements 481,581 199,821 Total liabilities 671,735 209,529 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 15,170,884 11,795,779 Total liabilities and shareholders’ equity $ 15,842,619 $ 12,005,308 Shares outstanding 646,977 446,977 Net asset value per share $ 23.45 $ 26.39 Market value per share (Note 2) $ 23.38 $ 26.37 See accompanying notes to financial statements. 57 Table of Contents PROSHARES ULTRASHORT GOLD SCHEDULE OF INVESTMENTS MARCH 31, 2024 (unaudited) Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires June 2024 55 $ 12,311,200 $ ( 207,050 ) 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 % 04/08/24 $ ( 4,178,267 ) $ ( 111,058 ) Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.20 04/08/24 ( 5,476,095 ) ( 145,392 ) Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 04/08/24 ( 8,470,022 ) ( 225,131 ) Total Unrealized Depreciation $ ( 481,581 ) ^ The positions and counterparties herein are as of March 31, 2024. 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 March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 58 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 143,203 $ 132,562 Expenses Management fee 32,401 36,373 Brokerage commissions 935 1,361 Total expenses 33,336 37,734 Net investment income (loss) 109,867 94,828 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 649,963 ) ( 114,050 ) Swap agreements ( 747,850 ) ( 916,831 ) Net realized gain (loss) ( 1,397,813 ) ( 1,030,881 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 62,819 ) ( 63,271 ) Swap agreements ( 281,760 ) ( 592,431 ) Change in net unrealized appreciation (depreciation) ( 344,579 ) ( 655,702 ) Net realized and unrealized gain (loss) ( 1,742,392 ) ( 1,686,583 ) Net income (loss) $ ( 1,632,525 ) $ ( 1,591,755 ) See accompanying notes to financial statements. 59 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 11,795,779 $ 15,456,037 Addition of 200,000 and 300,000 shares, respectively 5,007,630 8,364,270 Redemption of – and 200,000 shares, respectively —   ( 6,179,279 ) Net addition (redemption) of 200,000 and 100,000 shares, respectively 5,007,630 2,184,991 Net investment income (loss) 109,867 94,828 Net realized gain (loss) ( 1,397,813 ) ( 1,030,881 ) Change in net unrealized appreciation (depreciation) ( 344,579 ) ( 655,702 ) Net income (loss) ( 1,632,525 ) ( 1,591,755 ) Shareholders’ equity, end of period $ 15,170,884 $ 16,049,273 See accompanying notes to financial statements. 60 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 1,632,525 ) $ ( 1,591,755 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Change in unrealized (appreciation) depreciation on investments 281,760 592,431 Decrease (Increase) in receivable on open futures contracts 17,324 ( 59,952 ) Decrease (Increase) in interest receivable ( 8,566 ) 353 Increase (Decrease) in payable to Sponsor 1,697 ( 1,413 ) Increase (Decrease) in payable on open futures contracts 178,749 ( 700 ) Net cash provided by (used in) operating activities ( 1,161,561 ) ( 1,061,036 ) Cash flow from financing activities Proceeds from addition of shares 3,835,173 8,364,270 Payment on shares redeemed —   ( 6,179,279 ) Net cash provided by (used in) financing activities 3,835,173 2,184,991 Net increase (decrease) in cash 2,673,612 1,123,955 Cash, beginning of period 11,946,483 16,020,413 Cash, end of period $ 14,620,095 $ 17,144,368 See accompanying notes to financial statements. 61 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Cash $ 19,551,988 $ 46,444,776 Segregated cash balances with brokers for futures contracts 1,398,250 5,494,500 Segregated cash balances with brokers for swap agreements 5,505,236 12,657,595 Receivable from capital shares sold —   907,025 Receivable on open futures contracts —   329,629 Interest receivable 65,590 173,799 Total assets 26,521,064 66,007,324 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 1,704,153 —   Payable on open futures contracts 72,258 —   Payable to Sponsor 17,114 43,464 Unrealized depreciation on swap agreements 482,510 814,174 Total liabilities 2,276,035 857,638 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 24,245,029 65,149,686 Total liabilities and shareholders’ equity $ 26,521,064 $ 66,007,324 Shares outstanding 1,441,329 3,591,329 Net asset value per share $ 16.82 $ 18.14 Market value per share (Note 2) $ 16.71 $ 18.24 See accompanying notes to financial statements. 62 Table of Contents PROSHARES ULTRASHORT SILVER SCHEDULE OF INVESTMENTS MARCH 31, 2024 (unaudited) Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires May 2024 163 $ 20,306,540 $ ( 61,220 ) 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 % 04/08/24 $ ( 5,353,674 ) $ ( 91,685 ) Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.25 04/08/24 ( 10,145,879 ) ( 173,752 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 04/08/24 ( 1,399,517 ) ( 24,009 ) Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 04/08/24 ( 11,273,405 ) ( 193,064 ) Total Unrealized Depreciation $ ( 482,510 ) ^ The positions and counterparties herein are as of March 31, 2024. 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 March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. 63 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 381,433 $ 200,078 Expenses Management fee 91,138 60,168 Brokerage commissions 6,024 5,703 Total expenses 97,162 65,871 Net investment income (loss) 284,271 134,207 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 4,873,708 1,331,998 Swap agreements 906,312 1,381,625 Net realized gain (loss) 5,780,020 2,713,623 Change in net unrealized appreciation (depreciation) on Futures contracts ( 1,750,266 ) 116,463 Swap agreements 331,664 ( 1,299,699 ) Change in net unrealized appreciation (depreciation) ( 1,418,602 ) ( 1,183,236 ) Net realized and unrealized gain (loss) 4,361,418 1,530,387 Net income (loss) $ 4,645,689 $ 1,664,594 See accompanying notes to financial statements. 64 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 65,149,686 $ 31,932,799 Addition of 1,400,000 and 650,000 shares, respectively 25,818,888 13,789,540 Redemption of 3,550,000 and 1,200,000 shares, respectively ( 71,369,234 ) ( 27,051,242 ) Net addition (redemption) of ( 2,150,000 ) and ( 550,000 ) shares, respectively ( 45,550,346 ) ( 13,261,702 ) Net investment income (loss) 284,271 134,207 Net realized gain (loss) 5,780,020 2,713,623 Change in net unrealized appreciation (depreciation) ( 1,418,602 ) ( 1,183,236 ) Net income (loss) 4,645,689 1,664,594 Shareholders’ equity, end of period $ 24,245,029 $ 20,335,691 See accompanying notes to financial statements. 65 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ 4,645,689 $ 1,664,594 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Change in unrealized (appreciation) depreciation on investments ( 331,664 ) 1,299,699 Decrease (Increase) in receivable on open futures contracts 329,629 59,575 Decrease (Increase) in interest receivable 108,209 7,257 Increase (Decrease) in payable to Sponsor ( 26,350 ) ( 4,042 ) Increase (Decrease) in payable on open futures contracts 72,258 192,643 Net cash provided by (used in) operating activities 4,797,771 3,219,726 Cash flow from financing activities Proceeds from addition of shares 26,725,913 13,830,619 Payment on shares redeemed ( 69,665,081 ) ( 27,051,242 ) Net cash provided by (used in) financing activities ( 42,939,168 ) ( 13,220,623 ) Net increase (decrease) in cash ( 38,141,397 ) ( 10,000,897 ) Cash, beginning of period 64,596,871 32,583,283 Cash, end of period $ 26,455,474 $ 22,582,386 See accompanying notes to financial statements. 66 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Cash $ 27,798,083 $ 21,807,595 Segregated cash balances with brokers for foreign currency forward contracts 3,148,645 3,434,732 Unrealized appreciation on foreign currency forward contracts 1,626,444 129,697 Interest receivable 113,414 100,284 Total assets 32,686,586 25,472,308 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 24,146 20,676 Unrealized depreciation on foreign currency forward contracts 217 1,441,622 Total liabilities 24,363 1,462,298 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 32,662,223 24,010,010 Total liabilities and shareholders’ equity $ 32,686,586 $ 25,472,308 Shares outstanding 398,580 348,580 Net asset value per share $ 81.95 $ 68.88 Market value per share (Note 2) $ 81.83 $ 68.94 See accompanying notes to financial statements. 67 Table of Contents PROSHARES ULTRASHORT YEN SCHEDULE OF INVESTMENTS MARCH 31, 2024 (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 04/05/24 46,414,000 $ 306,840 $ ( 217 ) Total Unrealized Depreciation $ ( 217 ) Contracts to Sell Yen with Goldman Sachs International 04/05/24 ( 4,271,976,165 ) $ ( 28,241,787 ) $ 715,090 Yen with UBS AG 04/05/24 ( 5,644,914,574 ) ( 37,318,203 ) 911,354 Total Unrealized Appreciation $ 1,626,444 ^ The positions and counterparties herein are as of March 31, 2024. 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. 68 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 315,417 $ 204,200 Expenses Management fee 66,133 50,812 Total expenses 66,133 50,812 Net investment income (loss) 249,284 153,388 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 1,705,271 ( 1,027,976 ) Short-term U.S. government and agency obligations 3,541 —   Net realized gain (loss) 1,708,812 ( 1,027,976 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts 2,938,152 1,862,262 Short-term U.S. government and agency obligations —   ( 2,761 ) Change in net unrealized appreciation (depreciation) 2,938,152 1,859,501 Net realized and unrealized gain (loss) 4,646,964 831,525 Net income (loss) $ 4,896,248 $ 984,913 See accompanying notes to financial statements. 69 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 24,010,010 $ 21,397,736 Addition of 100,000 and 200,000 shares, respectively 7,579,960 11,156,537 Redemption of 50,000 and 150,000 shares, respectively ( 3,823,995 ) ( 8,427,368 ) Net addition (redemption) of 50,000 and 50,000 shares, respectively 3,755,965 2,729,169 Net investment income (loss) 249,284 153,388 Net realized gain (loss) 1,708,812 ( 1,027,976 ) Change in net unrealized appreciation (depreciation) 2,938,152 1,859,501 Net income (loss) 4,896,248 984,913 Shareholders’ equity, end of period $ 32,662,223 $ 25,111,818 See accompanying notes to financial statements. 70 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ 4,896,248 $ 984,913 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Proceeds from sales or maturities of short-term U.S. government and agency obligations 3,541 23,000,000 Net amortization and accretion on short-term U.S. government and agency obligations —   ( 4,702 ) Net realized (gain) loss on investments ( 3,541 ) —   Change in unrealized (appreciation) depreciation on investments ( 2,938,152 ) ( 1,859,501 ) Decrease (Increase) in interest receivable ( 13,130 ) ( 45,381 ) Increase (Decrease) in payable to Sponsor 3,470 ( 10,546 ) Net cash provided by (used in) operating activities 1,948,436 22,064,783 Cash flow from financing activities Proceeds from addition of shares 7,579,960 8,356,690 Payment on shares redeemed ( 3,823,995 ) ( 11,110,823 ) Net cash provided by (used in) financing activities 3,755,965 ( 2,754,133 ) Net increase (decrease) in cash 5,704,401 19,310,650 Cash, beginning of period 25,242,327 4,104,127 Cash, end of period $ 30,946,728 $ 23,414,777 See accompanying notes to financial statements. 71 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Cash $ 71,789,332 $ 31,674,194 Segregated cash balances with brokers for futures contracts 11,712,177 5,936,995 Receivable on open futures contracts 905,571 137,945 Interest receivable 245,795 141,818 Total assets 84,652,875 37,890,952 Liabilities and shareholders’ equity Liabilities Brokerage commissions and futures account fees payable 2,524 1,876 Payable to Sponsor 47,287 22,933 Total liabilities 49,811 24,809 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 84,603,064 37,866,143 Total liabilities and shareholders’ equity $ 84,652,875 $ 37,890,952 Shares outstanding 5,337,403 2,262,403 Net asset value per share $ 15.85 $ 16.74 Market value per share (Note 2) $ 15.85 $ 16.75 See accompanying notes to financial statements. 72 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF SCHEDULE OF INVESTMENTS MARCH 31, 2024 (unaudited) Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires July 2024 993 $ 16,799,673 $ ( 416,880 ) VIX Futures - Cboe, expires August 2024 1,572 27,510,000 ( 204,210 ) VIX Futures - Cboe, expires September 2024 1,572 28,311,406 ( 352,062 ) VIX Futures - Cboe, expires October 2024 580 11,948,000 17,267 $ ( 955,885 ) See accompanying notes to financial statements. 73 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 515,164 $ 647,920 Expenses Management fee 96,887 150,123 Brokerage commissions 20,163 9,169 Futures accounts fees 6,004 11,440 Total expenses 123,054 170,732 Net investment income (loss) 392,110 477,188 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 6,108,469 ) ( 15,820,720 ) Short-term U.S. government and agency obligations 3,278 —   Net realized gain (loss) ( 6,105,191 ) ( 15,820,720 ) Change in net unrealized appreciation (depreciation) on Futures contracts 2,789,791 4,590,535 Short-term U.S. government and agency obligations —   ( 8,075 ) Change in net unrealized appreciation (depreciation) 2,789,791 4,582,460 Net realized and unrealized gain (loss) ( 3,315,400 ) ( 11,238,260 ) Net income (loss) $ ( 2,923,290 ) $ ( 10,761,072 ) See accompanying notes to financial statements. 74 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 37,866,143 $ 84,014,959 Addition of 3,375,000 and 275,000 shares, respectively 54,425,947 7,751,336 Redemption of 300,000 and 525,000 shares, respectively ( 4,765,736 ) ( 13,699,136 ) Net addition (redemption) of 3,075,000 and ( 250,000 ) shares, respectively 49,660,211 ( 5,947,800 ) Net investment income (loss) 392,110 477,188 Net realized gain (loss) ( 6,105,191 ) ( 15,820,720 ) Change in net unrealized appreciation (depreciation) 2,789,791 4,582,460 Net income (loss) ( 2,923,290 ) ( 10,761,072 ) Shareholders’ equity, end of period $ 84,603,064 $ 67,306,087 See accompanying notes to financial statements. 75 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 2,923,290 ) $ ( 10,761,072 ) 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 —   ( 214,823,214 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 3,278 220,000,000 Net amortization and accretion on short-term U.S. government and agency obligations —   ( 236,917 ) Net realized (gain) loss on investments ( 3,278 ) —   Change in unrealized (appreciation) depreciation on investments —   8,075 Decrease (Increase) in receivable on open futures contracts ( 767,626 ) ( 26,021 ) Decrease (Increase) in interest receivable ( 103,977 ) ( 28,792 ) Increase (Decrease) in payable to Sponsor 24,354 ( 10,798 ) Increase (Decrease) in brokerage commissions and futures account fees payable 648 ( 1,011 ) Increase (Decrease) in payable on open futures contracts —   14,074 Net cash provided by (used in) operating activities ( 3,769,891 ) ( 5,865,676 ) Cash flow from financing activities Proceeds from addition of shares 54,425,947 7,751,336 Payment on shares redeemed ( 4,765,736 ) ( 12,360,023 ) Net cash provided by (used in) financing activities 49,660,211 ( 4,608,687 ) Net increase (decrease) in cash 45,890,320 ( 10,474,363 ) Cash, beginning of period 37,611,189 33,959,989 Cash, end of period $ 83,501,509 $ 23,485,626 See accompanying notes to financial statements. 76 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 69,205,152 and $ 59,648,776 , respectively) $ 69,201,410 $ 59,660,373 Cash 23,097,902 22,277,582 Segregated cash balances with brokers for futures contracts 49,390,884 59,164,337 Receivable from capital shares sold 1,617,143 —   Receivable on open futures contracts 19,465,649 16,047,893 Interest receivable 249,471 254,671 Total assets 163,022,459 157,404,856 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts —   580 Brokerage commissions and futures account fees payable 8,607 11,961 Payable to Sponsor 77,801 70,569 Total liabilities 86,408 83,110 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 162,936,051 157,321,746 Total liabilities and shareholders’ equity $ 163,022,459 $ 157,404,856 Shares outstanding 12,600,947 10,150,947 Net asset value per share $ 12.93 $ 15.50 Market value per share (Note 2) $ 12.96 $ 15.51 See accompanying notes to financial statements. 77 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS MARCH 31, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 42 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.269 % due 06/06/24 $ 30,000,000 $ 29,713,176 5.352 % due 06/18/24 20,000,000 19,774,234 5.349 % due 07/09/24 20,000,000 19,714,000 Total short-term U.S. government and agency obligations (cost $ 69,205,152 ) $ 69,201,410 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires April 2024 6,974 $ 100,207,314 $ ( 6,554,137 ) VIX Futures - Cboe, expires May 2024 4,068 62,722,458 ( 125,438 ) $ ( 6,679,575 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 78 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 1,758,262 $ 2,120,561 Expenses Management fee 336,376 517,488 Brokerage commissions 40,259 96,497 Futures accounts fees 33,271 50,659 Total expenses 409,906 664,644 Net investment income (loss) 1,348,356 1,455,917 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 31,758,964 ) ( 46,096,702 ) Short-term U.S. government and agency obligations 4,830 8 Net realized gain (loss) ( 31,754,134 ) ( 46,096,694 ) Change in net unrealized appreciation (depreciation) on Futures contracts 2,984,519 1,147,992 Short-term U.S. government and agency obligations ( 15,339 ) ( 17,966 ) Change in net unrealized appreciation (depreciation) 2,969,180 1,130,026 Net realized and unrealized gain (loss) ( 28,784,954 ) ( 44,966,668 ) Net income (loss) $ ( 27,436,598 ) $ ( 43,510,751 ) See accompanying notes to financial statements. 79 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 157,321,746 $ 266,580,320 Addition of 3,800,000 and 2,300,000 shares, respectively (Note 1) 52,780,309 108,467,352 Redemption of 1,350,000 and 1,955,000 shares, respectively (Note 1) ( 19,729,406 ) ( 104,771,717 ) Net addition (redemption) of 2,450,000 and 345,000 shares, respectively (Note 1) 33,050,903 3,695,635 Net investment income (loss) 1,348,356 1,455,917 Net realized gain (loss) ( 31,754,134 ) ( 46,096,694 ) Change in net unrealized appreciation (depreciation) 2,969,180 1,130,026 Net income (loss) ( 27,436,598 ) ( 43,510,751 ) Shareholders’ equity, end of period $ 162,936,051 $ 226,765,204 See accompanying notes to financial statements. 80 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 27,436,598 ) $ ( 43,510,751 ) 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 ( 108,597,450 ) ( 124,671,570 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 99,944,134 109,979,608 Net amortization and accretion on short-term U.S. government and agency obligations ( 898,230 ) ( 819,344 ) Net realized (gain) loss on investments ( 4,830 ) ( 8 ) Change in unrealized (appreciation) depreciation on investments 15,339 17,966 Decrease (Increase) in receivable on open futures contracts ( 3,417,756 ) 26,481,863 Decrease (Increase) in interest receivable 5,200 ( 108,848 ) Increase (Decrease) in payable to Sponsor 7,232 6,899 Increase (Decrease) in brokerage commissions and futures account fees payable ( 3,354 ) ( 13,059 ) Increase (Decrease) in payable on open futures contracts ( 580 ) 129,396 Net cash provided by (used in) operating activities ( 40,386,893 ) ( 32,507,848 ) Cash flow from financing activities Proceeds from addition of shares 51,163,166 103,045,732 Payment on shares redeemed ( 19,729,406 ) ( 105,342,190 ) Net cash provided by (used in) financing activities 31,433,760 ( 2,296,458 ) Net increase (decrease) in cash ( 8,953,133 ) ( 34,804,306 ) Cash, beginning of period 81,441,919 125,161,810 Cash, end of period $ 72,488,786 $ 90,357,504 See accompanying notes to financial statements. 81 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF FINANCIAL CONDITION March 31, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 1,101,228,826 and $ 690,346,244 , respectively) $ 1,101,171,661 $ 690,474,277 Cash 686,826,766 1,209,034,101 Segregated cash balances with brokers for futures contracts 641,544,576 810,718,438 Segregated cash balances with brokers for foreign currency forward contracts 13,994,228 13,366,243 Segregated cash balances with brokers for swap agreements 341,437,002 345,924,043 Unrealized appreciation on swap agreements 63,733,847 21,033,528 Unrealized appreciation on foreign currency forward contracts 2,797,020 2,011,074 Receivable from capital shares sold 61,874,968 22,784,178 Receivable on open futures contracts 214,903,522 237,610,648 Interest receivable 3,923,324 6,486,760 Total assets 3,132,206,914 3,359,443,290 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 9,773,354 39,357,935 Payable on open futures contracts 28,050,589 27,280,746 Brokerage commissions and futures account fees payable 72,259 131,497 Payable to Sponsor 2,352,890 2,654,226 Unrealized depreciation on swap agreements 964,091 3,841,216 Unrealized depreciation on foreign currency forward contracts 2,314,050 3,345,544 Total liabilities 43,527,233 76,611,164 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 3,088,679,681 3,282,832,126 Total liabilities and shareholders’ equity $ 3,132,206,914 $ 3,359,443,290 Shares outstanding (Note 8) 131,485,809 113,030,809 See accompanying notes to financial statements. 82 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF OPERATIONS (unaudited) Three Months Ended March 31, 2024 2023 Investment Income Interest $ 30,789,270 $ 33,875,375 Expenses Management fee 7,170,260 9,254,328 Brokerage commissions 1,843,552 2,374,632 Futures account fees 230,463 402,762 Total expenses 9,244,275 12,031,722 Net investment income (loss) 21,544,995 21,843,653 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 288,399,020 ) ( 1,085,860,567 ) Swap agreements 89,484,514 90,224,693 Foreign currency forward contracts ( 1,125,591 ) ( 2,453,816 ) Short-term U.S. government and agency obligations 69,945 ( 13,530 ) Net realized gain (loss) ( 199,970,152 ) ( 998,103,220 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 100,372,675 ) ( 32,561,423 ) Swap agreements 45,577,444 ( 150,345,998 ) Foreign currency forward contracts 1,817,440 1,417,263 Short-term U.S. government and agency obligations ( 185,198 ) ( 217,091 ) Change in net unrealized appreciation (depreciation) ( 53,162,989 ) ( 181,707,249 ) Net realized and unrealized gain (loss) ( 253,133,141 ) ( 1,179,810,469 ) Net income (loss) $ ( 231,588,146 ) $ ( 1,157,966,816 ) See accompanying notes to financial statements. 83 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended March 31, 2024 2023 Shareholders’ equity, beginning of period $ 3,282,832,126 $ 3,887,786,746 Addition of 76,945,000 and 70,821,500 shares, respectively (Note 1) (Note 8) 1,797,533,442 4,125,870,321 Redemption of 58,490,000 and 66,280,500 shares, respectively (Note 1) (Note 8) ( 1,760,097,741 ) ( 2,717,059,358 ) Net addition (redemption) of 18,455,000 and 4,541,000 shares, respectively (Note 1) (Note 8) 37,435,701 1,408,810,963 Net investment income (loss) 21,544,995 21,843,653 Net realized gain (loss) ( 199,970,152 ) ( 998,103,220 ) Change in net unrealized appreciation (depreciation) ( 53,162,989 ) ( 181,707,249 ) Net income (loss) ( 231,588,146 ) ( 1,157,966,816 ) Shareholders’ equity, end of period $ 3,088,679,681 $ 4,138,630,893 See accompanying notes to financial statements. 84 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CASH FLOWS (unaudited) Three Months Ended March 31, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 231,588,146 ) $ ( 1,157,966,816 ) 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 ( 1,454,832,843 ) ( 18,561,204,980 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,056,718,779 18,914,616,336 Net amortization and accretion on short-term U.S. government and agency obligations ( 12,698,573 ) ( 15,486,607 ) Net realized (gain) loss on investments ( 69,945 ) 13,530 Change in unrealized (appreciation) depreciation on investments ( 47,209,686 ) 149,145,826 Decrease (Increase) in receivable on futures contracts 22,707,126 85,542,272 Decrease (Increase) in interest receivable 2,563,436 ( 1,775,294 ) Increase (Decrease) in payable to Sponsor ( 301,336 ) 19,076 Increase (Decrease) in brokerage commissions and futures account fees payable ( 59,238 ) ( 8,695 ) Increase (Decrease) in payable on futures contracts 769,843 9,174,527 Net cash provided by (used in) operating activities ( 664,000,583 ) ( 577,930,825 ) Cash flow from financing activities Proceeds from addition of shares 1,758,442,652 4,047,735,876 Payment on shares redeemed ( 1,789,682,322 ) ( 2,662,086,765 ) Net cash provided by (used in) financing activities ( 31,239,670 ) 1,385,649,111 Net increase (decrease) in cash ( 695,240,253 ) 807,718,286 Cash, beginning of period 2,379,042,825 1,826,767,616 Cash, end of period $ 1,683,802,572 $ 2,634,485,902 See accompanying notes to financial statements. 85 Table of Contents PROSHARES TRUST II NOTES TO FINANCIAL STATEMENTS March 31, 2024 (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 March 31, 2024, the following sixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements. The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $ 350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen. Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories. 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. Share Splits The table below includes forward and reverse Share splits for the Funds during the three months March 31, 2024, and during the year ended December 31, 2023. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable. 86 Table of Contents Fund Execution Date (Prior to Opening of Trading) Type of Split Date Trading Resumed at Post- Split Price ProShares VIX Short-Term Futures June 22, 2023 1-for-5 reverse Share split June 23, 2023 ProShares Ultra VIX Short-Term Futures June 22, 2023 1-for-10 reverse Share split June 23, 2023 ProShares Ultra Bloomberg Natural Gas June 22, 2023 1-for-20 reverse Share split June 23, 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. 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, 2023, as filed with the SEC on February 29, 2024. Use of Estimates & Indemnifications The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant loss to be remote. Basis of Presentation Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund. 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 March 31, 2024 and 2023, 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. 87 Table of Contents 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 three months ended March 31, 2024 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. March 28, 2024 Ultra Gold and UltraShort Gold 1:00 p.m. 1:30 p.m. March 28, 2024 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. March 28, 2024 Ultra Euro, Ultra Yen, UltraShort Euro and UltraShort Yen 3:00 p.m. 4:00 p.m. March 28, 2024 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. March 28, 2024 * 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 three months ended March 31, 2024. 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 three months ended March 31, 2024. 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. Repurchase agreements are generally valued at amortized cost, provided such amounts approximate fair value. 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. 88 Table of Contents 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. The following table summarizes the valuation of investments at March 31, 2024 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 $ 148,757,467 $ 8,013,037 $ —  $ —  $ 156,770,504 ProShares Ultra Bloomberg Crude Oil 301,974,899 21,911,745 —  47,666,365 371,553,009 ProShares Ultra Bloomberg Natural Gas —  ( 92,772,278 ) —  —  ( 92,772,278 ) ProShares Ultra Euro —  —  ( 202,565 ) —  ( 202,565 ) ProShares Ultra Gold 138,587,964 2,377,155 —  7,535,027 148,500,146 ProShares Ultra Silver 205,080,219 22,681,594 —  8,532,455 236,294,268 ProShares Ultra VIX Short-Term Futures ETF $ 59,307,872 $ ( 17,898,783 ) $ —  $ —  $ 41,409,089 ProShares Ultra Yen —  —  ( 2,059,646 ) —  ( 2,059,646 ) ProShares UltraShort Bloomberg Crude Oil 123,814,531 ( 11,995,111 ) —  —  111,819,420 ProShares UltraShort Bloomberg Natural Gas 54,447,299 20,277,127 —  —  74,724,426 ProShares UltraShort Euro —  —  1,118,954 —  1,118,954 ProShares UltraShort Gold —  ( 207,050 ) —  ( 481,581 ) ( 688,631 ) ProShares UltraShort Silver —  ( 61,220 ) —  ( 482,510 ) ( 543,730 ) ProShares UltraShort Yen —  —  1,626,227 —  1,626,227 ProShares VIX Mid-Term Futures ETF —  ( 955,885 ) —  —  ( 955,885 ) ProShares VIX Short-Term Futures ETF 69,201,410 ( 6,679,575 ) —  —  62,521,835 Combined Trust: $ 1,101,171,661 $ ( 55,309,244 ) $ 482,970 $ 62,769,756 $ 1,109,115,143 * 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 The following table summarizes the valuation of investments at December 31, 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 $ 109,410,342 $ 12,640,624 $ —  $ —  $ 122,050,966 ProShares Ultra Bloomberg Crude Oil 233,476,941 ( 3,515,232 ) —  17,954,935 247,916,644 ProShares Ultra Bloomberg Natural Gas 64,459,117 43,607,070 —  —  108,066,187 ProShares Ultra Euro —  —  306,949 —  306,949 ProShares Ultra Gold 59,507,594 4,096,275 —  3,078,593 66,682,462 ProShares Ultra Silver 114,276,025 12,400,748 —  ( 2,827,221 ) 123,849,552 ProShares Ultra VIX Short-Term Futures ETF —  ( 31,183,911 ) —  —  ( 31,183,911 ) ProShares Ultra Yen —  —  1,519,285 —  1,519,285 ProShares UltraShort Bloomberg Crude Oil 49,683,885 22,436,319 —  —  72,120,204 ProShares UltraShort Bloomberg Natural Gas —  ( 3,553,507 ) —  —  ( 3,553,507 ) ProShares UltraShort Euro —  —  ( 1,848,779 ) —  ( 1,848,779 ) ProShares UltraShort Gold —  ( 144,231 ) —  ( 199,821 ) ( 344,052 ) ProShares UltraShort Silver —  1,689,046 —  ( 814,174 ) 874,872 ProShares UltraShort Yen —  —  ( 1,311,925 ) —  ( 1,311,925 ) ProShares VIX Mid-Term Futures ETF —  ( 3,745,676 ) —  —  ( 3,745,676 ) ProShares VIX Short-Term Futures ETF 59,660,373 ( 9,664,094 ) —  —  49,996,279 Combined Trust: $ 690,474,277 $ 45,063,431 $ ( 1,334,470 ) $ 17,192,312 $ 751,395,550 * 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. There were no transfers into or out of Level 3 for the quarter ended March 31, 2024 or the year ended December 31, 2023. 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 . 90 Table of Contents Interest income is generally recognized on an accrual basis and includes the amortization of discount on short-term U.S. government and agency obligations and is reflected in the Statement of Operations. Additionally, interest income may be earned on Repurchase Agreements and/or cash held on deposit with brokers for futures contracts. 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., last three years 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. 91 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. Repurchase Agreements The Funds may enter into repurchase agreements. Repurchase agreements are primarily used by the Funds as short-term investments for cash positions. Under a repurchase agreement, a Fund purchases one or more debt securities and simultaneously agrees to sell those securities back to the seller at a mutually agreed-upon future price and date, normally one day or a few days later. The resale price is greater than the purchase price, reflecting an agreed-upon market interest rate during the purchaser’s holding period. While the maturities of the underlying securities in repurchase transactions may be more than one year, the term of each repurchase agreement will always be less than one year. The Funds follow certain procedures designed to minimize the risks inherent in such agreements. These procedures include affecting repurchase transactions generally with major global financial institutions whose creditworthiness is monitored by the Advisor. In addition, the value of the collateral underlying the repurchase agreement is required to be at least equal to the repurchase price, including any accrued interest income earned on the repurchase agreement. The collateral underlying the repurchase agreement is held by the Fund’s custodian. A repurchase agreement is subject to the risk that the counterparty to the repurchase agreement that sells the securities may default on its obligation to repurchase them. In this circumstance, a Fund may lose money because it may not be able to sell the securities at the agreed upon time and price, the securities may lose value before they can be sold, the selling institution may declare bankruptcy, or the Fund may have difficulty exercising rights to the collateral. During periods of high demand for repurchase agreements, the Funds may be unable to invest available cash in these instruments to the extent desired by the Advisor. At March 31, 2024, the Trust did not have any open repurchase agreements. 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. 92 Table of Contents Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market. Option Contracts An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value. 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. 93 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 March 31, 2024 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. 94 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 March 31, 2024, 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 March 31, 2024, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. 95 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. Fair Value of Derivative Instruments as of March 31, 2024 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 $ 8,013,037 * $ —  ProShares Ultra VIX Short-Term Futures ETF —  17,898,783 * ProShares VIX Mid-Term Futures ETF 17,267 * 973,152 * ProShares VIX Short-Term Futures ETF —  6,679,575 * 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 69,578,110 * —  ProShares Ultra Bloomberg Natural Gas —  92,772,278 * ProShares Ultra Gold 9,912,182 * —  ProShares Ultra Silver 31,214,049 * —  ProShares UltraShort Bloomberg Crude Oil —  11,995,111 * ProShares UltraShort Bloomberg Natural Gas 20,277,127 * —  ProShares UltraShort Gold —  688,631 * ProShares UltraShort Silver —  543,730 * 96 Table of Contents 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 965 203,530 ProShares Ultra Yen 5,548 2,065,194 ProShares UltraShort Euro 1,164,063 45,109 ProShares UltraShort Yen 1,626,444 217 Combined Trust: $ 141,808,792 * $ 133,865,310 * * 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. Fair Value of Derivative Instruments as of December 31, 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 $ 12,640,624 * $ —  ProShares Ultra VIX Short-Term Futures ETF —  31,183,911 * ProShares VIX Mid-Term Futures ETF —  3,745,676 * ProShares VIX Short-Term Futures ETF —  9,664,094 * 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 20,191,987 * 5,752,284 * ProShares Ultra Bloomberg Natural Gas 43,607,070 * —  ProShares Ultra Gold 7,174,868 * —  ProShares Ultra Silver 12,400,748 * 2,827,221 * ProShares UltraShort Bloomberg Crude Oil 22,436,319 * —  ProShares UltraShort Bloomberg Natural Gas —  3,553,507 * ProShares UltraShort Gold —  344,052 * ProShares UltraShort Silver 1,879,957 * 1,005,085 * 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 308,424 1,475 ProShares Ultra Yen 1,534,924 15,639 ProShares UltraShort Euro 38,029 1,886,808 ProShares UltraShort Yen 129,697 1,441,622 Combined Trust: $ 122,342,647 * $ 61,421,374 * 97 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the three months ended March 31, 2024 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 $ 28,496,948 $ ( 4,627,587 ) ProShares Ultra VIX Short-Term Futures ETF ( 91,003,229 ) 13,285,128 ProShares VIX Mid-Term Futures ETF ( 6,108,469 ) 2,789,791 ProShares VIX Short-Term Futures ETF $ ( 31,758,964 ) $ 2,984,519 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 93,118,600 55,138,407 ProShares Ultra Bloomberg Natural Gas ( 242,180,914 ) ( 136,379,348 ) ProShares Ultra Gold 18,471,271 2,737,314 ProShares Ultra Silver ( 4,470,712 ) 21,640,522 ProShares UltraShort Bloomberg Crude Oil ( 12,515,601 ) ( 34,431,430 ) ProShares UltraShort Bloomberg Natural Gas 44,654,357 23,830,634 ProShares UltraShort Gold ( 1,397,813 ) ( 344,579 ) ProShares UltraShort Silver 5,780,020 ( 1,418,602 ) 98 Table of Contents 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 144,574 ( 509,514 ) ProShares Ultra Yen ( 2,031,575 ) ( 3,578,931 ) ProShares UltraShort Euro ( 943,861 ) 2,967,733 ProShares UltraShort Yen 1,705,271 2,938,152 Combined Trust: $ ( 200,040,097 ) $ ( 52,977,791 ) * 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 Effect of Derivative Instruments on the Statement of Operations For the three months ended March 31, 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 $ 29,604,148 $ 3,178,807 ProShares Ultra VIX Short-Term Futures ETF ( 182,233,430 ) 2,046,250 ProShares VIX Mid-Term Futures ETF ( 15,820,720 ) 4,590,535 ProShares VIX Short-Term Futures ETF ( 46,096,702 ) 1,147,992 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 85,780,427 ( 138,159,516 ) ProShares Ultra Bloomberg Natural Gas ( 1,061,631,294 ) ( 52,989,637 ) ProShares Ultra Gold 10,799,896 10,711,116 ProShares Ultra Silver ( 28,743,864 ) 22,387,658 99 Table of Contents ProShares UltraShort Bloomberg Crude Oil 27,614,279 10,971,115 ProShares UltraShort Bloomberg Natural Gas 183,408,644 ( 44,952,803 ) ProShares UltraShort Gold ( 1,030,881 ) ( 655,702 ) ProShares UltraShort Silver 2,713,623 ( 1,183,236 ) 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 280,279 ( 96,945 ) ProShares Ultra Yen ( 298,808 ) ( 494,067 ) ProShares UltraShort Euro ( 1,407,311 ) 146,013 ProShares UltraShort Yen ( 1,027,976 ) 1,862,262 Combined Trust: $ ( 998,089,690 ) $ ( 181,490,158 ) 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 March 31, 2024. 100 Table of Contents Fair Values of Derivative Instruments as of March 31, 2024 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 $ 47,666,365 $ —   $ 47,666,365 $ —   $ —   $ —   ProShares Ultra Euro Foreign currency forward contracts 965 —   965 203,530 —   203,530 ProShares Ultra Gold Swap agreements 7,535,027 —   7,535,027 —   —   —   ProShares Ultra Silver Swap agreements 8,532,455 —   8,532,455 —   —   —   ProShares Ultra Yen Foreign currency forward contracts 5,548 —   5,548 2,065,194 —   2,065,194 ProShares UltraShort Euro Foreign currency forward contracts 1,164,063 —   1,164,063 45,109 —   45,109 ProShares UltraShort Gold Swap agreements —   —   —   481,581 —   481,581 ProShares UltraShort Silver Swap agreements —   —   —   482,510 —   482,510 ProShares UltraShort Yen Foreign currency forward contracts 1,626,444 —   1,626,444 217 —   217 Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2024. 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”. 101 Table of Contents Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2024 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. $ 10,459,881 $ ( 7,619,374 ) $ —   $ 2,840,507 Goldman Sachs International 13,004,988 ( 9,569,805 ) —   3,435,183 Morgan Stanley & Co. International PLC 6,506,359 ( 4,940,096 ) —   1,566,263 Societe Generale 9,882,872 ( 7,241,166 ) —   2,641,706 UBS AG 7,812,265 ( 5,715,005 ) —   2,097,260 ProShares Ultra Euro Goldman Sachs International ( 90,225 ) —   90,225 —   UBS AG ( 112,340 ) —   96,000 ( 16,340 ) ProShares Ultra Gold Citibank, N.A. 3,235,432 ( 1,854,908 ) —   1,380,524 Goldman Sachs International 1,536,727 ( 899,187 ) —   637,540 UBS AG 2,762,868 ( 1,568,634 ) —   1,194,234 ProShares Ultra Silver Citibank, N.A. 3,081,663 ( 1,908,038 ) —   1,173,625 Goldman Sachs International 384,359 ( 341,967 ) —   42,392 Morgan Stanley & Co. International PLC 2,607,725 ( 804,404 ) —   1,803,321 UBS AG 2,458,708 ( 1,535,526 ) —   923,182 ProShares Ultra Yen Goldman Sachs International ( 954,143 ) —   954,143 —   UBS AG ( 1,105,503 ) —   1,105,503 —   ProShares UltraShort Euro Goldman Sachs International 587,358 ( 286,766 ) —   300,592 UBS AG 531,596 ( 266,627 ) —   264,969 ProShares UltraShort Gold Citibank, N.A. ( 111,058 ) —   111,058 —   Goldman Sachs International ( 145,392 ) —   145,392 —   UBS AG ( 225,131 ) —   225,131 —   ProShares UltraShort Silver Citibank, N.A. ( 91,685 ) —   91,685 —   Goldman Sachs International ( 173,752 ) —   173,752 —   Morgan Stanley & Co. International PLC ( 24,009 ) —   24,009 —   UBS AG ( 193,064 ) —   193,064 —   ProShares UltraShort Yen Goldman Sachs International 715,090 ( 603,220 ) —   111,870 UBS AG 911,137 ( 738,210 ) —   172,927 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, 2023: 102 Table of Contents Fair Values of Derivative Instruments as of December 31, 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 $ 17,954,935 $ —   $ 17,954,935 $ —   $ —   $ —   ProShares Ultra Euro Foreign currency forward contracts 308,424 —   308,424 1,475 —   1,475 ProShares Ultra Gold Swap agreements 3,078,593 —   3,078,593 —   —   —   ProShares Ultra Silver Swap agreements —   —   —   2,827,221 —   2,827,221 ProShares Ultra Yen Foreign currency forward contracts 1,534,924 —   1,534,924 15,639 —   15,639 ProShares UltraShort Euro Foreign currency forward contracts 38,029 —   38,029 1,886,808 —   1,886,808 ProShares UltraShort Gold Swap agreements —   —   —   199,821 —   199,821 ProShares UltraShort Silver Swap agreements —   —   —   814,174 —   814,174 ProShares UltraShort Yen Foreign currency forward contracts 129,697 —   129,697 1,441,622 —   1,441,622 Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 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 December 31, 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. $ 3,938,035 $ ( 3,938,035 ) $ —   $ —   Goldman Sachs International 4,896,240 ( 4,896,240 ) —   —   Morgan Stanley & Co. International PLC 2,449,576 ( 2,449,576 ) —   —   Societe Generale 3,727,284 ( 3,727,284 ) —   —   UBS AG 2,943,800 ( 2,943,800 ) —   —   ProShares Ultra Euro Goldman Sachs International 162,672 —   —   162,672 UBS AG 144,277 —   —   144,277 ProShares Ultra Gold Citibank, N.A. 1,321,903 ( 1,321,903 ) —   —   Goldman Sachs International 627,862 ( 627,862 ) —   —   UBS AG 1,128,828 ( 1,128,828 ) —   —   ProShares Ultra Silver Citibank, N.A. ( 906,324 ) —   906,324 —   Goldman Sachs International ( 135,877 ) —   135,877 —   Morgan Stanley & Co. International PLC ( 921,875 ) —   921,875 —   UBS AG ( 863,145 ) —   863,145 —   ProShares Ultra Yen Goldman Sachs International  646,861 ( 465,767 ) —   181,094 103 Table of Contents UBS AG 872,424 ( 618,104 ) —      254,320 ProShares UltraShort Euro Goldman Sachs International ( 964,142 ) —         964,142 —   UBS AG ( 884,637 ) —   884,637 —   ProShares UltraShort Gold Citibank, N.A. ( 46,103 ) —   46,103 —   Goldman Sachs International ( 60,261 ) —   60,261 —   UBS AG ( 93,457 ) —   93,457 —   ProShares UltraShort Silver Citibank, N.A.       126,314        —   —   126,314 Goldman Sachs International 56,804 —   —   56,804 Morgan Stanley & Co. International PLC 7,793 —   —   7,793 UBS AG ( 1,005,085 ) —   1,005,085 —   ProShares UltraShort Yen Goldman Sachs International ( 701,077 ) —   701,077 —   UBS AG ( 610,848 ) —   610,848 —   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. Each Fund accrues the Management Fee daily at an annualized rate based on its average daily net assets. 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 of its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds. The Administrator BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds (the “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. 104 Table of Contents 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 reverse share splits as described in Note 1 and Note 8, 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. 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 three months ended March 31, 2024 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows: 105 Table of Contents Three Months Ended Fund March 31, 2024 ProShares Short VIX Short-Term Futures ETF $ 71,241 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 97,529 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 17,883 ProShares VIX Short-Term Futures ETF 32,345 Combined Trust: $ 218,998 106 Table of Contents NOTE 6 – FINANCIAL HIGHLIGHTS S elected Data for a Share Outstanding Throughout the Three Months Ended March 31, 2024 For the Three Months Ended March 31, 2024 (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, 2023 $ 51.69 $ 26.28 $ 28.55 $ 11.86 $ 63.83 $ 27.29 Net investment income (loss) 0.41 0.16 0.13 0.11 0.54 0.19 Net realized and unrealized gain (loss)# 4.28 6.75 ( 15.55 ) ( 0.63 ) 7.62 1.05 Change in net asset value from operations 4.69 6.91 ( 15.42 ) ( 0.52 ) 8.16 1.24 Net asset value, at March 31, 2024 $ 56.38 $ 33.19 $ 13.13 $ 11.34 $ 71.99 $ 28.53 Market value per share, at December 31, 2023 † $ 51.70 $ 26.10 $ 28.44 $ 11.84 $ 63.87 $ 27.17 Market value per share, at March 31, 2024 † $ 56.37 $ 33.00 $ 12.86 $ 11.32 $ 72.26 $ 28.74 Total Return, at net asset value^ 9.1 % 26.3 % ( 54.0 )% ( 4.4 )% 12.8 % 4.6 % Total Return, at market value^ 9.0 % 26.4 % ( 54.8 )% ( 4.4 )% 13.1 % 5.8 % Ratios to Average Net Assets** Expense ratio^^ 1.17 % 0.99 % 1.47 % 0.95 % 0.97 % 0.98 % Net investment income gain (loss) 3.08 % 2.23 % 2.76 % 3.73 % 3.41 % 2.97 % * See Note 8 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 March 31, 2024. ^^ 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. 107 Table of Contents For the Three Months Ended March 31, 2024 (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, 2023 $ 42.17 $ 27.46 $ 20.75 $ 48.05 $ 29.16 $ 26.39 Net investment income (loss) 0.20 0.22 0.17 0.40 0.27 0.21 Net realized and unrealized gain (loss)# ( 10.91 ) ( 4.35 ) ( 5.00 ) 28.02 1.54 ( 3.15 ) Change in net asset value from operations ( 10.71 ) ( 4.13 ) ( 4.83 ) 28.42 1.81 ( 2.94 ) Net asset value, at March 31, 2024 $ 31.46 $ 23.33 $ 15.92 $ 76.47 $ 30.97 $ 23.45 Market value per share, at December 31, 2023 † $ 42.20 $ 27.49 $ 20.89 $ 48.21 $ 29.15 $ 26.37 Market value per share, at March 31, 2024 † $ 31.60 $ 23.35 $ 16.02 $ 78.35 $ 30.96 $ 23.38 Total Return, at net asset value^ ( 25.4 )% ( 15.1 )% ( 23.3 )% 59.2 % 6.2 % ( 11.1 )% Total Return, at market value^ ( 25.1 )% ( 15.1 )% ( 23.3 )% 62.5 % 6.2 % ( 11.3 )% Ratios to Average Net Assets** Expense ratio^^ 1.77 % 0.95 % 1.06 % 1.95 % 0.95 % 0.98 % Net investment income gain (loss) 2.16 % 3.60 % 3.65 % 2.92 % 3.62 % 3.22 % * See Note 8 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 March 31, 2024. ^^ 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. 108 Table of Contents For the Three Months Ended March 31, 2024 (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, 2023 $ 18.14 $ 68.88 $ 16.74 $ 15.50 Net investment income (loss) 0.14 0.69 0.14 0.12 Net realized and unrealized gain (loss)# ( 1.46 ) 12.38 ( 1.03 ) ( 2.69 ) Change in net asset value from operations ( 1.32 ) 13.07 ( 0.89 ) ( 2.57 ) Net asset value, at March 31, 2024 $ 16.82 $ 81.95 $ 15.85 $ 12.93 Market value per share, at December 31, 2023 † $ 18.24 $ 68.94 $ 16.75 $ 15.51 Market value per share, at March 31, 2024 † $ 16.71 $ 81.83 $ 15.85 $ 12.96 Total Return, at net asset value^ ( 7.3 )% 19.0 % ( 5.3 )% ( 16.6 )% Total Return, at market value^ ( 8.4 )% 18.7 % ( 5.4 )% ( 16.4 )% Ratios to Average Net Assets** Expense ratio^^ 1.01 % 0.95 % 1.08 % 1.04 % Net investment income gain (loss) 2.96 % 3.58 % 3.44 % 3.41 % ** 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 March 31, 2024. ^^ 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. 109 Table of Contents Selected Data for a Share Outstanding Throughout the Three Months Ended March 31, 2023 For the Three Months Ended March 31, 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 $ 29.35 $ 30.26 $ 363.08 $ 11.27 $ 55.09 $ 31.75 Net investment income (loss) 0.18 0.14 0.67 0.08 0.39 0.19 Net realized and unrealized gain (loss)# 2.33 ( 3.87 ) ( 289.99 ) 0.14 7.38 ( 0.84 ) Change in net asset value from operations 2.51 ( 3.73 ) ( 289.32 ) 0.22 7.77 ( 0.65 ) Net asset value, at March 31, 2023 $ 31.86 $ 26.53 $ 73.76 $ 11.49 $ 62.86 $ 31.10 Market value per share, at December 31, 2022 † $ 29.34 $ 30.31 $ 355.60 $ 11.26 $ 55.27 $ 32.00 Market value per share, at March 31, 2023 † $ 31.88 $ 26.47 $ 72.20 $ 11.49 $ 63.02 $ 31.23 Total Return, at net asset value^ 8.6 % ( 12.3 )% ( 79.7 )% 2.0 % 14.1 % ( 2.0 )% Total Return, at market value^ 8.6 % ( 12.7 )% ( 79.7 )% 2.0 % 14.0 % ( 2.4 )% Ratios to Average Net Assets*** Expense ratio^^ 1.16 % 1.00 % 1.42 % 0.95 % 0.97 % 0.98 % Net investment income gain (loss) 2.38 % 2.05 % 2.24 % 2.86 % 2.70 % 2.70 % * See Note 1 of these Notes to Financial Statements. ** See Note 8 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 March 31, 2023. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. 110 Table of Contents For the Three Months Ended March 31, 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 $ 343.43 $ 34.54 $ 23.93 $ 13.50 $ 29.46 $ 31.10 Net investment income (loss) 0.98 0.23 0.18 0.13 0.21 0.18 Net realized and unrealized gain (loss)# ( 113.14 ) ( 1.72 ) 1.04 21.93 ( 0.63 ) ( 4.40 ) Change in net asset value from operations ( 112.16 ) ( 1.49 ) 1.22 22.06 ( 0.42 ) ( 4.22 ) Net asset value, at March 31, 2023 $ 231.27 $ 33.05 $ 25.15 $ 35.56 $ 29.04 $ 26.88 Market value per share, at December 31, 2022 † $ 343.00 $ 34.56 $ 23.85 $ 13.78 $ 29.45 $ 30.99 Market value per share, at March 31, 2023 † $ 232.50 $ 33.02 $ 25.22 $ 36.21 $ 29.04 $ 26.84 Total Return, at net asset value^ ( 32.7 )% ( 4.3 )% 5.1 % 163.4 % ( 1.4 )% ( 13.6 )% Total Return, at market value^ ( 32.2 )% ( 4.5 )% 5.8 % 162.8 % ( 1.4 )% ( 13.4 )% Ratios to Average Net Assets*** Expense ratio^^ 1.57 % 0.95 % 1.08 % 1.72 % 0.95 % 0.99 % Net investment income gain (loss) 1.48 % 2.78 % 2.85 % 2.08 % 2.85 % 2.48 % * See Note 1 and Note 8 of these Notes to Financial Statements. ** See Note 8 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 March 31, 2023. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. 111 Table of Contents For the Three Months Ended March 31, 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) 0.11 0.39 0.18 0.29 Net realized and unrealized gain (loss)# ( 0.94 ) 1.91 ( 3.80 ) ( 12.13 ) Change in net asset value from operations ( 0.83 ) 2.30 ( 3.62 ) ( 11.84 ) Net asset value, at March 31, 2023 $ 18.63 $ 55.98 $ 26.79 $ 45.16 Market value per share, at December 31, 2022 † $ 19.30 $ 53.57 $ 30.36 $ 56.90 Market value per share, at March 31, 2023 † $ 18.56 $ 56.00 $ 26.82 $ 45.25 Total Return, at net asset value^ ( 4.2 )% 4.3 % ( 11.9 )% ( 20.8 )% Total Return, at market value^ ( 3.8 )% 4.5 % ( 11.7 )% ( 20.5 )% Ratios to Average Net Assets** Expense ratio^^ 1.04 % 0.95 % 0.97 % 1.09 % Net investment income gain (loss) 2.12 % 2.87 % 2.70 % 2.39 % * 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 March 31, 2023. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. 112 Table of Contents NOTE 7 – RISK Correlation and Holding Period Risk Each of the Geared Funds is “geared” which means that each has an investment objective to seek daily investment results, before fees and expenses, that correspond either to 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 (referred to as the “Daily Target”). The Geared Funds do not seek to achieve their Daily Target for any period of time other 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 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 same period. This difference may be significant. 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. The return of a Geared Fund for periods longer than a day is the product of a series of daily leveraged returns for each trading day during that period. If you hold Geared Fund shares for any period other than a day, it is important for you to understand the risks and long-term performance of a daily objective fund. You should know that over your holding period: • Your return may be higher or lower than the Daily Target, and this difference may be significant. • Factors that contribute to returns that are worse than the Daily Target include smaller Benchmark gains or losses and higher Benchmark volatility, as well as longer holding periods when these factors apply. • Factors that contribute to returns that are better than the Daily Target include larger Benchmark gains or losses and lower Benchmark volatility, as well as longer holding periods when these factors apply. • The more extreme these factors are, and the more they occur together, the more your return will tend to deviate from the Daily Target. For periods longer than a day, you will lose money if the Benchmark’s performance is flat. It is possible that you will lose money invested in a Short or UltraShort Fund even if the value of the Benchmark falls during that period or money invested in an Ultra Fund even if the value of the Benchmark rises during that period. Returns may move in the opposite direction of the Benchmark during periods of higher Benchmark volatility, low Benchmark returns, or both. In addition, during periods of higher Benchmark volatility, the Benchmark volatility may affect your return as much or more than the return of the Benchmark. 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. Investors should understand the consequences of holding daily rebalanced funds for periods longer than a given day, including the impact of compounding on fund performance. Shareholders who invest in the Geared Funds should consider actively monitoring and/or periodically rebalancing their investments (which will possibly trigger transaction costs and tax consequences) in light of their investment goals and risk tolerances. The Matching VIX Funds seek to achieve their stated investment objective over time. 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. 113 Table of Contents 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. 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. 114 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. 115 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 Fund 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. Natural Disasters and Public Health Disruptions, such as the COVID-19 Pandemic, May Have a Significant Negative Impact on the Performance of Each Fund. Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, COVID-19 including its variants), have been and may continue to be highly disruptive to economies and markets. These conditions have led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could 116 Table of Contents exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, civil unrest, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. To attempt to curb the spread of COVID-19, federal, state, and local governments introduced various forms of vaccine and mask mandates, lockdowns, curfews, and other policy initiatives. However, several of the federal mandates were rolled back or eliminated entirely due to actions taken within the courts. In response to COVID’s shock to the labor market and economy overall. The government drastically increased its federal spending for COVID-related relief packages, which came in the form of increases in unemployment insurance and stimulus packages. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability potential investment opportunities and accuracy of economic projections. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margins and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transaction on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market. Additionally, public health issues, war and military conflicts (such as Russia’s continued military actions against Ukraine that started in February 2022 and the Israel-Hamas conflict and the ensuing conflict), 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. NOTE 8 – SUBSEQUENT EVENTS On March 20, 2024, the Trust announced a 2-for-1 forward split of the shares of beneficial interest of ProShares Short VIX Short-Term Futures (ticker symbol: SVXY) and ProShares UltraShort Bloomberg Natural Gas (ticker symbol: KOLD) and a 1-for-5 reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures (ticker symbol: UVXY) . The splits were effective prior to market open on April 11, 2024, when the funds began trading at its post-split price. The splits were applied retroactively for all periods presented, reducing (increasing) the number of shares outstanding and resulted in a proportionate increase (decrease) in the price per share and the per share information of the fund. Therefore, the splits did not change the aggregate net asset value of a shareholder’s investment at the time of the splits. For SVXY and KOLD shareholders who hold a quantity of shares that is not an exact multiple of the Forward Split ratio (i.e., not a multiple of 2), the Forward Split will result in the creation of a fractional share. Post-Forward Split fractional shares will be redeemed for cash and sent to the shareholder’s broker of record. This redemption may cause some shareholders to realize gains or losses, which could be a taxable event for those shareholders. For UVXY shareholders who hold a quantity of shares that is not an exact multiple of the Reverse Split ratio (i.e., not a multiple of 5), the Reverse Split will result in the creation of a fractional share. Post-Reverse Split fractional shares will be redeemed for cash and sent to the shareholder’s broker of record. This redemption may cause some shareholders to realize gains or losses, which could be a taxable event for those shareholders. 117 Table of Contents Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations. This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties \in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements. These forward-looking statements are based on information currently available to the Sponsor and are subject to a number of risks, uncertainties and other factors, both known, such as those described in “Risk Factors” in our Annual Report on Form 10-K for the fiscal year ended December 31, 2023 and in this Quarterly Report on Form 10-Q for the period ended March 31, 2024 and unknown, that could cause the actual results, performance, prospects or opportunities of the Funds to differ materially from those expressed in, or implied by, these forward-looking statements. Factors that could cause results to differ from those expressed in the forward-looking statements include those described in the aforementioned filings and in other SEC filings by the Funds, as well as the following: risks and uncertainty related to geopolitical conflict, world health crises and the global economic markets; risks associated with a rising rate environment; risks associated with regulatory and exchange daily price limits, position limits and accountability levels; and risks related to market competition. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions. Introduction Each of the Funds generally invests in instruments whose value is derived from the value of an underlying asset, rate or index (Collectively, “Financial Instruments”), including futures contracts, swap agreements, forward contracts and other instruments as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to its applicable underlying commodity futures index, commodity, currency exchange rate or equity volatility index. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds. The “Short” Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation. Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from -0.5x, -2x, 1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”). 118 Table of Contents ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public. The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov. Share Splits On June 7, 2023, the Trust issued a press release announcing a reverse share split on ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Ultra Bloomberg Natural Gas. The Splits did not change the value of a shareholder’s investment. ProShares VIX Short-Term Futures ETF executed a 1:5 Reverse Split of its shares. ProShares Ultra VIX Short-Term Futures ETF executed a 1:10 Reverse Split of its shares. ProShares Ultra Bloomberg Natural Gas ETF executed a 1:20 Reverse Split of its shares. The Reverse Splits were effective at the market open on June 23, 2023, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y789 for VIXY, 74347Y771 for UVXY, and 74347Y763 for BOIL). The Reverse Splits increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding. On March 20, 2024, the Trust issued a press release announcing a forward share split on ProShares Short VIX Short-Term Futures, ProShares UltraShort Bloomberg Natural Gas and a reverse share split on ProShares Ultra VIX Short-Term Futures. The Splits did not change the value of a shareholder’s investment. ProShares Short VIX Short-Term Futures executed a 2:1 Forward Split of its shares. ProShares UltraShort Bloomberg Natural Gas also executed a 2:1 Forward Split of its shares. The Forward Splits were effective at the market open on April 11, 2024, when the Funds began trading at their post-Forward Split prices. The Forward Split decreased the price per share of each Funds with a proportionate increase in the number of its shares outstanding. ProShares Ultra VIX Short-Term Futures executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on April 11, 2024, when the Fund begins trading at its post-Reverse Split price. The ticker symbol for the Fund did not change, but the Fund was issued a new CUSIP number (74347Y755 for UVXY). The Reverse Split increased the price per share of the Fund with a proportionate decrease in the number of shares outstanding. Liquidity and Capital Resources In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three months ended March 31, 2024 and 2023, each of the Funds earned interest income as follows: 119 Table of Contents Fund Interest Income Three Months Ended March 31, 2024 Interest Income Three Months Ended March 31, 2023 ProShares Short VIX Short-Term Futures ETF $ 3,309,285 $ 2,109,122 ProShares Ultra Bloomberg Crude Oil 5,010,450 6,007,908 ProShares Ultra Bloomberg Natural Gas 6,452,140 8,958,523 ProShares Ultra Euro 78,486 97,237 ProShares Ultra Gold 2,013,915 1,649,014 ProShares Ultra Silver 3,634,857 3,374,396 ProShares Ultra VIX Short-Term Futures ETF 2,758,242 4,416,655 ProShares Ultra Yen 370,254 120,118 ProShares UltraShort Bloomberg Crude Oil 2,242,767 2,003,209 ProShares UltraShort Bloomberg Natural Gas 1,347,078 1,186,752 ProShares UltraShort Euro 458,317 647,120 ProShares UltraShort Gold 143,203 132,562 ProShares UltraShort Silver 381,433 200,078 ProShares UltraShort Yen 315,417 204,200 ProShares VIX Mid-Term Futures ETF 515,164 647,920 ProShares VIX Short-Term Futures ETF 1,758,262 2,120,561 Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions. Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person. The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated. Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). Market Risk Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk. For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q. 120 Table of Contents Credit Risk When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions. Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund. Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank. Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used. The Sponsor attempts to minimize certain of these market and credit risks by normally: • executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; • limiting the outstanding amounts due from counterparties to the Funds; • not posting margin directly with a counterparty; • requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds; • limiting the amount of margin or premium posted at a FCM; and • ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for. Off-Balance Sheet Arrangements and Contractual Obligations As of May 3, 2024, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position. Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party. Critical Accounting Policies Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used. Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations. 121 Table of Contents The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price). For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended March 31, 2024. Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold and Silver Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold and Silver Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements. 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. Additionally, interest income may be earned on Repurchase Agreements and/or cash held on deposit with brokers for futures contracts. Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively. Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit futures account fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually. 122 Table of Contents Results of Operations for the Three Months Ended March 31, 2024 Compared to the Three Months Ended March 31, 2023 ProShares Short VIX Short-Term Futures ETF* Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 267,184,359 $ 339,591,638 NAV end of period $ 313,978,799 $ 295,340,393 Percentage change in NAV 17.5 % (13.0 )% Shares outstanding beginning of period 5,168,614 11,568,614 Shares outstanding end of period 5,568,614 9,268,614 Percentage change in shares outstanding 7.7 % (19.9 )% Shares created 2,400,000 4,900,000 Shares redeemed 2,000,000 7,200,000 Per share NAV beginning of period $ 51.69 $ 29.35 Per share NAV end of period $ 56.38 $ 31.86 Percentage change in per share NAV 9.1 % 8.6 % Percentage change in benchmark (16.2 )% (20.3 )% Benchmark annualized volatility 39.6 % 68.1 % During the three months ended March 31, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 5,168,614 outstanding Shares at December 31, 2023 to 5,568,614 outstanding Shares at March 31, 2024. By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 11,568,614 outstanding Shares at December 31, 2022 to 9,268,614 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.1% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV increase of 8.6% for the three months ended March 31, 2023, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. The benchmark’s decline of 16.2% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 20.3% for the three months ended March 31, 2023, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2024. 123 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 2,397,290 $ 1,416,842 Management fee 740,396 565,777 Brokerage commission 171,599 126,503 Net realized gain (loss) 28,514,617 29,604,148 Change in net unrealized appreciation (depreciation) (4,654,821 ) 3,155,177 Net Income (loss) $ 26,257,086 $ 34,176,167 The Fund’s net income decreased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a lesser decrease in the value of futures prices during the three months ended March 31, 2024. * See Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Short VIX Short-Term Futures. ProShares Ultra Bloomberg Crude Oil Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 652,793,437 $ 859,094,274 NAV end of period $ 597,176,895 $ 811,668,456 Percentage change in NAV (8.5 )% (5.5 )% Shares outstanding beginning of period 24,843,096 28,393,096 Shares outstanding end of period 17,993,096 30,593,096 Percentage change in shares outstanding (27.6 )% 7.7 % Shares created 4,050,000 19,100,000 Shares redeemed 10,900,000 16,900,000 Per share NAV beginning of period $ 26.28 $ 30.26 Per share NAV end of period $ 33.19 $ 26.53 Percentage change in per share NAV 26.3 % (12.3 )% Percentage change in benchmark 12.8 % (5.4 )% Benchmark annualized volatility 21.4 % 30.8 % During the three months ended March 31, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 24,843,096 outstanding Shares at December 31, 2023 to 17,993,096 outstanding Shares at March 31, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . The decrease in the Fund’s NAV was offset by an increase from 28,393,096 outstanding Shares at December 31, 2022 to 30,593,096 outstanding Shares at March 31, 2023. 124 Table of Contents For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 26.3% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 12.3% for the three months ended March 31, 2023, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. The benchmark’s rise of 12.8% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 5.4% for the three months ended March 31, 2023, can be attributed to an increase in the value of WTI Crude Oil during the period ended March 31, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 3,471,629 $ 4,038,946 Management fee 1,477,017 1,874,618 Brokerage commission 61,804 94,344 Net realized gain (loss) 93,131,105 85,780,427 Change in net unrealized appreciation (depreciation) 55,083,842 (138,210,442 ) Net Income (loss) $ 151,686,576 $ (48,391,069 ) The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a an increase in the value of WTI Crude Oil during the three months ended March 31, 2024. 125 Table of Contents ProShares Ultra Bloomberg Natural Gas* Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 729,892,808 $ 586,151,113 NAV end of period $ 580,741,377 $ 1,139,983,773 Percentage change in NAV (20.4 )% 94.5 % Shares outstanding beginning of period 25,568,544 1,614,376 Shares outstanding end of period 44,218,544 15,454,376 Percentage change in shares outstanding 72.9 % 857.3 % Shares created 40,100,000 18,972,500 Shares redeemed 21,450,000 5,132,500 Per share NAV beginning of period $ 28.55 $ 363.08 Per share NAV end of period $ 13.13 $ 73.76 Percentage change in per share NAV (54.0 )% (79.7 )% Percentage change in benchmark (28.7 )% (50.4 )% Benchmark annualized volatility 57.3 % 78.6 % During the three months ended March 31, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM . The decrease in the Fund’s NAV was offset by an increase from 25,568,544 outstanding Shares at December 31, 2023 to 44,218,544 outstanding Shares at March 31, 2024. By comparison, during the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 1,614,376 outstanding Shares at December 31, 2022 to 15,454,376 outstanding Shares at March 31, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex SM , which was offset by the timing of shareholder activity. For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 54.0% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 79.7% for the three months ended March 31, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. The benchmark’s decline of 28.7% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 50.4% for the three months ended March 31, 2023, can be attributed to a lesser decrease in the value of Henry Hub Natural Gas during the period ended March 31, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 4,210,636 $ 5,489,641 Management fee 1,449,427 2,328,410 Brokerage commission 703,092 952,779 Futures account fees 88,985 187,693 Net realized gain (loss) (242,180,914 ) (1,061,634,864 ) Change in net unrealized appreciation (depreciation) (136,392,955 ) (53,009,690 ) Net Income (loss) $ (374,363,233 ) $ (1,109,154,913 ) 126 Table of Contents The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a lesser decrease in the value of Henry Hub Natural Gas during the three months ended March 31, 2024. * See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Natural Gas. ProShares Ultra Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 7,114,015 $ 10,704,662 NAV end of period $ 6,804,048 $ 8,616,433 Percentage change in NAV (4.4 )% (19.5 )% Shares outstanding beginning of period 600,000 950,000 Shares outstanding end of period 600,000 750,000 Percentage change in shares outstanding —  % (21.1 )% Shares created 100,000 200,000 Shares redeemed 100,000 400,000 Per share NAV beginning of period $ 11.86 $ 11.27 Per share NAV end of period $ 11.34 $ 11.49 Percentage change in per share NAV (4.4 )% 2.0 % Percentage change in benchmark (2.3 )% 1.3 % Benchmark annualized volatility 5.0 % 9.2 % During the three months ended March 31, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2023 to March 31, 2024. By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 750,000 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.4% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV increase of 2.0% for the three months ended March 31, 2023, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. The benchmark’s decline of 2.3% for the three months ended March 31, 2024, as compared to the benchmark’s rise of 1.3% for the three months ended March 31, 2023, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2024. 127 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 62,551 $ 72,991 Management fee 15,935 24,246 Net realized gain (loss) 144,574 280,279 Change in net unrealized appreciation (depreciation) (509,514 ) (96,945 ) Net Income (loss) $ (302,389 ) $ 256,325 The Fund’s net income decreased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due an decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2024. ProShares Ultra Gold Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 191,502,023 $ 173,524,136 NAV end of period $ 215,970,841 $ 201,161,529 Percentage change in NAV 12.8 % 15.9 % Shares outstanding beginning of period 3,000,000 3,150,000 Shares outstanding end of period 3,000,000 3,200,000 Percentage change in shares outstanding —  % 1.6 % Shares created 450,000 400,000 Shares redeemed 450,000 350,000 Per share NAV beginning of period $ 63.83 $ 55.09 Per share NAV end of period $ 71.99 $ 62.86 Percentage change in per share NAV 12.8 % 14.1 % Percentage change in benchmark 7.4 % 8.1 % Benchmark annualized volatility 11.3 % 15.7 % During the three months ended March 31, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . There was no net change in the Fund’s outstanding Shares from December 31, 2023 to March 31, 2024. By comparison, during the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex SM . The increase in the Fund’s NAV also resulted in part from an increase from 3,150,000 outstanding Shares at December 31, 2022 to 3,200,000 outstanding Shares at March 31, 2023. For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 12.8% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV increase of 14.1% for the three months ended March 31, 2023, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. 128 Table of Contents The benchmark’s rise of 7.4% for the three months ended March 31, 2024, as compared to the benchmark’s rise of 8.1% for the three months ended March 31, 2023, can be attributed to a lesser increase in the value of gold futures contracts during the period ended March 31, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 1,567,439 $ 1,213,285 Management fee 436,603 427,114 Brokerage commission 9,873 8,615 Net realized gain (loss) 18,474,282 10,799,896 Change in net unrealized appreciation (depreciation) 2,721,192 10,688,379 Net Income (loss) $ 22,762,913 $ 22,701,560 The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a an increase in futures prices, in conjunction with an increase in average net assets, during the three months ended March 31, 2024. 129 Table of Contents ProShares Ultra Silver Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 390,146,373 $ 414,285,878 NAV end of period $ 403,584,744 $ 429,115,334 Percentage change in NAV 3.4 % 3.6 % Shares outstanding beginning of period 14,296,526 13,046,526 Shares outstanding end of period 14,146,526 13,796,526 Percentage change in shares outstanding (1.0 )% 5.7 % Shares created 2,300,000 1,900,000 Shares redeemed 2,450,000 1,150,000 Per share NAV beginning of period $ 27.29 $ 31.75 Per share NAV end of period $ 28.53 $ 31.10 Percentage change in per share NAV 4.6 % (2.0 )% Percentage change in benchmark 3.8 % 0.8 % Benchmark annualized volatility 21.3 % 27.6 % During the three months ended March 31, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 14,296,526 outstanding Shares at December 31, 2023 to 14,146,526 outstanding Shares at March 31, 2024. By comparison, during the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from a increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,796,526 outstanding Shares at March 31, 2023. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex SM . For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.6% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 2.0% for the three months ended March 31, 2023, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. The benchmark’s rise of 3.8% for the three months ended March 31, 2024, as compared to the benchmark’s rise of 0.8% for the three months ended March 31, 2023, can be attributed to a greater increase in the value of silver futures contracts during the period ended March 31, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 2,732,914 $ 2,476,275 Management fee 873,901 871,559 Brokerage commission 28,042 26,562 Net realized gain (loss) (4,465,915 ) (28,743,864 ) Change in net unrealized appreciation (depreciation) 21,608,599 22,352,120 Net Income (loss) $ 19,875,598 $ (3,915,469 ) The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a greater increase in the value of futures prices during the three months ended March 31, 2024. 130 Table of Contents ProShares Ultra VIX Short-Term Futures ETF * Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 348,555,743 $ 639,318,362 NAV end of period $ 278,240,649 $ 535,980,236 Percentage change in NAV (20.2 )% (16.2 )% Shares outstanding beginning of period 8,264,891 1,861,568 Shares outstanding end of period 8,844,891 2,317,568 Percentage change in shares outstanding 7.0 % 24.5 % Shares created 2,820,000 1,674,000 Shares redeemed 2,240,000 1,218,000 Per share NAV beginning of period $ 42.17 $ 343.43 Per share NAV end of period $ 31.46 $ 231.27 Percentage change in per share NAV (25.4 )% (32.7 )% Percentage change in benchmark (16.2 )% (20.3 )% Benchmark annualized volatility 39.6 % 68.1 % During the three months ended March 31, 2024, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 8,264,891 outstanding Shares at December 31, 2023 to 8,844,891 outstanding Shares at March 31, 2024. By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,861,568 outstanding Shares at December 31, 2022 to 2,317,568 outstanding Shares at March 31, 2023. For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 25.4% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 32.7% for the three months ended March 31, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. The benchmark’s decline of 16.2% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 20.3% for the three months ended March 31, 2023, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2024. 131 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 1,517,995 $ 2,141,823 Management fee 667,531 1,373,770 Brokerage commission 486,546 777,701 Futures account fees 86,170 123,361 Net realized gain (loss) (90,992,592 ) (182,241,208 ) Change in net unrealized appreciation (depreciation) 13,280,569 2,037,527 Net Income (loss) $ (76,194,028 ) $ (178,061,858 ) The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a lesser decrease in the value of futures prices during the three months ended March 31, 2024. * See Note 1 and Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra VIX Short-Term Futures. ProShares Ultra Yen Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 30,205,770 $ 13,814,796 NAV end of period $ 41,994,545 $ 9,915,083 Percentage change in NAV 39.0 % (28.2 )% Shares outstanding beginning of period 1,099,970 399,970 Shares outstanding end of period 1,799,970 299,970 Percentage change in shares outstanding 63.6 % (25.0 )% Shares created 800,000 50,000 Shares redeemed 100,000 150,000 Per share NAV beginning of period $ 27.46 $ 34.54 Per share NAV end of period $ 23.33 $ 33.05 Percentage change in per share NAV (15.1 )% (4.3 )% Percentage change in benchmark (6.9 )% (1.2 )% Benchmark annualized volatility 7.8 % 12.4 % During the three months ended March 31, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 1,099,970 outstanding Shares at December 31, 2023 to 1,799,970 outstanding Shares at March 31, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 399,970 outstanding Shares at December 31, 2022 to 299,970 outstanding Shares at March 31, 2023. The decrease in the Fund’s also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.1% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 4.3% for the three months ended March 31, 2023, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. 132 Table of Contents The benchmark’s decline of 6.9% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 1.2% for the three months ended March 31, 2023, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 293,018 $ 89,558 Management fee 77,236 30,560 Net realized gain (loss) (2,031,575 ) (298,808 ) Change in net unrealized appreciation (depreciation) (3,578,931 ) (494,067 ) Net Income (loss) $ (5,317,488 ) $ (703,317 ) The Fund’s net income decreased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2024. 133 Table of Contents ProShares UltraShort Bloomberg Crude Oil Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 188,963,592 $ 222,697,337 NAV end of period $ 197,512,295 $ 144,762,563 Percentage change in NAV 4.5 % (35.0 )% Shares outstanding beginning of period 9,105,220 9,305,220 Shares outstanding end of period 12,405,220 5,755,220 Percentage change in shares outstanding 36.2 % (38.2 )% Shares created 8,450,000 5,300,000 Shares redeemed 5,150,000 8,850,000 Per share NAV beginning of period $ 20.75 $ 23.93 Per share NAV end of period $ 15.92 $ 25.15 Percentage change in per share NAV (23.3 )% 5.1 % Percentage change in benchmark 12.8 % (5.4 )% Benchmark annualized volatility 21.4 % 30.8 % During the three months ended March 31, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 9,105,220 outstanding Shares at December 31, 2023 to 12,405,220 outstanding Shares at March 31, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,305,220 outstanding Shares at December 31, 2022 to 5,755,220 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index SM . For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 23.3% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV increase of 5.1% for the three months ended March 31, 2023, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. The benchmark’s rise of 12.8% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 5.4% for the three months ended March 31, 2023, can be attributed to an increase in the value of WTI Crude Oil during the period ended March 31, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 1,737,221 $ 1,452,572 Management fee 451,585 484,880 Brokerage commission 53,961 65,757 Net realized gain (loss) (12,508,822 ) 27,614,767 Change in net unrealized appreciation (depreciation) (34,449,133 ) 10,956,230 Net Income (loss) $ (45,220,734 ) $ 40,023,569 The Fund’s net income decreased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due an increase in the value of WTI Crude Oil, during the three months ended March 31, 2024. 134 Table of Contents ProShares UltraShort Bloomberg Natural Gas* Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 140,963,092 $ 134,109,520 NAV end of period $ 94,345,355 $ 146,981,760 Percentage change in NAV (33.1 )% 9.6 % Shares outstanding beginning of period 2,933,712 9,933,712 Shares outstanding end of period 1,233,712 4,133,712 Percentage change in shares outstanding (57.9 )% (58.4 )% Shares created 6,600,000 14,500,000 Shares redeemed 8,300,000 20,300,000 Per share NAV beginning of period $ 48.05 $ 13.50 Per share NAV end of period $ 76.47 $ 35.56 Percentage change in per share NAV 59.2 % 163.4 % Percentage change in benchmark (28.7 )% (50.4 )% Benchmark annualized volatility 57.3 % 78.6 % During the three months ended March 31, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,933,712 outstanding Shares at December 31, 2023 to 1,233,712 outstanding Shares at March 31, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . By comparison, during the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex SM . The increase in the Fund’s NAV was offset by a decrease from 9,933,712 outstanding Shares at December 31, 2022 to 4,133,712 outstanding Shares at March 31, 2023. For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 59.2% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV increase of 163.4% for the three months ended March 31, 2023, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. The benchmark’s decline of 28.7% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 50.4% for the three months ended March 31, 2023, can be attributed to a lesser decrease in the value of Henry Hub Natural Gas during the period ended March 31, 2024. 135 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 807,347 $ 650,640 Management fee 262,444 296,862 Brokerage commission 261,254 209,641 Futures account fees 16,033 29,609 Net realized gain (loss) 44,652,614 183,405,966 Change in net unrealized appreciation (depreciation) 23,826,488 (44,959,798 ) Net Income (loss) $ 69,286,449 $ 139,096,808 The Fund’s net income decreased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a lesser decrease in the value of Henry Hub Natural Gas during the three months ended March 31, 2024. * See Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Bloomberg Natural Gas. 136 Table of Contents ProShares UltraShort Euro Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 39,367,550 $ 75,113,179 NAV end of period $ 38,712,882 $ 59,537,260 Percentage change in NAV (1.7 )% (20.7 )% Shares outstanding beginning of period 1,350,000 2,550,000 Shares outstanding end of period 1,250,000 2,050,000 Percentage change in shares outstanding (7.4 )% (19.6 )% Shares created —  100,000 Shares redeemed 100,000 600,000 Per share NAV beginning of period $ 29.16 $ 29.46 Per share NAV end of period $ 30.97 $ 29.04 Percentage change in per share NAV 6.2 % (1.4 )% Percentage change in benchmark (2.3 )% 1.3 % Benchmark annualized volatility 5.0 % 9.2 % During the three months ended March 31, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,350,000 outstanding Shares at December 31, 2023 to 1,250,000 outstanding Shares at March 31, 2024. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at December 31, 2022 to 2,050,000 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.2% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 1.4% for the three months ended March 31, 2023, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. The benchmark’s decline of 2.3% for the three months ended March 31, 2024, as compared to the benchmark’s rise of 1.3% for the three months ended March 31, 2023, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 363,067 $ 485,552 Management fee 95,250 161,568 Net realized gain (loss) (939,220 ) (1,407,311 ) Change in net unrealized appreciation (depreciation) 2,967,733 141,211 Net Income (loss) $ 2,391,580 $ (780,548 ) The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2024. 137 Table of Contents ProShares UltraShort Gold Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 11,795,779 $ 15,456,037 NAV end of period $ 15,170,884 $ 16,049,273 Percentage change in NAV 28.6 % 3.8 % Shares outstanding beginning of period 446,977 496,977 Shares outstanding end of period 646,977 596,977 Percentage change in shares outstanding 44.7 % 20.1 % Shares created 200,000 300,000 Shares redeemed —  200,000 Per share NAV beginning of period $ 26.39 $ 31.10 Per share NAV end of period $ 23.45 $ 26.88 Percentage change in per share NAV (11.1 )% (13.6 )% Percentage change in benchmark 7.4 % 8.1 % Benchmark annualized volatility 11.3 % 15.7 % During the three months ended March 31, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 446,977 outstanding Shares at December 31, 2023 to 646,977 outstanding Shares at March 31, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . By comparison, during the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from a increase from 496,977 outstanding Shares at December 31, 2022 to 596,977 outstanding Shares at March 31, 2023. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex SM . For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.1% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 13.6% for the three months ended March 31, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. The benchmark’s rise of 7.4% for the three months ended March 31, 2024, as compared to the benchmark’s rise of 8.1% for the three months ended March 31, 2023, can be attributed to a lesser increase in the value of gold futures contracts during the period ended March 31, 2024. 138 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 109,867 $ 94,828 Management fee 32,401 36,373 Brokerage commission 935 1,361 Net realized gain (loss) (1,397,813 ) (1,030,881 ) Change in net unrealized appreciation (depreciation) (344,579 ) (655,702 ) Net Income (loss) $ (1,632,525 ) $ (1,591,755 ) The Fund’s net income decreased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a lesser increase in the value of the futures prices during the three months ended March 31, 2024. ProShares UltraShort Silver Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 65,149,686 $ 31,932,799 NAV end of period $ 24,245,029 $ 20,335,691 Percentage change in NAV (62.8 )% (36.3 )% Shares outstanding beginning of period 3,591,329 1,641,329 Shares outstanding end of period 1,441,329 1,091,329 Percentage change in shares outstanding (59.9 )% (33.5 )% Shares created 1,400,000 650,000 Shares redeemed 3,550,000 1,200,000 Per share NAV beginning of period $ 18.14 $ 19.46 Per share NAV end of period $ 16.82 $ 18.63 Percentage change in per share NAV (7.3 )% (4.2 )% Percentage change in benchmark 3.8 % 0.8 % Benchmark annualized volatility 21.3 % 27.6 % During the three months ended March 31, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,591,329 outstanding Shares at December 31, 2023 to 1,441,329 outstanding Shares at March 31, 2024. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,641,329 outstanding Shares at December 31, 2022 to 1,091,329 outstanding Shares at March 31, 2023. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex SM . For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.3% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 4.2% for the three months ended March 31, 2023, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. 139 Table of Contents The benchmark’s rise of 3.8% for the three months ended March 31, 2024, as compared to the benchmark’s rise of 0.8% for the three months ended March 31, 2023, can be attributed to a greater increase in the value of the silver futures contracts during the period ended March 31, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 284,271 $ 134,207 Management fee 91,138 60,168 Brokerage commission 6,024 5,703 Net realized gain (loss) 5,780,020 2,713,623 Change in net unrealized appreciation (depreciation) (1,418,602 ) (1,183,236 ) Net Income (loss) $ 4,645,689 $ 1,664,594 The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due to timing of shareholder activity, which was offset by a greater increase in the value of futures prices during the three months ended March 31, 2024. 140 Table of Contents ProShares UltraShort Yen Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 24,010,010 $ 21,397,736 NAV end of period $ 32,662,223 $ 25,111,818 Percentage change in NAV 36.0 % 17.4 % Shares outstanding beginning of period 348,580 398,580 Shares outstanding end of period 398,580 448,580 Percentage change in shares outstanding 14.3 % 12.5 % Shares created 100,000 200,000 Shares redeemed 50,000 150,000 Per share NAV beginning of period $ 68.88 $ 53.68 Per share NAV end of period $ 81.95 $ 55.98 Percentage change in per share NAV 19.0 % 4.3 % Percentage change in benchmark (6.9 )% (1.2 )% Benchmark annualized volatility 7.8 % 12.4 % During the three months ended March 31, 2024, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 348,580 outstanding Shares at December 31, 2023 to 398,580 outstanding Shares at March 31, 2024. By comparison, during the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 398,580 outstanding Shares at December 31, 2022 to 448,580 outstanding Shares at March 31, 2023. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 19.0% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV increase of 4.3% for the three months ended March 31, 2023, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. The benchmark’s decline of 6.9% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 1.2% for the three months ended March 31, 2023, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 249,284 $ 153,388 Management fee 66,133 50,812 Net realized gain (loss) 1,708,812 (1,027,976 ) Change in net unrealized appreciation (depreciation) 2,938,152 1,859,501 Net Income (loss) $ 4,896,248 $ 984,913 The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2024. 141 Table of Contents ProShares VIX Mid-Term Futures ETF Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 37,866,143 $ 84,014,959 NAV end of period $ 84,603,064 $ 67,306,087 Percentage change in NAV 123.4 % (19.9 )% Shares outstanding beginning of period 2,262,403 2,762,403 Shares outstanding end of period 5,337,403 2,512,403 Percentage change in shares outstanding 135.9 % (9.1 )% Shares created 3,375,000 275,000 Shares redeemed 300,000 525,000 Per share NAV beginning of period $ 16.74 $ 30.41 Per share NAV end of period $ 15.85 $ 26.79 Percentage change in per share NAV (5.3 )% (11.9 )% Percentage change in benchmark (4.8 )% (11.4 )% Benchmark annualized volatility 19.0 % 36.4 % During the three months ended March 31, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 2,262,403 outstanding Shares at December 31, 2023 to 5,337,403 outstanding Shares at March 31, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,762,403 outstanding Shares at December 31, 2022 to 2,512,403 outstanding Shares at March 31, 2023. For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 5.3% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 11.9% for the three months ended March 31, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. The benchmark’s decline of 4.8% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 11.4% for the three months ended March 31, 2023, can be attributed to a lesser decrease in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended March 31, 2024. 142 Table of Contents Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 392,110 $ 477,188 Management fee 96,887 150,123 Brokerage commission 20,163 9,169 Futures account fees 6,004 11,440 Net realized gain (loss) (6,105,191 ) (15,820,720 ) Change in net unrealized appreciation (depreciation) 2,789,791 4,582,460 Net Income (loss) $ (2,923,290 ) $ (10,761,072 ) The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a lesser decrease in the value of the futures prices during the three months ended March 31, 2024. ProShares VIX Short-Term Futures ETF* Fund Performance The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 NAV beginning of period $ 157,321,746 $ 266,580,320 NAV end of period $ 162,936,051 $ 226,765,204 Percentage change in NAV 3.6 % (14.9 )% Shares outstanding beginning of period 10,150,947 4,676,565 Shares outstanding end of period 12,600,947 5,021,565 Percentage change in shares outstanding 24.1 % 7.4 % Shares created 3,800,000 2,300,000 Shares redeemed 1,350,000 1,955,000 Per share NAV beginning of period $ 15.50 $ 57.00 Per share NAV end of period $ 12.93 $ 45.15 Percentage change in per share NAV (16.6 )% (20.8 )% Percentage change in benchmark (16.2 )% (20.3 )% Benchmark annualized volatility 39.6 % 68.1 % During the three months ended March 31, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 10,150,947 outstanding Shares at December 31, 2023 to 12,600,947 outstanding Shares at March 31, 2024. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 4,676,565 outstanding Shares at December 31, 2022 to 5,021,565 outstanding Shares at March 31, 2023. For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.6% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 20.8% for the three months ended March 31, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024. 143 Table of Contents The benchmark’s decline of 16.2% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 20.3% for the three months ended March 31, 2023, can be attributed to a lesser decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended March 31, 2024. Net Income/Loss The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Net investment income (loss) $ 1,348,356 $ 1,455,917 Management fee 336,376 517,488 Brokerage commission 40,259 96,497 Futures account fees 33,271 50,659 Net realized gain (loss) (31,754,134 ) (46,096,694 ) Change in net unrealized appreciation (depreciation) 2,969,180 1,130,026 Net Income (loss) $ (27,436,598 ) $ (43,510,751 ) The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a lesser decrease in the value of the futures prices during the three months ended March 31, 2024. * See Note 8 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares VIX Short-Term Futures ETF. 144 Table of Contents Item 3. Quantitative and Qualitative Disclosures About Market Risk. Quantitative Disclosure Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of March 31, 2024 and 2023, each of the Fund’s positions were as follows: ProShares Short VIX Short-Term Futures ETF As of March 31, 2024 and 2023, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2024 and 2023, which were sensitive to equity market volatility risk. Futures Positions as of March 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Short April 2024 6,720 $ 14.37 1,000 $ (96,557,664 ) VIX Futures (Cboe) Short May 2024 3,920 15.42 1,000 (60,440,520 ) Futures Positions as of March 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Short April 2023 4,007 $ 20.76 1,000 $ (83,202,149 ) VIX Futures (Cboe) Short May 2023 2,915 22.13 1,000 (64,504,578 ) The March 31, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. 145 Table of Contents ProShares Ultra Bloomberg Crude Oil: As of March 31, 2024 and 2023, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of March 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value WTI Crude Oil (NYMEX) Long June 2024 1,009 $ 82.42 1,000 $ 83,161,780 WTI Crude Oil (NYMEX) Long December 2024 1,066 77.84 1,000 82,977,440 WTI Crude Oil (NYMEX) Long June 2025 1,108 74.66 1,000 82,723,280 Swap Agreements as of March 31, 2024 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Commodity Balanced WTI Crude Oil Index Citibank, N.A. Long $ 92.0580 $ 207,504,255 Bloomberg Commodity Balanced WTI Crude Oil Index Goldman Sachs International Long 92.0580 257,994,386 Bloomberg Commodity Balanced WTI Crude Oil Index Morgan Stanley & Co. International PLC Long 92.0580 129,073,877 Bloomberg Commodity Balanced WTI Crude Oil Index Societe Generale Long 92.0580 195,835,168 Bloomberg Commodity Balanced WTI Crude Oil Index UBS AG Long 92.0580 154,892,648 Futures Positions as of March 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value WTI Crude Oil (NYMEX) Long June 2023 2,112 $ 75.80 1,000 $ 160,089,600 WTI Crude Oil (NYMEX) Long December 2023 2,182 73.55 1,000 160,486,100 WTI Crude Oil (NYMEX) Long June 2024 2,261 71.23 1,000 161,051,030 Swap Agreements as of March 31, 2023 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Commodity Balanced WTI Crude Oil Index Citibank, N.A. Long $ 80.1009 $ 180,552,235 Bloomberg Commodity Balanced WTI Crude Oil Index Goldman Sachs International Long 80.1009 224,484,374 Bloomberg Commodity Balanced WTI Crude Oil Index Morgan Stanley & Co. International PLC Long 80.1009 312,723,926 Bloomberg Commodity Balanced WTI Crude Oil Index Societe Generale Long 80.1009 170,398,805 Bloomberg Commodity Balanced WTI Crude Oil Index UBS AG Long 80.1009 253,675,785 The March 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2024 and 2023 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such 146 Table of Contents subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian. ProShares Ultra Bloomberg Natural Gas: As of March 31, 2024 and 2023, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts and swap agreements linked to the Bloomberg Natural Gas Subindex. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of March 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Natural Gas (NYMEX) Long May 2024 65,891 $ 1.76 10,000 $ 1,161,658,330 Futures Positions as of March 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Natural Gas (NYMEX) Long May 2023 95,284 $ 2.22 10,000 $ 2,111,493,440 Swap Agreements as of March 31, 2023 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Natural Gas Subindex Citibank, N.A. Long $ 0.0885 $ 67,247,193 Bloomberg Natural Gas Subindex Goldman Sachs International Long 0.0885 100,389,846 Bloomberg Natural Gas Subindex UBS AG Long 0.0885 803,815 The March 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2023 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian. ProShares Ultra Euro: As of March 31, 2024 and 2023, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to exchange rate price risk. 147 Table of Contents Foreign Currency Forward Contracts as of March 31, 2024 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Euro Goldman Sachs International Long 04/05/24 5,678,921 1.0950 $ 6,218,173 Euro UBS AG Long 04/05/24 7,153,502 1.0949 7,832,427 Euro UBS AG Short 04/05/24 (221,000 ) 1.0834 (239,440 ) Foreign Currency Forward Contracts as of March 31, 2023 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Euro Goldman Sachs International Long 04/14/23 8,826,921 1.0680 $ 9,427,525 Euro UBS AG Long 04/14/23 9,821,502 1.0684 10,492,894 Euro Goldman Sachs International Short 04/14/23 (308,000 ) 1.0633 (327,497 ) Euro UBS AG Short 04/14/23 (2,461,000 ) 1.0877 (2,676,882 ) The March 31, 2024 and 2023 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian. ProShares Ultra Gold: As of March 31, 2024 and 2023 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of March 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Gold Futures (COMEX) Long June 2024 649 $ 2,238.40 100 $ 145,272,160 Swap Agreements as of March 31, 2024 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Gold Subindex Citibank, N.A. Long $ 222.2802 $ 123,084,977 Bloomberg Gold Subindex Goldman Sachs International Long 222.2802 58,461,471 Bloomberg Gold Subindex UBS AG Long 222.2802 105,107,323 Futures Positions as of March 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Gold Futures (COMEX) Long June 2023 667 $ 1,986.20 100 $ 132,479,540 148 Table of Contents Swap Agreements as of March 31, 2023 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Gold Subindex Citibank, N.A. Long $ 209.1875 $ 115,835,052 Bloomberg Gold Subindex Goldman Sachs International Long 209.1875 55,017,986 Bloomberg Gold Subindex UBS AG Long 209.1875 98,916,314 The March 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2024 and 2023 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party