ProShares Trust II 10-Q/A

10-Q/A Table of Contents UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q/A ☒ Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended June 30, 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 August 4, 2024, the registrant had 147,109,561 shares of common stock, $0 par value per share, outstanding. Table of Contents EXPLANATORY NOTE This Amendment No. 1 on Form 10-Q ( the “Form 10-Q/A”) amends and restates certain items noted below in the Quarterly Report on Form 10-Q of ProShares Trust II (the “Registrant”) for the quarterly period ended June 30, 2024, as originally filed with the Securities and Exchange Commission (“SEC”) on August 8, 2024 (the “Original Form 10-Q”). Background and Effect of the Restatement As previously disclosed in the Registrant’s Current Reports on Form 8-K dated November 18, 2024, management of the Registrant (“Management”), concluded that the financial statements of the Registrant in the following reports should no longer be relied upon: • the previously filed Annual Report on Form 10-K for the fiscal year ended December 31, 2023; • the previously filed Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2024; and • the previously filed Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2024. The determinations made by Management resulted from the following errors in the relevant prior financial statements identified by the Registrant during preparation of its financial statements as of and for the three months ended September 30, 2024: • In the Statements of Financial Condition, an understatement of “Segregated cash balances with brokers for futures contracts” and overstatement or understatement of “Receivable (Payable) on open futures contracts”. • In the Statements of Cash Flows, incorrect balances within the “Decrease (Increase) in receivable/payable on open futures contracts”, “Net cash provided by (used in) operating activities”, “Cash, beginning of period” and “Cash, end of period”. Management determined that the misclassifications described above did not have any impact on the Registrant’s performance, investment results, net asset values, income and distributions. These errors were classification errors related to Futures Commission Merchant accounts of one broker and there is no impact on the net futures exposure to the Registrant. This Amendment reflects the correction of the classification errors described above, which were identified subsequent to the filing of the Original Form 10-Q. Table of Contents Restatement of Other Financial Statements In addition to this Quarterly Report on Form 10-Q/A, the Registrant is concurrently filing amendments to its Annual Report on Form 10-K/A for the year ended December 31, 2023, (the “Form 10-K/A”) and Quarterly Report on Form 10-Q/A for the quarter ended March 31, 2024, (the “Form10-Q/A”). The Registrant is filing the Form 10-K/A and the Form 10-Q/A to restate its financial statements and related financial information for the periods contained in those reports in relation to the errors described above. Internal Control Considerations As a result of the errors described above and the restatement of the Original Form 10-Q, the Registrant’s management has re-evaluated the effectiveness of the Registrant’s disclosure controls and procedures and internal control over financial reporting as of June 30, 2024. Management has concluded that the Registrant’s disclosure controls and procedures with respect to controls related to the classification of the account balances with futures commission merchants (“FCMs”) described above were not effective as of June 30, 2024, and its internal control over financial reporting with respect to such account balances was not effective as of June 30, 2024, due to the following material weakness in internal control over financial reporting with respect to such account balances. Specifically, there was a material weakness in the design of a control activity with respect to the presentation of the FCM accounts indicated above within the Statements of Financial Condition and Statements of Cash Flows. See additional discussion included in Part I, Item 4. “Controls and Procedures” of this Quarterly Report on Form 10-Q/A. Items Amended in this Annual Report on Form 10-Q/A For the convenience of the reader, this Quarterly Report on Form 10-Q/A presents the Original Form 10-Q in its entirety. In accordance with Rule 12b-15 under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), the following sections in the Original Form 10-Q have been revised in this Amendment: • Part I, Item 2. “Management’s Discussion and Analysis of Financial Condition and Results of Operations”; • Part I, Item 1. “Financial Statements (unaudited)”; • Part I, Item 4. “Controls and Procedures”; and • Part II, Item 6. “Exhibits.” The Registrant is also including with this Quarterly Report on Form 10-Q/A currently dated certifications of the Registrant’s principal executive officer and principal financial officer (included in Part II, Item 6. “Exhibits” and attached as Exhibits 31.1, 31.2, 32.1 and 32.2). Additionally, as required and discussed in Note 8 to our financial statements, the Registrant presents the share amounts and per share calculations throughout this Quarterly Report on Form 10-Q/A on a retrospective basis to reflect reverse stock splits and forward stock splits which have occurred subsequent to the filing of the Original Form 10-Q. Table of Contents This Quarterly Report on Form 10-Q/A is presented as of the date of the Original Form 10-Q and does not reflect adjustments for events occurring after June 30, 2024, the date of the Original Form 10-Q, except to the extent they are otherwise required to be included and discussed herein and does not substantively modify or update the disclosures herein other than as required to reflect the adjustments described above. Among other things, forward-looking statements made in the Original Form 10-Q have not been revised to reflect events, results or developments that occurred or facts that became known to us after the date of the Original Form 10-Q, other than the adjustments described above, and such forward-looking statements should be read in conjunction with our filings with the SEC, including those subsequent to the filing of the Original Form 10-Q. 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. 126 Item 3. Quantitative and Qualitative Disclosures About Market Risk. 173 Item 4. Controls and Procedures. 187 Part II. OTHER INFORMATION Item 1. Legal Proceedings. 189 Item 1A. Risk Factors. 189 Item 2. Unregistered Sales of Equity Securities and Use of Proceeds. 190 Item 3. Defaults Upon Senior Securities. 192 Item 4. Mine Safety Disclosures. 192 Item 5. Other Information. 192 Item 6. Exhibits. 193 Table of Contents Part I. FINANCIAL INFORMATION Item 1. Financial Statements. Index Documents Page Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, and Statements of Cash Flows: ProShares Short VIX Short-Term Futures ETF 2 ProShares Ultra Bloomberg Crude Oil 7 ProShares Ultra Bloomberg Natural Gas 12 ProShares Ultra Euro 17 ProShares Ultra Gold 22 ProShares Ultra Silver 27 ProShares Ultra VIX Short-Term Futures ETF 32 ProShares Ultra Yen 37 ProShares UltraShort Bloomberg Crude Oil 42 ProShares UltraShort Bloomberg Natural Gas 47 ProShares UltraShort Euro 52 ProShares UltraShort Gold 57 ProShares UltraShort Silver 62 ProShares UltraShort Yen 67 ProShares VIX Mid-Term Futures ETF 72 ProShares VIX Short-Term Futures ETF 77 ProShares Trust II 82 Notes to Financial Statements 86 1 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 (As Restated) (As Restated) Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 169,045,239 and $ 109,391,681 , respectively) $ 169,047,283 $ 109,410,342 Cash 33,687,181 54,492,235 Segregated cash balances with brokers for futures contracts 94,220,318 107,839,052 Receivable on open futures contracts 3,623,578 11,214,160 Interest receivable 496,309 456,930 Total assets 301,074,669 283,412,719 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   15,522,316 Payable on open futures contracts 2,131,041 447,611 Brokerage commissions and futures account fees payable —   9,571 Payable to Sponsor 231,113 248,862 Total liabilities 2,362,154 16,228,360 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 298,712,515 267,184,359 Total liabilities and shareholders’ equity $ 301,074,669 $ 283,412,719 Shares outstanding (Note 1) 4,868,614 5,168,614 Net asset value per share (Note 1) $ 61.35 $ 51.69 Market value per share (Note 1) (Note 2) $ 61.39 $ 51.70 See accompanying notes to financial statements. 2 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS JUNE 30, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 57 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.288 % due 07/09/24 $ 80,000,000 $ 79,906,936 5.321 % due 09/05/24 90,000,000 89,140,347 Total short-term U.S. government and agency obligations (cost $ 169,045,239 ) $ 169,047,283 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires July 2024 5,997 $ 84,094,732 $ 2,965,349 VIX Futures - Cboe, expires August 2024 4,360 65,139,272 869,850 $ 3,835,199 ^^ 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 3,457,223 $ 2,437,210 $ 6,766,508 $ 4,546,332 Expenses Management fee 702,645 617,036 1,443,041 1,182,813 Brokerage commissions 170,317 123,422 341,916 249,925 Total expenses 872,962 740,458 1,784,957 1,432,738 Net investment income (loss) 2,584,261 1,696,752 4,981,551 3,113,594 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 26,761,918 65,228,142 55,258,866 94,832,290 Short-term U.S. government and agency obligations —   ( 25,811 ) 17,669 ( 25,811 ) Net realized gain (loss) 26,761,918 65,202,331 55,276,535 94,806,479 Change in net unrealized appreciation (depreciation) on Futures contracts ( 4,177,838 ) 9,658,017 ( 8,805,425 ) 12,836,824 Short-term U.S. government and agency obligations 10,617 15,084 ( 16,617 ) ( 8,546 ) Change in net unrealized appreciation (depreciation) ( 4,167,221 ) 9,673,101 ( 8,822,042 ) 12,828,278 Net realized and unrealized gain (loss) 22,594,697 74,875,432 46,454,493 107,634,757 Net income (loss) $ 25,178,958 $ 76,572,184 $ 51,436,044 $ 110,748,351 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 313,978,799 $ 295,340,393 $ 267,184,359 $ 339,591,638 Addition of 350,000 , 1,100,000 , 2,750,000 and 6,000,000 shares, respectively (Note 1) 18,814,510 38,020,154 147,244,261 185,319,488 Redemption of 1,050,000 , 3,700,000 , 3,050,000 and 10,900,000 shares, respectively (Note 1) ( 59,259,752 ) ( 127,579,464 ) ( 167,152,149 ) ( 353,306,210 ) Net addition (redemption) of ( 700,000 ), ( 2,600,000 ), ( 300,000 ) and ( 4,900,000 ) shares, respectively (Note 1) ( 40,445,242 ) ( 89,559,310 ) ( 19,907,888 ) ( 167,986,722 ) Net investment income (loss) 2,584,261 1,696,752 4,981,551 3,113,594 Net realized gain (loss) 26,761,918 65,202,331 55,276,535 94,806,479 Change in net unrealized appreciation (depreciation) ( 4,167,221 ) 9,673,101 ( 8,822,042 ) 12,828,278 Net income (loss) 25,178,958 76,572,184 51,436,044 110,748,351 Shareholders’ equity, end of period $ 298,712,515 $ 282,353,267 $ 298,712,515 $ 282,353,267 See accompanying notes to financial statements. 5 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 (As Restated) (As Restated) Cash flow from operating activities Net income (loss) $ 51,436,044 $ 110,748,351 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 ( 316,469,775 ) ( 278,358,687 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 260,017,669 334,826,194 Net amortization and accretion on short-term U.S. government and agency obligations ( 3,183,783 ) ( 1,921,222 ) Net realized (gain) loss on investments ( 17,669 ) 25,811 Change in unrealized (appreciation) depreciation on investments 16,617 8,546 Decrease (Increase) in receivable on open futures contracts 7,590,582 32,523,950 Decrease (Increase) in interest receivable ( 39,379 ) 43,386 Increase (Decrease) in payable to Sponsor ( 17,749 ) ( 131,814 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 9,571 ) ( 12,820 ) Increase (Decrease) in payable on open futures contracts 1,683,430 —   Net cash provided by (used in) operating activities 1,006,416 197,751,695 Cash flow from financing activities Proceeds from addition of shares 147,244,261 185,319,488 Payment on shares redeemed ( 182,674,465 ) ( 359,168,024 ) Net cash provided by (used in) financing activities ( 35,430,204 ) ( 173,848,536 ) Net increase (decrease) in cash ( 34,423,788 ) 23,903,159 Cash, beginning of period 162,331,287 160,907,259 Cash, end of period $ 127,907,499 $ 184,810,418 See accompanying notes to financial statements. 6 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 387,837,316 and $ 233,435,026 , respectively) $ 387,833,913 $ 233,476,941 Cash 12,820,186 123,662,313 Segregated cash balances with brokers for futures contracts 26,299,037 70,781,753 Segregated cash balances with brokers for swap agreements 44,908,000 203,734,760 Unrealized appreciation on swap agreements 55,947,592 17,954,935 Receivable from capital shares sold —   5,255,022 Receivable on open futures contracts 201,572 —   Interest receivable 314,624 568,017 Total assets 528,324,924 655,433,741 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 409,282 2,099,944 Brokerage commissions and futures account fees payable —   5,682 Payable to Sponsor 429,547 534,678 Total liabilities 838,829 2,640,304 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 527,486,095 652,793,437 Total liabilities and shareholders’ equity $ 528,324,924 $ 655,433,741 Shares outstanding 15,743,096 24,843,096 Net asset value per share $ 33.51 $ 26.28 Market value per share (Note 2) $ 33.50 $ 26.10 See accompanying notes to financial statements. 7 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS JUNE 30, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 74 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.349 % due 07/09/24 † $ 90,000,000 $ 89,895,303 5.311 % due 08/08/24 † 200,000,000 198,893,780 5.310 % due 09/05/24 † 100,000,000 99,044,830 Total short-term U.S. government and agency obligations (cost $ 387,837,316 ) $ 387,833,913 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires September 2024 713 $ 57,496,320 $ 5,520,380 WTI Crude Oil - NYMEX, expires December 2024 757 59,303,380 4,061,570 WTI Crude Oil - NYMEX, expires June 2025 783 58,928,580 3,300,495 $ 12,882,445 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 % 07/08/24 $ 188,892,450 $ 12,016,665 Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 07/08/24 259,202,833 16,489,562 Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 07/08/24 78,742,345 5,009,308 Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.25 07/08/24 196,752,460 12,527,793 Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.30 07/08/24 155,618,166 9,904,264 Total Unrealized Appreciation $ 55,947,592 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of June 30, 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 June 30, 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 6,506,199 $ 5,878,092 $ 11,516,649 $ 11,886,000 Expenses Management fee 1,344,787 1,744,998 2,821,804 3,619,616 Brokerage commissions 42,976 94,303 104,780 188,647 Total expenses 1,387,763 1,839,301 2,926,584 3,808,263 Net investment income (loss) 5,118,436 4,038,791 8,590,065 8,077,737 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 11,985,445 29,371,809 28,452,282 40,205,833 Swap agreements ( 5,028,524 ) ( 105,727,226 ) 71,623,239 ( 30,780,823 ) Short-term U.S. government and agency obligations 696 ( 59,378 ) 13,201 ( 59,378 ) Net realized gain (loss) 6,957,617 ( 76,414,795 ) 100,088,722 9,365,632 Change in net unrealized appreciation (depreciation) on Futures contracts ( 9,029,300 ) ( 20,075,857 ) 16,397,677 ( 16,873,410 ) Swap agreements 8,281,227 65,510,145 37,992,657 ( 75,851,818 ) Short-term U.S. government and agency obligations 9,247 104,869 ( 45,318 ) 53,943 Change in net unrealized appreciation (depreciation) ( 738,826 ) 45,539,157 54,345,016 ( 92,671,285 ) Net realized and unrealized gain (loss) 6,218,791 ( 30,875,638 ) 154,433,738 ( 83,305,653 ) Net income (loss) $ 11,337,227 $ ( 26,836,847 ) $ 163,023,803 $ ( 75,227,916 ) 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 597,176,895 $ 811,668,456 $ 652,793,437 $ 859,094,274 Addition of 5,050,000 , 15,550,000 , 9,100,000 and 34,650,000 shares, respectively 156,948,695 353,363,209 265,988,522 812,713,784 Redemption of 7,300,000 , 15,050,000 , 18,200,000 and 31,950,000 shares, respectively ( 237,976,722 ) ( 400,000,450 ) ( 554,319,667 ) ( 858,385,774 ) Net addition (redemption) of ( 2,250,000 ), 500,000 , ( 9,100,000 ) and 2,700,000 shares, respectively ( 81,028,027 ) ( 46,637,241 ) ( 288,331,145 ) ( 45,671,990 ) Net investment income (loss) 5,118,436 4,038,791 8,590,065 8,077,737 Net realized gain (loss) 6,957,617 ( 76,414,795 ) 100,088,722 9,365,632 Change in net unrealized appreciation (depreciation) ( 738,826 ) 45,539,157 54,345,016 ( 92,671,285 ) Net income (loss) 11,337,227 ( 26,836,847 ) 163,023,803 ( 75,227,916 ) Shareholders’ equity, end of period $ 527,486,095 $ 738,194,368 $ 527,486,095 $ 738,194,368 See accompanying notes to financial statements. 10 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 Cash flow from operating activities Net income (loss) $ 163,023,803 $ ( 75,227,916 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 750,343,317 ) ( 8,286,191,814 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 604,658,733 8,193,611,806 Net amortization and accretion on short-term U.S. government and agency obligations ( 8,704,505 ) ( 7,958,372 ) Net realized (gain) loss on investments ( 13,201 ) 59,378 Change in unrealized (appreciation) depreciation on investments ( 37,947,339 ) 75,797,875 Decrease (Increase) in receivable on open futures contracts ( 201,572 ) 5,619,393 Decrease (Increase) in interest receivable 253,393 168,779 Increase (Decrease) in payable to Sponsor ( 105,131 ) ( 81,887 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 5,682 ) 492 Increase (Decrease) in payable on open futures contracts ( 1,690,662 ) 1,541,204 Net cash provided by (used in) operating activities ( 31,075,480 ) ( 92,661,062 ) Cash flow from financing activities Proceeds from addition of shares 271,243,544 812,713,784 Payment on shares redeemed ( 554,319,667 ) ( 870,743,885 ) Net cash provided by (used in) financing activities ( 283,076,123 ) ( 58,030,101 ) Net increase (decrease) in cash ( 314,151,603 ) ( 150,691,163 ) Cash, beginning of period 398,178,826 476,600,261 Cash, end of period $ 84,027,223 $ 325,909,098 See accompanying notes to financial statements. 11 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 (As Restated) (As Restated) Assets Short-term U.S. government and agency obligations (Note 3) (cost $ – and $ 64,445,510 , respectively) $ —   $ 64,459,117 Cash 335,101,326 326,252,692 Segregated cash balances with brokers for futures contracts 170,641,492 374,861,689 Receivable from capital shares sold 78,742,578 4,281,925 Receivable on open futures contracts —   —   Interest receivable 836,761 1,925,643 Total assets 585,322,157 771,781,066 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   19,366,361 Payable on open futures contracts 44,230,752 21,843,883 Brokerage commissions and futures account fees payable 12,372 52,349 Payable to Sponsor 435,212 625,665 Total liabilities 44,678,336 41,888,258 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 540,643,821 729,892,808 Total liabilities and shareholders’ equity $ 585,322,157 $ 771,781,066 Shares outstanding (Note 8) 6,933,709 5,113,709 Net asset value per share (Note 8) $ 77.97 $ 142.73 Market value per share (Note 2) (Note 8) $ 78.35 $ 142.20 See accompanying notes to financial statements. 12 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS JUNE 30, 2024 (unaudited) Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires September 2024 41,612 $ 1,081,079,760 $ ( 153,035,669 ) See accompanying notes to financial statements. 13 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 6,418,687 $ 8,866,705 $ 12,870,827 $ 17,825,228 Expenses Management fee 1,323,880 2,588,571 2,773,307 4,916,981 Brokerage commissions 785,377 1,145,371 1,488,469 2,098,150 Futures account fees 53,176 211,785 142,161 399,478 Total expenses 2,162,433 3,945,727 4,403,937 7,414,609 Net investment income (loss) 4,256,254 4,920,978 8,466,890 10,410,619 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 211,772,181 ( 539,203,219 ) ( 30,408,733 ) ( 1,639,994,302 ) Swap agreements –   ( 77,680,050 ) –   ( 38,520,261 ) Short-term U.S. government and agency obligations –   ( 3,646 ) –   ( 7,216 ) Net realized gain (loss) 211,772,181 ( 616,886,915 ) ( 30,408,733 ) ( 1,678,521,779 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 60,263,391 ) 572,850,724 ( 196,642,739 ) 558,949,406 Swap agreements –   85,176,576 –   46,088,257 Short-term U.S. government and agency obligations –   29,724 ( 13,607 ) 9,671 Change in net unrealized appreciation (depreciation) ( 60,263,391 ) 658,057,024 ( 196,656,346 ) 605,047,334 Net realized and unrealized gain (loss) 151,508,790 41,170,109 ( 227,065,079 ) ( 1,073,474,445 ) Net income (loss) $ 155,765,044 $ 46,091,087 $ ( 218,598,189 ) $ ( 1,063,063,826 ) 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 580,741,377 $ 1,139,983,773 $ 729,892,808 $ 586,151,113 Addition of 4,870,000 , 2,758,500 , 12,890,000 and 6,553,000 shares, respectively (Note 8) 387,753,452 814,876,179 1,118,271,219 3,160,825,013 Redemption of 6,780,000 , 2,565,000 , 11,070,000 and 3,591,500 shares, respectively (Note 8) ( 583,616,052 ) ( 859,929,761 ) ( 1,088,922,017 ) ( 1,542,891,022 ) Net addition (redemption) of ( 1,910,000 ), 193,500 , 1,820,000 and 2,961,500 shares, respectively (Note 8) ( 195,862,600 ) ( 45,053,582 ) 29,349,202 1,617,933,991 Net investment income (loss) 4,256,254 4,920,978 8,466,890 10,410,619 Net realized gain (loss) 211,772,181 ( 616,886,915 ) ( 30,408,733 ) ( 1,678,521,779 ) Change in net unrealized appreciation (depreciation) ( 60,263,391 ) 658,057,024 ( 196,656,346 ) 605,047,334 Net income (loss) 155,765,044 46,091,087 ( 218,598,189 ) ( 1,063,063,826 ) Shareholders’ equity, end of period $ 540,643,821 $ 1,141,021,278 $ 540,643,821 $ 1,141,021,278 See accompanying notes to financial statements. 15 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 (As Restated) (As Restated) Cash flow from operating activities Net income (loss) $ ( 218,598,189 ) $ ( 1,063,063,826 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations —   ( 10,025,950,123 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 65,000,000 9,997,363,885 Net amortization and accretion on short-term U.S. government and agency obligations ( 554,490 ) ( 6,934,539 ) Net realized (gain) loss on investments —   7,216 Change in unrealized (appreciation) depreciation on investments 13,607 ( 46,097,928 ) Decrease (Increase) in receivable on open futures contracts —   ( 51,507,351 ) Decrease (Increase) in interest receivable 1,088,882 ( 1,040,354 ) Increase (Decrease) in payable to Sponsor ( 190,453 ) 396,149 Increase (Decrease) in brokerage commissions and futures account fees payable ( 39,977 ) 34,147 Increase (Decrease) in payable on open futures contracts 22,386,869 8,464,653 Net cash provided by (used in) operating activities ( 130,893,751 ) ( 1,188,328,071 ) Cash flow from financing activities Proceeds from addition of shares 1,043,810,566 3,160,825,013 Payment on shares redeemed ( 1,108,288,378 ) ( 1,541,243,728 ) Net cash provided by (used in) financing activities ( 64,477,812 ) 1,619,581,285 Net increase (decrease) in cash ( 195,371,563 ) 431,253,214 Cash, beginning of period 701,114,381 327,716,484 Cash, end of period $ 505,742,818 $ 758,969,698 See accompanying notes to financial statements. 16 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 Assets Cash $ 5,173,809 $ 6,162,459 Segregated cash balances with brokers for foreign currency forward contracts 544,321 623,000 Unrealized appreciation on foreign currency forward contracts —   308,424 Interest receivable 22,202 27,219 Total assets 5,740,332 7,121,102 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 4,401 5,612 Unrealized depreciation on foreign currency forward contracts 140,398 1,475 Total liabilities 144,799 7,087 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 5,595,533 7,114,015 Total liabilities and shareholders’ equity $ 5,740,332 $ 7,121,102 Shares outstanding 500,000 600,000 Net asset value per share $ 11.19 $ 11.86 Market value per share (Note 2) $ 11.17 $ 11.84 See accompanying notes to financial statements. 17 Table of Contents PROSHARES ULTRA EURO SCHEDULE OF INVESTMENTS JUNE 30, 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 07/12/24 4,686,921 $ 5,022,389 $ ( 61,066 ) Euro with UBS AG 07/12/24 5,951,502 6,377,482 ( 79,283 ) Total Unrealized Depreciation $ ( 140,349 ) Contracts to Sell Euro with UBS AG 07/12/24 ( 193,000 ) $ ( 206,813 ) $ ( 49 ) Total Unrealized Depreciation $ ( 49 ) ^ The positions and counterparties herein are as of June 30, 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 70,817 $ 88,182 $ 149,303 $ 185,419 Expenses Management fee 13,944 19,851 29,879 44,097 Total expenses 13,944 19,851 29,879 44,097 Net investment income (loss) 56,873 68,331 119,424 141,322 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 219,350 ) 78,291 ( 74,776 ) 358,570 Net realized gain (loss) ( 219,350 ) 78,291 ( 74,776 ) 358,570 Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts 62,167 ( 79,023 ) ( 447,347 ) ( 175,968 ) Change in net unrealized appreciation (depreciation) 62,167 ( 79,023 ) ( 447,347 ) ( 175,968 ) Net realized and unrealized gain (loss) ( 157,183 ) ( 732 ) ( 522,123 ) 182,602 Net income (loss) $ ( 100,310 ) $ 67,599 $ ( 402,699 ) $ 323,924 See accompanying notes to financial statements. 19 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 6,804,048 $ 8,616,433 $ 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 , 100,000 , 200,000 and 500,000 shares, respectively ( 1,108,205 ) ( 1,148,597 ) ( 2,256,140 ) ( 5,789,588 ) Net addition (redemption) of ( 100,000 ), ( 100,000 ), ( 100,000 ) and ( 300,000 ) shares, respectively ( 1,108,205 ) ( 1,148,597 ) ( 1,115,783 ) ( 3,493,151 ) Net investment income (loss) 56,873 68,331 119,424 141,322 Net realized gain (loss) ( 219,350 ) 78,291 ( 74,776 ) 358,570 Change in net unrealized appreciation (depreciation) 62,167 ( 79,023 ) ( 447,347 ) ( 175,968 ) Net income (loss) ( 100,310 ) 67,599 ( 402,699 ) 323,924 Shareholders’ equity, end of period $ 5,595,533 $ 7,535,435 $ 5,595,533 $ 7,535,435 See accompanying notes to financial statements. 20 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 402,699 ) $ 323,924 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Change in unrealized (appreciation) depreciation on investments 447,347 175,968 Decrease (Increase) in interest receivable 5,017 12,213 Increase (Decrease) in payable to Sponsor ( 1,211 ) ( 4,645 ) Net cash provided by (used in) operating activities 48,454 507,460 Cash flow from financing activities Proceeds from addition of shares 1,140,357 2,296,437 Payment on shares redeemed ( 2,256,140 ) ( 5,789,588 ) Net cash provided by (used in) financing activities ( 1,115,783 ) ( 3,493,151 ) Net increase (decrease) in cash ( 1,067,329 ) ( 2,985,691 ) Cash, beginning of period 6,785,459 10,259,418 Cash, end of period $ 5,718,130 $ 7,273,727 See accompanying notes to financial statements. 21 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 194,011,855 and $ 59,496,177 , respectively) $ 194,012,992 $ 59,507,594 Cash 22,156,996 92,898,206 Segregated cash balances with brokers for futures contracts 5,910,000 4,523,500 Segregated cash balances with brokers for swap agreements 742,000 31,930,271 Unrealized appreciation on swap agreements —   3,078,593 Receivable on open futures contracts 143,688 —   Interest receivable 213,762 276,736 Total assets 223,179,438 192,214,900 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts —   564,042 Payable to Sponsor 170,756 148,835 Unrealized depreciation on swap agreements 6,552,657 —   Total liabilities 6,723,413 712,877 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 216,456,025 191,502,023 Total liabilities and shareholders’ equity $ 223,179,438 $ 192,214,900 Shares outstanding 2,800,000 3,000,000 Net asset value per share $ 77.31 $ 63.83 Market value per share (Note 2) $ 77.04 $ 63.87 See accompanying notes to financial statements. 22 Table of Contents PROSHARES ULTRA GOLD SCHEDULE OF INVESTMENTS JUNE 30, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 90 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.309 % due 07/09/24 † $ 90,000,000 $ 89,895,303 5.311 % due 08/08/24 † 30,000,000 29,834,067 5.315 % due 09/05/24 † 75,000,000 74,283,622 Total short-term U.S. government and agency obligations (cost $ 194,011,855 ) $ 194,012,992 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires August 2024 582 $ 136,164,720 $ ( 767,692 ) 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 % 07/08/24 $ 127,422,794 $ ( 2,813,616 ) Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.25 07/08/24 60,521,797 ( 1,336,379 ) Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 07/08/24 108,811,563 ( 2,402,662 ) Total Unrealized Depreciation $ ( 6,552,657 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of June 30, 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 June 30, 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 2,819,359 $ 1,983,196 $ 4,833,274 $ 3,632,210 Expenses Management fee 546,388 474,261 982,991 901,375 Brokerage commissions 8,123 6,925 17,996 15,540 Total expenses 554,511 481,186 1,000,987 916,915 Net investment income (loss) 2,264,848 1,502,010 3,832,287 2,715,295 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 7,565,606 5,160,588 14,530,658 7,921,167 Swap agreements 24,002,215 12,035,981 35,508,434 20,075,298 Short-term U.S. government and agency obligations —   ( 28,462 ) 3,011 ( 28,462 ) Net realized gain (loss) 31,567,821 17,168,107 50,042,103 27,968,003 Change in net unrealized appreciation (depreciation) on Futures contracts ( 3,144,847 ) ( 10,482,142 ) ( 4,863,967 ) ( 8,627,819 ) Swap agreements ( 14,087,684 ) ( 22,406,342 ) ( 9,631,250 ) ( 13,549,549 ) Short-term U.S. government and agency obligations 5,842 33,642 ( 10,280 ) 10,905 Change in net unrealized appreciation (depreciation) ( 17,226,689 ) ( 32,854,842 ) ( 14,505,497 ) ( 22,166,463 ) Net realized and unrealized gain (loss) 14,341,132 ( 15,686,735 ) 35,536,606 5,801,540 Net income (loss) $ 16,605,980 $ ( 14,184,725 ) $ 39,368,893 $ 8,516,835 See accompanying notes to financial statements. 24 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 215,970,841 $ 201,161,529 $ 191,502,023 $ 173,524,136 Addition of 350,000 , 50,000 , 800,000 and 450,000 shares, respectively 27,209,437 3,236,120 56,539,425 28,209,474 Redemption of 550,000 , 150,000 , 1,000,000 and 500,000 shares, respectively ( 43,330,233 ) ( 9,296,393 ) ( 70,954,316 ) ( 29,333,914 ) Net addition (redemption) of ( 200,000 ), ( 100,000 ), ( 200,000 ) and ( 50,000 ) shares, respectively ( 16,120,796 ) ( 6,060,273 ) ( 14,414,891 ) ( 1,124,440 ) Net investment income (loss) 2,264,848 1,502,010 3,832,287 2,715,295 Net realized gain (loss) 31,567,821 17,168,107 50,042,103 27,968,003 Change in net unrealized appreciation (depreciation) ( 17,226,689 ) ( 32,854,842 ) ( 14,505,497 ) ( 22,166,463 ) Net income (loss) 16,605,980 ( 14,184,725 ) 39,368,893 8,516,835 Shareholders’ equity, end of period $ 216,456,025 $ 180,916,531 $ 216,456,025 $ 180,916,531 See accompanying notes to financial statements. 25 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 Cash flow from operating activities Net income (loss) $ 39,368,893 $ 8,516,835 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 ( 306,151,213 ) ( 492,848,662 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 175,003,011 489,813,291 Net amortization and accretion on short-term U.S. government and agency obligations ( 3,364,465 ) ( 2,573,420 ) Net realized (gain) loss on investments ( 3,011 ) 28,462 Change in unrealized (appreciation) depreciation on investments 9,641,530 13,538,644 Decrease (Increase) in receivable on open futures contracts ( 143,688 ) ( 487,898 ) Decrease (Increase) in interest receivable 62,974 19,574 Increase (Decrease) in payable to Sponsor 21,921 7,411 Increase (Decrease) in payable on open futures contracts ( 564,042 ) —   Net cash provided by (used in) operating activities ( 86,128,090 ) 16,014,237 Cash flow from financing activities Proceeds from addition of shares 56,539,425 28,209,474 Payment on shares redeemed ( 70,954,316 ) ( 29,333,914 ) Net cash provided by (used in) financing activities ( 14,414,891 ) ( 1,124,440 ) Net increase (decrease) in cash ( 100,542,981 ) 14,889,797 Cash, beginning of period 129,351,977 37,909,767 Cash, end of period $ 28,808,996 $ 52,799,564 See accompanying notes to financial statements. 26 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 457,266,168 and $ 114,255,151 , respectively) $ 457,266,538 $ 114,276,025 Cash 103,479,324 160,468,637 Segregated cash balances with brokers for futures contracts 36,455,000 23,499,000 Segregated cash balances with brokers for swap agreements 18,848,700 95,226,292 Receivable from capital shares sold —   2,728,828 Receivable on open futures contracts 3,689,701 —   Interest receivable 931,733 598,623 Total assets 620,670,996 396,797,405 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts —   3,503,958 Payable to Sponsor 439,142 319,853 Unrealized depreciation on swap agreements 49,402,333 2,827,221 Total liabilities 49,841,475 6,651,032 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 570,829,521 390,146,373 Total liabilities and shareholders’ equity $ 620,670,996 $ 396,797,405 Shares outstanding 15,246,526 14,296,526 Net asset value per share $ 37.44 $ 27.29 Market value per share (Note 2) $ 37.09 $ 27.17 See accompanying notes to financial statements. 27 Table of Contents PROSHARES ULTRA SILVER SCHEDULE OF INVESTMENTS JUNE 30, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 80 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.290 % due 07/09/24 † $ 150,000,000 $ 149,825,505 5.311 % due 08/08/24 † 100,000,000 99,446,890 5.326 % due 09/05/24 † 210,000,000 207,994,143 Total short-term U.S. government and agency obligations (cost $ 457,266,168 ) $ 457,266,538 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires September 2024 3,130 $ 462,614,000 $ ( 6,674,294 ) 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 % 07/08/24 $ 302,102,674 $ ( 21,980,835 ) Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.30 07/08/24 26,589,962 ( 1,935,532 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 07/08/24 180,402,617 ( 13,131,835 ) Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 07/08/24 169,794,092 ( 12,354,131 ) Total Unrealized Depreciation $ ( 49,402,333 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of June 30, 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 June 30, 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 6,245,723 $ 3,701,182 $ 9,880,580 $ 7,075,578 Expenses Management fee 1,244,817 976,505 2,118,718 1,848,064 Brokerage commissions 56,180 47,075 84,222 73,637 Total expenses 1,300,997 1,023,580 2,202,940 1,921,701 Net investment income (loss) 4,944,726 2,677,602 7,677,640 5,153,877 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 81,641,058 17,097,790 76,002,276 20,739,536 Swap agreements 139,039,383 47,564,510 140,207,453 15,178,900 Short-term U.S. government and agency obligations —   ( 46,857 ) 4,797 ( 46,857 ) Net realized gain (loss) 220,680,441 64,615,443 216,214,526 35,871,579 Change in net unrealized appreciation (depreciation) on Futures contracts ( 29,355,888 ) ( 38,652,527 ) ( 19,075,042 ) ( 39,404,490 ) Swap agreements ( 57,934,788 ) ( 80,409,195 ) ( 46,575,112 ) ( 57,269,574 ) Short-term U.S. government and agency obligations 11,419 44,380 ( 20,504 ) 8,842 Change in net unrealized appreciation (depreciation) ( 87,279,257 ) ( 119,017,342 ) ( 65,670,658 ) ( 96,665,222 ) Net realized and unrealized gain (loss) 133,401,184 ( 54,401,899 ) 150,543,868 ( 60,793,643 ) Net income (loss) $ 138,345,910 $ ( 51,724,297 ) $ 158,221,508 $ ( 55,639,766 ) See accompanying notes to financial statements. 29 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 403,584,744 $ 429,115,334 $ 390,146,373 $ 414,285,878 Addition of 5,150,000 , 700,000 , 7,450,000 and 2,600,000 shares, respectively 186,406,170 20,692,563 244,780,900 71,924,842 Redemption of 4,050,000 , 1,300,000 , 6,500,000 and 2,450,000 shares, respectively ( 157,507,303 ) ( 41,291,941 ) ( 222,319,260 ) ( 73,779,295 ) Net addition (redemption) of 1,100,000 , ( 600,000 ), 950,000 and 150,000 shares, respectively 28,898,867 ( 20,599,378 ) 22,461,640 ( 1,854,453 ) Net investment income (loss) 4,944,726 2,677,602 7,677,640 5,153,877 Net realized gain (loss) 220,680,441 64,615,443 216,214,526 35,871,579 Change in net unrealized appreciation (depreciation) ( 87,279,257 ) ( 119,017,342 ) ( 65,670,658 ) ( 96,665,222 ) Net income (loss) 138,345,910 ( 51,724,297 ) 158,221,508 ( 55,639,766 ) Shareholders’ equity, end of period $ 570,829,521 $ 356,791,659 $ 570,829,521 $ 356,791,659 See accompanying notes to financial statements. 30 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 Cash flow from operating activities Net income (loss) $ 158,221,508 $ ( 55,639,766 ) 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 ( 669,157,487 ) ( 2,203,304,232 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 332,004,797 2,212,588,221 Net amortization and accretion on short-term U.S. government and agency obligations ( 5,853,530 ) ( 5,008,810 ) Net realized (gain) loss on investments ( 4,797 ) 46,857 Change in unrealized (appreciation) depreciation on investments 46,595,616 57,260,732 Decrease (Increase) in receivable on open futures contracts ( 3,689,701 ) ( 1,635,164 ) Decrease (Increase) in interest receivable ( 333,110 ) 29,902 Increase (Decrease) in payable to Sponsor 119,289 ( 45,532 ) Increase (Decrease) in payable on open futures contracts ( 3,503,958 ) ( 1,948,902 ) Net cash provided by (used in) operating activities ( 145,601,373 ) 2,343,306 Cash flow from financing activities Proceeds from addition of shares 247,509,728 71,924,842 Payment on shares redeemed ( 222,319,260 ) ( 75,394,677 ) Net cash provided by (used in) financing activities 25,190,468 ( 3,469,835 ) Net increase (decrease) in cash ( 120,410,905 ) ( 1,126,529 ) Cash, beginning of period 279,193,929 150,012,071 Cash, end of period $ 158,783,024 $ 148,885,542 See accompanying notes to financial statements. 31 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 (As Restated) (As Restated) Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 49,941,817 and $ – , respectively) $ 49,941,835 $ —   Cash 34,940,702 86,615,956 Segregated cash balances with brokers for futures contracts 137,403,639 250,795,661 Receivable on open futures contracts 9,596,074 10,559,699 Interest receivable 454,279 924,148 Total assets 232,336,529 348,895,464 Liabilities and shareholders’ equity Liabilities Brokerage commissions and futures account fees payable 16,333 36,088 Payable to Sponsor 184,998 303,633 Total liabilities 201,331 339,721 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 232,135,198 348,555,743 Total liabilities and shareholders’ equity $ 232,336,529 $ 348,895,464 Shares outstanding (Note 1) 9,843,643 8,264,892 Net asset value per share (Note 1) $ 23.58 $ 42.17 Market value per share (Note 1) (Note 2) $ 23.54 $ 42.20 See accompanying notes to financial statements. 32 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS JUNE 30, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 22 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.304 % due 07/09/24 $ 50,000,000 $ 49,941,835 Total short-term U.S. government and agency obligations (cost $ 49,941,817 ) $ 49,941,835 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires July 2024 13,989 $ 196,164,949 $ ( 3,927,708 ) VIX Futures - Cboe, expires August 2024 10,175 152,016,535 ( 2,277,212 ) $ ( 6,204,920 ) ^^ 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 2,335,823 $ 4,750,595 $ 5,094,065 $ 9,167,250 Expenses Management fee 553,814 1,330,081 1,221,345 2,703,851 Brokerage commissions 454,606 712,511 941,152 1,490,212 Futures account fees 63,964 126,999 150,134 250,360 Total expenses 1,072,384 2,169,591 2,312,631 4,444,423 Net investment income (loss) 1,263,439 2,581,004 2,781,434 4,722,827 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 57,413,186 ) ( 426,304,544 ) ( 148,416,415 ) ( 608,537,974 ) Short-term U.S. government and agency obligations 500 4,188 11,137 ( 3,590 ) Net realized gain (loss) ( 57,412,686 ) ( 426,300,356 ) ( 148,405,278 ) ( 608,541,564 ) Change in net unrealized appreciation (depreciation) on Futures contracts 11,693,863 ( 45,320,517 ) 24,978,991 ( 43,274,267 ) Short-term U.S. government and agency obligations 4,577 5,340 18 ( 3,383 ) Change in net unrealized appreciation (depreciation) 11,698,440 ( 45,315,177 ) 24,979,009 ( 43,277,650 ) Net realized and unrealized gain (loss) ( 45,714,246 ) ( 471,615,533 ) ( 123,426,269 ) ( 651,819,214 ) Net income (loss) $ ( 44,450,807 ) $ ( 469,034,529 ) $ ( 120,644,835 ) $ ( 647,096,387 ) 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 278,240,649 $ 535,980,236 $ 348,555,743 $ 639,318,362 Addition of 7,030,000 , 2,588,000 , 9,850,000 and 4,262,000 shares, respectively (Note 1) 196,405,861 455,030,425 291,112,693 891,490,874 Redemption of 6,031,248 , 710,000 , 8,271,248 and 1,928,000 shares, respectively (Note 1) ( 198,060,505 ) ( 134,212,073 ) ( 286,888,403 ) ( 495,948,790 ) Net addition (redemption) of 998,752 , 1,878,000 , 1,578,752 and 2,334,000 shares, respectively (Note 1) ( 1,654,644 ) 320,818,352 4,224,290 395,542,084 Net investment income (loss) 1,263,439 2,581,004 2,781,434 4,722,827 Net realized gain (loss) ( 57,412,686 ) ( 426,300,356 ) ( 148,405,278 ) ( 608,541,564 ) Change in net unrealized appreciation (depreciation) 11,698,440 ( 45,315,177 ) 24,979,009 ( 43,277,650 ) Net income (loss) ( 44,450,807 ) ( 469,034,529 ) ( 120,644,835 ) ( 647,096,387 ) Shareholders’ equity, end of period $ 232,135,198 $ 387,764,059 $ 232,135,198 $ 387,764,059 See accompanying notes to financial statements. 35 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 (As Restated) (As Restated) Cash flow from operating activities Net income (loss) $ ( 120,644,835 ) $ ( 647,096,387 ) 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 ( 145,539,355 ) ( 1,156,102,958 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 96,889,241 1,192,359,088 Net amortization and accretion on short-term U.S. government and agency obligations ( 1,280,566 ) ( 1,530,731 ) Net realized (gain) loss on investments ( 11,137 ) 3,590 Change in unrealized (appreciation) depreciation on investments ( 18 ) 3,383 Decrease (Increase) in receivable on open futures contracts 963,625 20,607,263 Decrease (Increase) in interest receivable 469,869 293,885 Increase (Decrease) in payable to Sponsor ( 118,635 ) ( 209,095 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 19,755 ) ( 14,116 ) Increase (Decrease) in payable on open futures contracts —   2,285,649 Net cash provided by (used in) operating activities ( 169,291,566 ) ( 589,400,429 ) Cash flow from financing activities Proceeds from addition of shares 291,112,693 891,490,874 Payment on shares redeemed ( 286,888,403 ) ( 495,948,790 ) Net cash provided by (used in) financing activities 4,224,290 395,542,084 Net increase (decrease) in cash ( 165,067,276 ) ( 193,858,345 ) Cash, beginning of period 337,411,617 583,213,839 Cash, end of period $ 172,344,341 $ 389,355,494 See accompanying notes to financial statements. 36 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 Assets Cash $ 37,116,158 $ 27,001,312 Segregated cash balances with brokers for foreign currency forward contracts 7,132,036 2,976,399 Unrealized appreciation on foreign currency forward contracts 29,111 1,534,924 Receivable from capital shares sold 3,034,885 —   Interest receivable 162,688 104,541 Total assets 47,474,878 31,617,176 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   1,373,167 Payable to Sponsor 33,571 22,600 Unrealized depreciation on foreign currency forward contracts 2,931,169 15,639 Total liabilities 2,964,740 1,411,406 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 44,510,138 30,205,770 Total liabilities and shareholders’ equity $ 47,474,878 $ 31,617,176 Shares outstanding 2,199,970 1,099,970 Net asset value per share $ 20.23 $ 27.46 Market value per share (Note 2) $ 20.30 $ 27.49 See accompanying notes to financial statements. 37 Table of Contents PROSHARES ULTRA YEN SCHEDULE OF INVESTMENTS JUNE 30, 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 07/12/24 6,727,184,056 $ 41,891,312 $ ( 1,433,088 ) Yen with UBS AG 07/12/24 7,961,290,856 49,576,304 ( 1,498,081 ) Total Unrealized Depreciation $ ( 2,931,169 ) Contracts to Sell Yen with UBS AG 07/12/24 ( 384,862,000 ) $ ( 2,396,601 ) $ 29,111 Total Unrealized Appreciation $ 29,111 ^ The positions and counterparties herein are as of June 30, 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 483,557 $ 114,980 $ 853,811 $ 235,098 Expenses Management fee 99,372 25,330 176,608 55,890 Total expenses 99,372 25,330 176,608 55,890 Net investment income (loss) 384,185 89,650 677,203 179,208 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 5,365,623 ) ( 770,142 ) ( 7,397,198 ) ( 1,068,950 ) Net realized gain (loss) ( 5,365,623 ) ( 770,142 ) ( 7,397,198 ) ( 1,068,950 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 842,412 ) ( 1,348,109 ) ( 4,421,343 ) ( 1,842,176 ) Change in net unrealized appreciation (depreciation) ( 842,412 ) ( 1,348,109 ) ( 4,421,343 ) ( 1,842,176 ) Net realized and unrealized gain (loss) ( 6,208,035 ) ( 2,118,251 ) ( 11,818,541 ) ( 2,911,126 ) Net income (loss) $ ( 5,823,850 ) $ ( 2,028,601 ) $ ( 11,141,338 ) $ ( 2,731,918 ) See accompanying notes to financial statements. 39 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 41,994,545 $ 9,915,083 $ 30,205,770 $ 13,814,796 Addition of 500,000 , 150,000 , 1,300,000 and 200,000 shares, respectively 10,608,951 4,444,492 30,205,576 6,257,118 Redemption of 100,000 , – , 200,000 and 150,000 shares, respectively ( 2,269,508 ) —   ( 4,759,870 ) ( 5,009,022 ) Net addition (redemption) of 400,000 , 150,000 , 1,100,000 and 50,000 shares, respectively 8,339,443 4,444,492 25,445,706 1,248,096 Net investment income (loss) 384,185 89,650 677,203 179,208 Net realized gain (loss) ( 5,365,623 ) ( 770,142 ) ( 7,397,198 ) ( 1,068,950 ) Change in net unrealized appreciation (depreciation) ( 842,412 ) ( 1,348,109 ) ( 4,421,343 ) ( 1,842,176 ) Net income (loss) ( 5,823,850 ) ( 2,028,601 ) ( 11,141,338 ) ( 2,731,918 ) Shareholders’ equity, end of period $ 44,510,138 $ 12,330,974 $ 44,510,138 $ 12,330,974 See accompanying notes to financial statements. 40 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 11,141,338 ) $ ( 2,731,918 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Change in unrealized (appreciation) depreciation on investments 4,421,343 1,842,176 Decrease (Increase) in interest receivable ( 58,147 ) ( 48 ) Increase (Decrease) in payable to Sponsor 10,971 ( 2,410 ) Net cash provided by (used in) operating activities ( 6,767,171 ) ( 892,200 ) Cash flow from financing activities Proceeds from addition of shares 27,170,691 6,257,118 Payment on shares redeemed ( 6,133,037 ) ( 5,009,022 ) Net cash provided by (used in) financing activities 21,037,654 1,248,096 Net increase (decrease) in cash 14,270,483 355,896 Cash, beginning of period 29,977,711 12,801,958 Cash, end of period $ 44,248,194 $ 13,157,854 See accompanying notes to financial statements. 41 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 104,415,710 and $ 49,673,923 , respectively) $ 104,416,492 $ 49,683,885 Cash 26,671,542 91,925,442 Segregated cash balances with brokers for futures contracts 45,576,696 49,648,726 Receivable on open futures contracts 970,109 654,887 Interest receivable 273,758 285,610 Total assets 177,908,597 192,198,550 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   3,096,091 Payable on open futures contracts 152,793 —   Brokerage commissions and futures account fees payable —   3,509 Payable to Sponsor 135,766 135,358 Total liabilities 288,559 3,234,958 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 177,620,038 188,963,592 Total liabilities and shareholders’ equity $ 177,908,597 $ 192,198,550 Shares outstanding 11,405,220 9,105,220 Net asset value per share $ 15.57 $ 20.75 Market value per share (Note 2) $ 15.57 $ 20.89 See accompanying notes to financial statements. 42 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS JUNE 30, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 59 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.304 % due 07/09/24 $ 50,000,000 $ 49,941,835 5.327 % due 09/05/24 55,000,000 54,474,657 Total short-term U.S. government and agency obligations (cost $ 104,415,710 ) $ 104,416,492 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires September 2024 1,443 $ 116,363,520 $ ( 9,530,240 ) WTI Crude Oil - NYMEX, expires December 2024 1,526 119,546,840 ( 28,150 ) WTI Crude Oil - NYMEX, expires June 2025 1,585 119,287,100 ( 3,997,339 ) $ ( 13,555,729 ) ^^ 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 2,290,280 $ 1,560,028 $ 4,533,047 $ 3,563,237 Expenses Management fee 440,755 359,177 892,340 844,057 Brokerage commissions 43,839 60,079 97,800 125,836 Total expenses 484,594 419,256 990,140 969,893 Net investment income (loss) 1,805,686 1,140,772 3,542,907 2,593,344 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 143,424 ) 28,046,795 ( 12,659,025 ) 55,661,074 Short-term U.S. government and agency obligations —   ( 12,271 ) 6,779 ( 11,783 ) Net realized gain (loss) ( 143,424 ) 28,034,524 ( 12,652,246 ) 55,649,291 Change in net unrealized appreciation (depreciation) on Futures contracts ( 1,560,618 ) ( 8,229,852 ) ( 35,992,048 ) 2,741,263 Short-term U.S. government and agency obligations 8,523 13,244 ( 9,180 ) ( 1,641 ) Change in net unrealized appreciation (depreciation) ( 1,552,095 ) ( 8,216,608 ) ( 36,001,228 ) 2,739,622 Net realized and unrealized gain (loss) ( 1,695,519 ) 19,817,916 ( 48,653,474 ) 58,388,913 Net income (loss) $ 110,167 $ 20,958,688 $ ( 45,110,567 ) $ 60,982,257 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 197,512,295 $ 144,762,563 $ 188,963,592 $ 222,697,337 Addition of 4,200,000 , 6,250,000 , 12,650,000 and 11,550,000 shares, respectively 65,709,408 149,281,563 216,439,065 277,187,438 Redemption of 5,200,000 , 7,600,000 , 10,350,000 and 16,450,000 shares, respectively ( 85,711,832 ) ( 202,147,862 ) ( 182,672,052 ) ( 448,012,080 ) Net addition (redemption) of ( 1,000,000 ), ( 1,350,000 ), 2,300,000 and ( 4,900,000 ) shares, respectively ( 20,002,424 ) ( 52,866,299 ) 33,767,013 ( 170,824,642 ) Net investment income (loss) 1,805,686 1,140,772 3,542,907 2,593,344 Net realized gain (loss) ( 143,424 ) 28,034,524 ( 12,652,246 ) 55,649,291 Change in net unrealized appreciation (depreciation) ( 1,552,095 ) ( 8,216,608 ) ( 36,001,228 ) 2,739,622 Net income (loss) 110,167 20,958,688 ( 45,110,567 ) 60,982,257 Shareholders’ equity, end of period $ 177,620,038 $ 112,854,952 $ 177,620,038 $ 112,854,952 See accompanying notes to financial statements. 45 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 45,110,567 ) $ 60,982,257 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 ( 242,128,850 ) ( 378,541,825 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 190,006,779 394,924,819 Net amortization and accretion on short-term U.S. government and agency obligations ( 2,612,937 ) ( 1,821,563 ) Net realized (gain) loss on investments ( 6,779 ) 11,783 Change in unrealized (appreciation) depreciation on investments 9,180 1,641 Decrease (Increase) in receivable on open futures contracts ( 315,222 ) 1,604,847 Decrease (Increase) in interest receivable 11,852 265,587 Increase (Decrease) in payable to Sponsor 408 ( 111,014 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 3,509 ) ( 220 ) Increase (Decrease) in payable on open futures contracts 152,793 ( 5,802,618 ) Net cash provided by (used in) operating activities ( 99,996,852 ) 71,513,694 Cash flow from financing activities Proceeds from addition of shares 216,439,065 274,667,692 Payment on shares redeemed ( 185,768,143 ) ( 444,081,787 ) Net cash provided by (used in) financing activities 30,670,922 ( 169,414,095 ) Net increase (decrease) in cash ( 69,325,930 ) ( 97,900,401 ) Cash, beginning of period 141,574,168 139,811,511 Cash, end of period $ 72,248,238 $ 41,911,110 See accompanying notes to financial statements. 46 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 (As Restated) (As Restated) Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 89,476,486 and $ – , respectively) $ 89,475,883 $ —   Cash 9,179,026 73,282,564 Segregated cash balances with brokers for futures contracts 45,237,761 62,890,001 Receivable from capital shares sold —   9,611,378 Receivable on open futures contracts 8,141,559 4,446,202 Interest receivable 337,766 447,861 Total assets 152,371,995 150,678,006 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 4,937,033 —   Payable on open futures contracts 26,716 9,596,045 Brokerage commissions and futures account fees payable 3,273 10,461 Payable to Sponsor 112,546 108,408 Total liabilities 5,079,568 9,714,914 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 147,292,427 140,963,092 Total liabilities and shareholders’ equity $ 152,371,995 $ 150,678,006 Shares outstanding (Note 1) 2,983,712 2,933,712 Net asset value per share (Note 1) $ 49.37 $ 48.05 Market value per share (Note 1) (Note 2) $ 49.19 $ 48.21 See accompanying notes to financial statements. 47 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS JUNE 30, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 61 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.260 % due 07/09/24 $ 40,000,000 $ 39,953,468 5.354 % due 09/05/24 50,000,000 49,522,415 Total short-term U.S. government and agency obligations (cost $ 89,476,486 ) $ 89,475,883 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires September 2024 11,339 $ 294,587,220 $ 40,824,143 ^^ 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 1,577,496 $ 1,344,889 $ 2,924,574 $ 2,531,641 Expenses Management fee 310,060 302,274 572,504 599,136 Brokerage commissions 304,998 233,647 566,252 443,288 Futures account fees 10,978 26,758 27,011 56,367 Total expenses 626,036 562,679 1,165,767 1,098,791 Net investment income (loss) 951,460 782,210 1,758,807 1,432,850 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 44,563,292 ) 48,736,428 91,065 232,145,072 Short-term U.S. government and agency obligations —   1,415 ( 1,743 ) ( 1,263 ) Net realized gain (loss) ( 44,563,292 ) 48,737,843 89,322 232,143,809 Change in net unrealized appreciation (depreciation) on Futures contracts 20,547,016 ( 61,246,927 ) 44,377,650 ( 106,199,730 ) Short-term U.S. government and agency obligations 3,543 ( 3,173 ) ( 603 ) ( 10,168 ) Change in net unrealized appreciation (depreciation) 20,550,559 ( 61,250,100 ) 44,377,047 ( 106,209,898 ) Net realized and unrealized gain (loss) ( 24,012,733 ) ( 12,512,257 ) 44,466,369 125,933,911 Net income (loss) $ ( 23,061,273 ) $ ( 11,730,047 ) $ 46,225,176 $ 127,366,761 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 94,345,355 $ 146,981,760 $ 140,963,092 $ 134,109,520 Addition of 7,400,000 , 13,200,000 , 14,000,000 and 27,700,000 shares, respectively (Note 1) 367,052,728 457,417,060 697,107,902 833,426,697 Redemption of 5,650,000 , 12,200,000 , 13,950,000 and 32,500,000 shares, respectively (Note 1) ( 291,044,383 ) ( 451,343,810 ) ( 737,003,743 ) ( 953,578,015 ) Net addition (redemption) of 1,750,000 , 1,000,000 , 50,000 and ( 4,800,000 ) shares, respectively (Note 1) 76,008,345 6,073,250 ( 39,895,841 ) ( 120,151,318 ) Net investment income (loss) 951,460 782,210 1,758,807 1,432,850 Net realized gain (loss) ( 44,563,292 ) 48,737,843 89,322 232,143,809 Change in net unrealized appreciation (depreciation) 20,550,559 ( 61,250,100 ) 44,377,047 ( 106,209,898 ) Net income (loss) ( 23,061,273 ) ( 11,730,047 ) 46,225,176 127,366,761 Shareholders’ equity, end of period $ 147,292,427 $ 141,324,963 $ 147,292,427 $ 141,324,963 See accompanying notes to financial statements. 50 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 (As Restated) (As Restated) Cash flow from operating activities Net income (loss) $ 46,225,176 $ 127,366,761 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 ( 188,049,532 ) ( 119,017,542 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 99,796,807 146,569,111 Net amortization and accretion on short-term U.S. government and agency obligations ( 1,225,504 ) ( 910,302 ) Net realized (gain) loss on investments 1,743 1,263 Change in unrealized (appreciation) depreciation on investments 603 10,168 Decrease (Increase) in receivable on open futures contracts ( 3,695,357 ) ( 4,797,173 ) Decrease (Increase) in interest receivable 110,095 46,314 Increase (Decrease) in payable to Sponsor 4,138 ( 37,995 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 7,188 ) 951 Increase (Decrease) in payable on open futures contracts ( 9,569,329 ) 6,151,798 Net cash provided by (used in) operating activities ( 56,408,348 ) 155,383,354 Cash flow from financing activities Proceeds from addition of shares 706,719,280 830,673,700 Payment on shares redeemed ( 732,066,710 ) ( 944,455,593 ) Net cash provided by (used in) financing activities ( 25,347,430 ) ( 113,781,893 ) Net increase (decrease) in cash ( 81,755,778 ) 41,601,461 Cash, beginning of period 136,172,565 77,441,180 Cash, end of period $ 54,416,787 $ 119,042,641 See accompanying notes to financial statements. 51 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 Assets Cash $ 32,786,134 $ 34,758,230 Segregated cash balances with brokers for foreign currency forward contracts 4,412,112 6,332,112 Unrealized appreciation on foreign currency forward contracts 937,816 38,029 Interest receivable 138,184 159,359 Total assets 38,274,246 41,287,730 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 29,396 33,372 Unrealized depreciation on foreign currency forward contracts 17,867 1,886,808 Total liabilities 47,263 1,920,180 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 38,226,983 39,367,550 Total liabilities and shareholders’ equity $ 38,274,246 $ 41,287,730 Shares outstanding 1,200,000 1,350,000 Net asset value per share $ 31.86 $ 29.16 Market value per share (Note 2) $ 31.83 $ 29.15 See accompanying notes to financial statements. 52 Table of Contents PROSHARES ULTRASHORT EURO SCHEDULE OF INVESTMENTS JUNE 30, 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 07/12/24 828,000 $ 887,265 $ ( 2,363 ) Euro with UBS AG 07/12/24 2,335,000 2,502,128 ( 15,504 ) Total Unrealized Depreciation $ ( 17,867 ) Contracts to Sell Euro with Goldman Sachs International 07/12/24 ( 38,212,263 ) $ ( 40,947,317 ) $ 501,639 Euro with UBS AG 07/12/24 ( 36,370,199 ) ( 38,973,407 ) 436,177 Total Unrealized Appreciation $ 937,816 ^ The positions and counterparties herein are as of June 30, 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 429,872 $ 593,746 $ 888,189 $ 1,240,866 Expenses Management fee 90,978 131,101 186,228 292,669 Total expenses 90,978 131,101 186,228 292,669 Net investment income (loss) 338,894 462,645 701,961 948,197 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 900,760 ( 1,045,942 ) ( 43,101 ) ( 2,453,253 ) Short-term U.S. government and agency obligations —   —   4,641 —   Net realized gain (loss) 900,760 ( 1,045,942 ) ( 38,460 ) ( 2,453,253 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 199,005 ) 556,469 2,768,728 702,482 Short-term U.S. government and agency obligations —   —   —   ( 4,802 ) Change in net unrealized appreciation (depreciation) ( 199,005 ) 556,469 2,768,728 697,680 Net realized and unrealized gain (loss) 701,755 ( 489,473 ) 2,730,268 ( 1,755,573 ) Net income (loss) $ 1,040,649 $ ( 26,828 ) $ 3,432,229 $ ( 807,376 ) See accompanying notes to financial statements. 54 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 38,712,882 $ 59,537,260 $ 39,367,550 $ 75,113,179 Addition of 50,000 , – , 50,000 and 100,000 shares, respectively 1,591,183 —   1,591,183 3,051,886 Redemption of 100,000 , 300,000 , 200,000 and 900,000 shares, respectively ( 3,117,731 ) ( 8,579,131 ) ( 6,163,979 ) ( 26,426,388 ) Net addition (redemption) of ( 50,000 ), ( 300,000 ), ( 150,000 ) and ( 800,000 ) shares, respectively ( 1,526,548 ) ( 8,579,131 ) ( 4,572,796 ) ( 23,374,502 ) Net investment income (loss) 338,894 462,645 701,961 948,197 Net realized gain (loss) 900,760 ( 1,045,942 ) ( 38,460 ) ( 2,453,253 ) Change in net unrealized appreciation (depreciation) ( 199,005 ) 556,469 2,768,728 697,680 Net income (loss) 1,040,649 ( 26,828 ) 3,432,229 ( 807,376 ) Shareholders’ equity, end of period $ 38,226,983 $ 50,931,301 $ 38,226,983 $ 50,931,301 See accompanying notes to financial statements. 55 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 Cash flow from operating activities Net income (loss) $ 3,432,229 $ ( 807,376 ) 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 ( 2,768,728 ) ( 697,680 ) Decrease (Increase) in interest receivable 21,175 ( 83,135 ) Increase (Decrease) in payable to Sponsor ( 3,976 ) ( 21,220 ) Net cash provided by (used in) operating activities 680,700 38,382,411 Cash flow from financing activities Proceeds from addition of shares 1,591,183 3,051,886 Payment on shares redeemed ( 6,163,979 ) ( 26,426,388 ) Net cash provided by (used in) financing activities ( 4,572,796 ) ( 23,374,502 ) Net increase (decrease) in cash ( 3,892,096 ) 15,007,909 Cash, beginning of period 41,090,342 37,531,356 Cash, end of period $ 37,198,246 $ 52,539,265 See accompanying notes to financial statements. 56 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 Assets Cash $ 12,481,663 $ 9,309,908 Segregated cash balances with brokers for futures contracts 595,000 261,450 Segregated cash balances with brokers for swap agreements 2,621,079 2,375,125 Unrealized appreciation on swap agreements 408,700 —   Receivable on open futures contracts —   17,324 Interest receivable 55,422 41,501 Total assets 16,161,864 12,005,308 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 17,400 —   Payable to Sponsor 12,673 9,708 Unrealized depreciation on swap agreements —   199,821 Total liabilities 30,073 209,529 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 16,131,791 11,795,779 Total liabilities and shareholders’ equity $ 16,161,864 $ 12,005,308 Shares outstanding 746,977 446,977 Net asset value per share $ 21.60 $ 26.39 Market value per share (Note 2) $ 21.67 $ 26.37 See accompanying notes to financial statements. 57 Table of Contents PROSHARES ULTRASHORT GOLD SCHEDULE OF INVESTMENTS JUNE 30, 2024 (unaudited) Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires August 2024 58 $ 13,569,680 $ 167,105 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 % 07/08/24 $ ( 4,325,519 ) $ 94,178 Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.20 07/08/24 ( 5,669,086 ) 123,607 Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 07/08/24 ( 8,768,527 ) 190,915 Total Unrealized Appreciation $ 408,700 ^ The positions and counterparties herein are as of June 30, 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 June 30, 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 176,727 $ 184,052 $ 319,930 $ 316,614 Expenses Management fee 39,309 42,869 71,710 79,242 Brokerage commissions 1,283 1,605 2,218 2,966 Total expenses 40,592 44,474 73,928 82,208 Net investment income (loss) 136,135 139,578 246,002 234,406 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 976,285 ) ( 562,109 ) ( 1,626,248 ) ( 676,159 ) Swap agreements ( 1,540,189 ) ( 991,042 ) ( 2,288,039 ) ( 1,907,873 ) Net realized gain (loss) ( 2,516,474 ) ( 1,553,151 ) ( 3,914,287 ) ( 2,584,032 ) Change in net unrealized appreciation (depreciation) on Futures contracts 374,155 1,132,962 311,336 1,069,691 Swap agreements 890,281 1,625,959 608,521 1,033,528 Change in net unrealized appreciation (depreciation) 1,264,436 2,758,921 919,857 2,103,219 Net realized and unrealized gain (loss) ( 1,252,038 ) 1,205,770 ( 2,994,430 ) ( 480,813 ) Net income (loss) $ ( 1,115,903 ) $ 1,345,348 $ ( 2,748,428 ) $ ( 246,407 ) See accompanying notes to financial statements. 59 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 15,170,884 $ 16,049,273 $ 11,795,779 $ 15,456,037 Addition of 450,000 , 300,000 , 650,000 and 600,000 shares, respectively 9,524,925 7,934,073 14,532,555 16,298,343 Redemption of 350,000 , 350,000 , 350,000 and 550,000 shares, respectively ( 7,448,115 ) ( 9,519,316 ) ( 7,448,115 ) ( 15,698,595 ) Net addition (redemption) of 100,000 , ( 50,000 ), 300,000 and 50,000 shares, respectively 2,076,810 ( 1,585,243 ) 7,084,440 599,748 Net investment income (loss) 136,135 139,578 246,002 234,406 Net realized gain (loss) ( 2,516,474 ) ( 1,553,151 ) ( 3,914,287 ) ( 2,584,032 ) Change in net unrealized appreciation (depreciation) 1,264,436 2,758,921 919,857 2,103,219 Net income (loss) ( 1,115,903 ) 1,345,348 ( 2,748,428 ) ( 246,407 ) Shareholders’ equity, end of period $ 16,131,791 $ 15,809,378 $ 16,131,791 $ 15,809,378 See accompanying notes to financial statements. 60 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 2,748,428 ) $ ( 246,407 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Change in unrealized (appreciation) depreciation on investments ( 608,521 ) ( 1,033,528 ) Decrease (Increase) in receivable on open futures contracts 17,324 ( 40,101 ) Decrease (Increase) in interest receivable ( 13,921 ) ( 19,366 ) Increase (Decrease) in payable to Sponsor 2,965 1,307 Increase (Decrease) in payable on open futures contracts 17,400 1,600 Net cash provided by (used in) operating activities ( 3,333,181 ) ( 1,336,495 ) Cash flow from financing activities Proceeds from addition of shares 14,532,555 16,298,343 Payment on shares redeemed ( 7,448,115 ) ( 14,253,435 ) Net cash provided by (used in) financing activities 7,084,440 2,044,908 Net increase (decrease) in cash 3,751,259 708,413 Cash, beginning of period 11,946,483 16,020,413 Cash, end of period $ 15,697,742 $ 16,728,826 See accompanying notes to financial statements. 61 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 Assets Cash $ 54,325,214 $ 46,444,776 Segregated cash balances with brokers for futures contracts 8,211,000 5,494,500 Segregated cash balances with brokers for swap agreements 10,255,068 12,657,595 Unrealized appreciation on swap agreements 3,476,663 —   Receivable from capital shares sold 561,001 907,025 Receivable on open futures contracts —   329,629 Interest receivable 252,520 173,799 Total assets 77,081,466 66,007,324 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 823,698 —   Payable to Sponsor 59,025 43,464 Unrealized depreciation on swap agreements —   814,174 Total liabilities 882,723 857,638 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 76,198,743 65,149,686 Total liabilities and shareholders’ equity $ 77,081,466 $ 66,007,324 Shares outstanding (Note 8) 1,697,832 897,832 Net asset value per share (Note 8) $ 44.88 $ 72.56 Market value per share (Note 2) (Note 8) $ 45.32 $ 72.96 See accompanying notes to financial statements. 62 Table of Contents PROSHARES ULTRASHORT SILVER SCHEDULE OF INVESTMENTS JUNE 30, 2024 (unaudited) Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires September 2024 706 $ 104,346,800 $ 882,431 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 % 07/08/24 $ ( 21,477,041 ) $ 1,555,716 Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.25 07/08/24 ( 11,791,490 ) 854,131 Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 07/08/24 ( 1,626,512 ) 117,766 Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 07/08/24 ( 13,101,894 ) 949,050 Total Unrealized Appreciation $ 3,476,663 ^ The positions and counterparties herein are as of June 30, 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 June 30, 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 597,421 $ 323,734 $ 978,854 $ 523,812 Expenses Management fee 139,041 82,417 230,179 142,585 Brokerage commissions 13,863 8,958 19,887 14,661 Total expenses 152,904 91,375 250,066 157,246 Net investment income (loss) 444,517 232,359 728,788 366,566 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 7,210,938 ) 3,460,638 ( 2,337,230 ) 4,792,636 Swap agreements ( 8,859,200 ) ( 2,347,042 ) ( 7,952,888 ) ( 965,417 ) Short-term U.S. government and agency obligations —   ( 906 ) —   ( 906 ) Net realized gain (loss) ( 16,070,138 ) 1,112,690 ( 10,290,118 ) 3,826,313 Change in net unrealized appreciation (depreciation) on Futures contracts 943,651 1,782,960 ( 806,615 ) 1,899,423 Swap agreements 3,959,173 3,867,334 4,290,837 2,567,635 Change in net unrealized appreciation (depreciation) 4,902,824 5,650,294 3,484,222 4,467,058 Net realized and unrealized gain (loss) ( 11,167,314 ) 6,762,984 ( 6,805,896 ) 8,293,371 Net income (loss) $ ( 10,722,797 ) $ 6,995,343 $ ( 6,077,108 ) $ 8,659,937 See accompanying notes to financial statements. 64 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 24,245,029 $ 20,335,691 $ 65,149,686 $ 31,932,799 Addition of 1,900,000 , 612,500 , 2,250,000 and 775,000 shares, respectively (Note 8) 90,286,838 41,523,335 116,105,726 55,312,875 Redemption of 562,500 , 650,000 , 1,450,000 and 950,000 shares, respectively (Note 8) ( 27,610,327 ) ( 49,563,896 ) ( 98,979,561 ) ( 76,615,138 ) Net addition (redemption) of 1,337,500 , ( 37,500 ), 800,000 and ( 175,000 ) shares, respectively (Note 8) 62,676,511 ( 8,040,561 ) 17,126,165 ( 21,302,263 ) Net investment income (loss) 444,517 232,359 728,788 366,566 Net realized gain (loss) ( 16,070,138 ) 1,112,690 ( 10,290,118 ) 3,826,313 Change in net unrealized appreciation (depreciation) 4,902,824 5,650,294 3,484,222 4,467,058 Net income (loss) ( 10,722,797 ) 6,995,343 ( 6,077,108 ) 8,659,937 Shareholders’ equity, end of period $ 76,198,743 $ 19,290,473 $ 76,198,743 $ 19,290,473 See accompanying notes to financial statements. 65 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 6,077,108 ) $ 8,659,937 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 —  ( 14,880,254 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations —  14,937,156 Net amortization and accretion on short-term U.S. government and agency obligations —  ( 57,808 ) Net realized (gain) loss on investments —  906 Change in unrealized (appreciation) depreciation on investments ( 4,290,837 ) ( 2,567,635 ) Decrease (Increase) in receivable on open futures contracts 329,629 ( 185,697 ) Decrease (Increase) in interest receivable ( 78,721 ) ( 1,333 ) Increase (Decrease) in payable to Sponsor 15,561 ( 1,521 ) Increase (Decrease) in payable on open futures contracts 823,698 5,550 Net cash provided by (used in) operating activities ( 9,277,778 ) 5,909,301 Cash flow from financing activities Proceeds from addition of shares 116,451,750 56,285,664 Payment on shares redeemed ( 98,979,561 ) ( 74,565,831 ) Net cash provided by (used in) financing activities 17,472,189 ( 18,280,167 ) Net increase (decrease) in cash 8,194,411 ( 12,370,866 ) Cash, beginning of period 64,596,871 32,583,283 Cash, end of period $ 72,791,282 $ 20,212,417 See accompanying notes to financial statements. 66 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 Assets Cash $ 39,249,087 $ 21,807,595 Segregated cash balances with brokers for foreign currency forward contracts 4,958,787 3,434,732 Unrealized appreciation on foreign currency forward contracts 3,371,091 129,697 Interest receivable 166,744 100,284 Total assets 47,745,709 25,472,308 Liabilities and shareholders’ equity Liabilities Payable to Sponsor 35,680 20,676 Unrealized depreciation on foreign currency forward contracts 214,997 1,441,622 Total liabilities 250,677 1,462,298 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 47,495,032 24,010,010 Total liabilities and shareholders’ equity $ 47,745,709 $ 25,472,308 Shares outstanding (Note 8) 997,160 697,160 Net asset value per share (Note 8) $ 47.63 $ 34.44 Market value per share (Note 2) (Note 8) $ 47.56 $ 34.47 See accompanying notes to financial statements. 67 Table of Contents PROSHARES ULTRASHORT YEN SCHEDULE OF INVESTMENTS JUNE 30, 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 07/12/24 1,368,727,000 $ 8,523,295 $ ( 214,997 ) Total Unrealized Depreciation $ ( 214,997 ) Contracts to Sell Yen with Goldman Sachs International 07/12/24 ( 8,022,884,165 ) $ ( 49,959,856 ) $ 1,709,110 Yen with UBS AG 07/12/24 ( 8,533,259,574 ) ( 53,138,049 ) 1,661,981 Total Unrealized Appreciation $ 3,371,091 ^ The positions and counterparties herein are as of June 30, 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 456,243 $ 255,354 $ 771,660 $ 459,554 Expenses Management fee 96,949 58,179 163,082 108,991 Total expenses 96,949 58,179 163,082 108,991 Net investment income (loss) 359,294 197,175 608,578 350,563 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 4,417,569 1,370,771 6,122,840 342,795 Short-term U.S. government and agency obligations —   —   3,541 —   Net realized gain (loss) 4,417,569 1,370,771 6,126,381 342,795 Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts 1,529,867 3,145,023 4,468,019 5,007,285 Short-term U.S. government and agency obligations —   —   —   ( 2,761 ) Change in net unrealized appreciation (depreciation) 1,529,867 3,145,023 4,468,019 5,004,524 Net realized and unrealized gain (loss) 5,947,436 4,515,794 10,594,400 5,347,319 Net income (loss) $ 6,306,730 $ 4,712,969 $ 11,202,978 $ 5,697,882 See accompanying notes to financial statements. 69 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 32,662,223 $ 25,111,818 $ 24,010,010 $ 21,397,736 Addition of 400,000 , 500,000 , 600,000 and 900,000 shares, respectively (Note 8) 17,441,510 14,899,838 25,021,470 26,056,375 Redemption of 200,000 , 600,000 , 300,000 and 900,000 shares, respectively (Note 8) ( 8,915,431 ) ( 17,646,969 ) ( 12,739,426 ) ( 26,074,337 ) Net addition (redemption) of 200,000 , ( 100,000 ), 300,000 and – shares, respectively (Note 8) 8,526,079 ( 2,747,131 ) 12,282,044 ( 17,962 ) Net investment income (loss) 359,294 197,175 608,578 350,563 Net realized gain (loss) 4,417,569 1,370,771 6,126,381 342,795 Change in net unrealized appreciation (depreciation) 1,529,867 3,145,023 4,468,019 5,004,524 Net income (loss) 6,306,730 4,712,969 11,202,978 5,697,882 Shareholders’ equity, end of period $ 47,495,032 $ 27,077,656 $ 47,495,032 $ 27,077,656 See accompanying notes to financial statements. 70 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 Cash flow from operating activities Net income (loss) $ 11,202,978 $ 5,697,882 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 ( 4,468,019 ) ( 5,004,524 ) Decrease (Increase) in interest receivable ( 66,460 ) ( 50,809 ) Increase (Decrease) in payable to Sponsor 15,004 ( 9,641 ) Net cash provided by (used in) operating activities 6,683,503 23,628,206 Cash flow from financing activities Proceeds from addition of shares 25,021,470 26,056,375 Payment on shares redeemed ( 12,739,426 ) ( 28,757,792 ) Net cash provided by (used in) financing activities 12,282,044 ( 2,701,417 ) Net increase (decrease) in cash 18,965,547 20,926,789 Cash, beginning of period 25,242,327 4,104,127 Cash, end of period $ 44,207,874 $ 25,030,916 See accompanying notes to financial statements. 71 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 49,519,896 and $ – , respectively) $ 49,522,415 $ —   Cash 41,038,726 31,674,194 Segregated cash balances with brokers for futures contracts 4,704,894 5,936,995 Receivable on open futures contracts 10,823,502 137,945 Interest receivable 220,924 141,818 Total assets 106,310,461 37,890,952 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 72,839,263 —   Brokerage commissions and futures account fees payable 3,084 1,876 Payable to Sponsor 66,662 22,933 Total liabilities 72,909,009 24,809 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 33,401,452 37,866,143 Total liabilities and shareholders’ equity $ 106,310,461 $ 37,890,952 Shares outstanding 2,337,403 2,262,403 Net asset value per share $ 14.29 $ 16.74 Market value per share (Note 2) $ 14.33 $ 16.75 See accompanying notes to financial statements. 72 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF SCHEDULE OF INVESTMENTS JUNE 30, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 148 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.295 % due 09/05/24 $ 50,000,000 $ 49,522,415 Total short-term U.S. government and agency obligations (cost $ 49,519,896 ) $ 49,522,415 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires October 2024 367 $ 6,671,142 $ ( 285,377 ) VIX Futures - Cboe, expires November 2024 633 10,966,725 211,863 VIX Futures - Cboe, expires December 2024 633 10,951,280 210,194 VIX Futures - Cboe, expires January 2025 267 4,792,650 295 $ 136,975 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. 73 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 1,106,849 $ 650,585 $ 1,622,013 $ 1,298,505 Expenses Management fee 191,320 134,066 288,207 284,189 Brokerage commissions 66,049 12,200 86,212 21,369 Futures account fees 10,537 11,856 16,541 23,296 Total expenses 267,906 158,122 390,960 328,854 Net investment income (loss) 838,943 492,463 1,231,053 969,651 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 8,949,418 ) ( 6,943,333 ) ( 15,057,887 ) ( 22,764,053 ) Short-term U.S. government and agency obligations —   —   3,278 —   Net realized gain (loss) ( 8,949,418 ) ( 6,943,333 ) ( 15,054,609 ) ( 22,764,053 ) Change in net unrealized appreciation (depreciation) on Futures contracts 1,092,860 ( 9,677,526 ) 3,882,651 ( 5,086,991 ) Short-term U.S. government and agency obligations 2,519 2,424 2,519 ( 5,651 ) Change in net unrealized appreciation (depreciation) 1,095,379 ( 9,675,102 ) 3,885,170 ( 5,092,642 ) Net realized and unrealized gain (loss) ( 7,854,039 ) ( 16,618,435 ) ( 11,169,439 ) ( 27,856,695 ) Net income (loss) $ ( 7,015,096 ) $ ( 16,125,972 ) $ ( 9,938,386 ) $ ( 26,887,044 ) 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 84,603,064 $ 67,306,087 $ 37,866,143 $ 84,014,959 Addition of 5,250,000 , 575,000 , 8,625,000 and 850,000 shares, respectively 80,762,930 14,067,422 135,188,877 21,818,758 Redemption of 8,250,000 , 675,000 , 8,550,000 and 1,200,000 shares, respectively ( 124,949,446 ) ( 15,826,124 ) ( 129,715,182 ) ( 29,525,260 ) Net addition (redemption) of ( 3,000,000 ), ( 100,000 ), 75,000 and ( 350,000 ) shares, respectively ( 44,186,516 ) ( 1,758,702 ) 5,473,695 ( 7,706,502 ) Net investment income (loss) 838,943 492,463 1,231,053 969,651 Net realized gain (loss) ( 8,949,418 ) ( 6,943,333 ) ( 15,054,609 ) ( 22,764,053 ) Change in net unrealized appreciation (depreciation) 1,095,379 ( 9,675,102 ) 3,885,170 ( 5,092,642 ) Net income (loss) ( 7,015,096 ) ( 16,125,972 ) ( 9,938,386 ) ( 26,887,044 ) Shareholders’ equity, end of period $ 33,401,452 $ 49,421,413 $ 33,401,452 $ 49,421,413 See accompanying notes to financial statements. 75 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 Cash flow from operating activities Net income (loss) $ ( 9,938,386 ) $ ( 26,887,044 ) 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 ( 49,330,764 ) ( 254,817,825 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 3,278 305,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 189,132 ) ( 305,478 ) Net realized (gain) loss on investments ( 3,278 ) —   Change in unrealized (appreciation) depreciation on investments ( 2,519 ) 5,651 Decrease (Increase) in receivable on open futures contracts ( 10,685,557 ) 142,794 Decrease (Increase) in interest receivable ( 79,106 ) ( 101,568 ) Increase (Decrease) in payable to Sponsor 43,729 ( 19,128 ) Increase (Decrease) in brokerage commissions and futures account fees payable 1,208 995 Increase (Decrease) in payable on open futures contracts —   962,275 Net cash provided by (used in) operating activities ( 70,180,527 ) 23,980,672 Cash flow from financing activities Proceeds from addition of shares 135,188,877 21,818,758 Payment on shares redeemed ( 56,875,919 ) ( 29,525,260 ) Net cash provided by (used in) financing activities 78,312,958 ( 7,706,502 ) Net increase (decrease) in cash 8,132,431 16,274,170 Cash, beginning of period 37,611,189 33,959,989 Cash, end of period $ 45,743,620 $ 50,234,159 See accompanying notes to financial statements. 76 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 (As Restated) (As Restated) Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 64,756,905 and $ 59,648,776 , respectively) $ 64,756,617 $ 59,660,373 Cash 21,351,037 22,277,582 Segregated cash balances with brokers for futures contracts 57,448,807 72,849,393 Receivable on open futures contracts 4,672,943 2,362,837 Interest receivable 249,142 254,671 Total assets 148,478,546 157,404,856 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts —   580 Brokerage commissions and futures account fees payable 11,302 11,961 Payable to Sponsor 47,216 70,569 Total liabilities 58,518 83,110 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 148,420,028 157,321,746 Total liabilities and shareholders’ equity $ 148,478,546 $ 157,404,856 Shares outstanding (Note 8) 3,425,237 2,537,737 Net asset value per share (Note 8) $ 43.33 $ 61.99 Market value per share (Note 2) (Note 8) $ 43.40 $ 62.04 See accompanying notes to financial statements. 77 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS JUNE 30, 2024 (unaudited) Principal Amount Value Short-term U.S. government and agency obligations ( 44 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.300 % due 07/09/24 $ 45,000,000 $ 44,947,651 5.354 % due 09/05/24 20,000,000 19,808,966 Total short-term U.S. government and agency obligations (cost $ 64,756,905 ) $ 64,756,617 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires July 2024 5,961 $ 83,589,911 $ ( 1,712,575 ) VIX Futures - Cboe, expires August 2024 4,335 64,765,767 ( 948,245 ) $ ( 2,660,820 ) ^^ 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 1,619,921 $ 2,440,291 $ 3,378,183 $ 4,560,852 Expenses Management fee 310,061 530,826 646,437 1,048,314 Brokerage commissions 39,404 95,391 79,663 191,888 Futures account fees 31,267 48,732 64,538 99,391 Total expenses 380,732 674,949 790,638 1,339,593 Net investment income (loss) 1,239,189 1,765,342 2,587,545 3,221,259 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 27,512,354 ) ( 127,229,299 ) ( 59,271,318 ) ( 173,326,001 ) Short-term U.S. government and agency obligations —   ( 10,613 ) 4,830 ( 10,605 ) Net realized gain (loss) ( 27,512,354 ) ( 127,239,912 ) ( 59,266,488 ) ( 173,336,606 ) Change in net unrealized appreciation (depreciation) on Futures contracts 4,018,755 ( 21,324,056 ) 7,003,274 ( 20,176,064 ) Short-term U.S. government and agency obligations 3,454 20,803 ( 11,885 ) 2,837 Change in net unrealized appreciation (depreciation) 4,022,209 ( 21,303,253 ) 6,991,389 ( 20,173,227 ) Net realized and unrealized gain (loss) ( 23,490,145 ) ( 148,543,165 ) ( 52,275,099 ) ( 193,509,833 ) Net income (loss) $ ( 22,250,956 ) $ ( 146,777,823 ) $ ( 49,687,554 ) $ ( 190,288,574 ) 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 June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 162,936,051 $ 226,765,204 $ 157,321,746 $ 266,580,320 Addition of 925,000 , 1,115,000 , 1,875,000 and 1,690,000 shares, respectively (Note 8) 42,851,982 159,301,302 95,632,291 267,768,654 Redemption of 650,000 , 63,750 , 987,500 and 552,500 shares, respectively (Note 8) ( 35,117,049 ) ( 9,060,853 ) ( 54,846,455 ) ( 113,832,570 ) Net addition (redemption) of 275,000 , 1,051,250 , 887,500 and 1,137,500 shares, respectively (Note 8) 7,734,933 150,240,449 40,785,836 153,936,084 Net investment income (loss) 1,239,189 1,765,342 2,587,545 3,221,259 Net realized gain (loss) ( 27,512,354 ) ( 127,239,912 ) ( 59,266,488 ) ( 173,336,606 ) Change in net unrealized appreciation (depreciation) 4,022,209 ( 21,303,253 ) 6,991,389 ( 20,173,227 ) Net income (loss) ( 22,250,956 ) ( 146,777,823 ) ( 49,687,554 ) ( 190,288,574 ) Shareholders’ equity, end of period $ 148,420,028 $ 230,227,830 $ 148,420,028 $ 230,227,830 See accompanying notes to financial statements. 80 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 (As Restated) (As Restated) Cash flow from operating activities Net income (loss) $ ( 49,687,554 ) $ ( 190,288,574 ) 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 ( 153,292,911 ) ( 318,231,573 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 149,944,134 334,754,108 Net amortization and accretion on short-term U.S. government and agency obligations ( 1,754,522 ) ( 1,966,043 ) Net realized (gain) loss on investments ( 4,830 ) 10,605 Change in unrealized (appreciation) depreciation on investments 11,885 ( 2,837 ) Decrease (Increase) in receivable on open futures contracts ( 2,310,106 ) 2,384,188 Decrease (Increase) in interest receivable 5,529 18,196 Increase (Decrease) in payable to Sponsor ( 23,353 ) ( 36,534 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 659 ) ( 7,961 ) Increase (Decrease) in payable on open futures contracts ( 580 ) 2,179,767 Net cash provided by (used in) operating activities ( 57,112,967 ) ( 171,186,658 ) Cash flow from financing activities Proceeds from addition of shares 95,632,291 267,768,654 Payment on shares redeemed ( 54,846,455 ) ( 114,403,043 ) Net cash provided by (used in) financing activities 40,785,836 153,365,611 Net increase (decrease) in cash ( 16,327,131 ) ( 17,821,047 ) Cash, beginning of period 95,126,975 175,279,856 Cash, end of period $ 78,799,844 $ 157,458,809 See accompanying notes to financial statements. 81 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF FINANCIAL CONDITION June 30, 2024 (unaudited) December 31, 2023 (As Restated) (As Restated) Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 1,566,271,392 and $ 690,346,244 , respectively) $ 1,566,273,968 $ 690,474,277 Cash 821,558,111 1,209,034,101 Segregated cash balances with brokers for futures contracts 632,703,644 1,029,381,720 Segregated cash balances with brokers for foreign currency forward contracts 17,047,256 13,366,243 Segregated cash balances with brokers for swap agreements 77,374,847 345,924,043 Unrealized appreciation on swap agreements 59,832,955 21,033,528 Unrealized appreciation on foreign currency forward contracts 4,338,018 2,011,074 Receivable from capital shares sold 82,338,464 22,784,178 Receivable on open futures contracts 41,862,726 29,722,683 Interest receivable 5,126,818 6,486,760 Total assets 3,308,456,807 3,370,218,607 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 77,776,296 39,357,935 Payable on open futures contracts 47,791,682 38,056,063 Brokerage commissions and futures account fees payable 46,364 131,497 Payable to Sponsor 2,427,704 2,654,226 Unrealized depreciation on swap agreements 55,954,990 3,841,216 Unrealized depreciation on foreign currency forward contracts 3,304,431 3,345,544 Total liabilities 187,301,467 87,386,481 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 3,121,155,340 3,282,832,126 Total liabilities and shareholders’ equity $ 3,308,456,807 $ 3,370,218,607 Shares outstanding (Note 1) (Note 8) 82,929,099 82,617,848 See accompanying notes to financial statements. 82 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF OPERATIONS (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2024 2023 2024 2023 Investment Income Interest $ 36,592,197 $ 35,172,821 $ 67,381,467 $ 69,048,196 Expenses Management fee 7,448,120 9,417,542 14,618,380 18,671,870 Brokerage commissions 1,987,015 2,541,487 3,830,567 4,916,119 Futures account fees 169,922 426,130 400,385 828,892 Total expenses 9,605,057 12,385,159 18,849,332 24,416,881 Net investment income (loss) 26,987,140 22,787,662 48,532,135 44,631,315 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 192,957,311 ( 903,140,314 ) ( 95,441,709 ) ( 1,989,000,881 ) Swap agreements 147,613,685 ( 127,144,869 ) 237,098,199 ( 36,920,176 ) Foreign currency forward contracts ( 266,644 ) ( 367,022 ) ( 1,392,235 ) ( 2,820,838 ) Short-term U.S. government and agency obligations 1,196 ( 182,341 ) 71,141 ( 195,871 ) Net realized gain (loss) 340,305,548 ( 1,030,834,546 ) 140,335,396 ( 2,028,937,766 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 68,861,582 ) 370,415,259 ( 169,234,257 ) 337,853,836 Swap agreements ( 58,891,791 ) 53,364,477 ( 13,314,347 ) ( 96,981,521 ) Foreign currency forward contracts 550,617 2,274,360 2,368,057 3,691,623 Short-term U.S. government and agency obligations 59,741 266,337 ( 125,457 ) 49,246 Change in net unrealized appreciation (depreciation) ( 127,143,015 ) 426,320,433 ( 180,306,004 ) 244,613,184 Net realized and unrealized gain (loss) 213,162,533 ( 604,514,113 ) ( 39,970,608 ) ( 1,784,324,582 ) Net income (loss) $ 240,149,673 $ ( 581,726,451 ) $ 8,561,527 $ ( 1,739,693,267 ) See accompanying notes to financial statements. 83 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (unaudited) Three Months Ended June 30, Six Months Ended June 30, 2024 2023 2024 2023 Shareholders’ equity, beginning of period $ 3,088,679,681 $ 4,138,630,893 $ 3,282,832,126 $ 3,887,786,746 Addition of 43,875,000 , 45,449,000 , 84,940,000 and 99,080,000 shares, respectively (Note 1) (Note 8) 1,659,368,580 2,534,087,735 3,456,902,022 6,659,958,056 Redemption of 46,923,748 , 46,013,750 , 84,628,748 and 105,972,000 shares, respectively (Note 1) (Note 8) ( 1,867,042,594 ) ( 2,337,146,640 ) ( 3,627,140,335 ) ( 5,054,205,998 ) Net addition (redemption) of ( 3,048,748 ), ( 564,750 ) , 311,252 and ( 6,892,000 ) shares, respectively (Note 1) (Note 8) ( 207,674,014 ) 196,941,095 ( 170,238,313 ) 1,605,752,058 Net investment income (loss) 26,987,140 22,787,662 48,532,135 44,631,315 Net realized gain (loss) 340,305,548 ( 1,030,834,546 ) 140,335,396 ( 2,028,937,766 ) Change in net unrealized appreciation (depreciation) ( 127,143,015 ) 426,320,433 ( 180,306,004 ) 244,613,184 Net income (loss) 240,149,673 ( 581,726,451 ) 8,561,527 ( 1,739,693,267 ) Shareholders’ equity, end of period $ 3,121,155,340 $ 3,753,845,537 $ 3,121,155,340 $ 3,753,845,537 See accompanying notes to financial statements. 84 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CASH FLOWS (unaudited) Six Months Ended June 30, 2024 2023 (As Restated) (As Restated) Cash flow from operating activities Net income (loss) $ 8,561,527 $ ( 1,739,693,267 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 2,820,463,204 ) ( 23,583,170,670 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,973,332,631 23,734,747,679 Net amortization and accretion on short-term U.S. government and agency obligations ( 28,723,434 ) ( 31,075,993 ) Net realized (gain) loss on investments ( 71,141 ) 195,871 Change in unrealized (appreciation) depreciation on investments 11,071,747 93,240,652 Decrease (Increase) in receivable on futures contracts ( 12,140,043 ) 4,229,051 Decrease (Increase) in interest receivable 1,359,942 ( 398,777 ) Increase (Decrease) in payable to Sponsor ( 226,522 ) ( 307,569 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 85,133 ) 1,468 Increase (Decrease) in payable on futures contracts 9,735,619 13,840,976 Net cash provided by (used in) operating activities ( 857,648,011 ) ( 1,508,390,579 ) Cash flow from financing activities Proceeds from addition of shares 3,397,347,736 6,655,658,102 Payment on shares redeemed ( 3,588,721,974 ) ( 5,059,100,757 ) Net cash provided by (used in) financing activities ( 191,374,238 ) 1,596,557,345 Net increase (decrease) in cash ( 1,049,022,249 ) 88,166,766 Cash, beginning of period 2,597,706,107 2,276,152,772 Cash, end of period $ 1,548,683,858 $ 2,364,319,538 See accompanying notes to financial statements. 85 Table of Contents PROSHARES TRUST II NOTES TO FINANCIAL STATEMENTS June 30, 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 June 30, 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 and Reverse Share Splits The table below includes forward and reverse Share splits for the Funds during the six months June 30, 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. 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 ProShares Short VIX Short-Term Futures April 10, 2024 2-for-1 forward Share split April 11, 2024 ProShares UltraShort Bloomberg Natural Gas April 10, 2024 2-for-1 forward Share split April 11, 2024 ProShares Ultra VIX Short-Term Futures April 10, 2024 1-for-5 reverse Share split April 11, 2024 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. 86 Table of Contents The forward splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund. Therefore, the forward splits did not change the aggregate net asset value of a shareholder’s investment at the time of the forward split. Restatement of Previously Issued Form 10-Q and Form 10-K Filings ProShares Trust II (the “Trust”) identified an error related to the classification of amounts on the Statements of Financial Condition between “Segregated cash balances with brokers for futures contracts” and “Receivable (Payable) on open futures contracts” for Trust filings for each quarterly Form 10-Q and annual Form 10-K filing for the period December 31, 2021, through June 30, 2024, for five Funds. The Statement of Cash Flows was the only other statement affected by these misclassifications. No other financial statement or financial statement disclosure in the Forms 10-Q or Form 10-K filings were affected by these errors. The misclassifications did not change the Shareholder Equity, net asset value per share, or total return of any Fund. The Funds impacted were: ProShares Short VIX Short-Term Futures ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra VIX Short-Term Futures ETF, ProShares UltraShort Bloomberg Natural Gas, and ProShares VIX Short-Term Futures ETF (the “Affected Funds”). These misclassifications were caused by a misinterpretation of amounts on a futures commission merchant statement and resulted in reclassifications between accounts. There is no impact on the Affected Funds’ performance, investment results, net asset values or income. The impact of these adjustments is shown in the table below. Statements of Financial Condition PROSHARES SHORT VIX SHORT-TERM FUTURES ETF June 30, 2024 (unaudited) December 31, 2023 As Previously Reported Adjustment As Restated As Previously Reported Adjustment As Restated Assets Segregated cash balances withbrokers for futures contracts 90,095,318 4,125,000 94,220,318 88,647,616 19,191,436 107,839,052 Receivable on open futures contracts 7,748,578 ( 4,125,000 ) 3,623,578 30,330,665 ( 19,116,505 ) 11,214,160 Total Assets NR NR NR 283,337,788 74,931 283,412,719 Liabilities and shareholders’ equity Payble on open futures contracts NR NR NR 372,680 74,931 447,611 Total Liabilities NR NR NR 16,153,429 74,931 16,228,360 Total liabilities and shareholders’ equity NR NR NR 283,337,788 74,931 283,412,719 Statements of Cash Flows June 30, 2024 (unaudited) June 30, 2023 (unaudited) As Previously Reported Adjustment As Restated As Previously Reported Adjustment As Restated Decrease (Increase) in receivable on open futures contracts 22,582,087 ( 14,991,505 ) 7,590,582 48,261,408 ( 15,737,458 ) 32,523,950 Increase (Decrease) in payable on futures contracts 1,758,361 ( 74,931 ) 1,683,430 NR NR NR Net Cash provided by (used in) operating activities 16,072,852 ( 15,066,436 ) 1,006,416 213,489,153 ( 15,737,458 ) 197,751,695 Net Increase (decrease) in cash ( 19,357,352 ) ( 15,066,436 ) ( 34,423,788 ) 39,640,617 ( 15,737,458 ) 23,903,159 Cash, beginninng of period 143,139,851 19,191,436 162,331,287 133,946,941 26,960,318 160,907,259 Cash, End of period 123,782,499 4,125,000 127,907,499 173,587,558 11,222,860 184,810,418 87 Table of Contents Statements of Financial Condition PROSHARES ULTRA BLOOMBERG NATURAL GAS June 30, 2024 (unaudited) December 31, 2023 As Previously Reported Adjustment As Restated As Previously Reported Adjustment As Restated Assets Segregated cash balances withbrokers for futures contracts 131,374,481 39,267,011 170,641,492 256,589,331 118,272,358 374,861,689 Receivable on open futures contracts 34,615,849 ( 34,615,849 ) —   117,168,017 ( 117,168,017 ) —   Total Assets 580,670,995 4,651,162 585,322,157 770,676,725 1,104,341 771,781,066 Liabilities and shareholders’ equity Payble on open futures contracts 39,579,590 4,651,162 44,230,752 20,739,542 1,104,341 21,843,883 Total Liabilities 40,027,174 4,651,162 44,678,336 40,783,917 1,104,341 41,888,258 Total liabilities and shareholders’ equity 580,670,995 4,651,162 585,322,157 770,676,725 1,104,341 771,781,066 Statements of Cash Flows June 30, 2024 (unaudited) June 30, 2023 (unaudited) As Previously Reported Adjustment As Restated As Previously Reported Adjustment As Restated Decrease (Increase) in receivable on open futures contracts 82,552,168 ( 82,552,168 ) —   32,093,445 ( 83,600,796 ) ( 51,507,351 ) Increase (Decrease) in payable on futures contracts 18,840,048 3,546,821 22,386,869 ( 1,835,443 ) 10,300,096 8,464,653 Net Cash provided by (used in) operating activities ( 51,888,404 ) ( 79,005,347 ) ( 130,893,751 ) ( 1,115,027,371 ) ( 73,300,700 ) ( 1,188,328,071 ) Net Increase (decrease) in cash ( 116,366,216 ) ( 79,005,347 ) ( 195,371,563 ) 504,553,914 ( 73,300,700 ) 431,253,214 Cash, beginninng of period 582,842,023 118,272,358 701,114,381 176,734,664 150,981,820 327,716,484 Cash, End of period 466,475,807 39,267,011 505,742,818 681,288,578 77,681,120 758,969,698 Statements of Financial Condition PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF June 30, 2024 (unaudited) December 31, 2023 As Previously Reported Adjustment As Restated As Previously Reported Adjustment As Restated Assets Segregated cash balances withbrokers for futures contracts 120,823,595 16,580,044 137,403,639 210,845,154 39,950,507 250,795,661 Receivable on open futures contracts 26,176,118 ( 16,580,044 ) 9,596,074 50,510,206 ( 39,950,507 ) 10,559,699 Total Assets NR NR NR NR NR NR Liabilities and shareholders’ equity Payble on open futures contracts NR NR NR NR NR NR Total Liabilities NR NR NR NR NR NR Total liabilities and shareholders’ equity NR NR NR NR NR NR Statements of Cash Flows June 30, 2024 (unaudited) June 30, 2023 (unaudited) As Previously Reported Adjustment As Restated As Previously Reported Adjustment As Restated Decrease (Increase) in receivable on open futures contracts 24,334,088 ( 23,370,463 ) 963,625 159,024,755 ( 138,417,492 ) 20,607,263 Increase (Decrease) in payable on futures contracts NR NR NR 1,707,397 578,252 2,285,649 Net Cash provided by (used in) operating activities ( 145,921,103 ) ( 23,370,463 ) ( 169,291,566 ) ( 451,561,189 ) ( 137,839,240 ) ( 589,400,429 ) Net Increase (decrease) in cash ( 141,696,813 ) ( 23,370,463 ) ( 165,067,276 ) ( 56,019,105 ) ( 137,839,240 ) ( 193,858,345 ) Cash, beginninng of period 297,461,110 39,950,507 337,411,617 394,847,507 188,366,332 583,213,839 Cash, End of period 155,764,297 16,580,044 172,344,341 338,828,402 50,527,092 389,355,494 88 Table of Contents Statements of Financial Condition PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS June 30, 2024 (unaudited) December 31, 2023 As Previously Reported Adjustment As Restated As Previously Reported Adjustment As Restated Assets Segregated cash balances withbrokers for futures contracts 27,590,142 17,647,619 45,237,761 35,326,076 27,563,925 62,890,001 Receivable on open futures contracts 25,789,178 ( 17,647,619 ) 8,141,559 22,414,082 ( 17,967,880 ) 4,446,202 Total Assets NR NR NR 141,081,961 9,596,045 150,678,006 Liabilities and shareholders’ equity Payble on open futures contracts NR NR NR —   9,596,045 9,596,045 Total Liabilities NR NR NR 118,869 9,596,045 9,714,914 Total liabilities and shareholders’ equity NR NR NR 141,081,961 9,596,045 150,678,006 Statements of Cash Flows June 30, 2024 (unaudited) June 30, 2023 (unaudited) As Previously Reported Adjustment As Restated As Previously Reported Adjustment As Restated Decrease (Increase) in receivable on open futures contracts ( 3,375,096 ) ( 320,261 ) ( 3,695,357 ) 7,788,147 ( 12,585,320 ) ( 4,797,173 ) Increase (Decrease) in payable on futures contracts 26,716 ( 9,596,045 ) ( 9,569,329 ) 6,151,798 —   6,151,798 Net Cash provided by (used in) operating activities ( 46,492,042 ) ( 9,916,306 ) ( 56,408,348 ) 167,968,674 ( 12,585,320 ) 155,383,354 Net Increase (decrease) in cash ( 71,839,472 ) ( 9,916,306 ) ( 81,755,778 ) 54,186,781 ( 12,585,320 ) 41,601,461 Cash, beginninng of period 108,608,640 27,563,925 136,172,565 44,482,540 32,958,640 77,441,180 Cash, End of period 36,769,168 17,647,619 54,416,787 98,669,321 20,373,320 119,042,641 Statements of Financial Condition PROSHARES VIX SHORT-TERM FUTURES ETF June 30, 2024 (unaudited) December 31, 2023 As Previously Reported Adjustment As Restated As Previously Reported Adjustment As Restated Assets Segregated cash balances withbrokers for futures contracts 47,977,287 9,471,520 57,448,807 59,164,337 13,685,056 72,849,393 Receivable on open futures contracts 14,144,463 ( 9,471,520 ) 4,672,943 16,047,893 ( 13,685,056 ) 2,362,837 Total Assets NR NR NR NR NR NR Liabilities and shareholders’ equity Payble on open futures contracts NR NR NR NR NR NR Total Liabilities NR NR NR NR NR NR Total liabilities and shareholders’ equity NR NR NR NR NR NR Statements of Cash Flows June 30, 2024 (unaudited) June 30, 2023 (unaudited) As Previously Reported Adjustment As Restated As Previously Reported Adjustment As Restated Decrease (Increase) in receivable on open futures contracts 1,903,430 ( 4,213,536 ) ( 2,310,106 ) 34,137,415 ( 31,753,227 ) 2,384,188 Increase (Decrease) in payable on futures contracts ( 580 ) —   ( 580 ) 1,907,775 271,992 2,179,767 Net Cash provided by (used in) operating activities ( 52,899,431 ) ( 4,213,536 ) ( 57,112,967 ) ( 139,705,423 ) ( 31,481,235 ) ( 171,186,658 ) Net Increase (decrease) in cash ( 12,113,595 ) ( 4,213,536 ) ( 16,327,131 ) 13,660,188 ( 31,481,235 ) ( 17,821,047 ) Cash, beginninng of period 81,441,919 13,685,056 95,126,975 125,161,810 50,118,046 175,279,856 Cash, End of period 69,328,324 9,471,520 78,799,844 138,821,998 18,636,811 157,458,809 89 Table of Contents Statements of Financial Condition PROSHARES TRUST II June 30, 2024 (unaudited) December 31, 2023 As Previously Reported Adjustment As Restated As Previously Reported Adjustment As Restated Assets Segregated cash balances withbrokers for futures contracts 545,612,450 87,091,194 632,703,644 810,718,438 218,663,282 1,029,381,720 Receivable on open futures contracts 124,302,758 ( 82,440,032 ) 41,862,726 237,610,648 ( 207,887,965 ) 29,722,683 Total Assets 3,303,805,645 4,651,162 3,308,456,807 3,359,443,290 10,775,317 3,370,218,607 Liabilities and shareholders’ equity Payble on open futures contracts 43,140,520 4,651,162 47,791,682 27,280,746 10,775,317 38,056,063 Total Liabilities 182,650,305 4,651,162 187,301,467 76,611,164 10,775,317 87,386,481 Total liabilities and shareholders’ equity 3,303,805,645 4,651,162 3,308,456,807 3,359,443,290 10,775,317 3,370,218,607 Statements of Cash Flows June 30, 2024 (unaudited) June 30, 2023 (unaudited) As Previously Reported Adjustment As Restated As Previously Reported Adjustment As Restated Decrease (Increase) in receivable on open futures contracts 113,307,890 ( 125,447,933 ) ( 12,140,043 ) 286,323,344 ( 282,094,293 ) 4,229,051 Increase (Decrease) in payable on futures contracts 15,859,774 ( 6,124,155 ) 9,735,619 2,690,636 11,150,340 13,840,976 Net Cash provided by (used in) operating activities ( 726,075,923 ) ( 131,572,088 ) ( 857,648,011 ) ( 1,237,446,626 ) ( 270,943,953 ) ( 1,508,390,579 ) Net Increase (decrease) in cash ( 917,450,161 ) ( 131,572,088 ) ( 1,049,022,249 ) 359,110,719 ( 270,943,953 ) 88,166,766 Cash, beginninng of period 2,379,042,825 218,663,282 2,597,706,107 1,826,767,616 449,385,156 2,276,152,772 Cash, End of period 1,461,592,664 87,091,194 1,548,683,858 2,185,878,335 178,441,203 2,364,319,538 NR - Not Restated. 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 28, 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. 90 Table of Contents 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 June 30, 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. 91 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 six months ended June 30, 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. June 28, 2024 Ultra Gold and UltraShort Gold 1:00 p.m. 1:30 p.m. June 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. June 28, 2024 Ultra Euro, Ultra Yen, UltraShort Euro and UltraShort Yen 3:00 p.m. 4:00 p.m. June 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. June 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 six months ended June 30, 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 six months ended June 30, 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. These instruments are classified as Level II in the fair value hierarchy. Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver and 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. 92 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 June 30, 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 $ 169,047,283 $ 3,835,199 $ —  $ —  $ 172,882,482 ProShares Ultra Bloomberg Crude Oil 387,833,913 12,882,445 —  55,947,592 456,663,950 ProShares Ultra Bloomberg Natural Gas —  ( 153,035,669 ) —  —  ( 153,035,669 ) ProShares Ultra Euro —  —  ( 140,398 ) —  ( 140,398 ) ProShares Ultra Gold 194,012,992 ( 767,692 ) —  ( 6,552,657 ) 186,692,643 ProShares Ultra Silver 457,266,538 ( 6,674,294 ) —  ( 49,402,333 ) 401,189,911 ProShares Ultra VIX Short-Term Futures ETF 49,941,835 ( 6,204,920 ) —  —  43,736,915 ProShares Ultra Yen —  —  ( 2,902,058 ) —  ( 2,902,058 ) ProShares UltraShort Bloomberg Crude Oil 104,416,492 ( 13,555,729 ) —  —  90,860,763 ProShares UltraShort Bloomberg Natural Gas 89,475,883 40,824,143 —  —  130,300,026 ProShares UltraShort Euro —  —  919,949 —  919,949 ProShares UltraShort Gold —  167,105 —  408,700 575,805 ProShares UltraShort Silver —  882,431 —  3,476,663 4,359,094 ProShares UltraShort Yen —  —  3,156,094 —  3,156,094 ProShares VIX Mid-Term Futures ETF 49,522,415 136,975 —  —  49,659,390 ProShares VIX Short-Term Futures ETF 64,756,617 ( 2,660,820 ) —  —  62,095,797 Combined Trust: $ 1,566,273,968 $ ( 124,170,826 ) $ 1,033,587 $ 3,877,965 $ 1,447,014,694 * 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. 93 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 June 30, 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. 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. 9 4 Table of Contents 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. 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 June 30, 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. 9 5 Table of Contents All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period. Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type. Futures Contracts The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract. Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction. Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market. Option Contracts An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value. 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). 96 Table of Contents When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed. Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless. Over-the-counter options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The over-the-counter market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss. Each Oil Fund (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance. Swap Agreements Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position. Swap agreements are two-party contracts that have traditionally been entered into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments. 97 Table of Contents Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset. Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques. Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at June 30, 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. 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 June 30, 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. 98 Table of Contents 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 June 30, 2024, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin. A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor. The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. 99 Table of Contents The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period. Fair Value of Derivative Instruments as of June 30, 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 Payable on open futures contracts ProShares Short VIX Short-Term Futures ETF $ 3,835,199 * $ —  ProShares Ultra VIX Short-Term Futures ETF —  6,204,920 * ProShares VIX Mid-Term Futures ETF 422,352 * 285,377 * ProShares VIX Short- Term Futures ETF —  2,660,820 * 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 68,830,037 * —  ProShares Ultra Bloomberg Natural Gas —  153,035,669 * ProShares Ultra Gold —  7,320,349 * ProShares Ultra Silver —  56,076,627 * ProShares UltraShort Bloomberg Crude Oil —  13,555,729 * ProShares UltraShort Bloomberg Natural Gas 40,824,143 * —  ProShares UltraShort Gold 575,805 * —  ProShares UltraShort Silver 4,359,094 * —  Foreign Exchange Contracts Unrealized appreciation on foreign currency forward contracts Unrealized depreciation on foreign currency forward contracts ProShares Ultra Euro —  140,398 ProShares Ultra Yen 29,111 2,931,169 ProShares UltraShort Euro 937,816 17,867 ProShares UltraShort Yen 3,371,091 214,997 Combined Trust: $ 123,184,648 * $ 242,443,922 * * 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. 100 Table of Contents 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 Payable on open futures contracts 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 Unrealized depreciation on foreign currency forward 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 * * 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. 101 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the three months ended June 30, 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 changes in unrealized appreciation (depreciation) on futures contracts ProShares Short VIX Short-Term Futures ETF $ 26,761,918 $ ( 4,177,838 ) ProShares Ultra VIX Short-Term Futures ETF ( 57,413,186 ) 11,693,863 ProShares VIX Mid-Term Futures ETF ( 8,949,418 ) 1,092,860 ProShares VIX Short-Term Futures ETF ( 27,512,354 ) 4,018,755 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 6,956,921 ( 748,073 ) ProShares Ultra Bloomberg Natural Gas 211,772,181 ( 60,263,391 ) ProShares Ultra Gold 31,567,821 ( 17,232,531 ) ProShares Ultra Silver 220,680,441 ( 87,290,676 ) ProShares UltraShort Bloomberg Crude Oil ( 143,424 ) ( 1,560,618 ) ProShares UltraShort Bloomberg Natural Gas ( 44,563,292 ) 20,547,016 ProShares UltraShort Gold ( 2,516,474 ) 1,264,436 ProShares UltraShort Silver ( 16,070,138 ) 4,902,824 Foreign Exchange Contracts Net realized gain (loss) on foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on foreign currency forward contracts ProShares Ultra Euro ( 219,350 ) 62,167 ProShares Ultra Yen ( 5,365,623 ) ( 842,412 ) ProShares UltraShort Euro 900,760 ( 199,005 ) ProShares UltraShort Yen 4,417,569 1,529,867 Combined Trust $ 340,304,352 $ ( 127,202,756 ) 102 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the six months ended June 30, 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 changes in unrealized appreciation (depreciation) on futures contracts ProShares Short VIX Short-Term Futures ETF $ 55,258,866 $ ( 8,805,425 ) ProShares Ultra VIX Short-Term Futures ETF ( 148,416,415 ) 24,978,991 ProShares VIX Mid-Term Futures ETF ( 15,057,887 ) 3,882,651 ProShares VIX Short-Term Futures ETF ( 59,271,318 ) 7,003,274 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 100,075,521 54,390,334 ProShares Ultra Bloomberg Natural Gas ( 30,408,733 ) ( 196,642,739 ) ProShares Ultra Gold 50,039,092 ( 14,495,217 ) ProShares Ultra Silver 216,209,729 ( 65,650,154 ) ProShares UltraShort Bloomberg Crude Oil ( 12,659,025 ) ( 35,992,048 ) ProShares UltraShort Bloomberg Natural Gas 91,065 44,377,650 ProShares UltraShort Gold ( 3,914,287 ) 919,857 ProShares UltraShort Silver ( 10,290,118 ) 3,484,222 Foreign Exchange Contracts Net realized gain (loss) on foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on foreign currency forward contracts ProShares Ultra Euro ( 74,776 ) ( 447,347 ) ProShares Ultra Yen ( 7,397,198 ) ( 4,421,343 ) ProShares UltraShort Euro ( 43,101 ) 2,768,728 ProShares UltraShort Yen 6,122,840 4,468,019 Combined Trust: $ 140,264,255 $ ( 180,180,547 ) 103 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the three months ended June 30, 2023 Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements ProShares Short VIX Short-Term Futures ETF $ 65,228,142 $ 9,658,017 ProShares Ultra VIX Short-Term Futures ETF ( 426,304,544 ) ( 45,320,517 ) ProShares VIX Mid-Term Futures ETF ( 6,943,333 ) ( 9,677,526 ) ProShares VIX Short-Term Futures ETF ( 127,229,299 ) ( 21,324,056 ) 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 ( 76,355,417 ) 45,434,288 ProShares Ultra Bloomberg Natural Gas ( 616,883,269 ) 658,027,300 ProShares Ultra Gold 17,196,569 ( 32,888,484 ) ProShares Ultra Silver 64,662,300 ( 119,061,722 ) ProShares UltraShort Bloomberg Crude Oil 28,046,795 ( 8,229,852 ) ProShares UltraShort Bloomberg Natural Gas 48,736,428 ( 61,246,927 ) ProShares UltraShort Gold ( 1,553,151 ) 2,758,921 ProShares UltraShort Silver 1,113,596 5,650,294 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 78,291 ( 79,023 ) ProShares Ultra Yen ( 770,142 ) ( 1,348,109 ) ProShares UltraShort Euro ( 1,045,942 ) 556,469 ProShares UltraShort Yen 1,370,771 3,145,023 Combined Trust $ ( 1,030,652,205 ) $ 426,054,096 10 4 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the six months ended June 30, 2023 Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements ProShares Short VIX Short-Term Futures ETF $ 94,832,290 $ 12,836,824 ProShares Ultra VIX Short-Term Futures ETF ( 608,537,974 ) ( 43,274,267 ) ProShares VIX Mid-Term Futures ETF ( 22,764,053 ) ( 5,086,991 ) ProShares VIX Short-Term Futures ETF ( 173,326,001 ) ( 20,176,064 ) 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 9,425,010 ( 92,725,228 ) ProShares Ultra Bloomberg Natural Gas ( 1,678,514,563 ) 605,037,663 ProShares Ultra Gold 27,996,465 ( 22,177,368 ) ProShares Ultra Silver 35,918,436 ( 96,674,064 ) ProShares UltraShort Bloomberg Crude Oil 55,661,074 2,741,263 ProShares UltraShort Bloomberg Natural Gas 232,145,072 ( 106,199,730 ) ProShares UltraShort Gold ( 2,584,032 ) 2,103,219 ProShares UltraShort Silver 3,827,219 4,467,058 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 358,570 ( 175,968 ) ProShares Ultra Yen ( 1,068,950 ) ( 1,842,176 ) ProShares UltraShort Euro ( 2,453,253 ) 702,482 ProShares UltraShort Yen 342,795 5,007,285 Combined Trust: $ ( 2,028,741,895 ) $ 244,563,938 10 5 Table of Contents Offsetting Assets and Liabilities Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of June 30, 2024. Fair Values of Derivative Instruments as of June 30, 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 $ 55,947,592 $ —   $ 55,947,592 $ —   $ —   $ —   ProShares Ultra Euro Foreign currency forward contracts —   —   —   140,398 —   140,398 ProShares Ultra Gold Swap agreements —   —   —   6,552,657 —   6,552,657 ProShares Ultra Silver Swap agreements —   —   —   49,402,333 —   49,402,333 ProShares Ultra Yen Foreign currency forward contracts 29,111 —   29,111 2,931,169 —   2,931,169 ProShares UltraShort Euro Foreign currency forward contracts 937,816 —   937,816 17,867 —   17,867 ProShares UltraShort Gold Swap agreements 408,700 —   408,700 —   —   —   ProShares UltraShort Silver Swap agreements 3,476,663 —   3,476,663 —   —   —   ProShares UltraShort Yen Foreign currency forward contracts 3,371,091 —   3,371,091 214,997 —   214,997 Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 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”. 10 6 Table of Contents Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 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. $ 12,016,665 $ ( 12,016,665 ) $ —   $ —   Goldman Sachs International 16,489,562 ( 16,489,562 ) —   —   Morgan Stanley & Co. International PLC 5,009,308 ( 5,009,308 ) —   —   Societe Generale 12,527,793 ( 12,527,793 ) —   —   UBS AG 9,904,264 ( 9,904,264 ) —   —   ProShares Ultra Euro   Goldman Sachs International ( 61,066 ) —   61,066 —   UBS AG ( 79,332 ) —   79,332 —   ProShares Ultra Gold Citibank, N.A. ( 2,813,616 ) 2,071,616 742,000 —   Goldman Sachs International ( 1,336,379 ) 1,336,379 —   —   UBS AG ( 2,402,662 ) 2,402,662 —   —   ProShares Ultra Silver Citibank, N.A. ( 21,980,835 ) 3,132,135 18,848,700 —   Goldman Sachs International ( 1,935,532 ) 1,935,532 —   —   Morgan Stanley & Co. International PLC ( 13,131,835 ) 13,131,835 —   —   UBS AG ( 12,354,131 ) 12,354,131 —   —   ProShares Ultra Yen Goldman Sachs International ( 1,433,088 ) —   1,433,088 —   UBS AG ( 1,468,970 ) —   1,468,970 —   ProShares UltraShort Euro Goldman Sachs International 499,276 ( 430,882 ) —   68,394 UBS AG 420,673 ( 356,181 ) —   64,492 ProShares UltraShort Gold Citibank, N.A. 94,178 —   —   94,178 Goldman Sachs International 123,607 —   —   123,607 UBS AG 190,915 ( 190,915 ) —   —   ProShares UltraShort Silver   Citibank, N.A. 1,555,716 ( 1,555,716 ) —   —   Goldman Sachs International 854,131 ( 854,131 ) —   —   Morgan Stanley & Co. International PLC 117,766 —   —   117,766 UBS AG 949,050 ( 949,050 ) —   —   ProShares UltraShort Yen   Goldman Sachs International 1,709,110 ( 1,662,941 ) —   46,169 UBS AG 1,446,984 ( 1,432,711 ) —   14,273 10 7 Table of Contents The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2023: 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” 10 8 Table of Contents 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 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 —   10 9 Table of Contents NOTE 4 – AGREEMENTS Management Fee Each Leveraged Fund, and each Geared VIX Fund, pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95 % per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85 % per annum of its average daily NAV of such Fund. 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. 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. 1 1 0 Table of Contents 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. 1 11 Table of Contents Transaction fees three and six months ended June 30, 2024 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows: Three Months Ended Six Months Ended Fund June 30, 2024 June 30, 2024 ProShares Short VIX Short-Term Futures ETF $ 23,362 $ 94,603 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 209,421 306,951 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 61,547 79,431 ProShares VIX Short-Term Futures ETF 32,107 64,452 Combined Trust: $ 326,437 $ 545,437 1 12 Table of Contents NOTE 6 – FINANCIAL HIGHLIGHTS Selected data for a Share outstanding throughout the three months ended June 30, 2024 For the Three Months Ended June 30, 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 March 31, 2024 $ 56.38 $ 33.19 $ 65.67 $ 11.34 $ 71.99 $ 28.53 Net investment income (loss) 0.50 0.29 0.62 0.11 0.77 0.35 Net realized and unrealized gain (loss)# 4.47 0.03 11.68 ( 0.26 ) 4.55 8.56 Change in net asset value from operations 4.97 0.32 12.30 ( 0.15 ) 5.32 8.91 Net asset value, at June 30, 2024 $ 61.35 $ 33.51 $ 77.97 $ 11.19 $ 77.31 $ 37.44 Market value per share, at March 31, 2024 † $ 56.37 $ 33.00 $ 64.30 $ 11.32 $ 72.26 $ 28.74 Market value per share, at June 30, 2024 † $ 61.39 $ 33.50 $ 78.35 $ 11.17 $ 77.04 $ 37.09 Total Return, at net asset value^ 8.8 % 1.0 % 18.7 % ( 1.3 )% 7.4 % 31.2 % Total Return, at market value^ 8.9 % 1.5 % 21.9 % ( 1.3 )% 6.6 % 29.1 % Ratios to Average Net Assets** * Expense ratio^^ 1.18 % 0.98 % 1.54 % 0.95 % 0.96 % 0.99 % Net investment income gain (loss) 3.49 % 3.62 % 3.04 % 3.87 % 3.94 % 3.77 % * 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 June 30, 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. 1 13 Table of Contents For the Three Months Ended June 30, 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 March 31, 2024 $ 31.46 $ 23.33 $ 15.92 $ 76.47 $ 30.97 $ 23.45 Net investment income (loss) 0.15 0.20 0.16 0.38 0.28 0.17 Net realized and unrealized gain (loss)# ( 8.03 ) ( 3.30 ) ( 0.51 ) ( 27.48 ) 0.61 ( 2.02 ) Change in net asset value from operations ( 7.88 ) ( 3.10 ) ( 0.35 ) ( 27.10 ) 0.89 ( 1.85 ) Net asset value, at June 30, 2024 $ 23.58 $ 20.23 $ 15.57 $ 49.37 $ 31.86 $ 21.60 Market value per share, at March 31, 2024 † $ 31.60 $ 23.35 $ 16.02 $ 78.35 $ 30.96 $ 23.38 Market value per share, at June 30, 2024 † $ 23.54 $ 20.30 $ 15.57 $ 49.19 $ 31.83 $ 21.67 Total Return, at net asset value^ ( 25.0 )% ( 13.3 )% ( 2.2 )% ( 35.4 )% 2.9 % ( 7.9 )% Total Return, at market value^ ( 25.5 )% ( 13.1 )% ( 2.8 )% ( 37.2 )% 2.8 % ( 7.3 )% Ratios to Average Net Assets** Expense ratio^^ 1.84 % 0.95 % 1.04 % 1.92 % 0.95 % 0.98 % Net investment income gain (loss) 2.17 % 3.67 % 3.89 % 2.92 % 3.54 % 3.29 % * 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 June 30, 2024. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. 11 4 Table of Contents For the Three Months Ended June 30, 2024 (unaudited) Per Share Operating Performance UltraShort Silver * UltraShort Yen * VIX Mid-Term Futures ETF VIX Short- Term Futures ETF * Net asset value, at March 31, 2024 $ 67.29 $ 40.97 $ 15.85 $ 51.72 Net investment income (loss) 0.36 0.39 0.13 0.41 Net realized and unrealized gain (loss)# ( 22.77 ) 6.27 ( 1.69 ) ( 8.80 ) Change in net asset value from operations ( 22.41 ) 6.66 ( 1.56 ) ( 8.39 ) Net asset value, at June 30, 2024 $ 44.88 $ 47.63 $ 14.29 $ 43.33 Market value per share, at March 31, 2024 † $ 66.84 $ 40.92 $ 15.85 $ 51.84 Market value per share, at June 30, 2024 † $ 45.32 $ 47.56 $ 14.33 $ 43.40 Total Return, at net asset value^ ( 33.3 )% 16.3 % ( 9.9 )% ( 16.2 )% Total Return, at market value^ ( 32.2 )% 16.2 % ( 9.6 )% ( 16.3 )% Ratios to Average Net Assets** Expense ratio^^ 1.04 % 0.95 % 1.19 % 1.04 % Net investment income gain (loss) 3.04 % 3.52 % 3.73 % 3.40 % * 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 June 30, 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. 11 5 Table of Contents Selected data for a Share outstanding throughout the three months ended June 30, 2023 For the Three Months Ended June 30, 2023 (unaudited) Per Share Operating Performance Short VIX Short-Term Futures ETF * Ultra Bloomberg Crude Oil Ultra Bloomberg Natural Gas ** Ultra Euro Ultra Gold Ultra Silver Net asset value, at March 31, 2023 $ 31.86 $ 26.53 $ 368.82 $ 11.49 $ 62.86 $ 31.10 Net investment income (loss) 0.23 0.14 1.40 0.09 0.47 0.20 Net realized and unrealized gain (loss)# 10.25 ( 2.93 ) ( 22.81 ) 0.01 ( 4.97 ) ( 4.26 ) Change in net asset value from operations 10.48 ( 2.79 ) ( 21.41 ) 0.10 ( 4.50 ) ( 4.06 ) Net asset value, at June 30, 2023 $ 42.34 $ 23.74 $ 347.41 $ 11.59 $ 58.36 $ 27.04 Market value per share, at March 31, 2023 † $ 31.88 $ 26.47 $ 361.00 $ 11.49 $ 63.02 $ 31.23 Market value per share, at June 30, 2023 † $ 42.34 $ 23.65 $ 344.95 $ 11.61 $ 58.24 $ 26.95 Total Return, at net asset value^ 32.9 % ( 10.5 )% ( 5.8 )% 0.9 % ( 7.2 )% ( 13.1 )% Total Return, at market value^ 32.8 % ( 10.7 )% ( 4.5 )% 1.0 % ( 7.6 )% ( 13.7 )% Ratios to Average Net Assets** * Expense ratio^^ 1.14 % 1.00 % 1.45 % 0.95 % 0.96 % 1.00 % Net investment income gain (loss) 2.61 % 2.20 % 1.81 % 3.27 % 3.01 % 2.61 % * 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 June 30, 2023. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. 11 6 Table of Contents For the Three Months Ended June 30, 2023 (unaudited) Per Share Operating Performance Ultra VIX Short-Term Futures ETF * Ultra Yen UltraShort Bloomberg Crude Oil UltraShort Bloomberg Natural Gas * UltraShort Euro UltraShort Gold Net asset value, at March 31, 2023 $ 231.27 $ 33.05 $ 25.15 $ 35.56 $ 29.04 $ 26.88 Net investment income (loss) 0.73 0.26 0.19 0.22 0.24 0.22 Net realized and unrealized gain (loss)# ( 139.58 ) ( 5.91 ) 0.28 ( 8.25 ) ( 0.18 ) 1.80 Change in net asset value from operations ( 138.85 ) ( 5.65 ) 0.47 ( 8.03 ) 0.06 2.02 Net asset value, at June 30, 2023 $ 92.42 $ 27.40 $ 25.62 $ 27.53 $ 29.10 $ 28.90 Market value per share, at March 31, 2023 † $ 232.50 $ 33.02 $ 25.22 $ 36.21 $ 29.04 $ 26.84 Market value per share, at June 30, 2023 † $ 92.45 $ 27.42 $ 25.70 $ 27.73 $ 29.11 $ 28.96 Total Return, at net asset value^ ( 60.0 )% ( 17.1 )% 1.9 % ( 22.6 )% 0.2 % 7.5 % Total Return, at market value^ ( 60.2 )% ( 17.0 )% 1.9 % ( 23.4 )% 0.2 % 7.9 % Ratios to Average Net Assets** Expense ratio^^ 1.55 % 0.95 % 1.11 % 1.77 % 0.95 % 0.98 % Net investment income gain (loss) 1.84 % 3.36 % 3.01 % 2.47 % 3.36 % 3.09 % * 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 June 30, 2023. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. 11 7 Table of Contents For the Three Months Ended June 30, 2023 (unaudited) Per Share Operating Performance UltraShort Silver** UltraShort Yen** VIX Mid-Term Futures ETF VIX Short- Term Futures ETF * Net asset value, at March 31, 2023 $ 74.54 $ 27.99 $ 26.79 $ 180.63 Net investment income (loss) 0.49 0.24 0.20 0.98 Net realized and unrealized gain (loss)# 6.94 5.74 ( 6.50 ) ( 81.80 ) Change in net asset value from operations 7.43 5.98 ( 6.30 ) ( 80.82 ) Net asset value, at June 30, 2023 $ 81.97 $ 33.97 $ 20.49 $ 99.81 Market value per share, at March 31, 2023 † $ 74.24 $ 28.00 $ 26.82 $ 181.00 Market value per share, at June 30, 2023 † $ 82.32 $ 33.98 $ 20.48 $ 99.84 Total Return, at net asset value^ 10.0 % 21.4 % ( 23.5 )% ( 44.8 )% Total Return, at market value^ 10.9 % 21.3 % ( 23.6 )% ( 44.8 )% Ratios to Average Net Assets** * Expense ratio^^ 1.05 % 0.95 % 1.00 % 1.08 % Net investment income gain (loss) 2.68 % 3.22 % 3.13 % 2.82 % * 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 June 30, 2023. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded. 11 8 Table of Contents S elected Data for a Share Outstanding Throughout the six months Ended June 30, 2024 For the Six Months Ended June 30, 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 $ 142.73 $ 11.86 $ 63.83 $ 27.29 Net investment income (loss) 0.91 0.44 1.28 0.21 1.31 0.54 Net realized and unrealized gain (loss)# 8.75 6.79 ( 66.04 ) ( 0.88 ) 12.17 9.61 Change in net asset value from operations 9.66 7.23 ( 64.76 ) ( 0.67 ) 13.48 10.15 Net asset value, at June 30, 2024 $ 61.35 $ 33.51 $ 77.97 $ 11.19 $ 77.31 $ 37.44 Market value per share, at December 31, 2023 † $ 51.70 $ 26.10 $ 142.20 $ 11.84 $ 63.87 $ 27.17 Market value per share, at June 30, 2024 † $ 61.39 $ 33.50 $ 78.35 $ 11.17 $ 77.04 $ 37.09 Total Return, at net asset value^ 18.7 % 27.5 % ( 45.4 )% ( 5.6 )% 21.1 % 37.2 % Total Return, at market value^ 18.7 % 28.4 % ( 44.9 )% ( 5.7 )% 20.6 % 36.5 % Ratios to Average Net Assets** * Expense ratio^^ 1.18 % 0.99 % 1.51 % 0.95 % 0.97 % 0.99 % Net investment income gain (loss) 3.28 % 2.89 % 2.89 % 3.80 % 3.70 % 3.44 % * 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 June 30, 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. 11 9 Table of Contents For the Six Months Ended June 30, 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) 0.35 0.41 0.32 0.78 0.55 0.38 Net realized and unrealized gain (loss)# ( 18.94 ) ( 7.64 ) ( 5.50 ) 0.54 2.15 ( 5.17 ) Change in net asset value from operations ( 18.59 ) ( 7.23 ) ( 5.18 ) 1.32 2.70 ( 4.79 ) Net asset value, at June 30, 2024 $ 23.58 $ 20.23 $ 15.57 $ 49.37 $ 31.86 $ 21.60 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 June 30, 2024 † $ 23.54 $ 20.30 $ 15.57 $ 49.19 $ 31.83 $ 21.67 Total Return, at net asset value^ ( 44.1 )% ( 26.3 )% ( 25.0 )% 2.8 % 9.2 % ( 18.2 )% Total Return, at market value^ ( 44.2 )% ( 26.2 )% ( 25.5 )% 2.0 % 9.2 % ( 17.8 )% Ratios to Average Net Assets** Expense ratio^^ 1.80 % 0.95 % 1.05 % 1.93 % 0.95 % 0.98 % Net investment income gain (loss) 2.16 % 3.64 % 3.77 % 2.92 % 3.58 % 3.26 % * 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 June 30, 2024. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. 1 20 Table of Contents For the Six Months Ended June 30, 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 $ 72.56 $ 34.44 $ 16.74 $ 61.99 Net investment income (loss) 0.83 0.74 0.27 0.89 Net realized and unrealized gain (loss)# ( 28.51 ) 12.45 ( 2.72 ) ( 19.55 ) Change in net asset value from operations ( 27.68 ) 13.19 ( 2.45 ) ( 18.66 ) Net asset value, at June 30, 2024 $ 44.88 $ 47.63 $ 14.29 $ 43.33 Market value per share, at December 31, 2023 † $ 72.96 $ 34.47 $ 16.75 $ 62.04 Market value per share, at June 30, 2024 † $ 45.32 $ 47.56 $ 14.33 $ 43.40 Total Return, at net asset value^ ( 38.2 )% 38.3 % ( 14.6 )% ( 30.1 )% Total Return, at market value^ ( 37.9 )% 38.0 % ( 14.5 )% ( 30.0 )% Ratios to Average Net Assets** Expense ratio^^ 1.03 % 0.95 % 1.15 % 1.04 % Net investment income gain (loss) 3.01 % 3.55 % 3.63 % 3.40 % * 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 June 30, 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. 1 21 Table of Contents Selected Data for a Share Outstanding Throughout the six months Ended June 30, 2023 For the Six Months Ended June 30, 2023 (unaudited) Per Share Operating Performance Short VIX Short-Term Futures ETF * Ultra Bloomberg Crude Oil Ultra Bloomberg Natural Gas * * Ultra Euro Ultra Gold Ultra Silver Net asset value, at December 31, 2022 $ 29.35 $ 30.26 $ 1815.41 $ 11.27 $ 55.09 $ 31.75 Net investment income (loss) 0.41 0.27 4.04 0.17 0.86 0.39 Net realized and unrealized gain (loss)# 12.58 ( 6.79 ) ( 1,472.04 ) 0.15 2.41 ( 5.10 ) Change in net asset value from operations 12.99 ( 6.52 ) ( 1,468.00 ) 0.32 3.27 ( 4.71 ) Net asset value, at June 30, 2023 $ 42.34 $ 23.74 $ 347.41 $ 11.59 $ 58.36 $ 27.04 Market value per share, at December 31, 2022 † $ 29.34 $ 30.31 $ 1,778.00 $ 11.26 $ 55.27 $ 32.00 Market value per share, at June 30, 2023 † $ 42.34 $ 23.65 $ 344.95 $ 11.61 $ 58.24 $ 26.95 Total Return, at net asset value^ 44.2 % ( 21.5 )% ( 80.9 )% 2.9 % 5.9 % ( 14.8 )% Total Return, at market value^ 44.3 % ( 22.0 )% ( 80.6 )% 3.1 % 5.4 % ( 15.8 )% Ratios to Average Net Assets** * Expense ratio^^ 1.15 % 1.00 % 1.43 % 0.95 % 0.97 % 0.99 % Net investment income gain (loss) 2.50 % 2.12 % 2.01 % 3.04 % 2.86 % 2.65 % * 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 June 30, 2023. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. 1 22 Table of Contents For the Six Months Ended June 30, 2023 (unaudited) Per Share Operating Performance Ultra VIX Short-Term Futures ETF * Ultra Yen UltraShort Bloomberg Crude Oil UltraShort Bloomberg Natural Gas * UltraShort Euro UltraShort Gold Net asset value, at December 31, 2022 $ 343.43 $ 34.54 $ 23.93 $ 13.50 $ 29.46 $ 31.10 Net investment income (loss) 1.64 0.49 0.36 0.33 0.45 0.39 Net realized and unrealized gain (loss)# ( 252.65 ) ( 7.63 ) 1.33 13.70 ( 0.81 ) ( 2.59 ) Change in net asset value from operations ( 251.01 ) ( 7.14 ) 1.69 14.03 ( 0.36 ) ( 2.20 ) Net asset value, at June 30, 2023 $ 92.42 $ 27.40 $ 25.62 $ 27.53 $ 29.10 $ 28.90 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 June 30, 2023 † $ 92.45 $ 27.42 $ 25.70 $ 27.73 $ 29.11 $ 28.96 Total Return, at net asset value^ ( 73.1 )% ( 20.7 )% 7.1 % 103.9 % ( 1.2 )% ( 7.1 )% Total Return, at market value^ ( 73.1 )% ( 20.7 )% 7.8 % 101.2 % ( 1.2 )% ( 6.6 )% Ratios to Average Net Assets** Expense ratio^^ 1.56 % 0.95 % 1.09 % 1.74 % 0.95 % 0.99 % Net investment income gain (loss) 1.66 % 3.05 % 2.92 % 2.27 % 3.08 % 2.81 % * See Note 1 of these Notes to Financial Statements. ** Percentages are annualized. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^ Percentages are not annualized for the period ended June 30, 2023. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. 1 23 Table of Contents For the Six Months Ended June 30, 2023 (unaudited) Per Share Operating Performance UltraShort Silver * * UltraShort Yen * * VIX Mid-Term Futures ETF VIX Short- Term Futures ETF * Net asset value, at December 31, 2022 $ 77.82 $ 26.84 $ 30.41 $ 228.01 Net investment income (loss) 0.94 0.44 0.38 2.10 Net realized and unrealized gain (loss)# 3.21 6.69 ( 10.30 ) ( 130.30 ) Change in net asset value from operations 4.15 7.13 ( 9.92 ) ( 128.20 ) Net asset value, at June 30, 2023 $ 81.97 $ 33.97 $ 20.49 $ 99.81 Market value per share, at December 31, 2022 † $ 77.20 $ 26.79 $ 30.36 $ 227.60 Market value per share, at June 30, 2023 † $ 82.32 $ 33.98 $ 20.48 $ 99.84 Total Return, at net asset value^ 5.3 % 26.6 % ( 32.6 )% ( 56.2 )% Total Return, at market value^ 6.6 % 26.8 % ( 32.5 )% ( 56.1 )% Ratios to Average Net Assets** * Expense ratio^^ 1.05 % 0.95 % 0.98 % 1.09 % Net investment income gain (loss) 2.44 % 3.06 % 2.90 % 2.61 % * 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 June 30, 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. 12 4 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. 12 5 Table of Contents 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; (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; (12) large movements of assets into and/or out of a Fund, particularly late in the day; (13) significant and/or rapid increases in the size of the Fund as a result of an increase in creation activity that cause the Fund to approach or reach position or accountability limits or other portfolio limits; and (14) events such as natural disasters (including disease, epidemics and pandemics) that can be highly disruptive to economies, markets and companies including, but not limited to, the Sponsor and third party service providers. 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. The target amount of portfolio exposure is impacted dynamically by a benchmark’s movements, including intraday movements. 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. If for any reason a Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund’s investment exposure may not be consistent with the Fund’s investment objective. In these instances, the Fund may have investment exposure to its benchmark that is significantly greater or less than its stated multiple. As a result, the Fund may be more or less exposed to leverage risk than if it had been properly rebalanced and may not achieve its investment objective. 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. 126 Table of Contents 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. 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. 127 Table of Contents 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. “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 12 8 Table of Contents 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 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. 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, geopolitical conflict, including, war and armed conflicts (such as Russia’s continued military actions against Ukraine that started in February 2022, the Israel-Hamas conflict, the Houthi movement’s attacks on marine vessels in the Red Sea, and the expansion of such conflicts in surrounding areas), 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 October 28, 2024, the Trust announced a 2-for-1 forward split of the shares of beneficial interest of ProShares UltraShort Yen (ticker symbol: YCS) and a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and ProShares VIX Short-Term Futures (ticker symbol: VIXY) and a 1-for-5 reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Natural Gas (ticker symbol: BOIL) . The splits were effective prior to market open on November 7, 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 ZSL, VIXY, BOIL shareholders who hold a quantity of shares that is not an exact multiple of the Reverse Split ratio (i.e., not a multiple of 4 or 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. 12 9 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 June 30, 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. 126 Table of Contents Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”). ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public. The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov. 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 begin 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 began 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. On October 28, 2024, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and a reverse share split on ProShares UltraShort Silver, ProShares VIX Short-Term Futures, ProShares Ultra Bloomberg Natural Gas. The Splits did not change the value of a shareholder’s investment. ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. The Forward Splits were effective at the market open on November 7, 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 UltraShort Silver and ProShares ProShares VIX Short-Term Futures executed a 1:4 Reverse Split of its shares and ProShares Ultra Bloomberg Natural Gas executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on November 7, 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 (74347Y722 for ZSL), (74347Y730 for VIXY), (74347Y748 for BOIL). The Reverse Split increased the price per share of the Fund with a proportionate decrease in the number of shares outstanding. 127 Table of Contents Liquidity and Capital Resources In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and six months ended June 30, 2024 and 2023, each of the Funds earned interest income as follows: Fund Interest Income Three Months Ended June 30, 2024 Interest Income Three Months Ended June 30, 2023 Interest Income Six Months Ended June 30, 2024 Interest Income Six Months Ended June 30, 2023 ProShares Short VIX Short-Term Futures ETF $ 3,457,223 $ 2,437,210 $ 6,766,508 $ 4,546,332 ProShares Ultra Bloomberg Crude Oil 6,506,199 5,878,092 11,516,649 11,886,000 ProShares Ultra Bloomberg Natural Gas 6,418,687 8,866,705 12,870,827 17,825,228 ProShares Ultra Euro 70,817 88,182 149,303 185,419 ProShares Ultra Gold 2,819,359 1,983,196 4,833,274 3,632,210 ProShares Ultra Silver 6,245,723 3,701,182 9,880,580 7,075,578 ProShares Ultra VIX Short-Term Futures ETF 2,335,823 4,750,595 5,094,065 9,167,250 ProShares Ultra Yen 483,557 114,980 853,811 235,098 ProShares UltraShort Bloomberg Crude Oil 2,290,280 1,560,028 4,533,047 3,563,237 ProShares UltraShort Bloomberg Natural Gas 1,577,496 1,344,889 2,924,574 2,531,641 ProShares UltraShort Euro 429,872 593,746 888,189 1,240,866 ProShares UltraShort Gold 176,727 184,052 319,930 316,614 ProShares UltraShort Silver 597,421 323,734 978,854 523,812 ProShares UltraShort Yen 456,243 255,354 771,660 459,554 ProShares VIX Mid-Term Futures ETF 1,106,849 650,585 1,622,013 1,298,505 ProShares VIX Short-Term Futures ETF 1,619,921 2,440,291 3,378,183 4,560,852 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). 128 Table of Contents Market Risk Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk. For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q. Credit Risk When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associ