ProShares Trust II 10-Q

Item 3. Quantitative and Qualitative Disclosures About Market Risk. Quantitative Disclosure Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. 169 Table of Contents The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of September 30, 2024 and 2023, each of the Fund’s positions were as follows: ProShares Short VIX Short-Term Futures ETF As of September 30, 2024 and 2023, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2024 and 2023, which were sensitive to equity market volatility risk. Futures Positions as of September 30, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Short October 2024 5,429 $ 18.84 1,000 $ (102,295,932 ) VIX Futures (Cboe) Short November 2024 4,431 18.10 1,000 (80,190,023 ) Futures Positions as of September 30, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Short October 2023 4,373 $ 17.77 1,000 $ (77,713,457 ) VIX Futures (Cboe) Short November 2023 2,906 18.25 1,000 (53,023,748 ) The September 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. 170 Table of Contents ProShares Ultra Bloomberg Crude Oil: As of September 30, 2024 and 2023, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of September 30, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value WTI Crude Oil (NYMEX) Long December 2024 2,269 $ 67.77 1,000 $ 153,770,130 WTI Crude Oil (NYMEX) Long June 2025 2,326 66.93 1,000 155,679,180 WTI Crude Oil (NYMEX) Long December 2025 2,361 66.39 1,000 156,746,790 Swap Agreements as of September 30, 2024 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Commodity Balanced WTI Crude Oil Index Citibank, N.A. Long $ 80.8609 $ 143,374,704 Bloomberg Commodity Balanced WTI Crude Oil Index Goldman Sachs International Long 80.8609 226,614,289 Bloomberg Commodity Balanced WTI Crude Oil Index Morgan Stanley & Co. International PLC Long 80.8609 68,842,383 Bloomberg Commodity Balanced WTI Crude Oil Index Societe Generale Long 80.8609 172,015,554 Bloomberg Commodity Balanced WTI Crude Oil Index UBS AG Long 80.8609 109,053,861 Futures Positions as of September 30, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value WTI Crude Oil (NYMEX) Long December 2023 879 $ 88.80 1,000 $ 78,055,200 WTI Crude Oil (NYMEX) Long June 2024 920 81.12 1,000 74,630,400 WTI Crude Oil (NYMEX) Long December 2024 956 77.86 1,000 74,434,160 Swap Agreements as of September 30, 2023 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Commodity Balanced WTI Crude Oil Index Citibank, N.A. Long $ 93.5651 $ 210,901,349 Bloomberg Commodity Balanced WTI Crude Oil Index Goldman Sachs International Long 93.5651 262,218,064 Bloomberg Commodity Balanced WTI Crude Oil Index Morgan Stanley & Co. International PLC Long 93.5651 151,363,911 Bloomberg Commodity Balanced WTI Crude Oil Index Societe Generale Long 93.5651 199,041,224 Bloomberg Commodity Balanced WTI Crude Oil Index UBS AG Long 93.5651 157,428,427 The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal 171 Table of Contents to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian. ProShares Ultra Bloomberg Natural Gas: As of September 30, 2024 and 2023, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts linked to the Bloomberg Natural Gas Subindex. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of September 30, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Natural Gas (NYMEX) Long November 2024 44,626 $ 2.92 10,000 $ 1,304,417,980 Futures Positions as of September 30, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Natural Gas (NYMEX) Long November 2023 50,182 $ 2.93 10,000 $ 1,469,830,780 Swap Agreements as of September 30, 2023 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Natural Gas Subindex Citibank, N.A. Long $ 0.0799 $ 132,651,213 Bloomberg Natural Gas Subindex Goldman Sachs International Long 0.0799 90,634,449 Bloomberg Natural Gas Subindex Societe General Long 0.0799 47,221,373 Bloomberg Natural Gas Subindex UBS AG Long 0.0799 725,704 The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2023 swap notional values are calculated by multiplying the number of units times the closing level of the Index. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian. ProShares Ultra Euro: As of September 30, 2024 and 2023, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to exchange rate price risk. 172 Table of Contents Foreign Currency Forward Contracts as of September 30, 2024 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Euro Goldman Sachs International Long 10/04/24 4,874,921 1.1085 $ 5,403,839 Euro UBS AG Long 10/04/24 5,080,502 1.1087 5,632,724 Euro Goldman Sachs International Short 10/04/24 (56,000 ) 1.1048 (61,871 ) Euro UBS AG Short 10/04/24 (127,000 ) 1.1116 (141,168 ) Foreign Currency Forward Contracts as of September 30, 2023 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Euro Goldman Sachs International Long 10/06/23 7,691,921 1.0752 $ 8,270,353 Euro UBS AG Long 10/06/23 4,954,502 1.0752 5,327,055 Euro UBS AG Short 10/06/23 (323,000 ) 1.0602 (342,445 ) The September 30, 2024 and 2023 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian. ProShares Ultra Gold: As of September 30, 2024 and 2023 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of September 30, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Gold Futures (COMEX) Long December 2024 1,004 $ 2,659.40 100 $ 267,003,760 Swap Agreements as of September 30, 2024 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Gold Subindex Citibank, N.A. Long $ 256.4490 $ 142,005,537 Bloomberg Gold Subindex Goldman Sachs International Long 256.4490 67,448,138 Bloomberg Gold Subindex UBS AG Long 256.4490 121,264,368 Futures Positions as of September 30, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Gold Futures (COMEX) Long December 2023 264 $ 1,866.10 100 $ 49,265,040 173 Table of Contents Swap Agreements as of September 30, 2023 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Gold Subindex Citibank, N.A. Long $ 190.8900 $ 105,703,033 Bloomberg Gold Subindex Goldman Sachs International Long 190.8900 50,205,597 Bloomberg Gold Subindex UBS AG Long 190.8900 90,264,166 The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian. ProShares Ultra Silver: As of September 30, 2024 and 2023 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of September 30, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Silver Futures (COMEX) Long December 2024 3,954 $ 31.46 5,000 $ 621,924,660 Swap Agreements as of September 30, 2024 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Silver Subindex Citibank, N.A. Long $ 251.8376 $ 316,950,428 Bloomberg Silver Subindex Goldman Sachs International Long 251.8376 27,896,806 Bloomberg Silver Subindex Morgan Stanley & Co. International PLC Long 251.8376 189,269,052 Bloomberg Silver Subindex UBS AG Long 251.8376 178,139,138 Futures Positions as of September 30, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Silver Futures (COMEX) Long December 2023 1,756 $ 22.45 5,000 $ 197,111,000 174 Table of Contents Swap Agreements as of September 30, 2023 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Silver Subindex Citibank, N.A. Long $ 190.6601 $ 159,867,323 Bloomberg Silver Subindex Goldman Sachs International Long 190.6601 21,119,991 Bloomberg Silver Subindex Morgan Stanley & Co. International PLC Long 190.6601 143,290,980 Bloomberg Silver Subindex UBS AG Long 190.6601 134,864,794 The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian. ProShares Ultra VIX Short-Term Futures ETF As of September 30, 2024 and 2023, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to equity market volatility risk. Futures Positions as of September 30, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long October 2024 12,712 $ 18.84 1,000 $ 239,525,860 VIX Futures (Cboe) Long November 2024 10,409 18.10 1,000 188,376,878 Futures Positions as of September 30, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long October 2023 14,181 $ 17.77 1,000 $ 252,013,387 VIX Futures (Cboe) Long November 2023 9,464 18.25 1,000 172,682,983 The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. 175 Table of Contents ProShares Ultra Yen: As of September 30, 2024 and 2023, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to exchange rate price risk. Foreign Currency Forward Contracts as of September 30, 2024 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Yen Goldman Sachs International Long 10/04/24 8,074,137,056 0.006967 $ 56,252,032 Yen UBS AG Long 10/04/24 9,098,731,856 0.006991 63,607,294 Yen Goldman Sachs International Short 10/04/24 (604,074,000 ) 0.006967 (4,208,522 ) Yen UBS AG Short 10/04/24 (1,280,959,000 ) 0.006973 (8,932,441 ) Foreign Currency Forward Contracts as of September 30, 2023 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Yen Goldman Sachs International Long 10/06/23 2,355,724,056 0.006813 $ 16,049,086 Yen UBS AG Long 10/06/23 2,976,699,856 0.006807 20,261,769 Yen UBS AG Short 10/06/23 (97,972,000 ) 0.006790 (665,202 ) The September 30, 2024 and 2023 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian. ProShares UltraShort Bloomberg Crude Oil: As of September 30, 2024 and 2023, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk. 176 Table of Contents Futures Positions as of September 30, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value WTI Crude Oil (NYMEX) Short December 2024 942 $ 67.77 1,000 $ (63,839,340 ) WTI Crude Oil (NYMEX) Short June 2025 965 66.93 1,000 (64,587,450 ) WTI Crude Oil (NYMEX) Short December 2025 980 66.39 1,000 (65,062,200 ) Futures Positions as of September 30, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value WTI Crude Oil (NYMEX) Short December 2023 2,296 $ 88.80 1,000 $ (203,884,800 ) WTI Crude Oil (NYMEX) Short June 2024 2,404 81.12 1,000 (195,012,480 ) WTI Crude Oil (NYMEX) Short December 2024 2,500 77.86 1,000 (194,650,000 ) The September 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. ProShares UltraShort Bloomberg Natural Gas: As of September 30, 2024 and 2023, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of September 30, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Natural Gas (NYMEX) Short November 2024 9,079 $ 2.92 10,000 $ (265,379,170 ) Futures Positions as of September 30, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Natural Gas (NYMEX) Short November 2023 7,624 $ 2.93 10,000 $ (223,306,960 ) The September 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. 177 Table of Contents ProShares UltraShort Euro: As of September 30, 2024 and 2023, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to exchange rate price risk. Foreign Currency Forward Contracts as of September 30, 2024 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Euro Goldman Sachs International Long 10/04/24 2,449,000 1.1163 $ 2,733,800 Euro UBS AG Long 10/04/24 4,937,000 1.1127 5,493,208 Euro Goldman Sachs International Short 10/04/24 (33,971,263 ) 1.1082 (37,647,518 ) Euro UBS AG Short 10/04/24 (32,544,199 ) 1.1088 (36,083,920 ) Foreign Currency Forward Contracts as of September 30, 2023 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Euro Goldman Sachs International Long 10/06/23 486,000 1.0694 $ 519,743 Euro UBS AG Long 10/06/23 10,804,000 1.0696 11,556,452 Euro Goldman Sachs International Short 10/06/23 (43,752,263 ) 1.0751 (47,038,130 ) Euro UBS AG Short 10/06/23 (50,970,199 ) 1.0735 (54,717,780 ) The September 30, 2024 and 2023 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian. ProShares UltraShort Gold: As of September 30, 2024 and 2023 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk. 178 Table of Contents Futures Positions as of September 30, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Gold Futures (COMEX) Short December 2024 57 $ 2,659.40 100 $ (15,158,580 ) Swap Agreements as of September 30, 2024 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Gold Subindex Citibank, N.A. Short $ 256.4490 $ (4,820,548 ) Bloomberg Gold Subindex Goldman Sachs International Short 256.4490 (6,317,878 ) Bloomberg Gold Subindex UBS AG Short 256.4490 (9,772,030 ) Futures Positions as of September 30, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Gold Futures (COMEX) Short December 2023 71 $ 1,866.10 100 $ (13,249,310 ) Swap Agreements as of September 30, 2023 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Gold Subindex Citibank, N.A. Short $ 190.8900 $ (3,588,216 ) Bloomberg Gold Subindex Goldman Sachs International Short 190.8900 (4,702,766 ) Bloomberg Gold Subindex UBS AG Short 190.8900 (7,273,894 ) The September 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian. ProShares UltraShort Silver: As of September 30, 2024 and 2023 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to commodity price risk. 179 Table of Contents Futures Positions as of September 30, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Silver Futures (COMEX) Short December 2024 154 $ 31.46 5,000 $ (24,222,660 ) Swap Agreements as of September 30, 2024 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Silver Subindex Citibank, N.A. Short $ 251.8376 $ (22,532,595 ) Bloomberg Silver Subindex Goldman Sachs International Short 251.8376 (12,371,018 ) Bloomberg Silver Subindex Morgan Stanley & Co. International PLC Short 251.8376 (1,706,452 ) Bloomberg Silver Subindex UBS AG Short 251.8376 (3,643,614 ) Futures Positions as of September 30, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Silver Futures (COMEX) Short December 2023 109 $ 22.45 5,000 $ (12,235,250 ) Swap Agreements as of September 30, 2023 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Silver Subindex Citibank, N.A. Short $ 190.6601 $ (2,570,998 ) Bloomberg Silver Subindex Goldman Sachs International Short 190.6601 (9,365,796 ) Bloomberg Silver Subindex Morgan Stanley & Co. International PLC Short 190.6601 (7,405,429 ) Bloomberg Silver Subindex UBS AG Short 190.6601 (2,368,019 ) The September 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2024 and 2023 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian. ProShares UltraShort Yen: As of September 30, 2024 and 2023, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2024 and 2023, which were sensitive to exchange rate price risk. 180 Table of Contents Foreign Currency Forward Contracts as of September 30, 2024 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Yen Goldman Sachs International Long 10/04/24 766,460,000 0.007045 $ 5,400,022 Yen UBS AG Long 10/04/24 1,844,169,000 0.007031 12,965,860 Yen Goldman Sachs International Short 10/04/24 (5,401,596,165 ) 0.006961 (37,598,687 ) Yen UBS AG Short 10/04/24 (7,246,500,574 ) 0.006960 (50,438,174 ) Foreign Currency Forward Contracts as of September 30, 2023 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Yen UBS AG Long 10/06/23 428,237,000 0.006813 $ 2,917,500 Yen Goldman Sachs International Short 10/06/23 (3,330,184,165 ) 0.006821 (22,714,958 ) Yen UBS AG Short 10/06/23 (4,908,633,574 ) 0.006814 (33,445,689 ) The September 30, 2024 and 2023 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian. ProShares VIX Mid-Term Futures ETF As of September 30, 2024 and 2023, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2024 and 2023, which were sensitive to equity market volatility risk. Futures Positions as of September 30, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long January 2025 379 $ 18.55 1,000 $ 7,030,715 VIX Futures (Cboe) Long February 2025 689 18.85 1,000 12,987,994 VIX Futures (Cboe) Long March 2025 689 18.98 1,000 13,073,775 VIX Futures (Cboe) Long April 2025 309 19.09 1,000 5,898,347 Futures Positions as of September 30, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long January 2024 617 $ 19.10 1,000 $ 11,784,515 VIX Futures (Cboe) Long February 2024 1,028 19.30 1,000 19,841,839 VIX Futures (Cboe) Long March 2024 1,028 19.60 1,000 20,146,847 VIX Futures (Cboe) Long April 2024 411 19.90 1,000 8,178,119 The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in 181 Table of Contents notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. ProShares VIX Short-Term Futures ETF As of September 30, 2024 and 2023, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of September 30, 2024 and 2023, which were sensitive to equity market volatility risk. Futures Positions as of September 30, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long October 2024 4,851 $ 18.84 1,000 $ 91,404,968 VIX Futures (Cboe) Long November 2024 3,974 18.10 1,000 71,919,465 Futures Positions as of September 30, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long October 2023 7,067 $ 17.77 1,000 $ 125,589,070 VIX Futures (Cboe) Long November 2023 4,719 18.25 1,000 86,104,290 Share The September 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. 182 Table of Contents Qualitative Disclosure As described in Item 7 in the Annual Report on Form 10-K, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, of its corresponding benchmark (referred to as the “Daily Target”). Each 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 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, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative one-half, one, one and one-half, two or three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Primary Market Risk Exposure The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity). Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading strategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital. As described in Item 7 in the Annual Report on Form 10-K, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity 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 can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk. Commodity Price Sensitivity As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund. Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark). Exchange Rate Sensitivity As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect 183 Table of Contents the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund. Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark). Equity Market Volatility Sensitivity As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest. Managing Market Risks Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-0.5x, -2x, 1.5x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times in “Note 2—Significant Accounting Policies—Final Net Asset Value for Fiscal Period”), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described in Item 7 of the Annual Report on Form 10-K, these adjustments are done through the use of various Financial Instruments. Factors common to all Funds that may require portfolio re-positioning are creation/redemption activity and index rebalances. For Geared Funds, the impact of the index’s movements each day also affects whether the Fund’s portfolio needs to be rebalanced. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds and UltraShort Funds will generally decrease when the Index rises on a given day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. As a result, the Fund’s short exposure may need to be increased. The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily. Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in both non-interest bearing and interest bearing demand deposit accounts. The Funds may also invest a portion of this cash in cash equivalents (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).