ProShares Trust II 10-K

Item 7A. Quantitative and Qualitative Disclosures About Market Risk. Quantitative Disclosure Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of December 31, 2024 and 2023, each of the Fund’s positions were as follows: ProShares Short VIX Short-Term Futures ETF As of December 31, 2024 and 2023, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of December 31, 2024 and 2023, which were sensitive to equity market volatility risk. Futures Positions as of December 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Short January 2025 4,447 $ 17.52 1,000 $ (77,901,212 ) VIX Futures (Cboe) Short February 2025 3,080 17.87 1,000 (55,042,064 ) Futures Positions as of December 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Short January 2024 5,412 $ 14.05 1,000 $ (76,045,095 ) VIX Futures (Cboe) Short February 2024 3,778 15.30 1,000 (57,786,021 ) The December 31, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in this Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. 78 Table of Contents ProShares Ultra Bloomberg Crude Oil: As of December 31, 2024 and 2023, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of 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 December 31, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of December 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value WTI Crude Oil (NYMEX) Long March 2025 1,370 $ 71.25 1,000 $ 97,612,500 WTI Crude Oil (NYMEX) Long June 2025 1,400 70.17 1,000 98,238,000 WTI Crude Oil (NYMEX) Long December 2025 1,423 68.19 1,000 97,034,370 Swap Agreements as of December 31, 2024 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Commodity Balanced WTI Crude Oil Index Citibank, N.A. Long $ 84.6842 $ 150,153,809 Bloomberg Commodity Balanced WTI Crude Oil Index Goldman Sachs International Long 84.6842 237,329,164 Bloomberg Commodity Balanced WTI Crude Oil Index Morgan Stanley & Co. International PLC Long 84.6842 72,097,418 Bloomberg Commodity Balanced WTI Crude Oil Index Societe Generale Long 84.6842 180,148,868 Bloomberg Commodity Balanced WTI Crude Oil Index UBS AG Long 84.6842 114,210,193 Futures Positions as of December 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value WTI Crude Oil (NYMEX) Long March 2024 2,085 $ 71.84 1,000 $ 149,786,400 WTI Crude Oil (NYMEX) Long June 2024 2,185 72.12 1,000 157,582,200 WTI Crude Oil (NYMEX) Long December 2024 2,270 70.30 1,000 159,581,000 Swap Agreements as of December 31, 2023 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Commodity Balanced WTI Crude Oil Index Citibank, N.A. Long $ 81.6342 $ 184,008,385 Bloomberg Commodity Balanced WTI Crude Oil Index Goldman Sachs International Long 81.6342 228,781,478 Bloomberg Commodity Balanced WTI Crude Oil Index Morgan Stanley & Co. International PLC Long 81.6342 114,458,740 Bloomberg Commodity Balanced WTI Crude Oil Index Societe Generale Long 81.6342 173,660,597 Bloomberg Commodity Balanced WTI Crude Oil Index UBS AG Long 81.6342 137,354,031 The December 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The December 31, 2024 and 2023 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such 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 this 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. 79 Table of Contents ProShares Ultra Bloomberg Natural Gas: As of December 31, 2024 and 2023, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of December 31, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of December 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Natural Gas (NYMEX) Long March 2025 25,569 $ 3.10 10,000 $ 792,127,620 Futures Positions as of December 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Natural Gas (NYMEX) Long March 2024 62,768 $ 2.33 10,000 $ 1,460,611,360 The December 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The 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 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 this Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. ProShares Ultra Euro: As of December 31, 2024 and 2023, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of December 31, 2024 and 2023, which were sensitive to exchange rate price risk. Foreign Currency Forward Contracts as of December 31, 2024 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Euro Goldman Sachs International Long 01/10/25 5,751,921 1.0511 $ 6,045,796 Euro UBS AG Long 01/10/25 5,694,502 1.0511 5,985,285 Euro Goldman Sachs International Short 01/10/25 (58,000 ) 1.0554 (61,213 ) Euro UBS AG Short 01/10/25 (287,000 ) 1.0405 (298,613 ) Foreign Currency Forward Contracts as of December 31, 2023 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Euro Goldman Sachs International Long 01/19/24 6,949,921 1.0812 $ 7,514,530 Euro UBS AG Long 01/19/24 6,107,502 1.0812 6,603,566 Euro Goldman Sachs International Short 01/19/24 (102,000 ) 1.0908 (111,263 ) Euro UBS AG Short 01/19/24 (75,000 ) 1.1043 (82,821 ) The December 31, 2024 and 2023 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in this 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. 80 Table of Contents ProShares Ultra Gold: As of December 31, 2024 and 2023 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex SM . The following tables provide information about the Fund’s positions in these Financial Instruments as of December 31, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of December 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Gold Futures (COMEX) Long February 2025 961 $ 2,641.00 100 $ 253,800,100 Swap Agreements as of December 31, 2024 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Gold Subindex Citibank, N.A. Long $ 252.3576 $ 139,739,974 Bloomberg Gold Subindex Goldman Sachs International Long 252.3576 66,372,068 Bloomberg Gold Subindex UBS AG Long 252.3576 119,329,710 Futures Positions as of December 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Gold Futures (COMEX) Long February 2024 543 $ 2,071.80 100 $ 112,498,740 Swap Agreements as of December 31, 2023 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Gold Subindex Citibank, N.A. Long $ 209.7737 $ 116,159,653 Bloomberg Gold Subindex Goldman Sachs International Long 209.7737 55,172,161 Bloomberg Gold Subindex UBS AG Long 209.7737 99,193,505 The December 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The December 31, 2024 and 2023 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures or swap contract 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 this Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements 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 Silver: As of December 31, 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 December 31, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of December 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Silver Futures (COMEX) Long March 2025 3,220 $ 29.24 5,000 $ 470,796,200 Swap Agreements as of December 31, 2024 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Silver Subindex Citibank, N.A. Long $ 230.8971 $ 290,595,744 Bloomberg Silver Subindex Goldman Sachs International Long 230.8971 25,577,165 Bloomberg Silver Subindex Morgan Stanley & Co. International PLC Long 230.8971 173,531,177 Bloomberg Silver Subindex UBS AG Long 230.8971 163,326,725 Futures Positions as of December 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Silver Futures (COMEX) Long March 2024 2,609 $ 24.09 5,000 $ 314,201,870 81 Table of Contents Swap Agreements as of December 31, 2023 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Silver Subindex Citibank, N.A. Long $ 201.5625 $ 149,709,309 Bloomberg Silver Subindex Goldman Sachs International Long 201.5625 22,327,683 Bloomberg Silver Subindex Morgan Stanley & Co. International PLC Long 201.5625 151,484,700 Bloomberg Silver Subindex UBS AG Long 201.5625 142,576,685 The December 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The December 31, 2024 and 2023 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures or swap contract 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 this Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements 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 VIX Short-Term Futures ETF As of December 31, 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 December 31, 2024 and 2023, which were sensitive to equity market volatility risk. Futures Positions as of December 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long January 2025 14,280 $ 17.52 1,000 $ 250,152,756 VIX Futures (Cboe) Long February 2025 9,884 17.87 1,000 176,634,987 Futures Positions as of December 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long January 2024 21,109 $ 14.05 1,000 $ 296,606,781 VIX Futures (Cboe) Long February 2024 14,767 15.30 1,000 225,867,172 The December 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The 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 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 this Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. 82 Table of Contents ProShares Ultra Yen: As of December 31, 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 December 31, 2024 and 2023, which were sensitive to exchange rate price risk. Foreign Currency Forward Contracts as of December 31, 2024 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Yen Goldman Sachs International Long 01/10/25 7,308,549,056 0.006662 $ 48,686,512 Yen UBS AG Long 01/10/25 7,519,501,856 0.006653 50,029,811 Yen Goldman Sachs International Short 01/10/25 (66,274,000 ) 0.006608 (437,906 ) Yen UBS AG Short 01/10/25 (730,519,000 ) 0.006541 (4,778,493 ) Foreign Currency Forward Contracts as of December 31, 2023 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Yen Goldman Sachs International Long 01/19/24 4,094,365,056 0.006956 $ 28,479,995 Yen UBS AG Long 01/19/24 4,865,329,856 0.006932 33,725,255 Yen Goldman Sachs International Short 01/19/24 (17,917,000 ) 0.007066 (126,593 ) Yen UBS AG Short 01/19/24 (446,432,000 ) 0.007081 (3,161,193 ) The December 31, 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 this 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 December 31, 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 December 31, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of December 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value WTI Crude Oil (NYMEX) Short March 2025 1,140 $ 71.25 1,000 $ (81,225,000 ) WTI Crude Oil (NYMEX) Short June 2025 1,167 70.17 1,000 (81,888,390 ) WTI Crude Oil (NYMEX) Short December 2025 1,186 68.19 1,000 (80,873,340 ) Futures Positions as of December 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value WTI Crude Oil (NYMEX) Short March 2024 1,688 $ 71.84 1,000 $ (121,265,920 ) WTI Crude Oil (NYMEX) Short June 2024 1,769 72.12 1,000 (127,580,280 ) WTI Crude Oil (NYMEX) Short December 2024 1,836 70.30 1,000 (129,070,800 ) The December 31, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its 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 this Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. 83 Table of Contents ProShares UltraShort Bloomberg Natural Gas: As of December 31, 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 December 31, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of December 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Natural Gas (NYMEX) Short March 2025 16,846 $ 3.10 10,000 $ (521,889,080 ) Futures Positions as of December 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Natural Gas (NYMEX) Short March 2024 12,109 $ 2.33 10,000 $ (281,776,430 ) The December 31, 2024 and 2023 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its 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 this Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. ProShares UltraShort Euro: As of December 31, 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 December 31, 2024 and 2023, which were sensitive to exchange rate price risk. Foreign Currency Forward Contracts as of December 31, 2024 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Euro UBS AG Long 01/10/25 3,395,000 1.0459 $ 3,550,930 Euro Goldman Sachs International Short 01/10/25 (38,554,263 ) 1.0514 (40,536,982 ) Euro UBS AG Short 01/10/25 (45,657,199 ) 1.0495 (47,919,075 ) Foreign Currency Forward Contracts as of December 31, 2023 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Euro Goldman Sachs International Long 01/19/24 5,315,000 1.0996 $ 5,844,378 Euro UBS AG Long 01/19/24 3,395,000 1.1019 3,740,853 Euro Goldman Sachs International Short 01/19/24 (41,248,263 ) 1.0808 (44,581,171 ) Euro UBS AG Short 01/19/24 (38,689,199 ) 1.0817 (41,851,081 ) The December 31, 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 this 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. 84 Table of Contents ProShares UltraShort Gold: As of December 31, 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 December 31, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of December 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Gold Futures (COMEX) Short February 2025 48 $ 2,641.00 100 $ (12,676,800 ) Swap Agreements as of December 31, 2024 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Gold Subindex Citibank, N.A. Short $ 252.3576 $ (4,743,641 ) Bloomberg Gold Subindex Goldman Sachs International Short 252.3576 (6,217,082 ) Bloomberg Gold Subindex UBS AG Short 252.3576 (9,616,126 ) Futures Positions as of December 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Gold Futures (COMEX) Short February 2024 31 $ 2,071.80 100 $ (6,422,580 ) Swap Agreements as of December 31, 2023 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Gold Subindex Citibank, N.A. Short $ 209.7737 $ (3,943,178 ) Bloomberg Gold Subindex Goldman Sachs International Short 209.7737 (5,167,985 ) Bloomberg Gold Subindex UBS AG Short 209.7737 (7,993,460 ) The December 31, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The December 31, 2024 and 2023 short 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 or swap contract 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 this Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements 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 Silver: As of December 31, 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 December 31, 2024 and 2023, which were sensitive to commodity price risk. Futures Positions as of December 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Silver Futures (COMEX) Short March 2025 72 $ 29.24 5,000 $ (10,527,120 ) Swap Agreements as of December 31, 2024 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Silver Subindex Citibank, N.A. Short $ 230.8971 $ (20,658,992 ) Bloomberg Silver Subindex Goldman Sachs International Short 230.8971 (11,342,358 ) Bloomberg Silver Subindex Morgan Stanley & Co. International PLC Short 230.8971 (1,564,559 ) Bloomberg Silver Subindex UBS AG Short 230.8971 (3,340,644 ) 85 Table of Contents Futures Positions as of December 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value Silver Futures (COMEX) Short March 2024 610 $ 24.09 5,000 $ (73,462,300 ) Swap Agreements as of December 31, 2023 Reference Index Counterparty Long or Short Index Close Notional Amount at Value Bloomberg Silver Subindex Citibank, N.A. Short $ 201.5625 $ (22,017,624 ) Bloomberg Silver Subindex Goldman Sachs International Short 201.5625 (9,901,355 ) Bloomberg Silver Subindex Morgan Stanley & Co. International PLC Short 201.5625 (1,365,787 ) Bloomberg Silver Subindex UBS AG Short 201.5625 (23,534,661 ) The December 31, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The December 31, 2024 and 2023 short 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 or swap contract 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 this Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements 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 Yen: As of December 31, 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 December 31, 2024 and 2023, which were sensitive to exchange rate price risk. Foreign Currency Forward Contracts as of December 31, 2024 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Yen Goldman Sachs International Long 01/10/25 174,930,000 0.006611 $ 1,156,389 Yen UBS AG Long 01/10/25 340,324,000 0.006398 2,177,539 Yen Goldman Sachs International Short 01/10/25 (4,370,333,165 ) 0.006660 (29,106,767 ) Yen UBS AG Short 01/10/25 (4,340,303,574 ) 0.006591 (28,604,919 ) Foreign Currency Forward Contracts as of December 31, 2023 Reference Currency Counterparty Long or Short Settlement Date Local Currency Forward Rate Market Value USD Yen Goldman Sachs International Long 01/19/24 1,482,014,000 0.007038 $ 10,430,665 Yen UBS AG Long 01/19/24 346,657,000 0.007065 2,448,988 Yen Goldman Sachs International Short 01/19/24 (5,040,550,165 ) 0.006953 (35,045,374 ) Yen UBS AG Short 01/19/24 (3,531,270,574 ) 0.006936 (24,493,802 ) The December 31, 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 this 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. 86 Table of Contents ProShares VIX Mid-Term Futures ETF As of December 31, 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 December 31, 2024 and 2023, which were sensitive to equity market volatility risk. Futures Positions as of December 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long April 2025 298 $ 18.30 1,000 $ 5,453,400 VIX Futures (Cboe) Long May 2025 505 18.51 1,000 9,346,590 VIX Futures (Cboe) Long June 2025 505 18.63 1,000 9,405,625 VIX Futures (Cboe) Long July 2025 206 18.92 1,000 3,897,850 Futures Positions as of December 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long April 2024 424 $ 16.95 1,000 $ 7,187,267 VIX Futures (Cboe) Long May 2024 721 17.36 1,000 12,515,262 VIX Futures (Cboe) Long June 2024 721 17.74 1,000 12,787,800 VIX Futures (Cboe) Long July 2024 297 18.10 1,000 5,375,700 The December 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The 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 this 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 December 31, 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 December 31, 2024 and 2023, which were sensitive to equity market volatility risk. Futures Positions as of December 31, 2024 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long January 2025 4,473 $ 17.52 1,000 $ 78,356,672 VIX Futures (Cboe) Long February 2025 3,096 17.87 1,000 55,327,997 Futures Positions as of December 31, 2023 Contract Long or Short Expiration Contracts Valuation Price Contract Multiplier Notional Amount at Value VIX Futures (Cboe) Long January 2024 6,347 $ 14.05 1,000 $ 89,182,966 VIX Futures (Cboe) Long February 2024 4,444 15.30 1,000 67,972,758 The December 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The 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 this Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Qualitative Disclosure As described above in Item 7 in this 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. The Short Fund seeks daily investment results, before fees and expenses, that correspond to one-half the 87 Table of Contents 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 this 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 above in Item 7 in this 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 above “Item 1A. Risk Factors” in this 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 above “Item 1A. Risk Factors” in this 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 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. 88 Table of Contents 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 above “Item 1A. Risk Factors” in this 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 above in Item 7 of this 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 the Short Fund 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. 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). 89 Table of Contents