ProShares Trust II 10-K

Item 9A. Controls and Procedures. Disclosure Controls and Procedures The Trust and Funds maintain disclosure controls and procedures that are designed to ensure that information required to be disclosed in our reports filed or submitted under the Securities Exchange Act of 1934, as amended (the “1934 Act”) is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms. Disclosure controls and procedures include, without limitation, controls and procedures designed to ensure that information required to be disclosed in company reports filed or submitted under the 1934 Act is accumulated and communicated to Management, including to our principal executive officer and our principal financial and accounting officer, to allow timely decisions regarding required disclosure. A material weakness in internal control over financial reporting with respect to controls related to the classification of the Futures Commission Merchant (“FCM”) Accounts, described below, was previously disclosed in Part II Item 9A Controls and Procedures in our Amended Annual Report on Form 10-K for the year ended December 31, 2023 and our Amended Quarterly Reports on Form 10-Q for the periods ended March 31, 2024 and June 30, 2024 and our Quarterly Report on Form 10-Q for the period ended September 30, 2024. With the participation of management, the principal executive officer and principal financial officer of the Trust evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the 1934 Act and, as a result of the material weakness described below, concluded that they were not effective as of December 31, 2024. Management’s Annual Report on Internal Control Over Financial Reporting The Trust’s management is responsible for establishing and maintaining adequate internal control over financial reporting, as defined in Rules 13a-15(f) and 15d-15(f) under the 1934 Act, of the Trust and the Funds. The Trust’s and the Funds’ internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. Internal control over financial reporting includes those policies and procedures that: (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Trust and the Funds; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that the Trust’s and the Funds’ receipts and expenditures are being made only in accordance with appropriate authorizations of management of the Trust on behalf of the Trust and the Funds; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Trust’s or the Funds’ assets that could have a material effect on the Trust’s or the Funds’ financial statements. 95 Table of Contents Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. A material weakness is a deficiency, or a combination of deficiencies, in internal control over financial reporting, such that there is a reasonable possibility that a material misstatement of the company’s annual or interim financial statements will not be prevented or detected on a timely basis. Management has concluded that a material weakness in internal control over financial reporting exists in the design of certain controls over the presentation and disclosure of segregated cash balances with brokers for futures contracts, receivable on open futures contracts, payable on open futures contracts and related accounts in the statement of cash flows. Specifically, certain controls over manual journal entries were not designed at a sufficient level of precision to identify inconsistencies between the journal entries and the information provided in the futures broker customer statements. This material weakness resulted in the restatement of the Trust’s and Funds’ financial statements as of and for the year ended December 31, 2021, 2022 and 2023 and the interim financial statements for the fiscal quarters ended September 30, 2023, March 31, 2023 and 2024, and June 30, 2023 and 2024. Additionally, this material weakness could result in misstatements of the financial statements or disclosures that would result in a material misstatement to the annual or interim financial statements that would not be prevented or detected. Management, including the principal executive officer and principal financial officer of the Trust, assessed the effectiveness of the Trust’s and the Funds’ internal control over financial reporting as of December 31, 2024. In making its assessment, the Trust’s management has utilized the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its report entitled Internal Control – Integrated Framework (2013). Based on that evaluation, management concluded that the Trust’s and the Funds’ internal control over financial reporting was not effective as of December 31, 2024 because of the material weakness described herein. The effectiveness of the Trust’s and the Funds’ internal control over financial reporting as of December 31, 2024, has been audited by PricewaterhouseCoopers LLP, an independent registered public accounting firm, as stated in their report which is included herein. Remediation Plan for Material Weakness with respect to Controls Related to the Classification of the Futures Commission Merchant (“FCM”) Accounts (“Futures accounts”) In response to the identified material weakness with respect to controls related to the classification of the components of the futures accounts, Management has commenced efforts on a comprehensive remediation plan to enhance its internal controls over financial reporting with respect to controls related to the classification of the futures accounts. The remediation measures taken include: • Working with the Funds’ Administrator to enhance specific procedures relating to the classification of Futures Commission Merchant balances by individual futures broker for financial reporting purposes. • Implementing additional levels of review relating to the classification of Futures Commission Merchant balances for financial reporting purposes. We believe we have made substantial progress toward achieving the effectiveness of our internal control over financial reporting with respect to controls related to the classification of futures accounts. The actions that we have taken are subject to continued testing and ongoing management review. Management will not be able to conclude whether the steps we have taken will fully remediate these material weaknesses in our internal control over financial reporting until we have completed our remediation efforts and subsequent evaluation of their effectiveness. Management may also conclude that additional measures may be required to remediate the material weaknesses in our internal control over financial reporting, which may necessitate additional actions to be taken. Changes in Internal Control Over Financial Reporting We are taking actions to remediate the material weakness related to the classification of the components of the futures accounts. Other than the changes to our internal control over financial reporting described under Remediation Plan for Material Weakness with respect to Controls Related to the Classification of the Futures Commission Merchant FCM (“FCM”) Accounts (“Futures Accounts”) , there was no change in our internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) under the Exchange Act) during the quarter ended December 31, 2024 that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting. 96 Table of Contents Item 9B. Other Information. No officers or trustees of the Trust have adopted, modified or terminated trading plans under either a Rule 10b5-1 trading arrangement (as such terms are defined in Item 408 of Regulation S-K under the Securities Act of 1933, as amended) for the three month period ended December 31, 2024. Item 9C. Disclosure Regarding Jurisdictions that Prevent Inspections. Not applicable. Part III. Item 10. Directors, Executive Officers and Corporate Governance. The Sponsor ProShare Capital Management LLC is the Sponsor of the Trust and the Funds. The Sponsor has exclusive management and control of all aspects of the business of the Funds. The Trustee has no duty or liability to supervise the performance of the Sponsor, nor will the Trustee have any liability for the acts or omissions of the Sponsor. As of December 31, 2024, the Sponsor serves as the Trust’s commodity pool operator. Specifically, with respect to the Trust, the Sponsor: • selects the Funds’ service providers; • negotiates various agreements and fees; • performs such other services as the Sponsor believes that the Trust may require from time to time; • selects the FCM and Financial Instrument counterparties; • manages each Fund’s portfolio of other assets, including cash equivalents; and • manages the Funds with a view toward achieving the Funds’ investment objectives. Background and Principals As of December 31, 2024, the Sponsor served as the commodity pool operator of the Trust and the Funds, and previously also served as the commodity trading advisor to the Trust and the Funds. The Sponsor is registered as a commodity pool operator and as a commodity trading advisor with the CFTC and is a member in good standing of the NFA. The Sponsor’s membership with the NFA was originally approved on June 11, 1999. It withdrew its membership with the NFA on August 31, 2000 but later re-applied and had its membership subsequently approved on January 8, 2001. Its membership with the NFA is currently effective. The Sponsor’s registration as a commodity trading advisor was approved on June 11, 1999. The Sponsor’s registration as a commodity pool operator was originally approved on June 11, 1999. It withdrew its registration as a commodity pool operator on August 30, 2000 but later re-applied and had its registration subsequently approved on November 28, 2007. Its registration as a commodity pool operator is currently effective. As a registered commodity pool operator, with respect to the Trust, the Sponsor must comply with various regulatory requirements under the CEA, and the rules and regulations of the CFTC and the NFA, including investor protection requirements, antifraud prohibitions, disclosure requirements, and reporting and recordkeeping requirements. The NFA approved the Sponsor as a Swaps Firm on January 4, 2013. The Sponsor is also subject to periodic inspections and audits by the CFTC and NFA. Its principal place of business is 7272 Wisconsin Avenue, 21 st Floor, Bethesda, Maryland 20814 and its telephone number is (240) 497-6400. The registration of the Sponsor with the CFTC and its membership in the NFA must not be taken as an indication that either the CFTC or the NFA has recommended or approved the Sponsor, the Trust and the Funds. In its capacity as a commodity pool operator, the Sponsor is an organization which operates or solicits funds for commodity pools; that is, an enterprise in which funds contributed by a number of persons are combined for the purpose of trading futures contracts. Executive Officers of the Trust and Principals and Significant Employees of the Sponsor Name Position Michael L. Sapir Chief Executive Officer and Principal of the Sponsor Louis M. Mayberg Principal of the Sponsor Sapir Family Trust Principal of the Sponsor Northstar Trust Principal of the Sponsor Edward J. Karpowicz  Principal Financial Officer of the Trust and Principal of the Sponsor Todd B. Johnson* Principal Executive Officer of the Trust and Chief Investment Officer and Principal of the Sponsor Hratch Najarian Director, Portfolio Management and Principal of the Sponsor Alexander Ilyasov Senior Portfolio Manager of the Sponsor James Linneman Principal and Portfolio Manager of the Sponsor George Banian Portfolio Manager of the Sponsor Victor M. Frye Principal of the Sponsor * Denotes principal of the Sponsor who supervises persons who participate in making trading decisions for the Funds. 97 Table of Contents The following is a biographical summary of the business experience of the executive officers of the Trust and the principals and significant employees of the Sponsor. ProFund Advisors LLC (“PFA”) and ProShare Advisors LLC (“PSA”) are investment advisers registered under the Investment Advisers Act of 1940 and commodity pool operators registered under the CEA. PFA is also a commodity trading advisor registered under the CEA. Michael L. Sapir , Chairman and Chief Executive Officer and a listed Principal of the Sponsor since August 14, 2008; Chairman and Chief Executive Officer and a member of PFA since April 1997, and a listed Principal of PFA since November 26, 2012; and Chairman and Chief Executive Officer and a member of PSA since January 2005 and a listed Principal of PSA since January 14, 2014. As Chairman and Chief Executive Officer of the Sponsor, PFA and PSA, Mr. Sapir’s responsibilities include oversight of all aspects of the Sponsor, PFA and PSA, respectively. Louis M. Mayberg , a member and a listed Principal of the Sponsor since June 9, 2008; a member of PFA since April 1997 and a listed Principal of PFA since November 26, 2012; and a member of PSA since January 2005 and a listed Principal of PSA since January 14, 2014. Mr. Mayberg served as Principal Executive Officer of the Trust from June 2008 to December 2013. Sapir Family Trust , a listed Principal of the Sponsor. The Sapir Family Trust has an ownership interest in the Sponsor and PSA. The Sapir Family Trust has a passive ownership interest in the Sponsor and exercises no management authority over the Funds. Northstar Trust , a listed Principal of the Sponsor. Northstar Trust has an ownership interest in the Sponsor and PFA. Northstar Trust has a passive ownership interest in the Sponsor and exercises no management authority over the Funds. Edward J. Karpowicz , Principal Financial Officer of the Trust since July 2008 and a listed principal of the Sponsor since September 18, 2013. Mr. Karpowicz has been employed by PFA since July 2002 and PSA since its inception as Executive Director of Financial Administration. Todd B. Johnson , Principal Executive Officer of the Trust since January 2014; Chief Investment Officer of the Sponsor since February 27, 2009, a registered swap associated person of the Sponsor from January 4, 2013 to January 31, 2021, a registered associated person of the Sponsor since January 29, 2010, and a listed principal of the Sponsor since January 16, 2009. As Principal Executive Officer of the Trust, Mr. Johnson’s responsibilities include oversight of the operations of the Trust. As Chief Investment Officer of the Sponsor, Mr. Johnson’s responsibilities include oversight of the investment management activities of the Sponsor. Mr. Johnson has served as Chief Investment Officer of PFA and PSA since December 2008 and has been registered as an associated person of PFA since December 5, 2012 and listed as a principal of PFA since November 26, 2012. In addition, Mr. Johnson has been listed as a principal and associated person of PSA since January 14, 2014. Mr. Johnson served from 2002 to December 2008 at World Asset Management (a financial services firm), working as President and Chief Investment Officer from January 2006 to December 2008, and as Managing Director and Chief Investment Officer of Quantitative Investments of Munder Capital Management, an asset management firm, from January 2002 to December 2005. Hratch Najarian , Director, Portfolio Management of the Sponsor since August 2013 and a listed principal of the Sponsor since October 15, 2013. In these roles, Mr. Najarian’s responsibilities include oversight of the investment management activities of the Sponsor. Mr. Najarian also serves as Director, Portfolio Management of PFA and PSA since August 2013, and is listed as a principal of PFA since January 8, 2014 and a principal and associated person of PSA since January 14, 2014. Mr. Najarian served as Senior Portfolio Manager of PSA from December 2009 through September 2013. He also served as Senior Portfolio Manager of PFA from December 2009 through September 2013, as Portfolio Manager of PFA from May 2007 through November 2009, and as Associate Portfolio Manager of PFA from November 2004 through April 2007. Mr. Najarian served as an NFA associated Member, associated person and swap associated person for PSA from January 2014 through February 2021. 98 Table of Contents Alexander Ilyasov, Senior Portfolio Manager of the Sponsor since August 22, 2016. In this role, Mr. Ilyasov’s responsibilities include oversight of the investment management activities of the VIX Futures Funds and certain other series of the Trust. Mr. Ilyasov also serves as a Senior Portfolio Manager of PFA since October 2013 and has served as Portfolio Manager of PSA since October 2013. James Linneman, Principal of the Sponsor since February 2021, swap associated person of the Sponsor since January 2021, Portfolio Manager of the Sponsor since April 2019, a registered Associated Person and an NFA associate member of the Sponsor since August 11, 2015. In these roles, Mr. Linneman’s responsibilities include day-to-day portfolio management of the Funds and certain other series of the Trust. Mr. Linneman has also served as a principal of PSA since February 2021, a swap associated person of PSA and as Portfolio Manager of PSA since April 2019. In addition, Mr. Linneman served as an Associate Portfolio Manager of the Sponsor and PSA from August 2016 to April 2019 and served as a Portfolio Analyst of the Sponsor and PSA from February 2014 to August 2016. George Banian , a Portfolio Manager of the Sponsor since March 11, 2022. In this role, Mr. Banian’s responsibilities include day-to-day portfolio management of certain series of the Trust. Mr. Banian also serves as a Portfolio Manager of PSA since February 2022, Associate Portfolio Manager of PSA from August 2016 to February 2022, Senior Portfolio Analyst of PSA from December 2010 to August 2016, and Portfolio Analyst of PSA from December 2007 to December 2010. In addition, Mr. Banian served as a Portfolio Manager of PFA since February 2022, and an Associate Portfolio Manager of PFA from July 2021 to February 2022. Victor M. Frye , a listed principal of the Sponsor since December 2, 2008, a listed principal of PFA since November 26, 2012, and a listed principal of PSA since January 14, 2014. Mr. Frye’s responsibilities include the review and approval of advertising material of the Sponsor. Mr. Frye has been employed as Chief Compliance Officer of PFA since October 2002 and of PSA since December 2004. Indemnification The Trust Agreement provides that the Sponsor and its affiliates shall have no liability to the Trust or to any shareholder for any loss suffered by the Trust arising out of any action or inaction of the Sponsor or its affiliates or their respective directors, officers, shareholders, partners, members, managers or employees (the “Sponsor Related Parties”), if the Sponsor Related Parties, in good faith, determined that such course of conduct was in the best interests of the Funds and such course of conduct did not constitute gross negligence or willful misconduct by the Sponsor Related Parties. The Trust has agreed to indemnify the Sponsor Related Parties against claims, losses or liabilities based on their conduct relating to the Trust, provided that the conduct resulting in the claims, losses or liabilities for which indemnity is sought did not constitute gross negligence or willful misconduct and was done in good faith and in a manner reasonably believed to be in the best interests of the Funds. Insider Trading Policy The Trust has adopted an insider trading policy applicable to the Sponsor’s directors, officers and employees, which is included as an exhibit to this annual report on Form 10-K. Code of Ethics The Trust has adopted a code of ethics (“Code of Ethics”) that applies to its Principal Executive Officer and Principal Financial Officer. A copy of the Code of Ethics can be obtained, without charge, upon written request to the Sponsor at the following address: ProShare Capital Management LLC, Attn: General Counsel, 7272 Wisconsin Avenue, 21 st Floor, Bethesda, MD 20814. Item 11. Executive Compensation. The Funds have no employees or directors and are managed by the Sponsor. None of the officers of the T rust, or the members or officers of the Sponsor receive compensation from the Funds. 99 Table of Contents The Sponsor receives a monthly Management Fee from each Fund, with the exception of each Matching VIX Fund, equal to 0.95% annually of the average daily net asset value per share at the end of each month. The Sponsor receives a monthly Management Fee from each Matching VIX Fund equal to 0.85% annually of the average daily net asset value per share at the end of each month. During the first year of each Fund’s operations, the Sponsor will waive the Management Fee to the extent that such amounts cumulatively exceed the offering costs incurred by each Fund. For the year ended December 31, 2024, the following represents Management Fees earned by the Sponsor: Fund Amount ProShares Short VIX Short-Term Futures ETF $ 3,421,991 ProShares Ultra Bloomberg Crude Oil 5,484,869 ProShares Ultra Bloomberg Natural Gas 5,578,019 ProShares Ultra Euro 56,629 ProShares Ultra Gold 2,352,382 ProShares Ultra Silver 5,144,179 ProShares Ultra VIX Short-Term Futures ETF 2,534,346 ProShares Ultra Yen 405,325 ProShares UltraShort Bloomberg Crude Oil 1,518,281 ProShares UltraShort Bloomberg Natural Gas 1,092,378 ProShares UltraShort Euro 360,078 ProShares UltraShort Gold 155,523 ProShares UltraShort Silver 443,177 ProShares UltraShort Yen 324,236 ProShares VIX Mid-Term Futures ETF 428,613 ProShares VIX Short-Term Futures ETF 1,296,599 Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters. Not applicable. Item 13. Certain Relationships and Related Transactions, and Director Independence. Not applicable. Item 14. Principal Accounting Fees and Services. (1) to (4). Fees for services performed by PricewaterhouseCoopers LLP (“PwC”) for the years ended December 31, 2024 and 2023 were as follows: Year Ended December 31, 2024 Year Ended December 31, 2023 Audit Fees $ 545,280 $ 645,280 Audit-Related Fees 30,700 40,200 Tax Fees 3,174,547 3,593,755 All Other Fees —  —  Combined Trust: $ 3,750,527 $ 4,279,235 Audit fees for the year ended December 31, 2024 consist of fees paid to PwC for the audit of the Funds’ December 31, 2024 annual financial statements included in the Annual Report on Form 10-K for the year ended December 31, 2024, for the review of the financial statements included in each Form 10-Q, and for the audits of financial statements included with registration statements. Audit fees for the year ended December 31, 2023 consist of fees paid to PwC for the audit of the Funds’ December 31, 2023 annual financial statements included in the Annual Report on Form 10-K for the year ended December 31, 2023, for the review of the financial statements included in each Form 10-Q, and for the audits of financial statements included with registration statements. Tax fees include certain tax compliance and reporting services provided by PwC to the Trust, including processing beneficial ownership information as it relates to the preparation of tax reporting packages and the subsequent delivery of related information to the IRS. Services also include assistance with tax reporting and related information using a web-based tax package product developed by PwC and a toll-free tax package support help line. (5) The Sponsor approved all of the services provided by PwC described above. The Sponsor pre-approves all audit and allowed non-audit services of the Trust’s independent registered public accounting firm, including all engagement fees and terms. 10 0 Table of Contents Part IV. Item 15. Exhibits and Financial Statement Schedules. Financial Statement Schedules See the Index to Financial Statements for a list of the financial statements being filed as part of this Annual Report on Form 10-K. Schedules may have been omitted since they are either not required, not applicable, or the information has otherwise been included. Exhibit No. Description of Document 4.1 Trust Agreement of ProShares Trust II (1) 4.2 Form of Amended and Restated Trust Agreement of ProShares Trust II (2) 4.2.1 Amended and Restated Trust Agreement of ProShares Trust II (3) 4.3 Form of Authorized Participant Agreement (4) 10.1 Form of Sponsor Agreement (2) 10.2 Form of Administration and Transfer Agency Services Agreement (4) 10.3 Form of Custodian Agreement (5) 10.4 Form of Distribution Agreement (4) 10.5 Form of Futures Account Agreement (4) 19.1 Insider Trading Policies and Procedures (7) 23.1 Consent of Independent Registered Public Accounting Firm (6) 31.1 Certification by Principal Executive Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (7) 31.2 Certification by Principal Financial Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (7) 32.1 Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (7) 32.2 Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (7) 97.1 Dodd Frank Recoupment Policy (6) 101.INS XBRL Instance Document 101.SCH XBRL Taxonomy Extension Schema 101.CAL XBRL Taxonomy Extension Calculation Linkbase 101.DEF XBRL Taxonomy Extension Definition Linkbase 101.LAB XBRL Taxonomy Extension Label Linkbase 101.PRE XBRL Taxonomy Extension Presentation Linkbase 104.1 Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document. (1) Incorporated by reference to the Trust’s Registration Statement, filed on October 18, 2007. (2) Incorporated by reference to the Trust’s Registration Statement, filed on August 15, 2008. (3) Incorporated by reference to the Trust’s Registration Statement, filed on September 18, 2008. (4) Incorporated by reference to the Trust’s Registration Statement, filed on November 17, 2008. (5) Incorporated by reference to the Trust’s Registration Statement, filed on October 22, 2008. (6) Incorporated by reference to Registrant’s Amended Annual Report on Form 10-K/A for the year ended December 31, 2023, filed on November 18, 2024. (7) Filed herewith. Item 16. Form 10-K Summary. Not applicable. 101 Table of Contents Signatures Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this Annual Report to be signed on its behalf by the undersigned, thereunto duly authorized. PROSHARES TRUST II /s/ Todd Johnson By: Todd Johnson Principal Executive Officer Date: February 27, 2025 /s/ Edward Karpowicz By: Edward Karpowicz Principal Financial and Accounting Officer Date: February 27, 2025 102 Table of Contents ProShares Trust II Financial Statements as of December 31, 2024 Index Documents Page Report of Independent Registered Public Accounting Firm (PCAOB number: 248 ) F-2 Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity and Statements of Cash Flows: ProShares Short VIX Short-Term Futures ETF F-6 ProShares Ultra Bloomberg Crude Oil F-11 ProShares Ultra Bloomberg Natural Gas F-17 ProShares Ultra Euro F-23 ProShares Ultra Gold F-29 ProShares Ultra Silver F-35 ProShares Ultra VIX Short-Term Futures ETF F-41 ProShares Ultra Yen F-47 ProShares UltraShort Bloomberg Crude Oil F-53 ProShares UltraShort Bloomberg Natural Gas F-59 ProShares UltraShort Euro F-65 ProShares UltraShort Gold F-71 ProShares UltraShort Silver F-77 ProShares UltraShort Yen F-83 ProShares VIX Mid-Term Futures ETF F-89 ProShares VIX Short-Term Futures ETF F-95 ProShares Trust II F-101 Notes to Financial Statements F-105 Table of Contents Report of Independent Registered Public Accounting Firm To the Sponsor of ProShares Trust II and Shareholders of each of the individual sixteen funds listed in the table below, comprising ProShares Trust II Opinions on the Financial Statements and Internal Control over Financial Reporting We have audited the accompanying combined and individual statements of financial condition, including the individual schedules of investments, of ProShares Trust II and each of the individual sixteen funds listed in the table below comprising ProShares Trust II (hereafter collectively referred to as the “Trust”) as of December 31, 2024 and 2023, and the related combined and individual statements of operations, of changes in shareholders’ equity and of cash flows for the respective periods described in (a) and (b) below, including the related notes (collectively referred to as the “financial statements”). We also have audited the combined Trust’s and each of the individual fund’s internal control over financial reporting as of December 31, 2024, based on criteria established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). In our opinion, the combined and individual financial statements referred to above present fairly, in all material respects, the combined financial position of ProShares Trust II and the individual financial positions of each of the sixteen funds listed in the table below as of December 31, 2024 and 2023, and the combined and individual results of their operations and their cash flows for the respective periods described in (a) and (b) below in conformity with accounting principles generally accepted in the United States of America. Also in our opinion, the combined Trust and each of the individual sixteen funds listed in the table below did not maintain, in all material respects, effective internal control over financial reporting as of December 31, 2024, based on criteria established in Internal Control - Integrated Framework (2013) issued by the COSO because a material weakness in internal control over financial reporting existed as of that date related to lack of controls over the presentation and disclosure of segregated cash balances with brokers for futures contracts, receivable on futures contracts and payable on futures contracts. A material weakness is a deficiency, or a combination of deficiencies, in internal control over financial reporting, such that there is a reasonable possibility that a material misstatement of the annual or interim financial statements will not be prevented or detected on a timely basis. The material weakness referred to above is described in Management’s Annual Report on Internal Control Over Financial Reporting appearing under Item 9A. We considered this material weakness in determining the nature, timing, and extent of audit tests applied in our audit of the December 31, 2024 combined and individual financial statements, and our opinion regarding the effectiveness of the Trust’s and each of the individual fund’s internal control over financial reporting does not affect our opinion on those combined and individual financial statements. ProShares Short VIX Short-Term Futures ETF (a) ProShares UltraShort Bloomberg Crude Oil (a) ProShares Ultra Bloomberg Crude Oil (a) ProShares UltraShort Bloomberg Natural Gas (a) ProShares Ultra Bloomberg Natural Gas (a) ProShares UltraShort Euro (a) ProShares Ultra Euro (a) ProShares UltraShort Gold (a) ProShares Ultra Gold (a) ProShares UltraShort Silver (a) ProShares Ultra Silver (a) ProShares UltraShort Yen (a) ProShares Ultra VIX Short-Term Futures ETF (a) ProShares VIX Mid-Term Futures ETF (a) ProShares Ultra Yen (a) ProShares VIX Short-Term Futures ETF (a) ProShares Trust II (“combined”) (b) (a) Statements of financial condition, including the schedules of investments, as of December 31, 2024 and 2023, and the related statements of operations, of changes in shareholders’ equity and of cash flows for each of the three years in the period ended December 31, 2024 (b) Combined statements of financial condition as of December 31, 2024 and 2023, and the related combined statements of operations, of changes in shareholders’ equity and of cash flows for each of the three years in the period ended December 31, 2024 F-2 Table of Contents Basis for Opinions The Trust’s management is responsible for the combined Trust’s and each of the individual fund’s financial statements, for maintaining effective internal control over financial reporting, and for its assessment of the effectiveness of internal control over financial reporting included in management’s report referred to above. Our responsibility is to express opinions on the combined Trust’s and each of the individual fund’s financial statements and on the combined Trust’s and each of the individual fund’s internal control over financial reporting based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Trust and each of the individual funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the combined Trust’s and each of the individual fund’s financial statements are free of material misstatement, whether due to error or fraud, and whether effective internal control over financial reporting for the combined Trust and each individual fund was maintained in all material respects. Our audits of the combined Trust’s and each of the individual fund’s financial statements included performing procedures to assess the risks of material misstatement of the combined Trust’s and each of the individual fund’s financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the combined Trust’s and each of the individual fund’s financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the combined Trust’s and each of the individual fund’s financial statements. Our audits of internal control over financial reporting included obtaining an understanding of the combined Trust’s and each of the individual fund’s internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audits also included performing such other procedures as we considered necessary in the circumstances. We believe that our audits provide a reasonable basis for our opinions. Definition and Limitations of Internal Control over Financial Reporting A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements. Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. Critical Audit Matters Critical audit matters are matters arising from the current period audits of the combined Trust’s and each of the individual fund’s financial statements that were communicated or required to be communicated to those charged with governance and that (i) relate to accounts or disclosures that are material to the combined Trust’s and each of the individual fund’s financial statements and (ii) involved our especially challenging, subjective, or complex judgments. We determined there are no critical audit matters. /s/ PricewaterhouseCoopers LLP Columbus, Ohio February 27, 2025 F-3 Table of Contents We have served as the auditor of ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Euro, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Yen, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares UltraShort Gold, ProShares UltraShort Silver, and ProShares UltraShort Yen since 2008. We have served as the auditor of the combined ProShares Trust II, ProShares VIX Mid-Term Futures ETF, and ProShares VIX Short-Term Futures ETF since 2010. We have served as the auditor of ProShares Short VIX Short-Term Futures ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra VIX Short-Term Futures ETF, and ProShares UltraShort Bloomberg Natural Gas since 2011. F-4 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 24,931,067 and $ 109,391,681 , respectively) $ 24,937,875 $ 109,410,342 Cash 160,200,226 54,492,235 Segregated cash balances with brokers for futures contracts 80,953,814 107,839,052 Receivable on open futures contracts 806,556 11,214,160 Interest receivable 438,452 456,930 Total assets 267,336,923 283,412,719 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   15,522,316 Payable on open futures contracts 1,011,830 447,611 Brokerage commissions and futures account fees payable 6,902 9,571 Payable to Sponso r 227,958 248,862 Total liabilities 1,246,690 16,228,360 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 266,090,233 267,184,359 Total liabilities and shareholders’ equity $ 267,336,923 $ 283,412,719 Shares outstanding (Note 1) 5,318,614 5,168,614 Net asset value per share (Note 1) $ 50.03 $ 51.69 Market value per share (Note 1) (Note 2) $ 50.06 $ 51.70 See accompanying notes to financial statements. F-5 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Principal Amount Value Short-term U.S. government and agency obligations ( 9 % of shareholders’ equity) U.S. Treasury Bills ^^ : 4.562 % due 01/23/25 $ 25,000,000 $ 24,937,875 Total short-term U.S. government and agency obligations (cost $ 24,931,067 ) $ 24,937,875 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires January 2025 4,447 $ 77,901,212 $ ( 3,491,718 ) VIX Futures - Cboe, expires February 2025 3,080 55,042,064 482,967 $ ( 3,008,751 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. F-6 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Principal Amount Value Short-term U.S. government and agency obligations ( 41 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.442 % due 01/18/24 $ 25,000,000 $ 24,941,223 5.345 % due 02/01/24 50,000,000 49,780,000 5.417 % due 02/20/24 15,000,000 14,892,507 5.382 % due 03/12/24 20,000,000 19,796,612 Total short-term U.S. government and agency obligations (cost $ 109,391,681 ) $ 109,410,342 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires January 2024 5,412 $ 76,045,095 $ 10,168,009 VIX Futures - Cboe, expires February 2024 3,778 57,786,021 2,472,615 $ 12,640,624 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. F-7 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 15,966,194 $ 10,251,068 $ 3,512,477 Expenses Management fee 3,421,991 2,500,560 3,901,784 Brokerage commissions 899,331 543,461 663,288 Futures account fees 44,627 —   381,085 Non-recurring fees and expenses —   —   16,339 Total expenses 4,365,949 3,044,021 4,962,496 Net investment income (loss) 11,600,245 7,207,047 ( 1,450,019 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 42,037,096 160,516,553 21,454,600 Short-term U.S. government and agency obligations 17,669 ( 21,847 ) ( 86,512 ) Net realized gain (loss) 42,054,765 160,494,706 21,368,088 Change in net unrealized appreciation (depreciation) on Futures contracts ( 15,649,375 ) 1,548,243 ( 20,182,897 ) Short-term U.S. government and agency obligations ( 11,853 ) ( 5,434 ) 59,620 Change in net unrealized appreciation (depreciation) ( 15,661,228 ) 1,542,809 ( 20,123,277 ) Net realized and unrealized gain (loss) 26,393,537 162,037,515 1,244,811 Net income (loss) $ 37,993,782 $ 169,244,562 $ ( 205,208 ) See accompanying notes to financial statements. F-8 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 267,184,359 $ 339,591,638 $ 423,812,594 Addition of 19,900,000 , 8,200,000 and 14,300,000 shares, respectively (Note 1) 961,069,086 282,356,336 366,101,636 Redemption of 19,750,000 , 14,600,000 and 16,500,000 shares, respectively (Note 1) ( 1,000,156,994 ) ( 524,008,177 ) ( 450,117,384 ) Net addition (redemption) of 150,000 , ( 6,400,000 ) and ( 2,200,000 ) shares, respectively (Note 1) ( 39,087,908 ) ( 241,651,841 ) ( 84,015,748 ) Net investment income (loss) 11,600,245 7,207,047 ( 1,450,019 ) Net realized gain (loss) 42,054,765 160,494,706 21,368,088 Change in net unrealized appreciation (depreciation) ( 15,661,228 ) 1,542,809 ( 20,123,277 ) Net income (loss) 37,993,782 169,244,562 ( 205,208 ) Shareholders’ equity, end of period $ 266,090,233 $ 267,184,359 $ 339,591,638 See accompanying notes to financial statements. F-9 Table of Contents PROSHARES SHORT VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ 37,993,782 $ 169,244,562 $ ( 205,208 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 713,284,705 ) ( 756,847,632 ) ( 1,562,961,162 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 805,017,669 796,473,442 1,567,832,801 Net amortization and accretion on short-term U.S. government and agency obligations ( 7,254,681 ) ( 4,755,757 ) ( 1,390,488 ) Net realized (gain) loss on investments ( 17,669 ) 21,847 86,512 Change in unrealized (appreciation) depreciation on investments 11,853 5,434 ( 59,620 ) Decrease (Increase) in receivable on open futures contracts 10,407,604 28,912,469 59,417,709 Decrease (Increase) in interest receivable 18,478 19,000 ( 473,062 ) Increase (Decrease) in payable to Sponsor ( 20,904 ) ( 93,604 ) 10,593 Increase (Decrease) in brokerage commissions and futures account fees payable ( 2,669 ) ( 12,005 ) ( 82,736 ) Increase (Decrease) in payable on open futures contracts 564,219 447,611 —   Net cash provided by (used in) operating activities 133,432,977 233,415,367 62,175,339 Cash flow from financing activities Proceeds from addition of shares 961,069,086 282,356,336 366,101,636 Payment on shares redeemed ( 1,015,679,310 ) ( 514,347,675 ) ( 450,380,700 ) Net cash provided by (used in) financing activities ( 54,610,224 ) ( 231,991,339 ) ( 84,279,064 ) Net increase (decrease) in cash 78,822,753 1,424,028 ( 22,103,725 ) Cash, beginning of period 162,331,287 160,907,259 183,010,984 Cash, end of period $ 241,154,040 $ 162,331,287 $ 160,907,259 See accompanying notes to financial statements. F-10 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 99,724,267 and $ 233,435,026 , respectively) $ 99,751,500 $ 233,476,941 Cash 259,419,820 123,662,313 Segregated cash balances with brokers for futures contracts 42,171,314 70,781,753 Segregated cash balances with brokers for swap agreements 84,264,200 203,734,760 Unrealized appreciation on swap agreements 38,215,610 17,954,935 Receivable from capital shares sold —   5,255,022 Receivable on open futures contracts 2,157,183 —   Interest receivable 692,226 568,017 Total assets 526,671,853 655,433,741 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 2,748,471 —   Payable on open futures contracts 70,422 2,099,944 Brokerage commissions and futures account fees payable —   5,682 Payable to Sponso r 432,896 534,678 Total liabilities 3,251,789 2,640,304 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 523,420,064 652,793,437 Total liabilities and shareholders’ equity $ 526,671,853 $ 655,433,741 Shares outstanding 19,043,096 24,843,096 Net asset value per share $ 27.49 $ 26.28 Market value per share (Note 2) $ 27.50 $ 26.10 See accompanying notes to financial statements. F-11 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Principal Amount Value Short-term U.S. government and agency obligations ( 19 % of shareholders’ equity) U.S. Treasury Bills ^^ : 4.562 % due 01/23/25 † $ 100,000,000 $ 99,751,500 Total short-term U.S. government and agency obligations (cost $ 99,724,267 ) $ 99,751,500 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires March 2025 1,370 $ 97,612,500 $ 3,771,511 WTI Crude Oil - NYMEX, expires June 2025 1,400 98,238,000 3,697,279 WTI Crude Oil - NYMEX, expires December 2025 1,423 97,034,370 3,395,295 $ 10,864,085 Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 % 01/06/25 $ 150,153,809 $ 7,607,910 Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 01/06/25 237,329,164 12,024,863 Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 01/06/25 72,097,418 3,652,992 Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.25 01/06/25 180,148,868 9,139,394 Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.30 01/06/25 114,210,193 5,790,451 Total Unrealized Appreciation $ 38,215,610 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of December 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. * Reflects the floating financing rate, as of December 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. F-12 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Principal Amount Value Short-term U.S. government and agency obligations ( 36 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.442 % due 01/18/24 $ 40,000,000 $ 39,905,956 5.345 % due 02/01/24 † 70,000,000 69,692,000 5.417 % due 02/20/24 † 50,000,000 49,641,690 5.382 % due 03/12/24 75,000,000 74,237,295 Total short-term U.S. government and agency obligations (cost $ 233,435,026 ) $ 233,476,941 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires March 2024 2,085 $ 149,786,400 $ ( 584,505 ) WTI Crude Oil - NYMEX, expires June 2024 2,185 157,582,200 2,237,052 WTI Crude Oil - NYMEX, expires December 2024 2,270 159,581,000 ( 5,167,779 ) $ ( 3,515,232 ) Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 % 01/08/24 $ 184,008,385 $ 3,938,035 Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 01/08/24 228,781,478 4,896,240 Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.35 01/08/24 114,458,740 2,449,576 Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.25 01/08/24 173,660,597 3,727,284 Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index 0.30 01/08/24 137,354,031 2,943,800 Total Unrealized Appreciation $ 17,954,935 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of December 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. * Reflects the floating financing rate, as of December 31, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. F-13 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 24,269,178 $ 22,579,489 $ 8,777,690 Expenses Management fee 5,484,869 6,801,744 10,254,003 Brokerage commissions 250,960 317,243 512,547 Futures account fees —   —   400,349 Non-recurring fees and expenses —   —   32,416 Total expenses 5,735,829 7,118,987 11,199,315 Net investment income (loss) 18,533,349 15,460,502 ( 2,421,625 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 29,612,774 62,486,794 466,568,654 Swap agreements 17,688,247 38,380,744 262,267,915 Short-term U.S. government and agency obligations 13,170 ( 58,817 ) ( 7,789 ) Net realized gain (loss) 47,314,191 100,808,721 728,828,780 Change in net unrealized appreciation (depreciation) on Futures contracts 14,379,317 ( 29,806,948 ) ( 121,163,809 ) Swap agreements 20,260,675 ( 56,204,642 ) 10,231,284 Short-term U.S. government and agency obligations ( 14,682 ) ( 9,409 ) 94,066 Change in net unrealized appreciation (depreciation) 34,625,310 ( 86,020,999 ) ( 110,838,459 ) Net realized and unrealized gain (loss) 81,939,501 14,787,722 617,990,321 Net income (loss) $ 100,472,850 $ 30,248,224 $ 615,568,696 See accompanying notes to financial statements. F-14 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 652,793,437 $ 859,094,274 $ 1,103,783,570 Addition of 32,800,000 , 47,050,000 and 31,700,000 shares, respectively 888,444,388 1,174,232,354 1,045,684,983 Redemption of 38,600,000 , 50,600,000 and 54,550,000 shares, respectively ( 1,118,290,611 ) ( 1,410,781,415 ) ( 1,905,942,975 ) Net addition (redemption) of ( 5,800,000 ), ( 3,550,000 ) and ( 22,850,000 ) shares, respectively ( 229,846,223 ) ( 236,549,061 ) ( 860,257,992 ) Net investment income (loss) 18,533,349 15,460,502 ( 2,421,625 ) Net realized gain (loss) 47,314,191 100,808,721 728,828,780 Change in net unrealized appreciation (depreciation) 34,625,310 ( 86,020,999 ) ( 110,838,459 ) Net income (loss) 100,472,850 30,248,224 615,568,696 Shareholders’ equity, end of period $ 523,420,064 $ 652,793,437 $ 859,094,274 See accompanying notes to financial statements. F-15 Table of Contents PROSHARES ULTRA BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ 100,472,850 $ 30,248,224 $ 615,568,696 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 1,578,595,349 ) ( 9,464,242,100 ) ( 25,166,543,607 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,729,650,742 9,559,522,567 25,708,412,141 Net amortization and accretion on short-term U.S. government and agency obligations ( 17,331,464 ) ( 15,360,627 ) ( 6,489,697 ) Net realized (gain) loss on investments ( 13,170 ) 58,817 7,789 Change in unrealized (appreciation) depreciation on investments ( 20,245,993 ) 56,214,051 ( 10,325,350 ) Decrease (Increase) in receivable on open futures contracts ( 2,157,183 ) 8,466,027 ( 8,466,027 ) Decrease (Increase) in interest receivable ( 124,209 ) 50,532 ( 615,026 ) Increase (Decrease) in payable to Sponsor ( 101,782 ) ( 128,301 ) ( 187,986 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 5,682 ) ( 1,472 ) ( 17,523 ) Increase (Decrease) in payable on open futures contracts ( 2,029,522 ) 2,099,944 ( 25,317,560 ) Net cash provided by (used in) operating activities 209,519,238 176,927,662 1,106,025,850 Cash flow from financing activities Proceeds from addition of shares 893,699,410 1,168,977,332 1,045,684,983 Payment on shares redeemed ( 1,115,542,140 ) ( 1,424,326,429 ) ( 1,892,397,961 ) Net cash provided by (used in) financing activities ( 221,842,730 ) ( 255,349,097 ) ( 846,712,978 ) Net increase (decrease) in cash ( 12,323,492 ) ( 78,421,435 ) 259,312,872 Cash, beginning of period 398,178,826 476,600,261 217,287,389 Cash, end of period $ 385,855,334 $ 398,178,826 $ 476,600,261 See accompanying notes to financial statements. F-16 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 99,724,267 and $ 64,445,510 , respectively) $ 99,751,500 $ 64,459,117 Cash 205,241,492 326,252,692 Segregated cash balances with brokers for futures contracts 117,769,697 374,861,689 Receivable from capital shares sold 10,966,643 4,281,925 Interest receivable 825,264 1,925,643 Total assets 434,554,596 771,781,066 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   19,366,361 Payable on open futures contracts 38,058,122 21,843,883 Brokerage commissions and futures account fees payable 13,669 52,349 Payable to Sponso r 401,306 625,665 Total liabilities 38,473,097 41,888,258 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 396,081,499 729,892,808 Total liabilities and shareholders’ equity $ 434,554,596 $ 771,781,066 Shares outstanding (Note 1) 7,223,047 5,113,709 Net asset value per share (Note 1) $ 54.84 $ 142.73 Market value per share (Note 1) (Note 2) $ 55.82 $ 142.20 See accompanying notes to financial statements. F-17 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Principal Amount Value Short-term U.S. government and agency obligations ( 25 % of shareholders’ equity) U.S. Treasury Bills ^^ : 4.562 % due 01/23/25 $ 100,000,000 $ 99,751,500 Total short-term U.S. government and agency obligations (cost $ 99,724,267 ) $ 99,751,500 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires March 2025 25,569 $ 792,127,620 $ 97,239,201 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. F-18 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Principal Amount Value Short-term U.S. government and agency obligations ( 9 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.417 % due 02/20/24 $ 40,000,000 $ 39,713,352 5.382 % due 03/12/24 25,000,000 24,745,765 Total short-term U.S. government and agency obligations (cost $ 64,445,510 ) $ 64,459,117 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires March 2024 62,768 $ 1,460,611,360 $ 43,607,070 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. F-19 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 25,765,554 $ 34,926,670 $ 4,362,018 Expenses Management fee 5,578,019 9,157,296 2,676,608 Brokerage commissions 2,815,764 3,527,713 626,331 Futures account fees 227,465 662,807 278,411 Non-recurring fees and expenses —   —   15,397 Total expenses 8,621,248 13,347,816 3,596,747 Net investment income (loss) 17,144,306 21,578,854 765,271 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 398,292,227 ) ( 2,054,254,551 ) 109,680,104 Swap agreements —   ( 26,402,152 ) —   Short-term U.S. government and agency obligations 1,653 892 ( 4,317 ) Net realized gain (loss) ( 398,290,574 ) ( 2,080,655,811 ) 109,675,787 Change in net unrealized appreciation (depreciation) on Futures contracts 53,632,131 354,221,039 ( 302,407,808 ) Short-term U.S. government and agency obligations 13,626 ( 37,252 ) 65,140 Change in net unrealized appreciation (depreciation) 53,645,757 354,183,787 ( 302,342,668 ) Net realized and unrealized gain (loss) ( 344,644,817 ) ( 1,726,472,024 ) ( 192,666,881 ) Net income (loss) $ ( 327,500,511 ) $ ( 1,704,893,170 ) $ ( 191,901,610 ) See accompanying notes to financial statements. F-20 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 729,892,808 $ 586,151,113 $ 193,892,178 Addition of 35,420,000 , 13,723,000 and 633,500 shares, respectively (Note 1) 2,177,844,801 4,896,232,861 2,558,661,553 Redemption of 33,310,662 , 8,932,166 and 386,500 shares, respectively (Note 1) ( 2,184,155,599 ) ( 3,047,597,996 ) ( 1,974,501,008 ) Net addition (redemption) of 2,109,338 , 4,790,834 and 247,000 shares, respectively (Note 1) ( 6,310,798 ) 1,848,634,865 584,160,545 Net investment income (loss) 17,144,306 21,578,854 765,271 Net realized gain (loss) ( 398,290,574 ) ( 2,080,655,811 ) 109,675,787 Change in net unrealized appreciation (depreciation) 53,645,757 354,183,787 ( 302,342,668 ) Net income (loss) ( 327,500,511 ) ( 1,704,893,170 ) ( 191,901,610 ) Shareholders’ equity, end of period $ 396,081,499 $ 729,892,808 $ 586,151,113 See accompanying notes to financial statements. F-21 Table of Contents PROSHARES ULTRA BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ ( 327,500,511 ) $ ( 1,704,893,170 ) $ ( 191,901,610 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 738,233,545 ) ( 11,178,803,468 ) ( 2,226,855,145 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 709,956,736 11,391,373,123 2,056,848,583 Net amortization and accretion on short-term U.S. government and agency obligations ( 7,000,295 ) ( 13,804,974 ) ( 2,270,335 ) Net realized (gain) loss on investments ( 1,653 ) ( 892 ) 4,317 Change in unrealized (appreciation) depreciation on investments ( 13,626 ) 37,252 ( 65,140 ) Decrease (Increase) in receivable on open futures contracts —   —   9,023,120 Decrease (Increase) in interest receivable 1,100,379 ( 1,271,721 ) ( 652,792 ) Increase (Decrease) in payable to Sponsor ( 224,359 ) 175,151 303,324 Increase (Decrease) in brokerage commissions and futures account fees payable ( 38,680 ) 17,107 ( 28,386 ) Increase (Decrease) in payable on open futures contracts 16,214,239 18,676,841 ( 2,236,616 ) Net cash provided by (used in) operating activities ( 345,741,315 ) ( 1,488,494,751 ) ( 357,830,680 ) Cash flow from financing activities Proceeds from addition of shares 2,171,160,083 4,891,950,936 2,579,110,294 Payment on shares redeemed ( 2,203,521,960 ) ( 3,030,058,288 ) ( 1,972,674,355 ) Net cash provided by (used in) financing activities ( 32,361,877 ) 1,861,892,648 606,435,939 Net increase (decrease) in cash ( 378,103,192 ) 373,397,897 248,605,259 Cash, beginning of period 701,114,381 327,716,484 79,111,225 Cash, end of period $ 323,011,189 $ 701,114,381 $ 327,716,484 See accompanying notes to financial statements. F-22 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Cash $ 5,285,126 $ 6,162,459 Segregated cash balances with brokers for foreign currency forward contracts 618,421 623,000 Unrealized appreciation on foreign currency forward contracts 2,312 308,424 Interest receivable 19,473 27,219 Total assets 5,925,332 7,121,102 Liabilities and shareholders’ equity Liabilities Payable to Sponso r 4,736 5,612 Unrealized depreciation on foreign currency forward contracts 169,440 1,475 Total liabilities 174,176 7,087 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 5,751,156 7,114,015 Total liabilities and shareholders’ equity $ 5,925,332 $ 7,121,102 Shares outstanding 550,000 600,000 Net asset value per share $ 10.46 $ 11.86 Market value per share (Note 2) $ 10.45 $ 11.84 See accompanying notes to financial statements. F-23 Table of Contents PROSHARES ULTRA EURO SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Foreign Currency Forward Contract s ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Euro with Goldman Sachs International 01/10/25 5,751,921 $ 5,960,572 $ ( 85,224 ) Euro with UBS AG 01/10/25 5,694,502 5,901,069 ( 84,216 ) Total Unrealized Depreciation $ ( 169,440 ) Contracts to Sell Euro with Goldman Sachs International 01/10/25 ( 58,000 ) $ ( 60,104 ) $ 1,109 Euro with UBS AG 01/10/25 ( 287,000 ) ( 297,410 ) 1,203 Total Unrealized Appreciation $ 2,312 ^ The positions and counterparties herein are as of December 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. See accompanying notes to financial statements. F-24 Table of Contents PROSHARES ULTRA EURO SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Euro with Goldman Sachs International 01/19/24 6,949,921 $ 7,678,634 $ 164,104 Euro with UBS AG 01/19/24 6,107,502 6,747,886 144,320 Total Unrealized Appreciation $ 308,424 Contracts to Sell Euro with Goldman Sachs International 01/19/24 ( 102,000 ) $ ( 112,695 ) $ ( 1,432 ) Euro with UBS AG 01/19/24 ( 75,000 ) ( 82,864 ) ( 43 ) Total Unrealized Depreciation $ ( 1,475 ) ^ The positions and counterparties herein are as of December 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. See accompanying notes to financial statements. F-25 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 270,617 $ 343,876 $ 149,251 Expenses Management fee 56,629 77,062 100,481 Non-recurring fees and expenses —   —   588 Total expenses 56,629 77,062 101,069 Net investment income (loss) 213,988 266,814 48,182 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 576,761 ) 293,493 ( 953,353 ) Short-term U.S. government and agency obligations —   —   ( 5,949 ) Net realized gain (loss) ( 576,761 ) 293,493 ( 959,302 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 474,077 ) ( 108,707 ) 333,004 Short-term U.S. government and agency obligations —   —   452 Change in net unrealized appreciation (depreciation) ( 474,077 ) ( 108,707 ) 333,456 Net realized and unrealized gain (loss) ( 1,050,838 ) 184,786 ( 625,846 ) Net income (loss) $ ( 836,850 ) $ 451,600 $ ( 577,664 ) See accompanying notes to financial statements. F-26 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 7,114,015 $ 10,704,662 $ 8,659,095 Addition of 250,000 , 300,000 and 1,550,000 shares, respectively 2,873,054 3,458,223 16,600,027 Redemption of 300,000 , 650,000 and 1,250,000 shares, respectively ( 3,399,063 ) ( 7,500,470 ) ( 13,976,796 ) Net addition (redemption) of ( 50,000 ), ( 350,000 ) and 300,000 shares, respectively ( 526,009 ) ( 4,042,247 ) 2,623,231 Net investment income (loss) 213,988 266,814 48,182 Net realized gain (loss) ( 576,761 ) 293,493 ( 959,302 ) Change in net unrealized appreciation (depreciation) ( 474,077 ) ( 108,707 ) 333,456 Net income (loss) ( 836,850 ) 451,600 ( 577,664 ) Shareholders’ equity, end of period $ 5,751,156 $ 7,114,015 $ 10,704,662 See accompanying notes to financial statements. F-27 Table of Contents PROSHARES ULTRA EURO STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ ( 836,850 ) $ 451,600 $ ( 577,664 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations —   —   ( 5,984,289 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations —   —   6,988,249 Net amortization and accretion on short-term U.S. government and agency obligations —   —   ( 11,779 ) Net realized (gain) loss on investments —   —   5,949 Change in unrealized (appreciation) depreciation on investments 474,077 108,707 ( 333,456 ) Decrease (Increase) in interest receivable 7,746 13,202 ( 40,268 ) Increase (Decrease) in payable to Sponsor ( 876 ) ( 5,221 ) 6,987 Net cash provided by (used in) operating activities ( 355,903 ) 568,288 53,729 Cash flow from financing activities Proceeds from addition of shares 2,873,054 3,458,223 16,600,027 Payment on shares redeemed ( 3,399,063 ) ( 7,500,470 ) ( 13,976,796 ) Net cash provided by (used in) financing activities ( 526,009 ) ( 4,042,247 ) 2,623,231 Net increase (decrease) in cash ( 881,912 ) ( 3,473,959 ) 2,676,960 Cash, beginning of period 6,785,459 10,259,418 7,582,458 Cash, end of period $ 5,903,547 $ 6,785,459 $ 10,259,418 See accompanying notes to financial statements. F-28 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 74,793,200 and $ 59,496,177 , respectively) $ 74,813,625 $ 59,507,594 Cash 203,750,372 92,898,206 Segregated cash balances with brokers for futures contracts 11,408,000 4,523,500 Segregated cash balances with brokers for swap agreements —   31,930,271 Unrealized appreciation on swap agreements —   3,078,593 Receivable on open futures contracts 1,952,335 —   Interest receivable 371,587 276,736 Total assets 292,295,919 192,214,900 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts —   564,042 Payable to Sponso r 238,455 148,835 Unrealized depreciation on swap agreements 2,348,132 —   Total liabilities 2,586,587 712,877 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 289,709,332 191,502,023 Total liabilities and shareholders’ equity $ 292,295,919 $ 192,214,900 Shares outstanding 3,100,000 3,000,000 Net asset value per share $ 93.45 $ 63.83 Market value per share (Note 2) $ 93.48 $ 63.87 See accompanying notes to financial statements. F-29 Table of Contents PROSHARES ULTRA GOLD SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Principal Amount Value Short-term U.S. government and agency obligations ( 26 % of shareholders’ equity) U.S. Treasury Bills ^^ : 4.562 % due 01/23/25 † $ 75,000,000 $ 74,813,625 Total short-term U.S. government and agency obligations (cost $ 74,793,200 ) $ 74,813,625 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires February 2025 961 $ 253,800,100 $ ( 423,408 ) Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex 0.25 % 01/06/25 $ 139,739,974 $ ( 1,008,254 ) Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.25 01/06/25 66,372,068 ( 478,889 ) Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 01/06/25 119,329,710 ( 860,989 ) Total Unrealized Depreciation $ ( 2,348,132 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of December 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. * Reflects the floating financing rate, as of December 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. F-30 Table of Contents PROSHARES ULTRA GOLD SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Principal Amount Value Short-term U.S. government and agency obligations ( 31 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.345 % due 02/01/24 $ 10,000,000 $ 9,956,000 5.417 % due 02/20/24 † 20,000,000 19,856,676 5.382 % due 03/12/24 † 30,000,000 29,694,918 Total short-term U.S. government and agency obligations (cost $ 59,496,177 ) $ 59,507,594 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires February 2024 543 $ 112,498,740 $ 4,096,275 Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex 0.25 % 01/08/24 $ 116,159,653 $ 1,321,903 Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.25 01/08/24 55,172,161 627,862 Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 01/08/24 99,193,505 1,128,828 Total Unrealized Appreciation $ 3,078,593 † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of December 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. * Reflects the floating financing rate, as of December 31, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. F-31 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 11,701,123 $ 7,285,355 $ 2,321,780 Expenses Management fee 2,352,382 1,735,128 2,259,459 Brokerage commissions 39,518 26,654 49,272 Futures account fees —   —   28,169 Non-recurring fees and expenses —   —   6,758 Total expenses 2,391,900 1,761,782 2,343,658 Net investment income (loss) 9,309,223 5,523,573 ( 21,878 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 25,752,832 849,905 ( 23,226,760 ) Swap agreements 59,585,690 20,579,249 ( 9,683,190 ) Short-term U.S. government and agency obligations 3,011 ( 28,324 ) ( 708 ) Net realized gain (loss) 85,341,533 21,400,830 ( 32,910,658 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 4,519,683 ) 854,187 2,587,194 Swap agreements ( 5,426,725 ) ( 3,417,873 ) ( 2,142,722 ) Short-term U.S. government and agency obligations 9,008 ( 11,785 ) 31,050 Change in net unrealized appreciation (depreciation) ( 9,937,400 ) ( 2,575,471 ) 475,522 Net realized and unrealized gain (loss) 75,404,133 18,825,359 ( 32,435,136 ) Net income (loss) $ 84,713,356 $ 24,348,932 $ ( 32,457,014 ) See accompanying notes to financial statements. F-32 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 191,502,023 $ 173,524,136 $ 232,780,534 Addition of 2,250,000 , 1,000,000 and 1,750,000 shares, respectively 190,246,217 60,924,667 110,166,409 Redemption of 2,150,000 , 1,150,000 and 2,500,000 shares, respectively ( 176,752,264 ) ( 67,295,712 ) ( 136,965,793 ) Net addition (redemption) of 100,000 , ( 150,000 ) and ( 750,000 ) shares, respectively 13,493,953 ( 6,371,045 ) ( 26,799,384 ) Net investment income (loss) 9,309,223 5,523,573 ( 21,878 ) Net realized gain (loss) 85,341,533 21,400,830 ( 32,910,658 ) Change in net unrealized appreciation (depreciation) ( 9,937,400 ) ( 2,575,471 ) 475,522 Net income (loss) 84,713,356 24,348,932 ( 32,457,014 ) Shareholders’ equity, end of period $ 289,709,332 $ 191,502,023 $ 173,524,136 See accompanying notes to financial statements. F-33 Table of Contents PROSHARES ULTRA GOLD STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ 84,713,356 $ 24,348,932 $ ( 32,457,014 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 816,791,412 ) ( 995,083,303 ) ( 1,097,341,793 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 810,003,011 1,069,750,481 1,177,997,412 Net amortization and accretion on short-term U.S. government and agency obligations ( 8,505,611 ) ( 5,091,392 ) ( 1,792,446 ) Net realized (gain) loss on investments ( 3,011 ) 28,324 708 Change in unrealized (appreciation) depreciation on investments 5,417,717 3,429,658 2,111,672 Decrease (Increase) in receivable on open futures contracts ( 1,952,335 ) 8,169 936,475 Decrease (Increase) in interest receivable ( 94,851 ) ( 150,141 ) ( 125,905 ) Increase (Decrease) in payable to Sponsor 89,620 8,485 ( 38,006 ) Increase (Decrease) in brokerage commissions and futures account fees payable —   —   ( 4,034 ) Increase (Decrease) in payable on open futures contracts ( 564,042 ) 564,042 —   Net cash provided by (used in) operating activities 72,312,442 97,813,255 49,287,069 Cash flow from financing activities Proceeds from addition of shares 190,246,217 60,924,667 110,166,409 Payment on shares redeemed ( 176,752,264 ) ( 67,295,712 ) ( 136,965,793 ) Net cash provided by (used in) financing activities 13,493,953 ( 6,371,045 ) ( 26,799,384 ) Net increase (decrease) in cash 85,806,395 91,442,210 22,487,685 Cash, beginning of period 129,351,977 37,909,767 15,422,082 Cash, end of period $ 215,158,372 $ 129,351,977 $ 37,909,767 See accompanying notes to financial statements. F-34 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 124,655,333 and $ 114,255,151 , respectively) $ 124,689,375 $ 114,276,025 Cash 376,597,126 160,468,637 Segregated cash balances with brokers for futures contracts 38,668,750 23,499,000 Segregated cash balances with brokers for swap agreements 76,561,398 95,226,292 Receivable from capital shares sold —   2,728,828 Interest receivable 851,132 598,623 Total assets 617,367,781 396,797,405 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 2,258,150 3,503,958 Payable to Sponso r 507,430 319,853 Unrealized depreciation on swap agreements 52,518,908 2,827,221 Total liabilities 55,284,488 6,651,032 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 562,083,293 390,146,373 Total liabilities and shareholders’ equity $ 617,367,781 $ 396,797,405 Shares outstanding 16,746,526 14,296,526 Net asset value per share $ 33.56 $ 27.29 Market value per share (Note 2) $ 33.67 $ 27.17 See accompanying notes to financial statements. F-35 Table of Contents PROSHARES ULTRA SILVER SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Principal Amount Value Short-term U.S. government and agency obligations ( 22 % of shareholders’ equity) U.S. Treasury Bills ^^ : 4.562 % due 01/23/25 † $ 125,000,000 $ 124,689,375 Total short-term U.S. government and agency obligations (cost $ 124,655,333 ) $ 124,689,375 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires March 2025 3,220 $ 470,796,200 $ ( 28,903,535 ) Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex 0.25 % 01/06/25 $ 290,595,744 $ ( 23,367,397 ) Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.30 01/06/25 25,577,165 ( 2,057,658 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 01/06/25 173,531,177 ( 13,960,418 ) Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 01/06/25 163,326,725 ( 13,133,435 ) Total Unrealized Depreciation $ ( 52,518,908 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of December 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. * Reflects the floating financing rate, as of December 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. F-36 Table of Contents PROSHARES ULTRA SILVER SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Principal Amount Value Short-term U.S. government and agency obligations ( 29 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.442 % due 01/18/24 $ 40,000,000 $ 39,905,956 5.345 % due 02/01/24 † 10,000,000 9,956,000 5.417 % due 02/20/24 † 25,000,000 24,820,845 5.382 % due 03/12/24 † 40,000,000 39,593,224 Total short-term U.S. government and agency obligations (cost $ 114,255,151 ) $ 114,276,025 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires March 2024 2,609 $ 314,201,870 $ 12,400,748 Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex 0.25 % 01/08/24 $ 149,709,309 $ ( 906,324 ) Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.30 01/08/24 22,327,683 ( 135,877 ) Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 01/08/24 151,484,700 ( 921,875 ) Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 01/08/24 142,576,685 ( 863,145 ) Total Unrealized Depreciation $ ( 2,827,221 ) † All or partial amount pledged as collateral for swap agreements. ^ The positions and counterparties herein are as of December 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. ^^ Rates shown represent discount rate at the time of purchase. * Reflects the floating financing rate, as of December 31, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. F-37 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 24,945,342 $ 13,905,665 $ 3,844,119 Expenses Management fee 5,144,179 3,644,422 4,008,030 Brokerage commissions 178,278 130,997 135,647 Futures account fees —   —   26,693 Non-recurring fees and expenses —   —   14,619 Total expenses 5,322,457 3,775,419 4,184,989 Net investment income (loss) 19,622,885 10,130,246 ( 340,870 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 60,089,642 ( 223,436 ) ( 11,586,506 ) Swap agreements 116,537,615 7,445,439 ( 57,315,486 ) Short-term U.S. government and agency obligations 4,772 ( 46,857 ) ( 7,717 ) Net realized gain (loss) 176,632,029 7,175,146 ( 68,909,709 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 41,304,283 ) ( 17,025,826 ) 26,920,029 Swap agreements ( 49,691,687 ) ( 42,051,433 ) ( 1,367,487 ) Short-term U.S. government and agency obligations 13,168 ( 19,339 ) 63,467 Change in net unrealized appreciation (depreciation) ( 90,982,802 ) ( 59,096,598 ) 25,616,009 Net realized and unrealized gain (loss) 85,649,227 ( 51,921,452 ) ( 43,293,700 ) Net income (loss) $ 105,272,112 $ ( 41,791,206 ) $ ( 43,634,570 ) See accompanying notes to financial statements. F-38 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 390,146,373 $ 414,285,878 $ 515,453,594 Addition of 15,750,000 , 7,100,000 and 6,350,000 shares, respectively 563,194,168 187,169,422 169,562,602 Redemption of 13,300,000 , 5,850,000 and 8,100,000 shares, respectively ( 496,529,360 ) ( 169,517,721 ) ( 227,095,748 ) Net addition (redemption) of 2,450,000 , 1,250,000 and ( 1,750,000 ) shares, respectively 66,664,808 17,651,701 ( 57,533,146 ) Net investment income (loss) 19,622,885 10,130,246 ( 340,870 ) Net realized gain (loss) 176,632,029 7,175,146 ( 68,909,709 ) Change in net unrealized appreciation (depreciation) ( 90,982,802 ) ( 59,096,598 ) 25,616,009 Net income (loss) 105,272,112 ( 41,791,206 ) ( 43,634,570 ) Shareholders’ equity, end of period $ 562,083,293 $ 390,146,373 $ 414,285,878 See accompanying notes to financial statements. F-39 Table of Contents PROSHARES ULTRA SILVER STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ 105,272,112 $ ( 41,791,206 ) $ ( 43,634,570 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 1,660,687,822 ) ( 2,963,529,540 ) ( 5,011,869,884 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 1,666,998,259 3,087,588,221 5,237,963,012 Net amortization and accretion on short-term U.S. government and agency obligations ( 16,705,847 ) ( 9,743,268 ) ( 2,822,030 ) Net realized (gain) loss on investments ( 4,772 ) 46,857 7,717 Change in unrealized (appreciation) depreciation on investments 49,678,519 42,070,772 1,304,020 Decrease (Increase) in receivable on open futures contracts —   —   1,384,919 Decrease (Increase) in interest receivable ( 252,509 ) ( 297,911 ) ( 299,130 ) Increase (Decrease) in payable to Sponsor 187,577 ( 24,614 ) ( 48,021 ) Increase (Decrease) in brokerage commissions and futures account fees payable —   —   ( 9,833 ) Increase (Decrease) in payable on open futures contracts ( 1,245,808 ) 1,555,056 1,948,902 Net cash provided by (used in) operating activities 143,239,709 115,874,367 183,925,102 Cash flow from financing activities Proceeds from addition of shares 565,922,996 184,440,594 169,562,602 Payment on shares redeemed ( 496,529,360 ) ( 171,133,103 ) ( 228,964,136 ) Net cash provided by (used in) financing activities 69,393,636 13,307,491 ( 59,401,534 ) Net increase (decrease) in cash 212,633,345 129,181,858 124,523,568 Cash, beginning of period 279,193,929 150,012,071 25,488,503 Cash, end of period $ 491,827,274 $ 279,193,929 $ 150,012,071 See accompanying notes to financial statements. F-40 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 24,931,067 and $ — , respectively) $ 24,937,875 $ —   Cash 88,749,502 86,615,956 Segregated cash balances with brokers for futures contracts 161,872,327 250,795,661 Receivable on open futures contracts 9,002,751 10,559,699 Interest receivable 803,191 924,148 Total assets 285,365,646 348,895,464 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 613,972 —   Brokerage commissions and futures account fees payable 24,616 36,088 Payable to Sponso r 274,998 303,633 Total liabilities 913,586 339,721 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 284,452,060 348,555,743 Total liabilities and shareholders’ equity $ 285,365,646 $ 348,895,464 Shares outstanding (Note 1) 13,693,643 8,264,892 Net asset value per share (Note 1) $ 20.77 $ 42.17 Market value per share (Note 1) (Note 2) $ 20.72 $ 42.20 See accompanying notes to financial statements. F-41 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Principal Amount Value Short-term U.S. government and agency obligations ( 9 % of shareholders’ equity) U.S. Treasury Bills ^^ : 4.562 % due 01/23/25 $ 25,000,000 $ 24,937,875 Total short-term U.S. government and agency obligations (cost $ 24,931,067 ) $ 24,937,875 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires January 2025 14,280 $ 250,152,756 $ 15,626,836 VIX Futures - Cboe, expires February 2025 9,884 176,634,987 ( 1,650,844 ) $ 13,975,992 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. F-42 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires January 2024 21,109 $ 296,606,781 $ ( 21,045,144 ) VIX Futures - Cboe, expires February 2024 14,767 225,867,172 ( 10,138,767 ) $ ( 31,183,911 ) See accompanying notes to financial statements. F-43 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 10,412,156 $ 15,951,926 $ 8,744,418 Expenses Management fee 2,534,346 4,392,607 8,937,342 Brokerage commissions 2,159,377 2,596,882 3,993,956 Futures account fees 279,647 476,293 1,749,320 Non-recurring fees and expenses —   —   37,189 Total expenses 4,973,370 7,465,782 14,717,807 Net investment income (loss) 5,438,786 8,486,144 ( 5,973,389 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 136,430,513 ) ( 940,116,773 ) ( 173,487,606 ) Swap agreements —   —   22,556,586 Short-term U.S. government and agency obligations 14,511 13,721 ( 368,413 ) Net realized gain (loss) ( 136,416,002 ) ( 940,103,052 ) ( 151,299,433 ) Change in net unrealized appreciation (depreciation) on Futures contracts 45,159,903 5,371,542 89,801,304 Swap agreements —   —   477,437 Short-term U.S. government and agency obligations 6,808 ( 3,383 ) 68,399 Change in net unrealized appreciation (depreciation) 45,166,711 5,368,159 90,347,140 Net realized and unrealized gain (loss) ( 91,249,291 ) ( 934,734,893 ) ( 60,952,293 ) Net income (loss) $ ( 85,810,505 ) $ ( 926,248,749 ) $ ( 66,925,682 ) See accompanying notes to financial statements. F-44 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 348,555,743 $ 639,318,362 $ 816,679,636 Addition of 54,000,000 , 12,562,000 and 5,483,000 shares, respectively (Note 1) 1,359,968,222 1,481,923,040 3,377,960,087 Redemption of 48,571,249 , 6,158,677 and 4,938,000 shares, respectively (Note 1) ( 1,338,261,400 ) ( 846,436,910 ) ( 3,488,395,679 ) Net addition (redemption) of 5,428,751 , 6,403,323 and 545,000 shares, respectively (Note 1) 21,706,822 635,486,130 ( 110,435,592 ) Net investment income (loss) 5,438,786 8,486,144 ( 5,973,389 ) Net realized gain (loss) ( 136,416,002 ) ( 940,103,052 ) ( 151,299,433 ) Change in net unrealized appreciation (depreciation) 45,166,711 5,368,159 90,347,140 Net income (loss) ( 85,810,505 ) ( 926,248,749 ) ( 66,925,682 ) Shareholders’ equity, end of period $ 284,452,060 $ 348,555,743 $ 639,318,362 See accompanying notes to financial statements. F-45 Table of Contents PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ ( 85,810,505 ) $ ( 926,248,749 ) $ ( 66,925,682 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 358,565,760 ) ( 1,592,777,850 ) ( 6,484,457,979 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 336,137,249 1,630,711,623 6,673,261,241 Net amortization and accretion on short-term U.S. government and agency obligations ( 2,488,045 ) ( 3,191,063 ) ( 2,175,055 ) Net realized (gain) loss on investments ( 14,511 ) ( 13,721 ) 368,413 Change in unrealized (appreciation) depreciation on investments ( 6,808 ) 3,383 ( 545,836 ) Decrease (Increase) in receivable on open futures contracts 1,556,948 11,099,936 11,938,053 Decrease (Increase) in interest receivable 120,957 322,254 ( 1,241,342 ) Increase (Decrease) in payable to Sponsor ( 28,635 ) ( 266,796 ) ( 41,407 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 11,472 ) ( 22,684 ) ( 109,083 ) Increase (Decrease) in payable on open futures contracts 613,972 ( 904,685 ) ( 8,542,771 ) Net cash provided by (used in) operating activities ( 108,496,610 ) ( 881,288,352 ) 121,528,552 Cash flow from financing activities Proceeds from addition of shares 1,359,968,222 1,481,923,040 3,377,960,087 Payment on shares redeemed ( 1,338,261,400 ) ( 846,436,910 ) ( 3,488,395,679 ) Net cash provided by (used in) financing activities 21,706,822 635,486,130 ( 110,435,592 ) Net increase (decrease) in cash ( 86,789,788 ) ( 245,802,222 ) 11,092,960 Cash, beginning of period 337,411,617 583,213,839 572,120,879 Cash, end of period $ 250,621,829 $ 337,411,617 $ 583,213,839 See accompanying notes to financial statements. F-46 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Cash $ 39,802,626 $ 27,001,312 Segregated cash balances with brokers for foreign currency forward contracts 8,805,479 2,976,399 Unrealized appreciation on foreign currency forward contracts 146,194 1,534,924 Interest receivable 149,992 104,541 Total assets 48,904,291 31,617,176 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   1,373,167 Payable to Sponso r 37,154 22,600 Unrealized depreciation on foreign currency forward contracts 4,361,491 15,639 Total liabilities 4,398,645 1,411,406 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 44,505,646 30,205,770 Total liabilities and shareholders’ equity $ 48,904,291 $ 31,617,176 Shares outstanding 2,199,970 1,099,970 Net asset value per share $ 20.23 $ 27.46 Market value per share (Note 2) $ 20.35 $ 27.49 See accompanying notes to financial statements. F-47 Table of Contents PROSHARES ULTRA YEN SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Yen with Goldman Sachs International 01/10/25 7,308,549,056 $ 46,506,241 $ ( 2,180,271 ) Yen with UBS AG 01/10/25 7,519,501,856 47,848,591 ( 2,181,220 ) Total Unrealized Depreciation $ ( 4,361,491 ) Contracts to Sell Yen with Goldman Sachs International 01/10/25 ( 66,274,000 ) $ ( 421,719 ) $ 16,187 Yen with UBS AG 01/10/25 ( 730,519,000 ) ( 4,648,486 ) 130,007 Total Unrealized Appreciation $ 146,194 ^ The positions and counterparties herein are as of December 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. See accompanying notes to financial statements. F-48 Table of Contents PROSHARES ULTRA YEN SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Yen with Goldman Sachs International 01/19/24 4,094,365,056 $ 29,127,726 $ 647,731 Yen with UBS AG 01/19/24 4,865,329,856 34,612,448 887,193 Total Unrealized Appreciation $ 1,534,924 Contracts to Sell Yen with Goldman Sachs International 01/19/24 ( 17,917,000 ) $ ( 127,463 ) $ ( 870 ) Yen with UBS AG 01/19/24 ( 446,432,000 ) ( 3,175,962 ) ( 14,769 ) Total Unrealized Depreciation $ ( 15,639 ) ^ The positions and counterparties herein are as of December 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. See accompanying notes to financial statements. F-49 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 1,853,973 $ 667,026 $ 120,631 Expenses Management fee 405,325 145,536 65,070 Non-recurring fees and expenses —   —   508 Total expenses 405,325 145,536 65,578 Net investment income (loss) 1,448,648 521,490 55,053 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts ( 6,562,004 ) ( 2,637,502 ) ( 1,141,826 ) Short-term U.S. government and agency obligations —   —   1,548 Net realized gain (loss) ( 6,562,004 ) ( 2,637,502 ) ( 1,140,278 ) Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts ( 5,734,582 ) 534,736 1,077,661 Change in net unrealized appreciation (depreciation) ( 5,734,582 ) 534,736 1,077,661 Net realized and unrealized gain (loss) ( 12,296,586 ) ( 2,102,766 ) ( 62,617 ) Net income (loss) $ ( 10,847,938 ) $ ( 1,581,276 ) $ ( 7,564 ) See accompanying notes to financial statements. F-50 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 30,205,770 $ 13,814,796 $ 2,362,849 Addition of 2,050,000 , 1,000,000 and 500,000 shares, respectively 48,124,281 27,033,889 15,919,421 Redemption of 950,000 , 300,000 and 150,000 shares, respectively ( 22,976,467 ) ( 9,061,639 ) ( 4,459,910 ) Net addition (redemption) of 1,100,000 , 700,000 and 350,000 shares, respectively 25,147,814 17,972,250 11,459,511 Net investment income (loss) 1,448,648 521,490 55,053 Net realized gain (loss) ( 6,562,004 ) ( 2,637,502 ) ( 1,140,278 ) Change in net unrealized appreciation (depreciation) ( 5,734,582 ) 534,736 1,077,661 Net income (loss) ( 10,847,938 ) ( 1,581,276 ) ( 7,564 ) Shareholders’ equity, end of period $ 44,505,646 $ 30,205,770 $ 13,814,796 See accompanying notes to fin ancial statements. F-51 Table of Contents PROSHARES ULTRA YEN STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ ( 10,847,938 ) $ ( 1,581,276 ) $ ( 7,564 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations —   —   ( 995,769 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations —   —   1,001,548 Net amortization and accretion on short-term U.S. government and agency obligations —   —   ( 4,231 ) Net realized (gain) loss on investments —   —   ( 1,548 ) Change in unrealized (appreciation) depreciation on investments 5,734,582 ( 534,736 ) ( 1,077,661 ) Decrease (Increase) in interest receivable ( 45,451 ) ( 65,337 ) ( 39,109 ) Increase (Decrease) in payable to Sponsor 14,554 11,685 8,961 Net cash provided by (used in) operating activities ( 5,144,253 ) ( 2,169,664 ) ( 1,115,373 ) Cash flow from financing activities Proceeds from addition of shares 48,124,281 27,033,889 15,919,421 Payment on shares redeemed ( 24,349,634 ) ( 7,688,472 ) ( 4,459,910 ) Net cash provided by (used in) financing activities 23,774,647 19,345,417 11,459,511 Net increase (decrease) in cash 18,630,394 17,175,753 10,344,138 Cash, beginning of period 29,977,711 12,801,958 2,457,820 Cash, end of period $ 48,608,105 $ 29,977,711 $ 12,801,958 See accompanying notes to financial statements. F-52 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ — and $ 49,673,923 , respectively) $ —   $ 49,683,885 Cash 88,861,451 91,925,442 Segregated cash balances with brokers for futures contracts 31,873,660 49,648,726 Receivable from capital shares sold 3,386,356 —   Receivable on open futures contracts —   654,887 Interest receivable 341,824 285,610 Total assets 124,463,291 192,198,550 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed —   3,096,091 Payable on open futures contracts 2,372,844 —   Brokerage commissions and futures account fees payable —   3,509 Payable to Sponso r 93,113 135,358 Total liabilities 2,465,957 3,234,958 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 121,997,334 188,963,592 Total liabilities and shareholders’ equity $ 124,463,291 $ 192,198,550 Shares outstanding 7,205,220 9,105,220 Net asset value per share $ 16.93 $ 20.75 Market value per share (Note 2) $ 16.92 $ 20.89 See accompanying notes to financial statements. F-53 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires March 2025 1,140 $ 81,225,000 $ ( 2,847,040 ) WTI Crude Oil - NYMEX, expires June 2025 1,167 81,888,390 1,888,681 WTI Crude Oil - NYMEX, expires December 2025 1,186 80,873,340 ( 697,033 ) $ ( 1,655,392 ) See accompanying notes to financial statements. F-54 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Principal Amount Value Short-term U.S. government and agency obligations ( 26 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.442 % due 01/18/24 $ 15,000,000 $ 14,964,734 5.417 % due 02/20/24 25,000,000 24,820,845 5.382 % due 03/12/24 10,000,000 9,898,306 Total short-term U.S. government and agency obligations (cost $ 49,673,923 ) $ 49,683,885 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value WTI Crude Oil - NYMEX, expires March 2024 1,688 $ 121,265,920 $ 2,345,922 WTI Crude Oil - NYMEX, expires June 2024 1,769 127,580,280 8,633,394 WTI Crude Oil - NYMEX, expires December 2024 1,836 129,070,800 11,457,003 $ 22,436,319 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. F-55 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 7,561,479 $ 8,581,404 $ 4,116,166 Expenses Management fee 1,518,281 1,871,453 3,324,952 Brokerage commissions 183,413 242,865 427,485 Futures account fees —   —   214,920 Non-recurring fees and expenses —   —   14,792 Total expenses 1,701,694 2,114,318 3,982,149 Net investment income (loss) 5,859,785 6,467,086 134,017 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 4,429,612 12,379,340 ( 108,954,702 ) Short-term U.S. government and agency obligations 6,958 ( 11,670 ) —   Net realized gain (loss) 4,436,570 12,367,670 ( 108,954,702 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 24,091,711 ) 12,191,426 18,654,355 Short-term U.S. government and agency obligations ( 9,962 ) ( 9,665 ) 35,904 Change in net unrealized appreciation (depreciation) ( 24,101,673 ) 12,181,761 18,690,259 Net realized and unrealized gain (loss) ( 19,665,103 ) 24,549,431 ( 90,264,443 ) Net income (loss) $ ( 13,805,318 ) $ 31,016,517 $ ( 90,130,426 ) See accompanying notes to financial statements. F-56 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 188,963,592 $ 222,697,337 $ 114,167,602 Addition of 19,500,000 , 32,700,000 and 44,940,000 shares, respectively 332,554,759 695,900,455 1,196,365,904 Redemption of 21,400,000 , 32,900,000 and 37,411,540 shares, respectively ( 385,715,699 ) ( 760,650,717 ) ( 997,705,743 ) Net addition (redemption) of ( 1,900,000 ), ( 200,000 ) and 7,528,460 shares, respectively ( 53,160,940 ) ( 64,750,262 ) 198,660,161 Net investment income (loss) 5,859,785 6,467,086 134,017 Net realized gain (loss) 4,436,570 12,367,670 ( 108,954,702 ) Change in net unrealized appreciation (depreciation) ( 24,101,673 ) 12,181,761 18,690,259 Net income (loss) ( 13,805,318 ) 31,016,517 ( 90,130,426 ) Shareholders’ equity, end of period $ 121,997,334 $ 188,963,592 $ 222,697,337 See accompanying notes to financial statements. F-57 Table of Contents PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ ( 13,805,318 ) $ 31,016,517 $ ( 90,130,426 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 326,289,323 ) ( 975,397,647 ) ( 8,926,116,784 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 379,998,987 1,019,874,276 8,895,000,000 Net amortization and accretion on short-term U.S. government and agency obligations ( 4,028,783 ) ( 4,754,914 ) ( 2,358,224 ) Net realized (gain) loss on investments ( 6,958 ) 11,670 —   Change in unrealized (appreciation) depreciation on investments 9,962 9,665 ( 35,904 ) Decrease (Increase) in receivable on open futures contracts 654,887 949,960 2,459,592 Decrease (Increase) in interest receivable ( 56,214 ) 99,246 ( 383,497 ) Increase (Decrease) in payable to Sponsor ( 42,245 ) ( 73,244 ) 134,331 Increase (Decrease) in brokerage commissions and futures account fees payable ( 3,509 ) ( 625 ) ( 3,810 ) Increase (Decrease) in payable on open futures contracts 2,372,844 ( 7,102,680 ) 6,927,123 Net cash provided by (used in) operating activities 38,804,330 64,632,224 ( 114,507,599 ) Cash flow from financing activities Proceeds from addition of shares 329,168,403 695,942,149 1,196,324,210 Payment on shares redeemed ( 388,811,790 ) ( 758,811,716 ) ( 996,448,653 ) Net cash provided by (used in) financing activities ( 59,643,387 ) ( 62,869,567 ) 199,875,557 Net increase (decrease) in cash ( 20,839,057 ) 1,762,657 85,367,958 Cash, beginning of period 141,574,168 139,811,511 54,443,553 Cash, end of period $ 120,735,111 $ 141,574,168 $ 139,811,511 See accompanying notes to financial statements. F-58 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Cash $ 177,262,462 $ 73,282,564 Segregated cash balances with brokers for futures contracts 81,628,795 62,890,001 Receivable from capital shares sold —   9,611,378 Receivable on open futures contracts 19,205,533 4,446,202 Interest receivable 405,754 447,861 Total assets 278,502,544 150,678,006 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 17,443,727 —   Payable on open futures contracts —   9,596,045 Brokerage commissions and futures account fees payable 3,166 10,461 Payable to Sponso r 115,508 108,408 Total liabilities 17,562,401 9,714,914 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 260,940,143 140,963,092 Total liabilities and shareholders’ equity $ 278,502,544 $ 150,678,006 Shares outstanding (Note 1) 5,983,712 2,933,712 Net asset value per share (Note 1) $ 43.61 $ 48.05 Market value per share (Note 1) (Note 2) $ 42.74 $ 48.21 See accompanying notes to financial statements. F-59 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires March 2025 16,846 $ 521,889,080 $ ( 26,130,504 ) See accompanying notes to financial statements. F-60 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Natural Gas - NYMEX, expires March 2024 12,109 $ 281,776,430 $ ( 3,553,507 ) See accompanying notes to financial statements. F-61 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 5,342,982 $ 5,542,278 $ 2,635,445 Expenses Management fee 1,092,378 1,226,758 2,255,264 Brokerage commissions 965,275 817,632 713,500 Futures account fees 40,687 104,966 283,983 Non-recurring fees and expenses —   —   10,264 Total expenses 2,098,340 2,149,356 3,263,011 Net investment income (loss) 3,244,642 3,392,922 ( 627,566 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts 96,490,359 306,791,742 ( 165,347,108 ) Short-term U.S. government and agency obligations ( 3,961 ) 3,839 ( 106,181 ) Net realized gain (loss) 96,486,398 306,795,581 ( 165,453,289 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 22,576,997 ) ( 89,442,905 ) 72,453,147 Short-term U.S. government and agency obligations —   ( 12,800 ) 46,805 Change in net unrealized appreciation (depreciation) ( 22,576,997 ) ( 89,455,705 ) 72,499,952 Net realized and unrealized gain (loss) 73,909,401 217,339,876 ( 92,953,337 ) Net income (loss) $ 77,154,043 $ 220,732,798 $ ( 93,580,903 ) See accompanying notes to financial statements. F-62 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 140,963,092 $ 134,109,520 $ 242,145,130 Addition of 25,950,000 , 52,600,000 and 269,080,000 shares, respectively (Note 1) 1,356,966,632 1,538,415,045 2,458,594,426 Redemption of 22,900,000 , 59,600,000 and 261,103,772 shares, respectively (Note 1) ( 1,314,143,624 ) ( 1,752,294,271 ) ( 2,473,049,133 ) Net addition (redemption) of 3,050,000 , ( 7,000,000 ) and 7,976,228 shares, respectively (Note 1) 42,823,008 ( 213,879,226 ) ( 14,454,707 ) Net investment income (loss) 3,244,642 3,392,922 ( 627,566 ) Net realized gain (loss) 96,486,398 306,795,581 ( 165,453,289 ) Change in net unrealized appreciation (depreciation) ( 22,576,997 ) ( 89,455,705 ) 72,499,952 Net income (loss) 77,154,043 220,732,798 ( 93,580,903 ) Shareholders’ equity, end of period $ 260,940,143 $ 140,963,092 $ 134,109,520 See accompanying notes to financial statements. F-63 Table of Contents PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ 77,154,043 $ 220,732,798 $ ( 93,580,903 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 262,384,408 ) ( 297,847,108 ) ( 824,793,791 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 264,472,679 360,999,575 888,104,364 Net amortization and accretion on short-term U.S. government and agency obligations ( 2,092,232 ) ( 1,678,902 ) ( 1,030,927 ) Net realized (gain) loss on investments 3,961 ( 3,839 ) 106,181 Change in unrealized (appreciation) depreciation on investments —   12,800 ( 46,805 ) Decrease (Increase) in receivable on open futures contracts ( 14,759,331 ) ( 3,766,954 ) 1,361,133 Decrease (Increase) in interest receivable 42,107 ( 154,043 ) ( 292,069 ) Increase (Decrease) in payable to Sponsor 7,100 ( 23,789 ) ( 61,941 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 7,295 ) 2,964 ( 39,370 ) Increase (Decrease) in payable on open futures contracts ( 9,596,045 ) 9,313,683 ( 11,967,656 ) Net cash provided by (used in) operating activities 52,840,579 287,587,185 ( 42,241,784 ) Cash flow from financing activities Proceeds from addition of shares 1,366,578,010 1,528,803,667 2,458,594,426 Payment on shares redeemed ( 1,296,699,897 ) ( 1,757,659,467 ) ( 2,483,669,939 ) Net cash provided by (used in) financing activities 69,878,113 ( 228,855,800 ) ( 25,075,513 ) Net increase (decrease) in cash 122,718,692 58,731,385 ( 67,317,297 ) Cash, beginning of period 136,172,565 77,441,180 144,758,477 Cash, end of period $ 258,891,257 $ 136,172,565 $ 77,441,180 See accompanying notes to financial statements. F-64 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Cash $ 36,236,198 $ 34,758,230 Segregated cash balances with brokers for foreign currency forward contracts 4,402,112 6,332,112 Unrealized appreciation on foreign currency forward contracts 1,189,827 38,029 Interest receivable 129,971 159,359 Total assets 41,958,108 41,287,730 Liabilities and shareholders’ equity Liabilities Payable to Sponso r 32,657 33,372 Unrealized depreciation on foreign currency forward contracts 32,777 1,886,808 Total liabilities 65,434 1,920,180 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 41,892,674 39,367,550 Total liabilities and shareholders’ equity $ 41,958,108 $ 41,287,730 Shares outstanding 1,200,000 1,350,000 Net asset value per share $ 34.91 $ 29.16 Market value per share (Note 2) $ 34.92 $ 29.15 See accompanying notes to financial statements. F-65 Table of Contents PROSHARES ULTRASHORT EURO SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Euro with UBS AG 01/10/25 3,395,000 $ 3,518,153 $ ( 32,777 ) Total Unrealized Depreciation $ ( 32,777 ) Contracts to Sell Euro with Goldman Sachs International 01/10/25 ( 38,554,263 ) $ ( 39,952,817 ) $ 584,165 Euro with UBS AG 01/10/25 ( 45,657,199 ) ( 47,313,413 ) 605,662 Total Unrealized Appreciation $ 1,189,827 ^ The positions and counterparties herein are as of December 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. See accompanying notes to financial statements. F-66 Table of Contents PROSHARES ULTRASHORT EURO SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Euro with Goldman Sachs International 01/19/24 5,315,000 $ 5,872,288 $ 27,910 Euro with UBS AG 01/19/24 3,395,000 3,750,972 10,119 Total Unrealized Appreciation $ 38,029 Contracts to Sell Euro with Goldman Sachs International 01/19/24 ( 41,248,263 ) $ ( 45,573,223 ) $ ( 992,052 ) Euro with UBS AG 01/19/24 ( 38,689,199 ) ( 42,745,837 ) ( 894,756 ) Total Unrealized Depreciation $ ( 1,886,808 ) ^ The positions and counterparties herein are as of December 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. See accompanying notes to financial statements. F-67 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 1,650,526 $ 2,251,539 $ 906,928 Expenses Management fee 360,078 505,085 676,052 Non-recurring fees and expenses —   —   3,838 Total expenses 360,078 505,085 679,890 Net investment income (loss) 1,290,448 1,746,454 227,038 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 2,509,965 ( 2,624,737 ) 6,792,065 Short-term U.S. government and agency obligations 4,641 —   210,974 Net realized gain (loss) 2,514,606 ( 2,624,737 ) 7,003,039 Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts 3,005,829 612,477 ( 2,253,215 ) Short-term U.S. government and agency obligations —   ( 4,802 ) 11,965 Change in net unrealized appreciation (depreciation) 3,005,829 607,675 ( 2,241,250 ) Net realized and unrealized gain (loss) 5,520,435 ( 2,017,062 ) 4,761,789 Net income (loss) $ 6,810,883 $ ( 270,608 ) $ 4,988,827 See accompanying notes to financial statements. F-68 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 39,367,550 $ 75,113,179 $ 54,263,045 Addition of 250,000 , 300,000 and 2,200,000 shares, respectively 8,047,610 9,033,520 70,696,876 Redemption of 400,000 , 1,500,000 and 1,750,000 shares, respectively ( 12,333,369 ) ( 44,508,541 ) ( 54,835,569 ) Net addition (redemption) of ( 150,000 ), ( 1,200,000 ) and 450,000 shares, respectively ( 4,285,759 ) ( 35,475,021 ) 15,861,307 Net investment income (loss) 1,290,448 1,746,454 227,038 Net realized gain (loss) 2,514,606 ( 2,624,737 ) 7,003,039 Change in net unrealized appreciation (depreciation) 3,005,829 607,675 ( 2,241,250 ) Net income (loss) 6,810,883 ( 270,608 ) 4,988,827 Shareholders’ equity, end of period $ 41,892,674 $ 39,367,550 $ 75,113,179 See accompanying notes to financial statements. F-69 Table of Contents PROSHARES ULTRASHORT EURO STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ 6,810,883 $ ( 270,608 ) $ 4,988,827 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations —   ( 54,925,175 ) ( 274,581,000 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 4,641 95,000,000 282,210,974 Net amortization and accretion on short-term U.S. government and agency obligations —   ( 83,003 ) ( 442,534 ) Net realized (gain) loss on investments ( 4,641 ) —   ( 210,974 ) Change in unrealized (appreciation) depreciation on investments ( 3,005,829 ) ( 607,675 ) 2,241,250 Decrease (Increase) in interest receivable 29,388 ( 49,529 ) ( 109,227 ) Increase (Decrease) in payable to Sponsor ( 715 ) ( 30,003 ) 18,668 Net cash provided by (used in) operating activities 3,833,727 39,034,007 14,115,984 Cash flow from financing activities Proceeds from addition of shares 8,047,610 9,033,520 70,696,876 Payment on shares redeemed ( 12,333,369 ) ( 44,508,541 ) ( 54,835,569 ) Net cash provided by (used in) financing activities ( 4,285,759 ) ( 35,475,021 ) 15,861,307 Net increase (decrease) in cash ( 452,032 ) 3,558,986 29,977,291 Cash, beginning of period 41,090,342 37,531,356 7,554,065 Cash, end of period $ 40,638,310 $ 41,090,342 $ 37,531,356 See accompanying notes to financial statements. F-70 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Cash $ 13,148,117 $ 9,309,908 Segregated cash balances with brokers for futures contracts 588,800 261,450 Segregated cash balances with brokers for swap agreements 2,782,413 2,375,125 Unrealized appreciation on swap agreements 141,581 —   Receivable on open futures contracts —   17,324 Interest receivable 61,820 41,501 Total assets 16,722,731 12,005,308 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 82,309 —   Payable to Sponso r 15,994 9,708 Unrealized depreciation on swap agreements —   199,821 Total liabilities 98,303 209,529 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 16,624,428 11,795,779 Total liabilities and shareholders’ equity $ 16,722,731 $ 12,005,308 Shares outstanding 946,977 446,977 Net asset value per share $ 17.56 $ 26.39 Market value per share (Note 2) $ 17.58 $ 26.37 See accompanying notes to financial statements. F-71 Table of Contents PROSHARES ULTRASHORT GOLD SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires February 2025 48 $ 12,676,800 $ 121,056 Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex 0.25 % 01/06/25 $ ( 4,743,641 ) $ 32,589 Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.20 01/06/25 ( 6,217,082 ) 42,928 Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 01/06/25 ( 9,616,126 ) 66,064 Total Unrealized Appreciation $ 141,581 ^ The positions and counterparties herein are as of December 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. * Reflects the floating financing rate, as of December 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. F-72 Table of Contents PROSHARES ULTRASHORT GOLD SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Gold Futures - COMEX, expires February 2024 31 $ 6,422,580 $ ( 144,231 ) Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex 0.25 % 01/08/24 $ ( 3,943,178 ) $ ( 46,103 ) Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex 0.20 01/08/24 ( 5,167,985 ) ( 60,261 ) Swap agreement with UBS AG based on Bloomberg Gold Subindex 0.25 01/08/24 ( 7,993,460 ) ( 93,457 ) Total Unrealized Depreciation $ ( 199,821 ) ^ The positions and counterparties herein are as of December 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. * Reflects the floating financing rate, as of December 31, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. F-73 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 668,180 $ 582,222 $ 215,724 Expenses Management fee 155,523 140,787 266,018 Brokerage commissions 5,075 4,880 10,874 Futures account fees —   —   2,446 Non-recurring fees and expenses —   —   1,075 Total expenses 160,598 145,667 280,413 Net investment income (loss) 507,582 436,555 ( 64,689 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 2,387,758 ) ( 201,345 ) 1,858,730 Swap agreements ( 3,858,626 ) ( 1,979,341 ) 717,831 Short-term U.S. government and agency obligations —   —   4 Net realized gain (loss) ( 6,246,384 ) ( 2,180,686 ) 2,576,565 Change in net unrealized appreciation (depreciation) on Futures contracts 265,287 ( 45,345 ) ( 256,965 ) Swap agreements 341,402 393,136 400,160 Short-term U.S. government and agency obligations —   —   3,581 Change in net unrealized appreciation (depreciation) 606,689 347,791 146,776 Net realized and unrealized gain (loss) ( 5,639,695 ) ( 1,832,895 ) 2,723,341 Net income (loss) $ ( 5,132,113 ) $ ( 1,396,340 ) $ 2,658,652 See accompanying notes to financial statements. F-74 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 11,795,779 $ 15,456,037 $ 26,859,844 Addition of 2,050,000 , 800,000 and 1,600,000 shares, respectively 38,619,814 22,162,736 49,713,634 Redemption of 1,550,000 , 850,000 and 1,950,000 shares, respectively ( 28,659,052 ) ( 24,426,654 ) ( 63,776,093 ) Net addition (redemption) of 500,000 , ( 50,000 ) and ( 350,000 ) shares, respectively 9,960,762 ( 2,263,918 ) ( 14,062,459 ) Net investment income (loss) 507,582 436,555 ( 64,689 ) Net realized gain (loss) ( 6,246,384 ) ( 2,180,686 ) 2,576,565 Change in net unrealized appreciation (depreciation) 606,689 347,791 146,776 Net income (loss) ( 5,132,113 ) ( 1,396,340 ) 2,658,652 Shareholders’ equity, end of period $ 16,624,428 $ 11,795,779 $ 15,456,037 See accompanying notes to financial statements. F-75 Table of Contents PROSHARES ULTRASHORT GOLD STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ ( 5,132,113 ) $ ( 1,396,340 ) $ 2,658,652 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations —   —   ( 17,987,492 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations —   —   43,999,990 Net amortization and accretion on short-term U.S. government and agency obligations —   —   ( 28,397 ) Net realized (gain) loss on investments —   —   ( 4 ) Change in unrealized (appreciation) depreciation on investments ( 341,402 ) ( 393,136 ) ( 403,741 ) Decrease (Increase) in receivable on open futures contracts 17,324 ( 17,324 ) —   Decrease (Increase) in interest receivable ( 20,319 ) 634 ( 41,701 ) Increase (Decrease) in payable to Sponsor 6,286 ( 3,146 ) ( 12,658 ) Increase (Decrease) in brokerage commissions and futures account fees payable —   —   ( 294 ) Increase (Decrease) in payable on open futures contracts 82,309 ( 700 ) ( 91,837 ) Net cash provided by (used in) operating activities ( 5,387,915 ) ( 1,810,012 ) 28,092,518 Cash flow from financing activities Proceeds from addition of shares 38,619,814 22,162,736 49,713,634 Payment on shares redeemed ( 28,659,052 ) ( 24,426,654 ) ( 63,776,093 ) Net cash provided by (used in) financing activities 9,960,762 ( 2,263,918 ) ( 14,062,459 ) Net increase (decrease) in cash 4,572,847 ( 4,073,930 ) 14,030,059 Cash, beginning of period 11,946,483 16,020,413 1,990,354 Cash, end of period $ 16,519,330 $ 11,946,483 $ 16,020,413 See accompanying notes to financial statements. F-76 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Cash $ 10,846,306 $ 46,444,776 Segregated cash balances with brokers for futures contracts 839,500 5,494,500 Segregated cash balances with brokers for swap agreements 9,082,795 12,657,595 Unrealized appreciation on swap agreements 2,954,018 —   Receivable from capital shares sold —   907,025 Receivable on open futures contracts 8,500 329,629 Interest receivable 49,804 173,799 Total assets 23,780,923 66,007,324 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 9,092 —   Payable to Sponso r 19,212 43,464 Unrealized depreciation on swap agreements —   814,174 Total liabilities 28,304 857,638 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 23,752,619 65,149,686 Total liabilities and shareholders’ equity $ 23,780,923 $ 66,007,324 Shares outstanding (Note 1) 560,264 897,832 Net asset value per share (Note 1) $ 42.40 $ 72.56 Market value per share (Note 1) (Note 2) $ 42.00 $ 72.96 See accompanying notes to financial statements. F-77 Table of Contents PROSHARES ULTRASHORT SILVER SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires March 2025 72 $ 10,527,120 $ 511,915 Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex 0.25 % 01/06/25 $ ( 20,658,992 ) $ 1,653,589 Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.25 01/06/25 ( 11,342,358 ) 907,867 Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 01/06/25 ( 1,564,559 ) 125,172 Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 01/06/25 ( 3,340,644 ) 267,390 Total Unrealized Appreciation $ 2,954,018 ^ The positions and counterparties herein are as of December 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. * Reflects the floating financing rate, as of December 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. F-78 Table of Contents PROSHARES ULTRASHORT SILVER SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Futures Contracts Sold Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value Silver Futures - COMEX, expires March 2024 610 $ 73,462,300 $ 1,689,046 Total Return Swap Agreements ^ Rate Paid (Received) * Termination Date Notional Amount at Value ** Unrealized Appreciation (Depreciation)/Value Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex 0.25 % 01/08/24 $ ( 22,017,624 ) $ 126,314 Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex 0.25 01/08/24 ( 9,901,355 ) 56,804 Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex 0.30 01/08/24 ( 1,365,787 ) 7,793 Swap agreement with UBS AG based on Bloomberg Silver Subindex 0.25 01/08/24 ( 23,534,661 ) ( 1,005,085 ) Total Unrealized Depreciation $ ( 814,174 ) ^ The positions and counterparties herein are as of December 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. * Reflects the floating financing rate, as of December 31, 2023, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity. ** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index. See accompanying notes to financial statements. F-79 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 1,836,045 $ 1,118,150 $ 215,031 Expenses Management fee 443,177 287,739 246,718 Brokerage commissions 38,489 39,452 26,948 Futures account fees —   —   4,443 Non-recurring fees and expenses —   —   1,106 Total expenses 481,666 327,191 279,215 Net investment income (loss) 1,354,379 790,959 ( 64,184 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 1,893,066 ) 13,011,200 796,029 Swap agreements ( 6,393,268 ) 427,289 ( 2,464,174 ) Short-term U.S. government and agency obligations —   ( 906 ) ( 2,014 ) Net realized gain (loss) ( 8,286,334 ) 13,437,583 ( 1,670,159 ) Change in net unrealized appreciation (depreciation) on Futures contracts ( 1,177,131 ) 2,629,546 ( 1,592,993 ) Swap agreements 3,768,192 908,449 198,791 Short-term U.S. government and agency obligations —   —   860 Change in net unrealized appreciation (depreciation) 2,591,061 3,537,995 ( 1,393,342 ) Net realized and unrealized gain (loss) ( 5,695,273 ) 16,975,578 ( 3,063,501 ) Net income (loss) $ ( 4,340,894 ) $ 17,766,537 $ ( 3,127,685 ) See accompanying notes to financial statements. F-80 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 65,149,686 $ 31,932,799 $ 26,537,000 Addition of 3,625,000 , 2,962,500 and 1,050,000 shares, respectively (Note 1) 167,612,161 209,998,518 109,036,263 Redemption of 3,962,568 , 2,475,000 and 887,500 shares, respectively (Note 1) ( 204,668,334 ) ( 194,548,168 ) ( 100,512,779 ) Net addition (redemption) of ( 337,568 ), 487,500 and 162,500 shares, respectively (Note 1) ( 37,056,173 ) 15,450,350 8,523,484 Net investment income (loss) 1,354,379 790,959 ( 64,184 ) Net realized gain (loss) ( 8,286,334 ) 13,437,583 ( 1,670,159 ) Change in net unrealized appreciation (depreciation) 2,591,061 3,537,995 ( 1,393,342 ) Net income (loss) ( 4,340,894 ) 17,766,537 ( 3,127,685 ) Shareholders’ equity, end of period $ 23,752,619 $ 65,149,686 $ 31,932,799 See accompanying notes to financial statements. F-81 Table of Contents PROSHARES ULTRASHORT SILVER STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ ( 4,340,894 ) $ 17,766,537 $ ( 3,127,685 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations —   ( 39,876,608 ) ( 20,979,052 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations —   39,937,156 43,997,092 Net amortization and accretion on short-term U.S. government and agency obligations —   ( 61,454 ) ( 24,933 ) Net realized (gain) loss on investments —   906 2,014 Change in unrealized (appreciation) depreciation on investments ( 3,768,192 ) ( 908,449 ) ( 199,651 ) Decrease (Increase) in receivable on open futures contracts 321,129 ( 270,054 ) ( 44,129 ) Decrease (Increase) in interest receivable 123,995 ( 113,319 ) ( 60,102 ) Increase (Decrease) in payable to Sponsor ( 24,252 ) 22,759 ( 7,855 ) Increase (Decrease) in brokerage commissions and futures account fees payable —   —   ( 747 ) Increase (Decrease) in payable on open futures contracts 9,092 —   ( 5,840 ) Net cash provided by (used in) operating activities ( 7,679,122 ) 16,497,474 19,549,112 Cash flow from financing activities Proceeds from addition of shares 168,519,186 210,064,282 108,063,474 Payment on shares redeemed ( 204,668,334 ) ( 194,548,168 ) ( 100,512,779 ) Net cash provided by (used in) financing activities ( 36,149,148 ) 15,516,114 7,550,695 Net increase (decrease) in cash ( 43,828,270 ) 32,013,588 27,099,807 Cash, beginning of period 64,596,871 32,583,283 5,483,476 Cash, end of period $ 20,768,601 $ 64,596,871 $ 32,583,283 See accompanying notes to financial statements. F-82 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Cash $ 21,059,078 $ 21,807,595 Segregated cash balances with brokers for foreign currency forward contracts 2,736,018 3,434,732 Unrealized appreciation on foreign currency forward contracts 2,283,588 129,697 Interest receivable 76,797 100,284 Total assets 26,155,481 25,472,308 Liabilities and shareholders’ equity Liabilities Payable to Sponso r 19,957 20,676 Unrealized depreciation on foreign currency forward contracts 55,229 1,441,622 Total liabilities 75,186 1,462,298 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 26,080,295 24,010,010 Total liabilities and shareholders’ equity $ 26,155,481 $ 25,472,308 Shares outstanding (Note 1) 547,160 697,160 Net asset value per share (Note 1) $ 47.66 $ 34.44 Market value per share (Note 1) (Note 2) $ 46.68 $ 34.47 See accompanying notes to financial statements. F-83 Table of Contents PROSHARES ULTRASHORT YEN SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Yen with Goldman Sachs International 01/10/25 174,930,000 $ 1,113,126 $ ( 43,263 ) Yen with UBS AG 01/10/25 340,324,000 2,165,573 ( 11,966 ) Total Unrealized Depreciation $ ( 55,229 ) Contracts to Sell Yen with Goldman Sachs International 01/10/25 ( 4,370,333,165 ) $ ( 27,809,592 ) $ 1,297,175 Yen with UBS AG 01/10/25 ( 4,340,303,574 ) ( 27,618,506 ) 986,413 Total Unrealized Appreciation $ 2,283,588 ^ The positions and counterparties herein are as of December 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. See accompanying notes to financial statements. F-84 Table of Contents PROSHARES ULTRASHORT YEN SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Foreign Currency Forward Contracts ^ Settlement Date Contract Amount in Local Currency Contract Amount in U.S. Dollars Unrealized Appreciation (Depreciation)/ Value Contracts to Purchase Yen with Goldman Sachs International 01/19/24 1,482,014,000 $ 10,543,197 $ 112,532 Yen with UBS AG 01/19/24 346,657,000 2,466,153 17,165 Total Unrealized Appreciation $ 129,697 Contracts to Sell Yen with Goldman Sachs International 01/19/24 ( 5,040,550,165 ) $ ( 35,858,983 ) $ ( 813,609 ) Yen with UBS AG 01/19/24 ( 3,531,270,574 ) ( 25,121,815 ) ( 628,013 ) Total Unrealized Depreciation $ ( 1,441,622 ) ^ The positions and counterparties herein are as of December 31, 2023. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time. See accompanying notes to financial statements. F-85 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 1,493,002 $ 1,052,461 $ 496,989 Expenses Management fee 324,236 233,492 372,853 Non-recurring fees and expenses —   —   2,140 Total expenses 324,236 233,492 374,993 Net investment income (loss) 1,168,766 818,969 121,996 Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Foreign currency forward contracts 4,749,696 2,979,874 9,020,225 Short-term U.S. government and agency obligations 3,541 —   103,288 Net realized gain (loss) 4,753,237 2,979,874 9,123,513 Change in net unrealized appreciation (depreciation) on Foreign currency forward contracts 3,540,284 1,715,508 ( 3,897,013 ) Short-term U.S. government and agency obligations —   ( 2,761 ) 5,004 Change in net unrealized appreciation (depreciation) 3,540,284 1,712,747 ( 3,892,009 ) Net realized and unrealized gain (loss) 8,293,521 4,692,621 5,231,504 Net income (loss) $ 9,462,287 $ 5,511,590 $ 5,353,500 See accompanying notes to financial statements. F-86 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CHANGES IN SHAREHOLDERS’ E Q UITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 24,010,010 $ 21,397,736 $ 24,840,784 Addition of 900,000 , 1,100,000 and 2,600,000 shares, respectively (Note 1) 37,504,826 33,387,001 72,537,699 Redemption of 1,050,000 , 1,200,000 and 3,000,000 shares, respectively (Note 1) ( 44,896,828 ) ( 36,286,317 ) ( 81,334,247 ) Net addition (redemption) of ( 150,000 ), ( 100,000 ) and ( 400,000 ) shares, respectively (Note 1) ( 7,392,002 ) ( 2,899,316 ) ( 8,796,548 ) Net investment income (loss) 1,168,766 818,969 121,996 Net realized gain (loss) 4,753,237 2,979,874 9,123,513 Change in net unrealized appreciation (depreciation) 3,540,284 1,712,747 ( 3,892,009 ) Net income (loss) 9,462,287 5,511,590 5,353,500 Shareholders’ equity, end of period $ 26,080,295 $ 24,010,010 $ 21,397,736 See accompanying notes to financial statements. F-87 Table of Contents PROSHARES ULTRASHORT YEN STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ 9,462,287 $ 5,511,590 $ 5,353,500 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations —   —   ( 152,818,544 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 3,541 23,000,000 151,102,471 Net amortization and accretion on short-term U.S. government and agency obligations —   ( 4,702 ) ( 185,869 ) Net realized (gain) loss on investments ( 3,541 ) —   ( 103,288 ) Change in unrealized (appreciation) depreciation on investments ( 3,540,284 ) ( 1,712,747 ) 3,892,009 Decrease (Increase) in interest receivable 23,487 ( 64,213 ) ( 35,732 ) Increase (Decrease) in payable to Sponsor ( 719 ) ( 8,957 ) 9,422 Net cash provided by (used in) operating activities 5,944,771 26,720,971 7,213,969 Cash flow from financing activities Proceeds from addition of shares 37,504,826 33,387,001 72,537,699 Payment on shares redeemed ( 44,896,828 ) ( 38,969,772 ) ( 78,650,792 ) Net cash provided by (used in) financing activities ( 7,392,002 ) ( 5,582,771 ) ( 6,113,093 ) Net increase (decrease) in cash ( 1,447,231 ) 21,138,200 1,100,876 Cash, beginning of period 25,242,327 4,104,127 3,003,251 Cash, end of period $ 23,795,096 $ 25,242,327 $ 4,104,127 See accompanying notes to financial statements. F-88 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Cash $ 24,122,440 $ 31,674,194 Segregated cash balances with brokers for futures contracts 3,959,399 5,936,995 Receivable on open futures contracts 557 137,945 Interest receivable 99,278 141,818 Total assets 28,181,674 37,890,952 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts 50,382 —   Brokerage commissions and futures account fees payable 1,656 1,876 Payable to Sponso r 18,426 22,933 Total liabilities 70,464 24,809 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 28,111,210 37,866,143 Total liabilities and shareholders’ equity $ 28,181,674 $ 37,890,952 Shares outstanding 1,937,403 2,262,403 Net asset value per share $ 14.51 $ 16.74 Market value per share (Note 2) $ 14.46 $ 16.75 See accompanying notes to financial statements. F-89 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires April 2025 298 $ 5,453,400 $ ( 178,347 ) VIX Futures - Cboe, expires May 2025 505 9,346,590 ( 1,124 ) VIX Futures - Cboe, expires June 2025 505 9,405,625 240,639 VIX Futures - Cboe, expires July 2025 206 3,897,850 ( 38,902 ) $ 22,266 See accompanying notes to financial statements. F-90 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires April 2024 424 $ 7,187,267 $ ( 1,070,003 ) VIX Futures - Cboe, expires May 2024 721 12,515,262 ( 2,326,922 ) VIX Futures - Cboe, expires June 2024 721 12,787,800 ( 258,508 ) VIX Futures - Cboe, expires July 2024 297 5,375,700 ( 90,243 ) $ ( 3,745,676 ) See accompanying notes to financial statements. F-91 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 2,348,655 $ 2,412,485 $ 860,134 Expenses Management fee 428,613 499,363 809,060 Brokerage commissions 99,142 40,128 73,842 Futures account fees 25,768 40,387 73,303 Non-recurring fees and expenses —   —   3,854 Total expenses 553,523 579,878 960,059 Net investment income (loss) 1,795,132 1,832,607 ( 99,925 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 13,696,430 ) ( 38,709,532 ) 9,333,930 Short-term U.S. government and agency obligations 3,549 —   ( 336 ) Net realized gain (loss) ( 13,692,881 ) ( 38,709,532 ) 9,333,594 Change in net unrealized appreciation (depreciation) on Futures contracts 3,767,942 1,045,547 ( 4,166,835 ) Short-term U.S. government and agency obligations —   ( 5,651 ) 19,985 Change in net unrealized appreciation (depreciation) 3,767,942 1,039,896 ( 4,146,850 ) Net realized and unrealized gain (loss) ( 9,924,939 ) ( 37,669,636 ) 5,186,744 Net income (loss) $ ( 8,129,807 ) $ ( 35,837,029 ) $ 5,086,819 See accompanying notes to financial statements. F-92 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 37,866,143 $ 84,014,959 $ 112,875,680 Addition of 9,475,000 , 1,950,000 and 2,275,000 shares, respectively 147,773,279 43,215,317 73,779,874 Redemption of 9,800,000 , 2,450,000 and 3,200,000 shares, respectively ( 149,398,405 ) ( 53,527,104 ) ( 107,727,414 ) Net addition (redemption) of ( 325,000 ), ( 500,000 ) and ( 925,000 ) shares, respectively ( 1,625,126 ) ( 10,311,787 ) ( 33,947,540 ) Net investment income (loss) 1,795,132 1,832,607 ( 99,925 ) Net realized gain (loss) ( 13,692,881 ) ( 38,709,532 ) 9,333,594 Change in net unrealized appreciation (depreciation) 3,767,942 1,039,896 ( 4,146,850 ) Net income (loss) ( 8,129,807 ) ( 35,837,029 ) 5,086,819 Shareholders’ equity, end of period $ 28,111,210 $ 37,866,143 $ 84,014,959 See accompanying notes to financial statements. F-93 Table of Contents PROSHARES VIX MID-TERM FUTURES ETF STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ ( 8,129,807 ) $ ( 35,837,029 ) $ 5,086,819 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 49,330,764 ) ( 294,811,992 ) ( 141,619,621 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 49,719,851 345,000,000 177,998,548 Net amortization and accretion on short-term U.S. government and agency obligations ( 385,538 ) ( 311,311 ) ( 318,657 ) Net realized (gain) loss on investments ( 3,549 ) —   336 Change in unrealized (appreciation) depreciation on investments —   5,651 ( 19,985 ) Decrease (Increase) in receivable on open futures contracts 137,388 4,849 ( 79,397 ) Decrease (Increase) in interest receivable 42,540 ( 53,638 ) ( 87,083 ) Increase (Decrease) in payable to Sponsor ( 4,507 ) ( 31,731 ) ( 27,319 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 220 ) ( 1,812 ) ( 3,436 ) Increase (Decrease) in payable on open futures contracts 50,382 —   ( 94,495 ) Net cash provided by (used in) operating activities ( 7,904,224 ) 13,962,987 40,835,710 Cash flow from financing activities Proceeds from addition of shares 147,773,279 43,215,317 73,779,874 Payment on shares redeemed ( 149,398,405 ) ( 53,527,104 ) ( 107,727,414 ) Net cash provided by (used in) financing activities ( 1,625,126 ) ( 10,311,787 ) ( 33,947,540 ) Net increase (decrease) in cash ( 9,529,350 ) 3,651,200 6,888,170 Cash, beginning of period 37,611,189 33,959,989 27,071,819 Cash, end of period $ 28,081,839 $ 37,611,189 $ 33,959,989 See accompanying notes to financial statements. F-94 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 24,931,067 and $ 59,648,776 , respectively) $ 24,937,875 $ 59,660,373 Cash 54,919,200 22,277,582 Segregated cash balances with brokers for futures contracts 50,955,604 72,849,393 Receivable on open futures contracts 2,613,474 2,362,837 Interest receivable 310,926 254,671 Total assets 133,737,079 157,404,856 Liabilities and shareholders’ equity Liabilities Payable on open futures contracts —   580 Brokerage commissions and futures account fees payable 9,271 11,961 Payable to Sponso r 86,193 70,569 Total liabilities 95,464 83,110 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 133,641,615 157,321,746 Total liabilities and shareholders’ equity $ 133,737,079 $ 157,404,856 Shares outstanding (Note 1) 2,966,252 2,537,737 Net asset value per share (Note 1) $ 45.05 $ 61.99 Market value per share (Note 1) (Note 2) $ 45.02 $ 62.04 See accompanying notes to financial statements. F-95 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2024 Principal Amount Value Short-term U.S. government and agency obligations ( 19 % of shareholders’ equity) U.S. Treasury Bills ^^ : 4.562 % due 01/23/25 $ 25,000,000 $ 24,937,875 Total short-term U.S. government and agency obligations (cost $ 24,931,067 ) $ 24,937,875 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires January 2025 4,473 $ 78,356,672 $ 5,943,933 VIX Futures - Cboe, expires February 2025 3,096 55,327,997 ( 1,550,606 ) $ 4,393,327 ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. F-96 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF SCHEDULE OF INVESTMENTS DECEMBER 31, 2023 Principal Amount Value Short-term U.S. government and agency obligations ( 38 % of shareholders’ equity) U.S. Treasury Bills ^^ : 5.442 % due 01/18/24 $ 25,000,000 $ 24,941,222 5.417 % due 02/20/24 25,000,000 24,820,845 5.382 % due 03/12/24 10,000,000 9,898,306 Total short-term U.S. government and agency obligations (cost $ 59,648,776 ) $ 59,660,373 Futures Contracts Purchased Number of Contracts Notional Amount at Value Unrealized Appreciation (Depreciation)/Value VIX Futures - Cboe, expires January 2024 6,347 $ 89,182,966 $ ( 6,686,210 ) VIX Futures - Cboe, expires February 2024 4,444 67,972,758 ( 2,977,884 ) $ ( 9,664,094 ) ^^ Rates shown represent discount rate at the time of purchase. See accompanying notes to financial statements. F-97 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022 Investment Income Interest $ 6,578,786 $ 8,917,672 $ 3,668,406 Expenses Management fee 1,296,599 1,893,306 3,056,712 Brokerage commissions 244,821 318,288 570,374 Futures account fees 120,701 182,747 483,606 Non-recurring fees and expenses —   —   15,841 Total expenses 1,662,121 2,394,341 4,126,533 Net investment income (loss) 4,916,665 6,523,331 ( 458,127 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 23,820,030 ) ( 275,353,500 ) ( 35,674,319 ) Short-term U.S. government and agency obligations 3,607 ( 9,659 ) 429 Net realized gain (loss) ( 23,816,423 ) ( 275,363,159 ) ( 35,673,890 ) Change in net unrealized appreciation (depreciation) on Futures contracts 14,057,421 132,729 20,333,796 Short-term U.S. government and agency obligations ( 4,789 ) ( 6,303 ) 43,873 Change in net unrealized appreciation (depreciation) 14,052,632 126,426 20,377,669 Net realized and unrealized gain (loss) ( 9,763,791 ) ( 275,236,733 ) ( 15,296,221 ) Net income (loss) $ ( 4,847,126 ) $ ( 268,713,402 ) $ ( 15,754,348 ) See accompanying notes to financial statements. F-98 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Year Ended December 31, 2024 2023 2022 Shareholders’ equity, beginning of period $ 157,321,746 $ 266,580,320 $ 269,703,164 Addition of 5,612,500 , 3,315,000 and 2,025,000 shares, respectively (Note 1) 265,134,179 402,345,393 625,710,255 Redemption of 5,183,985 , 1,946,404 and 1,747,500 shares, respectively (Note 1) ( 283,967,184 ) ( 242,890,565 ) ( 613,078,751 ) Net addition (redemption) of 428,515 , 1,368,596 and 277,500 shares, respectively (Note 1) ( 18,833,005 ) 159,454,828 12,631,504 Net investment income (loss) 4,916,665 6,523,331 ( 458,127 ) Net realized gain (loss) ( 23,816,423 ) ( 275,363,159 ) ( 35,673,890 ) Change in net unrealized appreciation (depreciation) 14,052,632 126,426 20,377,669 Net income (loss) ( 4,847,126 ) ( 268,713,402 ) ( 15,754,348 ) Shareholders’ equity, end of period $ 133,641,615 $ 157,321,746 $ 266,580,320 See accompanying notes to financial statements. F-99 Table of Contents PROSHARES VIX SHORT-TERM FUTURES ETF STATEMENTS OF CASH FLOWS Year Ended December 31, 2024 2023 2022 Cash flow from operating activities Net income (loss) $ ( 4,847,126 ) $ ( 268,713,402 ) $ ( 15,754,348 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 306,861,269 ) ( 712,835,220 ) ( 4,010,889,547 ) Proceeds from sales or maturities of short-term U.S. government and agency obligations 344,782,389 746,625,222 4,073,968,933 Net amortization and accretion on short-term U.S. government and agency obligations ( 3,199,804 ) ( 4,118,623 ) ( 1,520,900 ) Net realized (gain) loss on investments ( 3,607 ) 9,659 ( 429 ) Change in unrealized (appreciation) depreciation on investments 4,789 6,303 ( 43,873 ) Decrease (Increase) in receivable on open futures contracts ( 250,637 ) 308,946 ( 2,421,611 ) Decrease (Increase) in interest receivable ( 56,255 ) 148,996 ( 401,893 ) Increase (Decrease) in payable to Sponsor 15,624 ( 84,561 ) ( 31,723 ) Increase (Decrease) in brokerage commissions and futures account fees payable ( 2,690 ) ( 15,141 ) ( 11,824 ) Increase (Decrease) in payable on open futures contracts ( 580 ) ( 369,415 ) ( 1,694,336 ) Net cash provided by (used in) operating activities 29,580,834 ( 239,037,236 ) 41,198,449 Cash flow from financing activities Proceeds from addition of shares 265,134,179 402,345,393 628,736,869 Payment on shares redeemed ( 283,967,184 ) ( 243,461,038 ) ( 612,508,278 ) Net cash provided by (used in) financing activities ( 18,833,005 ) 158,884,355 16,228,591 Net increase (decrease) in cash 10,747,829 ( 80,152,881 ) 57,427,040 Cash, beginning of period 95,126,975 175,279,856 117,852,816 Cash, end of period $ 105,874,804 $ 95,126,975 $ 175,279,856 See accompanying notes to financial statements. F-100 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF FINANCIAL CONDITION December 31, 2024 December 31, 2023 Assets Short-term U.S. government and agency obligations (Note 3) (cost $ 473,690,268 and $ 690,346,244 , respectively) $ 473,819,625 $ 690,474,277 Cash 1,765,501,542 1,209,034,101 Segregated cash balances with brokers for futures contracts 622,689,660 1,029,381,720 Segregated cash balances with brokers for foreign currency forward contracts 16,562,030 13,366,243 Segregated cash balances with brokers for swap agreements 172,690,806 345,924,043 Unrealized appreciation on swap agreements 41,311,209 21,033,528 Unrealized appreciation on foreign currency forward contracts 3,621,921 2,011,074 Receivable from capital shares sold 14,352,999 22,784,178 Receivable on open futures contracts 35,746,889 29,722,683 Interest receivable 5,627,491 6,486,760 Total assets 3,151,924,172 3,370,218,607 Liabilities and shareholders’ equity Liabilities Payable for capital shares redeemed 20,192,198 39,357,935 Payable on open futures contracts 44,527,123 38,056,063 Brokerage commissions and futures account fees payable 59,280 131,497 Payable to Sponso r 2,525,993 2,654,226 Unrealized depreciation on swap agreements 54,867,040 3,841,216 Unrealized depreciation on foreign currency forward contracts 4,618,937 3,345,544 Total liabilities 126,790,571 87,386,481 Commitments and Contingencies (Note 2) Shareholders’ equity Shareholders’ equity 3,025,133,601 3,282,832,126 Total liabilities and shareholders’ equity $ 3,151,924,172 $ 3,370,218,607 Shares outstanding (Note 1) (Note 2) 89,221,884 82,617,848 See accompanying notes to financial statements. F-101 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF OPERATIONS Year Ended December 31, 2024 2023 2022* Investment Income Interest $ 142,663,792 $ 136,369,286 $ 44,947,305 Expenses Management fee 30,596,625 35,112,338 43,228,350 Brokerage commissions 7,879,443 8,606,195 7,805,056 Futures account fees 738,895 1,467,200 3,926,728 Non-recurring fees and expenses —   —   176,724 Total expenses 39,214,963 45,185,733 55,136,858 Net investment income (loss) 103,448,829 91,183,553 ( 10,189,553 ) Realized and unrealized gain (loss) on investment activity Net realized gain (loss) on Futures contracts ( 318,107,709 ) ( 2,752,823,603 ) 91,781,637 Swap agreements 183,559,658 38,451,228 216,079,482 Foreign currency forward contracts 120,896 ( 1,988,872 ) 13,717,111 Short-term U.S. government and agency obligations 73,121 ( 159,628 ) ( 264,402 ) Net realized gain (loss) ( 134,354,034 ) ( 2,716,520,875 ) 321,313,828 Change in net unrealized appreciation (depreciation) on Futures contracts 21,942,821 241,673,235 ( 218,950,927 ) Swap agreements ( 30,748,143 ) ( 100,372,363 ) 7,797,463 Foreign currency forward contracts 337,454 2,754,014 ( 4,739,563 ) Short-term U.S. government and agency obligations 1,324 ( 128,584 ) 550,165 Change in net unrealized appreciation (depreciation) ( 8,466,544 ) 143,926,302 ( 215,342,862 ) Net realized and unrealized gain (loss) ( 142,820,578 ) ( 2,572,594,573 ) 105,970,966 Net income (loss) $ ( 39,371,749 ) $ ( 2,481,411,020 ) $ 95,781,413 * The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. See accompanying notes to financial statements. F-102 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY Years Ended December 31, 2024 2023 2022* Shareholders’ equity, beginning of period $ 3,282,832,126 $ 3,887,786,746 $ 4,173,474,343 Addition of 229,782,500 , 186,662,500 and 388,086,500 shares, respectively (Note 1) 8,545,977,477 11,067,788,777 12,319,404,610 Redemption of 223,178,464 , 191,162,246 and 399,574,812 shares, respectively (Note 1) ( 8,764,304,253 ) ( 9,191,332,377 ) ( 12,700,873,620 ) Net addition (redemption) of 6,604,036 , ( 4,499,746 ) and ( 11,488,312 ) shares, respectively (Note 1) ( 218,326,776 ) 1,876,456,400 ( 381,469,010 ) Net investment income (loss) 103,448,829 91,183,553 ( 10,189,553 ) Net realized gain (loss) ( 134,354,034 ) ( 2,716,520,875 ) 321,313,828 Change in net unrealized appreciation (depreciation) ( 8,466,544 ) 143,926,302 ( 215,342,862 ) Net income (loss) ( 39,371,749 ) ( 2,481,411,020 ) 95,781,413 Shareholders’ equity, end of period $ 3,025,133,601 $ 3,282,832,126 $ 3,887,786,746 * The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. See accompanying notes to financial statements. F-103 Table of Contents PROSHARES TRUST II COMBINED STATEMENTS OF CASH FLOWS Year ended December 31, 2024 2023 2022* Cash flow from operating activities Net income (loss) $ ( 39,371,749 ) $ ( 2,481,411,020 ) $ 95,781,413 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Purchases of short-term U.S. government and agency obligations ( 6,811,024,357 ) ( 29,326,977,643 ) ( 55,926,795,459 ) Proceeds from sales or maturities of short-term U.S government and agency obligations 7,096,745,754 30,165,855,686 56,988,696,650 Net amortization and accretion on short-term U.S government and agency obligations ( 68,992,300 ) ( 62,959,990 ) ( 22,866,632 ) Net realized (gain) loss on investments ( 73,121 ) 159,628 264,402 Change in unrealized (appreciation) depreciation on investments 30,409,365 97,746,933 ( 3,608,065 ) Decrease (Increase) in receivable on futures contracts ( 6,024,206 ) 45,696,024 75,509,837 Decrease (Increase) in interest receivable 859,269 ( 1,565,988 ) ( 4,897,829 ) Increase (Decrease) in payable to Sponsor ( 128,233 ) ( 555,887 ) 31,527 Increase (Decrease) in brokerage commissions and futures account fees payable ( 72,217 ) ( 33,668 ) ( 311,076 ) Increase (Decrease) in payable on futures contracts 6,471,060 24,279,697 ( 41,100,321 ) Net cash provided by (used in) operating activities 208,799,265 ( 1,539,766,228 ) 1,160,704,447 Cash flow from financing activities Proceeds from addition of shares 8,554,408,656 11,046,019,082 12,341,865,482 Payment on shares redeemed ( 8,783,469,990 ) ( 9,184,699,519 ) ( 12,693,743,445 ) Net cash provided by (used in) financing activities ( 229,061,334 ) 1,861,319,563 ( 351,877,963 ) Net increase (decrease) in cash ( 20,262,069 ) 321,553,335 808,826,484 Cash, beginning of period 2,597,706,107 2,276,152,772 1,467,326,288 Cash, end of period $ 2,577,444,038 $ 2,597,706,107 $ 2,276,152,772 * The operations include the activity of ProShares Short Euro ETF and ProShares UltraShort Australian Dollar ETF through May 12, 2022, the date of liquidation. See accompanying notes to financial statements. F-104 Table of Contents PROSHARES TRUST II NOTES TO FINANCIAL STATEMENTS December 31, 2024 NOTE 1 – ORGANIZATION ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of December 31, 2024, the following sixteen series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements. On March 11, 2022, ProShares Capital Management LLC announced that it planned to close and liquidate ProShares UltraShort Australian Dollar ETF (ticker symbol: CROC) and ProShares Short Euro ETF (ticker symbol: EUFX), together, the “liquidated funds”. The last day the liquidated funds accepted creation orders was on May 2, 2022. Trading in each liquidated fund was suspended prior to market open on May 3, 2022. Proceeds of the liquidation were sent to shareholders on May 12, 2022 (the “Distribution Date”). From May 3, 2022 through the Distribution Date, shares of the liquidated funds did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in a liquidated fund on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on May 12, 2022. The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $ 350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen. Groups of Funds are collectively referred to in several different ways. References to “Short Fund,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories. The “Short” Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and one-half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation. The Geared Funds do not seek to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g., -0.5x, -2x, 1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly. F-105 Table of Contents Share Splits and Reverse Share Splits The table below includes forward and reverse Share splits for the Funds during the years ended December 31, 2022, 2023 and 2024. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable. Fund Execution Date Type of Split Date Trading Resumed at Post- Split Price ProShares UltraShort Bloomberg Natural Gas January 13, 2022 1-for-5 reverse Share split January 14, 2022 ProShares UltraShort Yen May 25, 2022 2-for-1 forward Share split May 26, 2022 ProShares Ultra Bloomberg Crude Oil May 25, 2022 4-for-1 forward Share split May 26, 2022 ProShares UltraShort Bloomberg Natural Gas May 25, 2022 1-for-4 reverse Share split May 26, 2022 ProShares UltraShort Bloomberg Crude Oil May 25, 2022 1-for-5 reverse Share split May 26, 2022 ProShares VIX Short-Term Futures June 22, 2023 1-for-5 reverse Share split June 23, 2023 ProShares Ultra VIX Short-Term Futures June 22, 2023 1-for-10 reverse Share split June 23, 2023 ProShares Ultra Bloomberg Natural Gas June 22, 2023 1-for-20 reverse Share split June 23, 2023 ProShares Short VIX Short-Term Futures April 10, 2024 2-for-1 forward Share split April 11, 2024 ProShares UltraShort Bloomberg Natural Gas April 10, 2024 2-for-1 forward Share split April 11, 2024 ProShares Ultra VIX Short-Term Futures April 10, 2024 1-for-5 reverse Share split April 11, 2024 ProShares VIX Short-Term Futures November 6, 2024 1-for-4 reverse Share split November 7, 2024 ProShares Ultra Bloomberg Natural Gas November 6, 2024 1-for-5 reverse Share split November 7, 2024 ProShares UltraShort Silver November 6, 2024 1-for-4 reverse Share split November 7, 2024 ProShares UltraShort Yen November 6, 2024 2-for-1 forward Share split November 7, 2024 The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split. The forward splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund. Therefore, the forward splits did not change the aggregate net asset value of a shareholder’s investment at the time of the forward split. NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Use of Estimates & Indemnifications The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant loss to be remote. F-106 Table of Contents Basis of Presentation Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund. Statements of Cash Flows The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated December 31, 2024, 2023 and 2022, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments. Final Net Asset Value for Fiscal Period The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the year ended December 31, 2024 were typically as follows. All times are Eastern Standard Time: Fund Create/Redeem Cut-off* NAV Calculation Time NAV Calculation Date Ultra Silver and UltraShort Silver 1:00 p.m. 1:25 p.m. December 31, 2024 Ultra Gold and UltraShort Gold 1:00 p.m. 1:30 p.m. December 31, 2024 Ultra Bloomberg Crude Oil, Ultra Bloomberg Natural Gas, UltraShort Bloomberg Crude Oil and UltraShort Bloomberg Natural Gas 2:00 p.m. 2:30 p.m. December 31, 2024 Ultra Euro, Ultra Yen, UltraShort Euro and UltraShort Yen 3:00 p.m. 4:00 p.m. December 31, 2024 Short VIX Short-Term Futures ETF, Ultra VIX Short-Term Futures ETF, VIX Mid-Term Futures ETF and VIX Short-Term Futures ETF 2:00 p.m. 4:00 p.m. December 31, 2024 * Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the twelve months ended December 31, 2024. Market value per Share is determined at the close of the applicable primary listing exchange and may be l a ter than when the Funds’ NAV per Share is calculated. For financial reporting purposes, the Funds value i n vestment transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the year ended December 31, 2024. Investment Valuation Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy. Repurchase agreements are generally valued at amortized cost, provided such amounts approximate fair value. These instruments are classified as Level II in the fair value hierarchy. F-107 Table of Contents Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, are generally valued at the last settled price on the applicable exchange on which that future trades. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy. Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements. Fair Value of Financial Instruments The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows: Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date. Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs). Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety. Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly. F-108 Table of Contents The following table summarizes the valuation of investments at December 31, 2024 using the fair value hierarchy: Level I - Quoted Prices Level II - Other Significant Observable Inputs Fund Short-Term U.S. Government and Agencies Futures Contracts * Foreign Currency Forward Contracts Swap Agreements Total ProShares Short VIX Short-Term Futures ETF $ 24,937,875 $ ( 3,008,751 ) $ —  $ —  $ 21,929,124 ProShares Ultra Bloomberg Crude Oil 99,751,500 10,864,085 —  38,215,610 148,831,195 ProShares Ultra Bloomberg Natural Gas 99,751,500 97,239,201 —  —  196,990,701 ProShares Ultra Euro —  —  ( 167,128 ) —  ( 167,128 ) ProShares Ultra Gold 74,813,625 ( 423,408 ) —  ( 2,348,132 ) 72,042,085 ProShares Ultra Silver 124,689,375 ( 28,903,535 ) —  ( 52,518,908 ) 43,266,932 ProShares Ultra VIX Short-Term Futures ETF 24,937,875 13,975,992 —  —  38,913,867 ProShares Ultra Yen —  —  ( 4,215,297 ) —  ( 4,215,297 ) ProShares UltraShort Bloomberg Crude Oil —  ( 1,655,392 ) —  —  ( 1,655,392 ) ProShares UltraShort Bloomberg Natural Gas —  ( 26,130,504 ) —  —  ( 26,130,504 ) ProShares UltraShort Euro —  —  1,157,050 —  1,157,050 ProShares UltraShort Gold —  121,056 —  141,581 262,637 ProShares UltraShort Silver —  511,915 —  2,954,018 3,465,933 ProShares UltraShort Yen —  —  2,228,359 —  2,228,359 ProShares VIX Mid-Term Futures ETF —  22,266 —  —  22,266 ProShares VIX Short-Term Futures ETF 24,937,875 4,393,327 —  —  29,331,202 Combined Trust: $ 473,819,625 $ 67,006,252 $ ( 997,016 ) $ ( 13,555,831 ) $ 526,273,030 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. There were no transfers into or out of Level 3 for the fiscal year ended December 31, 2024. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities. The following table summarizes the valuation of investments at December 31, 2023 using the fair value hierarchy: Level I - Quoted Prices Level II - Other Significant Observable Inputs Fund Short-Term U.S. Government and Agencies Futures Contracts * Foreign Currency Forward Contracts Swap Agreements Total ProShares Short VIX Short-Term Futures ETF $ 109,410,342 $ 12,640,624 $ —  $ —  $ 122,050,966 ProShares Ultra Bloomberg Crude Oil 233,476,941 ( 3,515,232 ) —  17,954,935 247,916,644 ProShares Ultra Bloomberg Natural Gas 64,459,117 43,607,070 —  —  108,066,187 ProShares Ultra Euro —  —  306,949 —  306,949 ProShares Ultra Gold 59,507,594 4,096,275 —  3,078,593 66,682,462 ProShares Ultra Silver 114,276,025 12,400,748 —  ( 2,827,221 ) 123,849,552 ProShares Ultra VIX Short-Term Futures ETF —  ( 31,183,911 ) —  —  ( 31,183,911 ) ProShares Ultra Yen —  —  1,519,285 —  1,519,285 ProShares UltraShort Bloomberg Crude Oil 49,683,885 22,436,319 —  —  72,120,204 ProShares UltraShort Bloomberg Natural Gas —  ( 3,553,507 ) —  —  ( 3,553,507 ) ProShares UltraShort Euro —  —  ( 1,848,779 ) —  ( 1,848,779 ) ProShares UltraShort Gold —  ( 144,231 ) —  ( 199,821 ) ( 344,052 ) ProShares UltraShort Silver —  1,689,046 —  ( 814,174 ) 874,872 ProShares UltraShort Yen —  —  ( 1,311,925 ) —  ( 1,311,925 ) ProShares VIX Mid-Term Futures ETF —  ( 3,745,676 ) —  —  ( 3,745,676 ) ProShares VIX Short-Term Futures ETF 59,660,373 ( 9,664,094 ) —  —  49,996,279 Combined Trust: $ 690,474,277 $ 45,063,431 $ ( 1,334,470 ) $ 17,192,312 $ 751,395,550 * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. F-109 Table of Contents There were no transfers into or out of Level 3 for the fiscal year ended December 31, 2023. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities. Investment Transactions and Related Income Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of Operations. Interest income is generally recognized on an accrual basis and includes the amortization of discount on short-term U.S. government and agency obligations and is reflected in the Statement of Operations. Additionally, interest income may be earned on Repurchase Agreements, cash held at the custodian bank and/or cash held on deposit with brokers for futures contracts. Brokerage Commissions and Futures Account Fees Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02 % of the Matching VIX Fund’s average net assets annually. Federal Income Tax Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year. Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., last three years and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof. Recently Issued Accounting Pronouncement In this reporting period, the Fund adopted FASB Accounting Standards 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures (“ASU 2023-07”). Adoption of the enhanced standard impacted financial statement disclosures only and did not affect each Fund’s financial position or results of operations. Each Fund included herein is deemed to be an individual reporting segment and the Sponsor acts as each Fund’s chief operating decision maker (“CODM”). The CODM monitors the operating results of each Fund as a whole and each Fund’s long-term strategic asset allocation is guided by each Fund’s investment objective and principal investment strategies as described in its prospectus and executed by the Sponsor. The financial information provided to and reviewed by the CODM is consistent with that presented in each Fund’s financial statements. NOTE 3 – INVESTMENTS Short-Term Investments The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. Repurchase Agreements The Funds may enter into repurchase agreements. Repurchase agreements are primarily used by the Funds as short-term investments for cash positions. Under a repurchase agreement, a Fund purchases one or more debt securities and simultaneously agrees to sell those securities back to the seller at a mutually agreed-upon future price and date, normally one day or a few days later. The resale price is greater than the purchase price, reflecting an agreed-upon market interest rate during the purchaser’s holding period. While the maturities of the underlying securities in repurchase transactions may be more than one year, the term of each repurchase agreement will always be less than one year. The Funds follow certain procedures designed to minimize the risks inherent in such agreements. These procedures F-110 Table of Contents include affecting repurchase transactions generally with major global financial institutions whose creditworthiness is monitored by the Sponsor. In addition, the value of the collateral underlying the repurchase agreement is required to be at least equal to the repurchase price, including any accrued interest income earned on the repurchase agreement. The collateral underlying the repurchase agreement is held by the Fund’s custodian. A repurchase agreement is subject to the risk that the counterparty to the repurchase agreement that sells the securities may default on its obligation to repurchase them. In this circumstance, a Fund may lose money because it may not be able to sell the securities at the agreed upon time and price, the securities may lose value before they can be sold, the selling institution may declare bankruptcy, or the Fund may have difficulty exercising rights to the collateral. During periods of high demand for repurchase agreements, the Funds may be unable to invest available cash in these instruments to the extent desired by the Sponsor. At December 31, 2024, the Funds did not have any open repurchase agreements. The Ultra Bloomberg Natural Gas fund was the only fund to utilize repurchase agreements during the year. Accounting for Derivative Instruments In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective. All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period. Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type. Futures Contracts The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract. Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction. Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market. F-111 Table of Contents Option Contracts An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value. When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed. Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless. Over-the-counter options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The over-the-counter market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss. Each Oil Fund (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance. Swap Agreements Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position. Swap agreements are two-party contracts that have traditionally been entered into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments. F-112 Table of Contents Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each OTC swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by a third party custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset. Swap agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques. Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at December 31, 2024 contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount. The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of December 31, 2024, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. F-113 Table of Contents The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. Forward Contracts Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements. The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at a third party custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of December 31, 2024, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities. Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin. A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor. The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. F-114 Table of Contents The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period. Fair Value of Derivative Instruments as of December 31, 2024 Asset Derivatives Liability Derivatives Derivatives Not Accounted for as Hedging Instruments Fund Statements of Financial Condition Location Unrealized Appreciation Statements of Financial Condition Location Unrealized Depreciation VIX Futures Contracts Receivable on open futures contracts Payable on open futures contracts ProShares Short VIX Short-Term Futures ETF $ 482,967 * $ 3,491,718 * ProShares Ultra VIX Short-Term Futures ETF 15,626,836 * 1,650,844 * ProShares VIX Mid-Term Futures ETF 240,639 * 218,373 * ProShares VIX Short- Term Futures ETF 5,943,933 * 1,550,606 * Commodities Contracts Receivables on open futures contracts and/or unrealized appreciation on swap agreements Payable on open futures contracts and/or unrealized depreciation on swap agreements ProShares Ultra Bloomberg Crude Oil 49,079,695 * —  ProShares Ultra Bloomberg Natural Gas 97,239,201 * —  ProShares Ultra Gold —  2,771,540 * ProShares Ultra Silver —  81,422,443 * ProShares UltraShort Bloomberg Crude Oil 1,888,681 * 3,544,073 * ProShares UltraShort Bloomberg Natural Gas —  26,130,504 * ProShares UltraShort Gold 262,637 * —  ProShares UltraShort Silver 3,465,933 * —  Foreign Exchange Contracts Unrealized appreciation on foreign currency forward contracts Unrealized depreciation on foreign currency forward contracts ProShares Ultra Euro 2,312 169,440 ProShares Ultra Yen 146,194 4,361,491 ProShares UltraShort Euro 1,189,827 32,777 ProShares UltraShort Yen 2,283,588 55,229 Combined Trust: $ 177,852,443 * $ 125,399,038 * * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. F-115 Table of Contents Fair Value of Derivative Instruments as of December 31, 2023 Asset Derivatives Liability Derivatives Derivatives Not Accounted for as Hedging Instruments Fund Statements of Financial Condition Location Unrealized Appreciation Statements of Financial Condition Location Unrealized Depreciation VIX Futures Contracts Receivable on open futures contracts Payable on open futures contracts ProShares Short VIX Short-Term Futures ETF $ 12,640,624 * $ —  ProShares Ultra VIX Short-Term Futures ETF —  31,183,911 * ProShares VIX Mid-Term Futures ETF —  3,745,676 * ProShares VIX Short- Term Futures ETF —  9,664,094 * Commodities Contracts Receivables on open futures contracts and/or unrealized appreciation on swap agreements Payable on open futures contracts and/or unrealized depreciation on swap agreements ProShares Ultra Bloomberg Crude Oil 20,191,987 * 5,752,284 * ProShares Ultra Bloomberg Natural Gas 43,607,070 * —  ProShares Ultra Gold 7,174,868 * —  ProShares Ultra Silver 12,400,748 * 2,827,221 * ProShares UltraShort Bloomberg Crude Oil 22,436,319 * —  ProShares UltraShort Bloomberg Natural Gas —  3,553,507 * ProShares UltraShort Gold —  344,052 * ProShares UltraShort Silver 1,879,957 * 1,005,085 * Foreign Exchange Contracts Unrealized appreciation on foreign currency forward contracts Unrealized depreciation on foreign currency forward contracts ProShares Ultra Euro 308,424 1,475 ProShares Ultra Yen 1,534,924 15,639 ProShares UltraShort Euro 38,029 1,886,808 ProShares UltraShort Yen 129,697 1,441,622 Combined Trust: $ 122,342,647 * $ 61,421,374 * * Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures. F-116 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the year ended December 31, 2024 Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income VIX Futures Contracts Net realized gain (loss) on futures contracts / changes in unrealized appreciation (depreciation) on futures contracts ProShares Short VIX Short-Term Futures ETF $ 42,037,096 $ ( 15,649,375 ) ProShares Ultra VIX Short-Term Futures ETF ( 136,430,513 ) 45,159,903 ProShares VIX Mid-Term Futures ETF ( 13,696,430 ) 3,767,942 ProShares VIX Short-Term Futures ETF ( 23,820,030 ) 14,057,421 Commodities Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements ProShares Ultra Bloomberg Crude Oil 47,301,021 34,639,992 ProShares Ultra Bloomberg Natural Gas ( 398,292,227 ) 53,632,131 ProShares Ultra Gold 85,338,522 ( 9,946,408 ) ProShares Ultra Silver 176,627,257 ( 90,995,970 ) ProShares UltraShort Bloomberg Crude Oil 4,429,612 ( 24,091,711 ) ProShares UltraShort Bloomberg Natural Gas 96,490,359 ( 22,576,997 ) ProShares UltraShort Gold ( 6,246,384 ) 606,689 ProShares UltraShort Silver ( 8,286,334 ) 2,591,061 Foreign Exchange Contracts Net realized gain (loss) foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on foreign currency forward contracts ProShares Ultra Euro ( 576,761 ) ( 474,077 ) ProShares Ultra Yen ( 6,562,004 ) ( 5,734,582 ) ProShares UltraShort Euro 2,509,965 3,005,829 ProShares UltraShort Yen 4,749,696 3,540,284 Combined Trust: $ ( 134,427,155 ) $ ( 8,467,868 ) F-117 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the year ended December 31, 2023 Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income VIX Futures Contracts Net realized gain (loss) on futures contracts / changes in unrealized appreciation (depreciation) on futures contracts ProShares Short VIX Short-Term Futures ETF $ 160,516,553 $ 1,548,243 ProShares Ultra VIX Short-Term Futures ETF ( 940,116,773 ) 5,371,542 ProShares VIX Mid-Term Futures ETF ( 38,709,532 ) 1,045,547 ProShares VIX Short-Term Futures ETF ( 275,353,500 ) 132,729 Commodities Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements ProShares Ultra Bloomberg Crude Oil 100,867,538 ( 86,011,590 ) ProShares Ultra Bloomberg Natural Gas ( 2,080,656,703 ) 354,221,039 ProShares Ultra Gold 21,429,154 ( 2,563,686 ) ProShares Ultra Silver 7,222,003 ( 59,077,259 ) ProShares UltraShort Bloomberg Crude Oil 12,379,340 12,191,426 ProShares UltraShort Bloomberg Natural Gas 306,791,742 ( 89,442,905 ) ProShares UltraShort Gold ( 2,180,686 ) 347,791 ProShares UltraShort Silver 13,438,489 3,537,995 Foreign Exchange Contracts Net realized gain (loss) on foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on foreign currency forward contracts ProShares Ultra Euro 293,493 ( 108,707 ) ProShares Ultra Yen ( 2,637,502 ) 534,736 ProShares UltraShort Euro ( 2,624,737 ) 612,477 ProShares UltraShort Yen 2,979,874 1,715,508 Combined Trust: $ ( 2,716,361,247 ) $ 144,054,886 F-118 Table of Contents The Effect of Derivative Instruments on the Statement of Operations For the year ended December 31, 2022 Derivatives Not Accounted for as Hedging Instruments Location of Gain (Loss) on Derivatives Recognized in Income Fund Realized Gain (Loss) on Derivatives Recognized in Income Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income VIX Futures Contracts Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements ProShares Short VIX Short-Term Futures ETF $ 21,454,600 $ ( 20,182,897 ) ProShares Ultra VIX Short-Term Futures ETF ( 150,931,020 ) 90,278,741 ProShares VIX Mid-Term Futures ETF 9,333,930 ( 4,166,835 ) ProShares VIX Short-Term Futures ETF ( 35,674,319 ) 20,333,796 Commodities Contracts Net realized gain (loss) on futures contracts and swap agreements/changes in unrealized appreciation (depreciation) on futures contracts and swap agreements. ProShares Ultra Bloomberg Crude Oil 728,836,569 ( 110,932,525 ) ProShares Ultra Bloomberg Natural Gas 109,680,104 ( 302,407,808 ) ProShares Ultra Gold ( 32,909,950 ) 444,472 ProShares Ultra Silver ( 68,901,992 ) 25,552,542 ProShares UltraShort Bloomberg Crude Oil ( 108,954,702 ) 18,654,355 ProShares UltraShort Bloomberg Natural Gas ( 165,347,108 ) 72,453,147 ProShares UltraShort Gold 2,576,561 143,195 ProShares UltraShort Silver ( 1,668,145 ) ( 1,394,202 ) Foreign Exchange Contracts Net realized gain (loss) on foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on foreign currency forward contracts ProShares Ultra Euro ( 953,353 ) 333,004 ProShares Ultra Yen ( 1,141,826 ) 1,077,661 ProShares UltraShort Euro 6,792,065 ( 2,253,215 ) ProShares UltraShort Yen 9,020,225 ( 3,897,013 ) Combined Trust: $ 321,211,639 $ ( 215,963,582 ) F-119 Table of Contents Offsetting Assets and Liabilities Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2024. Fair Values of Derivative Instruments as of December 31, 2024 Assets Liabilities Fund Gross Amounts of Recognized Assets presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets presented in the Statements of Financial Condition Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities presented in the Statements of Financial Condition ProShares Ultra Bloomberg Crude Oil Swap agreements $ 38,215,610 $ —   $ 38,215,610 $ —   $ —   $ —   ProShares Ultra Euro Foreign currency forward contracts 2,312 —   2,312 169,440 —   169,440 ProShares Ultra Gold Swap agreements —   —   —   2,348,132 —   2,348,132 ProShares Ultra Silver Swap agreements —   —   —   52,518,908 —   52,518,908 ProShares Ultra Yen Foreign currency forward contracts 146,194 —   146,194 4,361,491 —   4,361,491 ProShares UltraShort Euro Foreign currency forward contracts 1,189,827 —   1,189,827 32,777 —   32,777 ProShares UltraShort Gold Swap agreements 141,581 —   141,581 —   —   —   ProShares UltraShort Silver Swap agreements 2,954,018 —   2,954,018 —   —   —   ProShares UltraShort Yen Foreign currency forward contracts 2,283,588 —   2,283,588 55,229 —   55,229 Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2024. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”. F-120 Table of Contents Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2024 Fund Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition Financial Instruments for the Benefit of (the Funds) / the Counterparties Cash Collateral for the Benefit of (the Funds) / the Counterparties Net Amount ProShares Ultra Bloomberg Crude Oil Citibank, N.A. $ 7,607,910 $ ( 6,395,678 ) $ —   $ 1,212,232 Goldman Sachs International 12,024,863 ( 10,093,437 ) —   1,931,426 Morgan Stanley & Co. International PLC 3,652,992 ( 3,010,925 ) —   642,067 Societe Generale 9,139,394 ( 7,689,268 ) —   1,450,126 UBS AG 5,790,451 ( 4,212,271 ) —   1,578,180 ProShares Ultra Euro Goldman Sachs International ( 84,115 ) —   84,115 —   UBS AG ( 83,013 ) —   83,013 —   ProShares Ultra Gold Citibank, N.A. ( 1,008,254 ) 1,008,254 —   —   Goldman Sachs International ( 478,889 ) 478,889 —   —   UBS AG ( 860,989 ) 860,989 —   —   ProShares Ultra Silver Citibank, N.A. ( 23,367,397 ) 15,165,751 8,201,646 —   Goldman Sachs International ( 2,057,658 ) 2,057,658 —   —   Morgan Stanley & Co. International PLC ( 13,960,418 ) —    13,960,418 —    UBS AG ( 13,133,435 ) 13,133,435 —   —   ProShares Ultra Yen Goldman Sachs International ( 2,164,084 ) —   2,164,084 —   UBS AG ( 2,051,213 ) —   2,051,213 —   ProShares UltraShort Euro Goldman Sachs International 584,165 ( 507,449 ) —   76,716 UBS AG 572,885 ( 271,576 ) —   301,309 ProShares UltraShort Gold Citibank, N.A. 32,589 —   —   32,589 Goldman Sachs International 42,928 —   —   42,928 UBS AG 66,064 —   —   66,064 ProShares UltraShort Silver Citibank, N.A. 1,653,589 ( 1,565,508 ) —   88,081 Goldman Sachs International 907,867 ( 865,802 ) —   42,065 Morgan Stanley & Co. International PLC 125,172 —   —   125,172 UBS AG 267,390 —   —   267,390 ProShares UltraShort Yen Goldman Sachs International 1,253,912 ( 1,241,201 ) —   12,711 UBS AG 974,447 ( 954,822 ) —   19,625 F-121 Table of Contents The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2023: Fair Values of Derivative Instruments as of December 31, 2023 Assets Liabilities Fund Gross Amounts of Recognized Assets presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Assets presented in the Statements of Financial Condition Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Liabilities presented in the Statements of Financial Condition ProShares Ultra Bloomberg Crude Oil Swap agreements $ 17,954,935 $ —   $ 17,954,935 $ —   $ —   $ —   ProShares Ultra Euro Foreign currency forward contracts 308,424 —   308,424 1,475 —   1,475 ProShares Ultra Gold Swap agreements 3,078,593 —   3,078,593 —   —   —   ProShares Ultra Silver Swap agreements —   —   —   2,827,221 —   2,827,221 ProShares Ultra Yen Foreign currency forward contracts 1,534,924 —   1,534,924 15,639 —   15,639 ProShares UltraShort Euro Foreign currency forward contracts 38,029 —   38,029 1,886,808 —   1,886,808 ProShares UltraShort Gold Swap agreements —   —   —   199,821 —   199,821 ProShares UltraShort Silver Swap agreements —   —   —   814,174 —   814,174 ProShares UltraShort Yen Foreign currency forward contracts 129,697 —   129,697 1,441,622 —   1,441,622 Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2023. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”. F-122 Table of Contents Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2023 Fund Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition Financial Instruments for the Benefit of (the Funds) / the Counterparties Cash Collateral for the Benefit of (the Funds) / the Counterparties Net Amount ProShares Ultra Bloomberg Crude Oil Citibank, N.A. $ 3,938,035 $ ( 3,938,035 ) $ —   $ —   Goldman Sachs International 4,896,240 ( 4,896,240 ) —   —   Morgan Stanley & Co. International PLC 2,449,576 ( 2,449,576 ) —   —   Societe Generale 3,727,284 ( 3,727,284 ) —   —   UBS AG 2,943,800 ( 2,943,800 ) —   —   ProShares Ultra Euro Goldman Sachs International 162,672 —   —   162,672 UBS AG 144,277 —   —   144,277 ProShares Ultra Gold Citibank, N.A. 1,321,903 ( 1,321,903 ) —   —   Goldman Sachs International 627,862 ( 627,862 ) —   —   UBS AG 1,128,828 ( 1,128,828 ) —   —   ProShares Ultra Silver Citibank, N.A. ( 906,324 ) —   906,324 —   Goldman Sachs International ( 135,877 ) —   135,877 —   Morgan Stanley & Co. International PLC ( 921,875 ) —   921,875 —   UBS AG ( 863,145 ) —   863,145 —   ProShares Ultra Yen Goldman Sachs International 646,861 ( 465,767 ) —   181,094 UBS AG 872,424 ( 618,104 ) —   254,320 ProShares UltraShort Euro Goldman Sachs International ( 964,142 ) —   964,142 —   UBS AG ( 884,637 ) —   884,637 —   ProShares UltraShort Gold Citibank, N.A. ( 46,103 ) —   46,103 —   Goldman Sachs International ( 60,261 ) —   60,261 —   UBS AG ( 93,457 ) —   93,457 —   ProShares UltraShort Silver Citibank, N.A. 126,314 —   —   126,314 Goldman Sachs International 56,804 —   —   56,804 Morgan Stanley & Co. International PLC 7,793 —   —   7,793 UBS AG ( 1,005,085 ) —   1,005,085 —   ProShares UltraShort Yen Goldman Sachs International ( 701,077 ) —   701,077 —   UBS AG ( 610,848 ) —   610,848 —   NOTE 4 – AGREEMENTS Management Fee Each Leveraged Fund, and each Geared VIX Fund, pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95 % per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85 % per annum of its average daily NAV of such Fund. Each Fund accrues the Management Fee daily at an annualized rate based on its average daily net assets. The Sponsor stopped charging the Management Fee to the ProShares UltraShort Australian Dollar ETF and ProShares Short Euro ETF on May 2, 2022, the date it was determined that liquidation was imminent. The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to, (i) the fees and expenses of the Administrator, Custodian, Transfer Agent, Distributor (as each is defined below), and ProFunds Distributors, Inc., an affiliated broker-dealer of the Sponsor, as well as accounting and auditing fees and expenses, (ii) any Index licensors for the Funds; and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations. Fees associated with a Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $ 100,000 per annum, ongoing SEC registration fees not exceeding 0.021 % per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10 % per annum of the net assets of a Fund, and report preparation and mailing expenses. F-123 Table of Contents Non-Recurring Fees and Expenses Each Fund pays all of its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds. The Administrator BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds (the “Administrator”). The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor. The Custodian BNY Mellon serves as the Custodian of the Funds (the “Custodian”). The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor. The Transfer Agent BNY Mellon serves as the Transfer Agent of the Funds (the “Transfer Agent”) for entities that have entered into an Authorized Participant Agreement with one or more of the Funds (“Authorized Participants”) and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor. The Distributor SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds. NOTE 5 – CREATION AND REDEMPTION OF CREATION UNITS Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the reverse share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts. Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors. Transaction Fees on Creation and Redemption Transactions The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date. F-124 Table of Contents Authorized Participants may pay a fixed transaction fee (typically $ 250 ) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10 % (and a variable transaction fee to the Matching VIX Funds of u p t o 0.05 %) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market. Transaction fees for the years ended December 31, 2024, 2023 and 2022 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows: Year Ended Year Ended Year Ended Fund December 31, 2024 December 31, 2023 December 31, 2022 ProShares Short VIX Short-Term Futures ETF $ 614,775 $ 242,256 $ 243,685 ProShares Ultra Bloomberg Crude Oil —   —   —   ProShares Ultra Bloomberg Natural Gas —   —   —   ProShares Ultra Euro —   —   —   ProShares Ultra Gold —   —   —   ProShares Ultra Silver —   —   —   ProShares Ultra VIX Short-Term Futures ETF 1,474,842 1,375,762 3,586,278 ProShares Ultra Yen —   —   —   ProShares UltraShort Bloomberg Crude Oil —   —   ProShares UltraShort Bloomberg Natural Gas —   —   —   ProShares UltraShort Euro —   —   —   ProShares UltraShort Gold —   —   —   ProShares UltraShort Silver —   —   —   ProShares UltraShort Yen —   —   —   ProShares VIX Mid-Term Futures ETF 89,057 29,206 54,519 ProShares VIX Short-Term Futures ETF 214,318 273,740 494,781 Combined Trust: $ 2,392,992 $ 1,920,964 $ 4,379,263 F-125 Table of Contents NOTE 6 – FINANCIAL HIGHLIGHTS Selected data for a Share outstanding throughout the year ended December 31, 2024: For the Year Ended December 31, 2024 Per Share Operating Performance Short VIX Short-Term Futures ETF * Ultra Bloomberg Crude Oil Ultra Bloomberg Natural Gas * Ultra Euro Ultra Gold Ultra Silver Net asset value, at December 31, 2023 $ 51.69 $ 26.28 $ 142.73 $ 11.86 $ 63.83 $ 27.29 Net investment income (loss) 1.72 0.93 1.81 0.41 3.09 1.29 Net realized and unrealized gain (loss)# ( 3.38 ) 0.28 ( 89.70 ) ( 1.81 ) 26.53 4.98 Change in net asset value from operations ( 1.66 ) 1.21 ( 87.89 ) ( 1.40 ) 29.62 6.27 Net asset value, at December 31, 2024 $ 50.03 $ 27.49 $ 54.84 $ 10.46 $ 93.45 $ 33.56 Market value per share, at December 31, 2023 † $ 51.70 $ 26.10 $ 142.20 $ 11.84 $ 63.87 $ 27.17 Market value per share, at December 31, 2024 † $ 50.06 $ 27.50 $ 55.82 $ 10.45 $ 93.48 $ 33.67 Total Return, at net asset value ( 3.2 )% 4.6 % ( 61.6 )% ( 11.8 )% 46.4 % 23.0 % Total Return, at market value ( 3.2 )% 5.4 % ( 60.8 )% ( 11.7 )% 46.4 % 23.9 % Ratios to Average Net Assets Expense ratio^^ 1.21 % 0.99 % 1.47 % 0.95 % 0.97 % 0.98 % Net investment income gain (loss) 3.22 % 3.21 % 2.92 % 3.59 % 3.76 % 3.62 % * See Note 1 of these Notes to Financial Statements. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. F-126 Table of Contents For the Year Ended December 31, 2024 Per Share Operating Performance Ultra VIX Short-Term Futures ETF * Ultra Yen UltraShort Bloomberg Crude Oil UltraShort Bloomberg Natural Gas * UltraShort Euro UltraShort Gold Net asset value, at December 31, 2023 $ 42.17 $ 27.46 $ 20.75 $ 48.05 $ 29.16 $ 26.39 Net investment income (loss) 0.55 0.77 0.64 1.64 1.06 0.62 Net realized and unrealized gain (loss)# ( 21.95 ) ( 8.00 ) ( 4.46 ) ( 6.08 ) 4.69 ( 9.45 ) Change in net asset value from operations ( 21.40 ) ( 7.23 ) ( 3.82 ) ( 4.44 ) 5.75 ( 8.83 ) Net asset value, at December 31, 2024 $ 20.77 $ 20.23 $ 16.93 $ 43.61 $ 34.91 $ 17.56 Market value per share, at December 31, 2023 † $ 42.20 $ 27.49 $ 20.89 $ 48.21 $ 29.15 $ 26.37 Market value per share, at December 31, 2024 † $ 20.72 $ 20.35 $ 16.92 $ 42.74 $ 34.92 $ 17.58 Total Return, at net asset value ( 50.7 )% ( 26.3 )% ( 18.4 )% ( 9.2 )% 19.7 % ( 33.5 )% Total Return, at market value ( 50.9 )% ( 26.0 )% ( 19.0 )% ( 11.3 )% 19.8 % ( 33.3 )% Ratios to Average Net Assets Expense ratio^^ 1.86 % 0.95 % 1.06 % 1.82 % 0.95 % 0.98 % Net investment income gain (loss) 2.04 % 3.40 % 3.67 % 2.82 % 3.40 % 3.10 % * See Note 1 of these Notes to Financial Statements. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. F-127 Table of Contents For the Year Ended December 31, 2024 Per Share Operating Performance UltraShort Silver * UltraShort Yen * VIX Mid- Term Futures ETF VIX Short- Term Futures ETF * Net asset value, at December 31, 2023 $ 72.56 $ 34.44 $ 16.74 $ 61.99 Net investment income (loss) 1.39 1.44 0.53 1.61 Net realized and unrealized gain (loss)# ( 31.55 ) 11.78 ( 2.76 ) ( 18.55 ) Change in net asset value from operations ( 30.16 ) 13.22 ( 2.23 ) ( 16.94 ) Net asset value, at December 31, 2024 $ 42.40 $ 47.66 $ 14.51 $ 45.05 Market value per share, at December 31, 2023 † $ 72.96 $ 34.47 $ 16.75 $ 62.04 Market value per share, at December 31, 2024 † $ 42.00 $ 46.68 $ 14.46 $ 45.02 Total Return, at net asset value ( 41.6 )% 38.4 % ( 13.3 )% ( 27.3 )% Total Return, at market value ( 42.4 )% 35.4 % ( 13.7 )% ( 27.4 )% Ratios to Average Net Assets Expense ratio^^ 1.03 % 0.95 % 1.10 % 1.09 % Net investment income gain (loss) 2.90 % 3.42 % 3.56 % 3.22 % * See Note 1 of these Notes to Financial Statements. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded. F-128 Table of Contents Selected data for a Share outstanding throughout the year ended December 31, 2023: For the Year Ended December 31, 2023 Per Share Operating Performance Short VIX Short-Term Futures ETF * Ultra Bloomberg Crude Oil Ultra Bloomberg Natural Gas * Ultra Euro Ultra Gold Ultra Silver Net asset value, at December 31, 2022 $ 29.35 $ 30.26 $ 1,815.41 $ 11.27 $ 55.09 $ 31.75 Net investment income (loss) 1.05 0.60 7.13 0.38 1.81 0.75 Net realized and unrealized gain (loss)# 21.29 ( 4.58 ) ( 1,679.81 ) 0.21 6.93 ( 5.21 ) Change in net asset value from operations 22.34 ( 3.98 ) ( 1,672.68 ) 0.59 8.74 ( 4.46 ) Net asset value, at December 31, 2023 $ 51.69 $ 26.28 $ 142.73 $ 11.86 $ 63.83 $ 27.29 Market value per share, at December 31, 2022 † $ 29.34 $ 30.31 $ 1,778.00 $ 11.26 $ 55.27 $ 32.00 Market value per share, at December 31, 2023 † $ 51.70 $ 26.10 $ 142.20 $ 11.84 $ 63.87 $ 27.17 Total Return, at net asset value 76.1 % ( 13.2 )% ( 92.1 )% 5.2 % 15.9 % ( 14.1 )% Total Return, at market value 76.2 % ( 13.9 )% ( 92.0 )% 5.2 % 15.6 % ( 15.1 )% Ratios to Average Net Assets Expense ratio^^ 1.16 % 0.99 % 1.38 % 0.95 % 0.96 % 0.98 % Net investment income gain (loss) 2.74 % 2.16 % 2.24 % 3.29 % 3.02 % 2.64 % * See Note 1 of these Notes to Financial Statements. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. F-129 Table of Contents For the Year Ended December 31, 2023 Per Share Operating Performance Ultra VIX Short-Term Futures ETF * Ultra Yen UltraShort Bloomberg Crude Oil UltraShort Bloomberg Natural Gas * Net asset value, at December 31, 2022 $ 343.43 $ 34.54 $ 23.93 $ 13.50 Net investment income (loss) 2.11 0.96 0.70 0.77 Net realized and unrealized gain (loss)# ( 303.37 ) ( 8.04 ) ( 3.88 ) 33.78 Change in net asset value from operations ( 301.26 ) ( 7.08 ) ( 3.18 ) 34.55 Net asset value, at December 31, 2023 $ 42.17 $ 27.46 $ 20.75 $ 48.05 Market value per share, at December 31, 2022 † $ 343.00 $ 34.56 $ 23.85 $ 13.78 Market value per share, at December 31, 2023 † $ 42.20 $ 27.49 $ 20.89 $ 48.21 Total Return, at net asset value ( 87.7 )% ( 20.5 )% ( 13.3 )% 255.9 % Total Return, at market value ( 87.7 )% ( 20.5 )% ( 12.4 )% 249.8 % Ratios to Average Net Assets Expense ratio^^ 1.61 % 0.95 % 1.07 % 1.66 % Net investment income gain (loss) 1.84 % 3.40 % 3.28 % 2.63 % * See Note 1 of these Notes to Financial Statements. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if brokerage commissions and futures account fees were excluded. F-130 Table of Contents For the Year Ended December 31, 2023 Per Share Operating Performance UltraShort Euro UltraShort Gold UltraShort Silver * UltraShort Yen * VIX Mid- Term Futures ETF VIX Short- Term Futures ETF * Net asset value, at December 31, 2022 $ 29.46 $ 31.10 $ 77.82 $ 26.84 $ 30.41 $ 228.01 Net investment income (loss) 0.97 0.83 2.02 1.08 0.71 3.42 Net realized and unrealized gain (loss)# ( 1.27 ) ( 5.54 ) ( 7.28 ) 6.52 ( 14.38 ) ( 169.44 ) Change in net asset value from operations ( 0.30 ) ( 4.71 ) ( 5.26 ) 7.60 ( 13.67 ) ( 166.02 ) Net asset value, at December 31, 2023 $ 29.16 $ 26.39 $ 72.56 $ 34.44 $ 16.74 $ 61.99 Market value per share, at December 31, 2022 † $ 29.45 $ 30.99 $ 77.20 $ 26.79 $ 30.36 $ 227.60 Market value per share, at December 31, 2023 † $ 29.15 $ 26.37 $ 72.96 $ 34.47 $ 16.75 $ 62.04 Total Return, at net asset value ( 1.0 )% ( 15.2 )% ( 6.8 )% 28.3 % ( 45.0 )% ( 72.8 )% Total Return, at market value ( 1.0 )% ( 14.9 )% ( 5.5 )% 28.7 % ( 44.8 )% ( 72.7 )% Ratios to Average Net Assets Expense ratio^^ 0.95 % 0.98 % 1.08 % 0.95 % 0.99 % 1.07 % Net investment income gain (loss) 3.28 % 2.95 % 2.61 % 3.33 % 3.12 % 2.93 % * See Note 1 of these Notes to Financial Statements. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if brokerage commissions and futures account fees were excluded. F-131 Table of Contents Selected data for a Share outstanding throughout the year ended December 31, 2022 For the Year Ended December 31, 2022 Per Share Operating Performance Short VIX Short-Term Futures ETF * Ultra Bloomberg Crude Oil Ultra Bloomberg Natural Gas * Ultra Euro Ultra Gold Ultra Silver Net asset value, at December 31, 2021 $ 30.78 $ 21.54 $ 2,555.42 $ 13.32 $ 59.69 $ 34.84 Net investment income (loss) ( 0.09 ) ( 0.08 ) 12.73 0.05 ( 0.01 ) ( 0.02 ) Net realized and unrealized gain (loss)# ( 1.34 ) 8.80 ( 752.74 ) ( 2.10 ) ( 4.59 ) ( 3.07 ) Change in net asset value from operations ( 1.43 ) 8.72 ( 740.01 ) ( 2.05 ) ( 4.60 ) ( 3.09 ) Net asset value, at December 31, 2022 $ 29.35 $ 30.26 $ 1,815.41 $ 11.27 $ 55.09 $ 31.75 Market value per share, at December 31, 2021 † $ 30.78 $ 21.70 $ 2,609.00 $ 13.33 $ 59.81 $ 34.74 Market value per share, at December 31, 2022 † $ 29.34 $ 30.31 $ 1,778.00 $ 11.26 $ 55.27 $ 32.00 Total Return, at net asset value ( 4.6 )% 40.5 % ( 29.0 )% ( 15.4 )% ( 7.7 )% ( 8.9 )% Total Return, at market value ( 4.7 )% 39.7 % ( 31.9 )% ( 15.5 )% ( 7.6 )% ( 7.9 )% Ratios to Average Net Assets Expense ratio^^ 1.21 % 1.04 % 1.27 % 0.96 % 0.99 % 0.99 % Net investment income gain (loss) ( 0.35 )% ( 0.22 )% 0.27 % 0.46 % ( 0.01 )% ( 0.08 )% * See Note 1 of these Notes to Financial Statements. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. F-132 Table of Contents For the Year Ended December 31, 2022 Per Share Operating Performance Ultra VIX Short-Term Futures ETF * Ultra Yen UltraShort Bloomberg Crude Oil UltraShort Bloomberg Natural Gas * Net asset value, at December 31, 2021 $ 620.31 $ 47.29 $ 64.26 $ 123.70 Net investment income (loss) ( 3.78 ) 0.26 0.01 ( 0.03 ) Net realized and unrealized gain (loss)# ( 273.10 ) ( 13.01 ) ( 40.34 ) ( 110.17 ) Change in net asset value from operations ( 276.88 ) ( 12.75 ) ( 40.33 ) ( 110.20 ) Net asset value, at December 31, 2022 $ 343.43 $ 34.54 $ 23.93 $ 13.50 Market value per share, at December 31, 2021 † $ 621.50 $ 47.29 $ 63.75 $ 121.10 Market value per share, at December 31, 2022 † $ 343.00 $ 34.56 $ 23.85 $ 13.78 Total Return, at net asset value ( 44.6 )% ( 27.0 )% ( 62.8 )% ( 89.1 )% Total Return, at market value ( 44.8 )% ( 26.9 )% ( 62.6 )% ( 88.6 )% Ratios to Average Net Assets Expense ratio^^ 1.56 % 0.96 % 1.14 % 1.37 % Net investment income gain (loss) ( 0.63 )% 0.80 % 0.04 % ( 0.26 )% * See Note 1 of these Notes to Financial Statements. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 % and 0.95 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. F-133 Table of Contents For the Year Ended December 31, 2022 Per Share Operating Performance UltraShort Euro UltraShort Gold UltraShort Silver * UltraShort Yen * VIX Mid-Term Futures ETF VIX Short- Term Futures ETF * Net asset value, at December 31, 2021 $ 25.84 $ 31.71 $ 107.08 $ 20.75 $ 30.61 $ 302.48 Net investment income (loss) 0.10 ( 0.07 ) ( 0.27 ) 0.09 ( 0.03 ) ( 0.41 ) Net realized and unrealized gain (loss)# 3.52 ( 0.54 ) ( 28.99 ) 6.00 ( 0.17 ) ( 74.06 ) Change in net asset value from operations 3.62 ( 0.61 ) ( 29.26 ) 6.09 ( 0.20 ) ( 74.47 ) Net asset value, at December 31, 2022 $ 29.46 $ 31.10 $ 77.82 $ 26.84 $ 30.41 $ 228.01 Market value per share, at December 31, 2021 † $ 25.86 $ 31.66 $ 107.36 $ 20.75 $ 30.57 $ 303.40 Market value per share, at December 31, 2022 † $ 29.45 $ 30.99 $ 77.20 $ 26.79 $ 30.36 $ 227.60 Total Return, at net asset value 14.0 % ( 1.9 )% ( 27.3 )% 29.4 % ( 0.7 )% ( 24.6 )% Total Return, at market value 13.9 % ( 2.1 )% ( 28.1 )% 29.1 % ( 0.7 )% ( 25.0 )% Ratios to Average Net Assets Expense ratio^^ 0.96 % 1.00 % 1.08 % 0.95 % 1.01 % 1.15 % Net investment income gain (loss) 0.32 % ( 0.23 )% ( 0.25 )% 0.31 % ( 0.10 )% ( 0.13 )% * See Note 1 of these Notes to Financial Statements. # The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period. † Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated. ^^ The expense ratio would be 0.95 %, 0.95 %, 0.95 %, 0.95 %, 0.85 % and 0.85 %, respectively, if non-recurring fees and expenses, and brokerage commissions and futures account fees were excluded. F-134 Table of Contents NOTE 7 – RISK Correlation and Holding Period Risk Each of the Geared Funds is “geared” which means that each has an investment objective to seek daily investment results, before fees and expenses, that correspond either to one-half the inverse (-0.5x), two times the inverse (-2x), one and one-half times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark (referred to as the “Daily Target”). The Geared Funds do not seek to achieve their Daily Target for any period of time other than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ from one-half the inverse (-0.5x), two times the inverse (-2x), one and one-half times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the same period . This difference may be significant. Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund. The return of a Geared Fund for periods longer than a day is the product of a series of daily leveraged returns for each trading day during that period. If you hold Geared Fund shares for any period other than a day, it is important for you to understand the risks and long-term performance of a daily objective fund. You should know that over your holding period: • Your return may be higher or lower than the Daily Target, and this difference may be significant. • Factors that contribute to returns that are worse than the Daily Target include smaller Benchmark gains or losses and higher Benchmark volatility, as well as longer holding periods when these factors apply. • Factors that contribute to returns that are better than the Daily Target include larger Benchmark gains or losses and lower Benchmark volatility, as well as longer holding periods when these factors apply. • The more extreme these factors are, and the more they occur together, the more your return will tend to deviate from the Daily Target. For periods longer than a day, you will lose money if the Benchmark’s performance is flat. It is possible that you will lose money invested in a Short or UltraShort Fund even if the value of the Benchmark falls during that period or money invested in an Ultra Fund even if the value of the Benchmark rises during that period. Returns may move in the opposite direction of the Benchmark during periods of higher Benchmark volatility, low Benchmark returns, or both. In addition, during periods of higher Benchmark volatility, the Benchmark volatility may affect your return as much or more than the return of the Benchmark. Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and one-half or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of an UltraShort Fund is designed to return two times the inverse (-2x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Investors should understand the consequences of holding daily rebalanced funds for periods longer than a given day, including the impact of compounding on fund performance. Shareholders who invest in the Geared Funds should consider actively monitoring and/or periodically rebalancing their investments (which will possibly trigger transaction costs and tax consequences) in light of their investment goals and risk tolerances. The Matching VIX Funds seek to achieve their stated investment objective over time. While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on F-135 Table of Contents which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark; (12) large movements of assets into and/or out of a Fund, particularly late in the day; (13) significant and/or rapid increases in the size of the Fund as a result of an increase in creation activity that cause the Fund to approach or reach position or accountability limits or other portfolio limits; and (14) events such as natural disasters (including disease, epidemics and pandemics) that can be highly disruptive to economies, markets and companies including, but not limited to, the Sponsor and third party service providers. A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. The target amount of portfolio exposure is impacted dynamically by a benchmark’s movements, including intraday movements. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -0.5x, -2x, 1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day. Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. If for any reason a Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund’s investment exposure may not be consistent with the Fund’s investment objective. In these instances, the Fund may have investment exposure to its benchmark that is significantly greater or less than its stated multiple. As a result, the Fund may be more or less exposed to leverage risk than if it had been properly rebalanced and may not achieve its investment objective. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks. Counterparty Risk Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to in this Counterparty Risk section as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks. Regulatory Treatment Derivatives are generally traded in OTC markets and are subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities). Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” Although some of the SEC requirements have not yet been made effective, the CFTC requirements are largely in place. The CFTC requirements include rules for some of the types of derivatives transactions in which the Funds engages, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions. As noted, all of the relevant CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants. F-136 Table of Contents Counterparty Credit Risk The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of uncleared OTC derivatives, the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to uncleared OTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties or otherwise, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline. The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions. OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day. In addition, cleared derivatives benefit from daily mark-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a futures commission merchant in cleared swaps customer accounts, which are required by CFTC regulations to be separate from the futures commission merchant’s proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of futures customer segregated funds, under which the clearing house may access all of the commingled futures customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. Bilateral OTC derivatives expose the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss. The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com. Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law. The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund. F-137 Table of Contents Leverage Risk The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day. For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and one-half times (1.5x) multiplier) include a two times the inverse (-2x), or a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50 % at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund or upward single-day or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times. Liquidity Risk Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated. “Contango” and “Backwardation” Risk In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2022 may specify a January 2023 expiration. As that contract nears expiration, it may be replaced by selling the January 2023 contract and purchasing the contract expiring in March 2023. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2023 contract would take place at a price that is higher than the price at which the March 2023 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Fund and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds. Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds. Gold and silver have historically exhibited persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly. There have been times where WTI crude oil futures contracts experience “extraordinary contango or extraordinary backwardation”. For example, in April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. In the summer of 2022, the market for crude oil futures contracts experienced a period of extreme backwardation, but normalized towards the end of the year. The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. Conversely, investors in an UltraShort Fund could suffer significant losses or lose their entire investment if prices reversed or were subject to extraordinary backwardation. The effects of rolling futures contracts under extraordinary contango or backwardation market conditions generally are more exaggerated than rolling futures contracts under more typical contango or backwardation market conditions. Either scenario may result in significant losses. F-138 Table of Contents Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. Natural Disasters and Public Health Disruptions, such as the COVID-19 Pandemic, May Have a Significant Negative Impact on the Performance of Each Fund. Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example, COVID-19 including its variants), have been and may continue to be highly disruptive to economies and markets. These conditions have led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, civil unrest, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margins and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transaction on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market. Additionally, geopolitical conflict, including, war and armed conflicts (such as Russia’s continued military actions against Ukraine that started in February 2022, the Israel-Hamas conflict, the Houthi movement’s attacks on marine vessels in the Red Sea, and the expansion of such conflicts in surrounding areas), sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly. NOTE 8 – SUBSEQUENT EVENTS Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date. F-139