10-Q

Large Accelerated Filer

Accelerated Filer

Non-Accelerated Filer

Smaller Reporting Company

Emerging Growth Company

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

☒	Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the quarterly period ended June 30, 2022.

☐	Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the transition period from

Commission file number: 001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)


Delaware		87-6284802
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o ProShare Capital Management LLC

7272 Wisconsin Avenue, 21

Floor

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(240)

497

6400

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:


Title of each class	Trading Symbol(s)	Name of each exchange on which registered
ProShares Short VIX Short-Term Futures ETF	SVXY	Cboe BZX Exchange
ProShares Ultra Bloomberg Crude Oil	UCO	NYSE Arca
ProShares Ultra Bloomberg Natural Gas	BOIL	NYSE Arca
ProShares Ultra Euro	ULE	NYSE Arca
ProShares Ultra Gold	UGL	NYSE Arca
ProShares Ultra Silver	AGQ	NYSE Arca
ProShares Ultra VIX Short-Term Futures ETF	UVXY	Cboe BZX Exchange
ProShares Ultra Yen	YCL	NYSE Arca
ProShares UltraShort Bloomberg Crude Oil	SCO	NYSE Arca
ProShares UltraShort Bloomberg Natural Gas	KOLD	NYSE Arca
ProShares UltraShort Euro	EUO	NYSE Arca
ProShares UltraShort Gold	GLL	NYSE Arca
ProShares UltraShort Silver	ZSL	NYSE Arca
ProShares UltraShort Yen	YCS	NYSE Arca
ProShares VIX Mid-Term Futures ETF	VIXM	Cboe BZX Exchange
ProShares VIX Short-Term Futures ETF	VIXY	Cboe BZX Exchange

Securities registered pursuant to Section 12(g) of the Act: None

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act.). ☐ Yes ☒ No

Indicate by check mark whether the registrant has filed all documents and reports required to be filed by Sections 12, 13 or 15(d) of the Securities Exchange Act of 1934 subsequent to the distribution of securities under a plan confirmed by a court.

☒

Yes ☐ No

As of August 2, 2022, the registrant had 260,819,037 shares of common stock, $0 par value per share, outstanding.

Table of Contents

PROSHARES TRUST II

Table of Contents


	Page
Part I. FINANCIAL INFORMATION
Item 1. Financial Statements		1
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations		125
Item 3. Quantitative and Qualitative Disclosures About Market Risk		173
Item 4. Controls and Procedures		187

Part II. OTHER INFORMATION
Item 1. Legal Proceedings		189
Item 1A. Risk Factors		189
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds		191
Item 3. Defaults Upon Senior Securities		193
Item 4. Mine Safety Disclosures		193
Item 5. Other Information		193
Item 6. Exhibits		194

Table of Contents

Part I. FINANCIAL INFORMATION

Item 1. Financial Statements.

Index


Documents	Page
Statements of Financial Condition, Schedule of Investments, Statements of Operations, Statements of Changes
in Shareholders’ Equity, and Statements of Cash Flows:
ProShares Short VIX Short-Term Futures ETF		2
ProShares Ultra Bloomberg Crude Oil		7
ProShares Ultra Bloomberg Natural Gas		12
ProShares Ultra Euro		17
ProShares Ultra Gold		22
ProShares Ultra Silver		27
ProShares Ultra VIX Short-Term Futures ETF		32
ProShares Ultra Yen		37
ProShares UltraShort Bloomberg Crude Oil		42
ProShares UltraShort Bloomberg Natural Gas		47
ProShares UltraShort Euro		52
ProShares UltraShort Gold		57
ProShares UltraShort Silver		62
ProShares UltraShort Yen		67
ProShares VIX Mid-Term Futures ETF		72
ProShares VIX Short-Term Futures ETF		77
ProShares Trust II		82
Notes to Financial Statements		86

Table of Contents

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(50% of shareholders’ equity)
Federal Home Loan Discount Notes ^^ :
1.000% due 07/01/22	$	150,000,000	$	150,000,000
U.S. Treasury Bills ^^ :
0.393% due 07/21/22 †		47,000,000		46,971,932
0.706% due 08/18/22 †		150,000,000		149,724,000
0.637% due 11/03/22 †		181,000,000		179,727,352

Total short-term U.S. government and agency obligations (cost $527,457,948)			$	526,423,284

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires September 2022		2,204	$	227,232,400	$	(17,930,940	)
WTI Crude Oil - NYMEX, expires December 2022		2,535		242,244,600		64,744,247
WTI Crude Oil - NYMEX, expires June 2023		2,688		235,522,560		11,641,492

					$	58,454,799

Total Return Swap Agreements


	Rate Paid (Received) *			Termination Date		Notional Amount at Value **		Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35	%		07/06/22	$	215,921,141	$	(21,668,621	)
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			07/06/22		321,089,755		(42,218,820	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.35			07/06/22		373,984,332		(37,530,948	)
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.25			07/06/22		203,778,726		(20,435,337	)
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index		0.30			07/06/22		303,369,078		(30,433,429	)

							Total Unrealized Depreciation	$	(152,287,155	)

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of June 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of June 30, 2022, 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.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $208,875,314 and $207,964,168, respectively)	$	208,696,447	$	207,956,320
Cash		32,582,080		9,328,332
Segregated cash balances with brokers for futures contracts		6,922,800		6,093,750
Segregated cash balances with brokers for swap agreements		2,207,000		—
Unrealized appreciation on swap agreements		—		8,639,188
Receivable on open futures contracts		—		944,644
Interest receivable		32,405		690

Total assets		250,440,732		232,962,924

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		2,824,550		—
Payable on open futures contracts		1,022,544		—
Brokerage commissions and futures account fees payable		—		4,034
Payable to Sponsor		202,927		178,356
Unrealized depreciation on swap agreements		6,451,858		—

Total liabilities		10,501,879		182,390

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		239,938,853		232,780,534

Total liabilities and shareholders’ equity	$	250,440,732	$	232,962,924

Shares outstanding		4,250,000		3,900,000

Net asset value per share	$	56.46	$	59.69

Market value per share (Note 2)	$	56.50	$	59.81

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(87% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.967% due 07/14/22	$	25,000,000	$	24,989,618
0.393% due 07/21/22 †		95,000,000		94,943,266
0.706% due 08/18/22 †		75,000,000		74,862,000
0.223% due 11/03/22 †		14,000,000		13,901,563

Total short-term U.S. government and agency obligations (cost $208,875,314)			$	208,696,447

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Gold Futures - COMEX, expires August 2022		954	$	172,416,420	$	(3,932,509	)

Total Return Swap Agreements


	Rate Paid (Received) *			Termination Date		Notional Amount at Value **		Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex		0.25	%		07/06/22	$	109,384,670	$	(2,221,389	)
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex		0.25			07/06/22		84,543,271		(1,919,639	)
Swap agreement with UBS AG based on Bloomberg Gold Subindex		0.25			07/06/22		113,788,925		(2,310,830	)

							Total Unrealized Depreciation	$	(6,451,858	)

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of June 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of June 30, 2022, 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.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Investment Income
Interest	$	319,154		$	20,094		$	414,267		$	55,921

Expenses
Management fee		716,148			568,040			1,387,563			1,136,247
Brokerage commissions		14,064			8,665			35,723			23,553
Futures account fees		8,664			13,354			28,169			45,756

Total expenses		738,876			590,059			1,451,455			1,205,556

Net investment income (loss)		(419,722	)		(569,965	)		(1,037,188	)		(1,149,635	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(28,896,339	)		7,294,570			(8,706,319	)		(9,511,327	)
Swap agreements		(29,004,744	)		38,211,797			8,623,832			3,769,562
Short-term U.S. government and agency obligations		—			—			—			245

Net realized gain (loss)		(57,901,083	)		45,506,367			(82,487	)		(5,741,520	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		3,312,504			(4,648,838	)		(4,587,403	)		(6,902,587	)
Swap agreements		1,658,698			(28,812,307	)		(15,091,046	)		(27,792,857	)
Short-term U.S. government and agency obligations		(159	)		(17,158	)		(171,019	)		(15,362	)

Change in net unrealized appreciation (depreciation)		4,971,043			(33,478,303	)		(19,849,468	)		(34,710,806	)

Net realized and unrealized gain (loss)		(52,930,040	)		12,028,064			(19,931,955	)		(40,452,326	)

Net income (loss)	$	(53,349,762	)	$	11,458,099		$	(20,969,143	)	$	(41,601,961	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	355,029,822		$	214,548,056		$	232,780,534		$	263,540,473

Addition of 100,000, 400,000, 1,600,000 and 1,000,000 shares, respectively		6,573,039			23,214,269			102,257,715			60,276,530
Redemption of 1,150,000, 100,000, 1,250,000 and 650,000 shares, respectively		(68,314,246	)		(5,763,721	)		(74,130,253	)		(38,758,339	)

Net addition (redemption) of (1,050,000), 300,000, 350,000 and 350,000 shares, respectively		(61,741,207	)		17,450,548			28,127,462			21,518,191

Net investment income (loss)		(419,722	)		(569,965	)		(1,037,188	)		(1,149,635	)
Net realized gain (loss)		(57,901,083	)		45,506,367			(82,487	)		(5,741,520	)
Change in net unrealized appreciation (depreciation)		4,971,043			(33,478,303	)		(19,849,468	)		(34,710,806	)

Net income (loss)		(53,349,762	)		11,458,099			(20,969,143	)		(41,601,961	)

Shareholders’ equity, end of period	$	239,938,853		$	243,456,703		$	239,938,853		$	243,456,703

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(20,969,143	)	$	(41,601,961	)
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		(704,533,509	)		(422,955,514	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		704,000,000			281,999,771
Net amortization and accretion on short-term U.S. government and agency obligations		(377,637	)		(35,590	)
Net realized (gain) loss on investments		—			(245	)
Change in unrealized (appreciation) depreciation on investments		15,262,065			27,808,219
Decrease (Increase) in receivable on open futures contracts		944,644			(520,982	)
Decrease (Increase) in interest receivable		(31,715	)		4,321
Increase (Decrease) in payable to Sponsor		24,571			(13,610	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(4,034	)		4,167
Increase (Decrease) in payable on open futures contracts		1,022,544			—

Net cash provided by (used in) operating activities		(4,662,214	)		(155,311,424	)

Cash flow from financing activities
Proceeds from addition of shares		102,257,715			40,405,473
Payment on shares redeemed		(71,305,703	)		(38,758,339	)

Net cash provided by (used in) financing activities		30,952,012			1,647,134

Net increase (decrease) in cash		26,289,798			(153,664,290	)
Cash, beginning of period		15,422,082			183,452,109

Cash, end of period	$	41,711,880		$	29,787,819

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $290,825,356 and $451,896,236, respectively)	$	290,458,173	$	451,872,982
Cash		38,062,175		10,985,565
Segregated cash balances with brokers for futures contracts		6,634,250		14,502,938
Segregated cash balances with brokers for swap agreements		82,100,000		—
Unrealized appreciation on swap agreements		—		40,591,699
Receivable from capital shares sold		1,240,339		—
Receivable on open futures contracts		—		1,384,919
Interest receivable		57,161		1,582

Total assets		418,552,098		519,339,685

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		3,483,770
Payable on open futures contracts		2,248,743		—
Brokerage commissions and futures account fees payable		—		9,833
Payable to Sponsor		313,910		392,488
Unrealized depreciation on swap agreements		60,411,930		—

Total liabilities		62,974,583		3,886,091

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		355,577,515		515,453,594

Total liabilities and shareholders’ equity	$	418,552,098	$	519,339,685

Shares outstanding		14,346,526		14,796,526

Net asset value per share	$	24.78	$	34.84

Market value per share (Note 2)	$	24.47	$	34.74

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(82% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.967% due 07/14/22 †	$	50,000,000	$	49,979,235
0.818% due 07/21/22 †		73,000,000		72,956,405
0.674% due 07/28/22		50,000,000		49,962,875
0.706% due 08/18/22 †		75,000,000		74,862,000
0.223% due 11/03/22 †		43,000,000		42,697,658

Total short-term U.S. government and agency obligations (cost $290,825,356)			$	290,458,173

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Silver Futures - COMEX, expires September 2022		773	$	78,660,480	$	(4,317,941	)

Total Return Swap Agreements


	Rate Paid (Received) *			Termination Date		Notional Amount at Value **		Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex		0.25	%		07/06/22	$	153,262,171	$	(14,941,465	)
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.30			07/06/22		177,466,859		(18,119,916	)
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30			07/06/22		168,307,407		(15,214,853	)
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25			07/06/22		134,298,894		(12,135,696	)

							Total Unrealized Depreciation	$	(60,411,930	)

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of June 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of June 30, 2022, 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.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Investment Income
Interest	$	421,514		$	65,529		$	561,963		$	163,658

Expenses
Management fee		1,082,340			1,615,157			2,299,939			3,246,292
Brokerage commissions		28,732			40,715			59,283			87,297
Futures account fees		6,188			48,893			26,693			211,080

Total expenses		1,117,260			1,704,765			2,385,915			3,544,669

Net investment income (loss)		(695,746	)		(1,639,236	)		(1,823,952	)		(3,381,011	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(10,869,422	)		10,593,269			(16,614,384	)		17,489,539
Swap agreements		(145,324,753	)		105,777,210			(22,942,764	)		103,791,491
Short-term U.S. government and agency obligations		(1,174	)		—			(1,164	)		191

Net realized gain (loss)		(156,195,349	)		116,370,479			(39,558,312	)		121,281,221

Change in net unrealized appreciation (depreciation) on
Futures contracts		(13,510,319	)		372,122			(6,824,486	)		(52,219,911	)
Swap agreements		(36,561,200	)		(48,708,892	)		(101,003,629	)		(133,882,561	)
Short-term U.S. government and agency obligations		(64,280	)		(57,475	)		(343,929	)		(35,554	)

Change in net unrealized appreciation (depreciation)		(50,135,799	)		(48,394,245	)		(108,172,044	)		(186,138,026	)

Net realized and unrealized gain (loss)		(206,331,148	)		67,976,234			(147,730,356	)		(64,856,805	)

Net income (loss)	$	(207,026,894	)	$	66,336,998		$	(149,554,308	)	$	(68,237,816	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	558,375,841		$	572,501,249		$	515,453,594		$	745,304,028

Addition of 800,000, 1,000,000, 1,800,000 and 3,400,000 shares, respectively		26,625,358			46,374,159			65,659,299			166,773,794
Redemption of 750,000, 450,000, 2,250,000 and 3,700,000 shares, respectively		(22,396,790	)		(23,433,679	)		(75,981,070	)		(182,061,279	)

Net addition (redemption) of 50,000, 550,000, (450,000) and (300,000) shares, respectively		4,228,568			22,940,480			(10,321,771	)		(15,287,485	)

Net investment income (loss)		(695,746	)		(1,639,236	)		(1,823,952	)		(3,381,011	)
Net realized gain (loss)		(156,195,349	)		116,370,479			(39,558,312	)		121,281,221
Change in net unrealized appreciation (depreciation)		(50,135,799	)		(48,394,245	)		(108,172,044	)		(186,138,026	)

Net income (loss)		(207,026,894	)		66,336,998			(149,554,308	)		(68,237,816	)

Shareholders’ equity, end of period	$	355,577,515		$	661,778,727		$	355,577,515		$	661,778,727

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(149,554,308	)	$	(68,237,816	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(1,255,430,782	)		(1,149,854,685	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,416,997,680			804,999,794
Net amortization and accretion on short-term U.S. government and agency obligations		(497,182	)		(125,027	)
Net realized (gain) loss on investments		1,164			(191	)
Change in unrealized (appreciation) depreciation on investments		101,347,558			133,918,115
Decrease (Increase) in receivable on open futures contracts		1,384,919			(1,452,315	)
Decrease (Increase) in interest receivable		(55,579	)		4,936
Increase (Decrease) in payable to Sponsor		(78,578	)		4,844
Increase (Decrease) in brokerage commissions and futures account fees payable		(9,833	)		17,899
Increase (Decrease) in payable on open futures contracts		2,248,743			(2,312,939	)

Net cash provided by (used in) operating activities		116,353,802			(283,037,385	)

Cash flow from financing activities
Proceeds from addition of shares		64,418,960			166,773,794
Payment on shares redeemed		(79,464,840	)		(182,061,279	)

Net cash provided by (used in) financing activities		(15,045,880	)		(15,287,485	)

Net increase (decrease) in cash		101,307,922			(298,324,870	)
Cash, beginning of period		25,488,503			446,401,960

Cash, end of period	$	126,796,425		$	148,077,090

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Investment Income
Interest	$	430,670		$	202,556		$	525,931		$	316,525

Expenses
Management fee		2,293,738			2,293,121			4,254,915			6,676,198
Brokerage commissions		970,211			1,173,276			1,906,969			3,129,904
Futures account fees		444,123			711,443			1,226,811			2,555,256

Total expenses		3,708,072			4,177,840			7,388,695			12,361,358

Net investment income (loss)		(3,277,402	)		(3,975,284	)		(6,862,764	)		(12,044,833	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		91,039,435			(811,706,279	)		349,477,533			(1,464,769,961	)
Swap agreements		—			(42,822,782	)		22,556,586			(94,277,124	)
Short-term U.S. government and agency obligations		(337,934	)		2,137			(353,087	)		20,657

Net realized gain (loss)		90,701,501			(854,526,924	)		371,681,032			(1,559,026,428	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		196,657,178			244,143,655			161,801,275			(40,259,928	)
Swap agreements		—			—			477,437			24,807
Short-term U.S. government and agency obligations		78,171			(28,407	)		(544,247	)		(8,962	)

Change in net unrealized appreciation (depreciation)		196,735,349			244,115,248			161,734,465			(40,244,083	)

Net realized and unrealized gain (loss)		287,436,850			(610,411,676	)		533,415,497			(1,599,270,511	)

Net income (loss)	$	284,159,448		$	(614,386,960	)	$	526,552,733		$	(1,611,315,344	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	1,127,608,641		$	1,284,373,170		$	816,679,636		$	1,356,204,199

Addition of 58,400,000, 12,955,000, 141,500,000 and 32,585,000 shares, respectively (Note 1)		799,757,076			434,635,046			1,971,472,943			2,373,778,077
Redemption of 74,700,000, 5,629,671, 140,100,000 and 15,169,671 shares, respectively (Note 1)		(1,235,841,632	)		(263,750,553	)		(2,339,021,779	)		(1,277,796,229	)

Net addition (redemption) of (16,300,000), 7,325,329, 1,400,000 and 17,415,329 shares, respectively (Note 1)		(436,084,556	)		170,884,493			(367,548,836	)		1,095,981,848

Net investment income (loss)		(3,277,402	)		(3,975,284	)		(6,862,764	)		(12,044,833	)
Net realized gain (loss)		90,701,501			(854,526,924	)		371,681,032			(1,559,026,428	)
Change in net unrealized appreciation (depreciation)		196,735,349			244,115,248			161,734,465			(40,244,083	)

Net income (loss)		284,159,448			(614,386,960	)		526,552,733			(1,611,315,344	)

Shareholders’ equity, end of period	$	975,683,533		$	840,870,703		$	975,683,533		$	840,870,703

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	526,552,733		$	(1,611,315,344	)
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		(1,476,792,269	)		(921,859,566	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,454,556,289			956,989,987
Net amortization and accretion on short-term U.S. government and agency obligations		(252,157	)		(111,822	)
Net realized (gain) loss on investments		353,166			(20,657	)
Change in unrealized (appreciation) depreciation on investments		66,810			(15,845	)
Decrease (Increase) in receivable on open futures contracts		(225,561,488	)		3,699,493
Decrease (Increase) in interest receivable		(193,393	)		3,866
Increase (Decrease) in payable to Sponsor		126,268			(385,457	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(96,420	)		(230,052	)
Increase (Decrease) in payable on open futures contracts		(9,447,456	)		(15,175,224	)
Increase (Decrease) in securities purchased payable		—			17,072,317

Net cash provided by (used in) operating activities		269,312,083			(1,571,348,304	)

Cash flow from financing activities
Proceeds from addition of shares		1,969,293,116			2,417,278,189
Payment on shares redeemed		(2,339,021,779	)		(1,277,796,229	)

Net cash provided by (used in) financing activities		(369,728,663	)		1,139,481,960

Net increase (decrease) in cash		(100,416,580	)		(431,866,344	)
Cash, beginning of period		572,120,879			1,069,671,996

Cash, end of period	$	471,704,299		$	637,805,652

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $998,111 and $–, respectively)	$	992,969	$	—
Cash		4,110,683		2,232,820
Segregated cash balances with brokers for foreign currency forward contracts		—		225,000
Unrealized appreciation on foreign currency forward contracts		2,012		821
Interest receivable		1,364		95

Total assets		5,107,028		2,458,736

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		3,093		1,954
Unrealized depreciation on foreign currency forward contracts		79,162		93,933

Total liabilities		82,255		95,887

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		5,024,773		2,362,849

Total liabilities and shareholders’ equity	$	5,107,028	$	2,458,736

Shares outstanding		149,970		49,970

Net asset value per share	$	33.51	$	47.29

Market value per share (Note 2)	$	33.49	$	47.29

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(20% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.554% due 11/03/22 †	$	1,000,000	$	992,969

Total short-term U.S. government and agency obligations (cost $998,111)			$	992,969


Foreign Currency Forward Contracts ^	Settlement Date		Contract Amount in Local Currency			Contract Amount in U.S. Dollars			Unrealized Appreciation (Depreciation)/ Value
Contracts to Purchase
Yen with Goldman Sachs International		07/08/22		333,241,517		$	2,456,755		$	(34,398	)
Yen with UBS AG		07/08/22		1,080,855,856			7,968,387			(44,764	)

							Total Unrealized Depreciation		$	(79,162	)

Contracts to Sell
Yen with UBS AG		07/08/22		(54,170,000	)	$	(399,357	)	$	2,012

							Total Unrealized Appreciation		$	2,012

†	All or partial amount pledged as collateral for foreign currency forward contracts.

^	The positions and counterparties herein are as of June 30, 2022. 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.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Investment Income
Interest	$	3,064		$	307		$	3,937		$	663

Expenses
Management fee		8,036			6,262			13,465			12,911

Total expenses		8,036			6,262			13,465			12,911

Net investment income (loss)		(4,972	)		(5,955	)		(9,528	)		(12,248	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(761,478	)		(140,007	)		(880,249	)		(279,474	)
Short-term U.S. government and agency obligations		—			—			1,548			—

Net realized gain (loss)		(761,478	)		(140,007	)		(878,701	)		(279,474	)

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		154,501			118,748			15,962			(137,341	)
Short-term U.S. government and agency obligations		(2,316	)		(132	)		(5,142	)		(88	)

Change in net unrealized appreciation (depreciation)		152,185			118,616			10,820			(137,429	)

Net realized and unrealized gain (loss)		(609,293	)		(21,391	)		(867,881	)		(416,903	)

Net income (loss)	$	(614,265	)	$	(27,346	)	$	(877,409	)	$	(429,151	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Investment Income
Interest	$	289,299		$	18,343		$	343,206		$	29,178

Expenses
Management fee		946,110			181,035			1,438,757			402,298
Brokerage commissions		107,079			28,581			184,135			71,625
Futures account fees		85,802			17,468			155,979			65,180

Total expenses		1,138,991			227,084			1,778,871			539,103

Net investment income (loss)		(849,692	)		(208,741	)		(1,435,665	)		(509,925	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(102,594,000	)		(26,010,421	)		(209,076,101	)		(75,188,186	)

Net realized gain (loss)		(102,594,000	)		(26,010,421	)		(209,076,101	)		(75,188,186	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		34,810,301			(9,944,438	)		36,926,293			(4,307,804	)
Short-term U.S. government and agency obligations		(53,187	)		(2,994	)		(240,137	)		(784	)

Change in net unrealized appreciation (depreciation)		34,757,114			(9,947,432	)		36,686,156			(4,308,588	)

Net realized and unrealized gain (loss)		(67,836,886	)		(35,957,853	)		(172,389,945	)		(79,496,774	)

Net income (loss)	$	(68,686,578	)	$	(36,166,594	)	$	(173,825,610	)	$	(80,006,699	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	416,799,231		$	91,718,390		$	114,167,602		$	96,839,233

Addition of 12,320,000, 387,500, 27,890,000 and 777,500 shares, respectively (Note 1)		278,861,920			43,181,460			788,890,799			107,484,439
Redemption of 4,851,540, 147,734, 7,911,540 and 317,734 shares, respectively (Note 1)		(125,817,269	)		(19,333,197	)		(228,075,487	)		(44,916,914	)

Net addition (redemption) of 7,468,460, 239,766, 19,978,460 and 459,766 shares, respectively (Note 1)		153,044,651			23,848,263			560,815,312			62,567,525

Net investment income (loss)		(849,692	)		(208,741	)		(1,435,665	)		(509,925	)
Net realized gain (loss)		(102,594,000	)		(26,010,421	)		(209,076,101	)		(75,188,186	)
Change in net unrealized appreciation (depreciation)		34,757,114			(9,947,432	)		36,686,156			(4,308,588	)

Net income (loss)		(68,686,578	)		(36,166,594	)		(173,825,610	)		(80,006,699	)

Shareholders’ equity, end of period	$	501,157,304		$	79,400,059		$	501,157,304		$	79,400,059

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(173,825,610	)	$	(80,006,699	)
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		(988,742,468	)		(92,987,219	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		812,000,000			60,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(217,252	)		(9,935	)
Change in unrealized (appreciation) depreciation on investments		240,137			784
Decrease (Increase) in receivable on open futures contracts		(28,947,961	)		32,573
Decrease (Increase) in interest receivable		(98,456	)		1,820
Increase (Decrease) in payable to Sponsor		264,125			(22,244	)
Increase (Decrease) in brokerage commissions and futures account fees payable		4,674			12,516
Increase (Decrease) in payable on open futures contracts		11,507,191			242,424

Net cash provided by (used in) operating activities		(367,815,620	)		(112,735,980	)

Cash flow from financing activities
Proceeds from addition of shares		788,890,799			107,484,439
Payment on shares redeemed		(228,075,487	)		(44,916,914	)

Net cash provided by (used in) financing activities		560,815,312			62,567,525

Net increase (decrease) in cash		192,999,692			(50,168,455	)
Cash, beginning of period		54,443,553			97,113,373

Cash, end of period	$	247,443,245		$	46,944,918

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $59,954,167 and $123,855,553, respectively)	$	59,578,128	$	123,821,548
Cash		49,173,153		53,547,476
Segregated cash balances with brokers for futures contracts		61,959,000		59,453,451
Receivable on open futures contracts		73,179,660		30,090,351
Interest receivable		37,048		1,749

Total assets		243,926,989		266,914,575

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		25,091,911		15,986,002
Payable on open futures contracts		6,843,311		8,542,438
Brokerage commissions and futures account fees payable		11,280		46,867
Payable to Sponsor		157,041		194,138

Total liabilities		32,103,543		24,769,445

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		211,823,446		242,145,130

Total liabilities and shareholders’ equity	$	243,926,989	$	266,914,575

Shares outstanding (Note 1)		4,966,856		978,742

Net asset value per share (Note 1)	$	42.65	$	247.40

Market value per share (Note 1) (Note 2)	$	40.02	$	242.20

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	250,340,837		$	69,459,275		$	242,145,130		$	24,977,745

Addition of 18,700,000, 172,500, 23,340,000 and 377,500 shares, respectively (Note 1)		489,076,501			93,913,245			944,035,742			235,963,431
Redemption of 17,601,764, 35,000, 19,351,886 and 177,500 shares, respectively (Note 1)		(472,415,756	)		(21,534,398	)		(715,830,492	)		(128,378,317	)

Net addition (redemption) of 1,098,236, 137,500, 3,988,114 and 200,000 shares, respectively (Note 1)		16,660,745			72,378,847			228,205,250			107,585,114

Net investment income (loss)		(610,379	)		(313,757	)		(1,447,798	)		(574,164	)
Net realized gain (loss)		(282,646,884	)		(10,305,304	)		(397,371,192	)		(16,664,698	)
Change in net unrealized appreciation (depreciation)		228,079,127			(33,693,761	)		140,292,056			(17,798,697	)

Net income (loss)		(55,178,136	)		(44,312,822	)		(258,526,934	)		(35,037,559	)

Shareholders’ equity, end of period	$	211,823,446		$	97,525,300		$	211,823,446		$	97,525,300

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(258,526,934	)	$	(35,037,559	)
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		(346,906,626	)		(94,989,543	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		410,859,860			64,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(110,657	)		(7,481	)
Net realized (gain) loss on investments		58,809			—
Change in unrealized (appreciation) depreciation on investments		342,034			1,241
Decrease (Increase) in receivable on open futures contracts		(43,089,309	)		—
Decrease (Increase) in interest receivable		(35,299	)		(1,297	)
Increase (Decrease) in payable to Sponsor		(37,097	)		43,211
Increase (Decrease) in brokerage commissions and futures account fees payable		(35,587	)		9,927
Increase (Decrease) in payable on open futures contracts		(1,699,127	)		469,496

Net cash provided by (used in) operating activities		(239,179,933	)		(65,512,005	)

Cash flow from financing activities
Proceeds from addition of shares		944,035,742			235,963,431
Payment on shares redeemed		(706,724,583	)		(130,982,494	)

Net cash provided by (used in) financing activities		237,311,159			104,980,937

Net increase (decrease) in cash		(1,868,774	)		39,468,932
Cash, beginning of period		113,000,927			19,147,382

Cash, end of period	$	111,132,153		$	58,616,314

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $19,986,920 and $46,968,288, respectively)	$	19,885,112	$	46,961,125
Cash		39,223,441		7,554,065
Unrealized appreciation on foreign currency forward contracts		3,382,293		135,118
Interest receivable		17,859		603

Total assets		62,508,705		54,650,911

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		51,398		44,707
Unrealized depreciation on foreign currency forward contracts		187,210		343,159

Total liabilities		238,608		387,866

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		62,270,097		54,263,045

Total liabilities and shareholders’ equity	$	62,508,705	$	54,650,911

Shares outstanding		2,050,000		2,100,000

Net asset value per share	$	30.38	$	25.84

Market value per share (Note 2)	$	30.41	$	25.86

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(32% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.393% due 07/21/22 †	$	4,000,000	$	3,997,611
0.223% due 11/03/22 †		16,000,000		15,887,501

Total short-term U.S. government and agency obligations (cost $19,986,920)			$	19,885,112

Foreign Currency Forward Contracts


	Settlement Date		Contract Amount in Local Currency			Contract Amount in U.S. Dollars			Unrealized Appreciation (Depreciation)/ Value
Contracts to Purchase
Euro with Goldman Sachs International		07/08/22		12,080,000		$	12,659,194		$	(101,019	)
Euro with UBS AG		07/08/22		12,060,000			12,638,235			(86,191	)

							Total Unrealized Depreciation		$	(187,210	)

Contracts to Sell
Euro with Goldman Sachs International		07/08/22		(51,635,263	)	$	(54,110,993	)	$	1,346,162
Euro with UBS AG		07/08/22		(91,489,199	)		(95,875,786	)		2,036,131

							Total Unrealized Appreciation		$	3,382,293

†	All or partial amount pledged as collateral for foreign currency forward contracts.

^	The positions and counterparties herein are as of June 30, 2022. 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.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Investment Income
Interest	$	39,011		$	5,640		$	54,416		$	12,806

Expenses
Management fee		146,934			114,680			264,390			238,718

Total expenses		146,934			114,680			264,390			238,718

Net investment income (loss)		(107,923	)		(109,040	)		(209,974	)		(225,912	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		3,065,129			(795,757	)		5,607,263			(725,230	)
Short-term U.S. government and agency obligations		—			—			210,974			—

Net realized gain (loss)		3,065,129			(795,757	)		5,818,237			(725,230	)

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		3,061,048			(509,443	)		3,403,124			3,881,954
Short-term U.S. government and agency obligations		(21,310	)		(1,727	)		(94,645	)		(887	)

Change in net unrealized appreciation (depreciation)		3,039,738			(511,170	)		3,308,479			3,881,067

Net realized and unrealized gain (loss)		6,104,867			(1,306,927	)		9,126,716			3,155,837

Net income (loss)	$	5,996,944		$	(1,415,967	)	$	8,916,742		$	2,929,925

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	50,498,084		$	54,932,137		$	54,263,045		$	52,953,339

Addition of 500,000, –, 550,000 and 200,000 shares, respectively		14,656,401			—			16,028,063			4,613,244
Redemption of 300,000, 200,000, 600,000 and 500,000 shares, respectively		(8,881,332	)		(4,695,730	)		(16,937,753	)		(11,676,068	)

Net addition (redemption) of 200,000, (200,000), (50,000) and (300,000) shares, respectively		5,775,069			(4,695,730	)		(909,690	)		(7,062,824	)

Net investment income (loss)		(107,923	)		(109,040	)		(209,974	)		(225,912	)
Net realized gain (loss)		3,065,129			(795,757	)		5,818,237			(725,230	)
Change in net unrealized appreciation (depreciation)		3,039,738			(511,170	)		3,308,479			3,881,067

Net income (loss)		5,996,944			(1,415,967	)		8,916,742			2,929,925

Shareholders’ equity, end of period	$	62,270,097		$	48,820,440		$	62,270,097		$	48,820,440

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	8,916,742		$	2,929,925
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		(44,986,222	)		(69,991,234	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		72,210,974			52,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(32,410	)		(6,372	)
Net realized (gain) loss on investments		(210,974	)		—
Change in unrealized (appreciation) depreciation on investments		(3,308,479	)		(3,881,067	)
Decrease (Increase) in interest receivable		(17,256	)		970
Increase (Decrease) in payable to Sponsor		6,691			(7,018	)

Net cash provided by (used in) operating activities		32,579,066			(18,954,796	)

Cash flow from financing activities
Proceeds from addition of shares		16,028,063			4,613,244
Payment on shares redeemed		(16,937,753	)		(11,676,068	)

Net cash provided by (used in) financing activities		(909,690	)		(7,062,824	)

Net increase (decrease) in cash		31,669,376			(26,017,620	)
Cash, beginning of period		7,554,065			44,132,228

Cash, end of period	$	39,223,441		$	18,114,608

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $13,992,602 and $25,984,097, respectively)	$	13,940,167	$	25,980,516
Cash		17,059,170		1,287,229
Segregated cash balances with brokers for futures contracts		1,338,300		703,125
Unrealized appreciation on swap agreements		720,984		—
Receivable from capital shares sold		1,579,684		—
Receivable on open futures contracts		5,100		—
Interest receivable		6,819		434

Total assets		34,650,224		27,971,304

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		14,954		92,537
Brokerage commissions and futures account fees payable		—		294
Payable to Sponsor		23,986		25,512
Unrealized depreciation on swap agreements		—		993,117

Total liabilities		38,940		1,111,460

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		34,611,284		26,859,844

Total liabilities and shareholders’ equity	$	34,650,224	$	27,971,304

Shares outstanding		1,096,977		846,977

Net asset value per share	$	31.55	$	31.71

Market value per share (Note 2)	$	31.59	$	31.66

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(40% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.393% due 07/21/22 †	$	6,000,000	$	5,996,417
0.223% due 11/03/22 †		8,000,000		7,943,750

Total short-term U.S. government and agency obligations
(cost $13,992,602)			$	13,940,167

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Gold Futures - COMEX, expires August 2022		184	$	33,254,320	$	811,562

Total Return Swap Agreements


	Rate Paid (Received) *			Termination Date		Notional Amount at Value **			Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex		0.25	%		07/06/22	$	(14,809,140	)	$	295,777
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex		0.20			07/06/22		(9,688,247	)		193,824
Swap agreement with UBS AG based on Bloomberg Gold Subindex		0.25			07/06/22		(11,585,084	)		231,383

							Total Unrealized Appreciation		$	720,984

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of June 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of June 30, 2022, 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.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Investment Income
Interest	$	19,975		$	3,176		$	29,660		$	6,138

Expenses
Management fee		75,676			69,968			141,814			133,695
Brokerage commissions		2,985			2,283			5,796			5,873
Futures account fees		580			1,802			2,446			6,488

Total expenses		79,241			74,053			150,056			146,056

Net investment income (loss)		(59,266	)		(70,877	)		(120,396	)		(139,918	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		1,310,720			(2,050,237	)		(680,529	)		(715,255	)
Swap agreements		3,247,150			(4,934,310	)		(1,070,274	)		(2,266,102	)
Short-term U.S. government and agency obligations		—			—			4			169

Net realized gain (loss)		4,557,870			(6,984,547	)		(1,750,799	)		(2,981,188	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		485,575			546,794			653,483			782,869
Swap agreements		(187,339	)		3,260,286			1,714,101			2,843,547
Short-term U.S. government and agency obligations		(8,285	)		(1,027	)		(48,854	)		(216	)

Change in net unrealized appreciation (depreciation)		289,951			3,806,053			2,318,730			3,626,200

Net realized and unrealized gain (loss)		4,847,821			(3,178,494	)		567,931			645,012

Net income (loss)	$	4,788,555		$	(3,249,371	)	$	447,535		$	505,094

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	32,598,451		$	41,243,515		$	26,859,844		$	20,337,376

Addition of 700,000, 300,000, 1,150,000 and 1,050,000 shares, respectively		20,554,617			10,071,690			33,744,566			37,362,906
Redemption of 800,000, 450,000, 900,000 and 750,000 shares, respectively		(23,330,339	)		(15,230,820	)		(26,440,661	)		(25,370,362	)

Net addition (redemption) of (100,000), (150,000), 250,000 and 300,000 shares, respectively		(2,775,722	)		(5,159,130	)		7,303,905			11,992,544

Net investment income (loss)		(59,266	)		(70,877	)		(120,396	)		(139,918	)

Net realized gain (loss)		4,557,870			(6,984,547	)		(1,750,799	)		(2,981,188	)
Change in net unrealized appreciation (depreciation)		289,951			3,806,053			2,318,730			3,626,200

Net income (loss)		4,788,555			(3,249,371	)		447,535			505,094

Shareholders’ equity, end of period	$	34,611,284		$	32,835,014		$	34,611,284		$	32,835,014

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	447,535		$	505,094
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		(17,987,491	)		(30,995,460	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		29,999,990			18,999,936
Net amortization and accretion on short-term U.S. government and agency obligations		(21,000	)		(2,843	)
Net realized (gain) loss on investments		(4	)		(169	)
Change in unrealized (appreciation) depreciation on investments		(1,665,247	)		(2,843,331	)
Decrease (Increase) in receivable on open futures contracts		(5,100	)		1,317
Decrease (Increase) in interest receivable		(6,385	)		89
Increase (Decrease) in payable to Sponsor		(1,526	)		4,798
Increase (Decrease) in brokerage commissions and futures account fees payable		(294	)		406
Increase (Decrease) in payable on open futures contracts		(77,583	)		81,805

Net cash provided by (used in) operating activities		10,682,895			(14,248,358	)

Cash flow from financing activities
Proceeds from addition of shares		32,164,882			37,362,906
Payment on shares redeemed		(26,440,661	)		(25,370,362	)

Net cash provided by (used in) financing activities		5,724,221			11,992,544

Net increase (decrease) in cash		16,407,116			(2,255,814	)
Cash, beginning of period		1,990,354			20,633,371

Cash, end of period	$	18,397,470		$	18,377,557

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $12,996,113 and $22,995,121, respectively)	$	12,979,368	$	22,994,261
Cash		12,637,173		1,829,901
Segregated cash balances with brokers for futures contracts		3,798,437		1,081,575
Segregated cash balances with brokers for swap agreements		—		2,572,000
Unrealized appreciation on swap agreements		1,873,038		—
Receivable from capital shares sold		1,587,633		—
Receivable on open futures contracts		191,494		15,446
Interest receivable		5,185		378

Total assets		33,072,328		28,493,561

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		5,840
Brokerage commissions and futures account fees payable		—		747
Payable to Sponsor		19,488		28,560
Unrealized depreciation on swap agreements		—		1,921,414

Total liabilities		19,488		1,956,561

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		33,052,840		26,537,000

Total liabilities and shareholders’ equity	$	33,072,328	$	28,493,561

Shares outstanding (Note 1)		1,041,329		991,329

Net asset value per share (Note 1)	$	31.74	$	26.77

Market value per share (Note 1) (Note 2)	$	32.19	$	26.84

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(39% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.393% due 07/21/22 †	$	11,000,000	$	10,993,430
0.223% due 11/03/22 †		2,000,000		1,985,938

Total short-term U.S. government and agency obligations (cost $12,996,113)			$	12,979,368

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
Silver Futures - COMEX, expires September 2022		445	$	45,283,200	$	2,516,890

Total Return Swap Agreements


	Rate Paid (Received) *			Termination Date		Notional Amount at Value **			Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex		0.25	%		07/06/22	$	(2,464,774	)	$	221,841
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex		0.25			07/06/22		(8,978,838	)		808,139
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex		0.30			07/06/22		(7,099,463	)		638,732
Swap agreement with UBS AG based on Bloomberg Silver Subindex		0.25			07/06/22		(2,270,181	)		204,326

							Total Unrealized Appreciation		$	1,873,038

†	All or partial amount pledged as collateral for swap agreements.

^	The positions and counterparties herein are as of June 30, 2022. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of June 30, 2022, 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.

Table of Contents

ROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Investment Income
Interest	$	18,743		$	2,678		$	27,663		$	5,795

Expenses
Management fee		62,381			72,831			123,334			157,576
Brokerage commissions		6,677			3,824			11,978			11,268
Futures account fees		1,169			4,207			4,443			14,198

Total expenses		70,227			80,862			139,755			183,042

Net investment income (loss)		(51,484	)		(78,184	)		(112,092	)		(177,247	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		5,944,050			(216,957	)		4,650,280			(1,453,150	)
Swap agreements		3,467,182			(5,659,499	)		(2,612,794	)		(7,355,657	)
Short-term U.S. government and agency obligations		—			—			(190	)		85

Net realized gain (loss)		9,411,232			(5,876,456	)		2,037,296			(8,808,722	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		2,249,743			(3,005,003	)		1,864,397			491,967
Swap agreements		1,599,944			2,081,517			3,794,452			6,050,311
Short-term U.S. government and agency obligations		3,625			(1,834	)		(15,885	)		(1,087	)

Change in net unrealized appreciation (depreciation)		3,853,312			(925,320	)		5,642,964			6,541,191

Net realized and unrealized gain (loss)		13,264,544			(6,801,776	)		7,680,260			(2,267,531	)

Net income (loss)	$	13,213,060		$	(6,879,960	)	$	7,568,168		$	(2,444,778	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	23,406,516		$	45,144,664		$	26,537,000		$	28,885,775

Addition of 700,000, 300,000, 1,800,000 and 2,750,000 shares, respectively (Note 1)		17,707,417			7,086,666			43,267,561			65,182,313
Redemption of 750,000, 425,415, 1,750,000 and 2,300,415 shares, respectively (Note 1)		(21,274,153	)		(10,491,607	)		(44,319,889	)		(56,763,547	)

Net addition (redemption) of (50,000), (125,415), 50,000 and 449,585 shares, respectively (Note 1)		(3,566,736	)		(3,404,941	)		(1,052,328	)		8,418,766

Net investment income (loss)		(51,484	)		(78,184	)		(112,092	)		(177,247	)
Net realized gain (loss)		9,411,232			(5,876,456	)		2,037,296			(8,808,722	)
Change in net unrealized appreciation (depreciation)		3,853,312			(925,320	)		5,642,964			6,541,191

Net income (loss)		13,213,060			(6,879,960	)		7,568,168			(2,444,778	)

Shareholders’ equity, end of period	$	33,052,840		$	34,859,763		$	33,052,840		$	34,859,763

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	7,568,168		$	(2,444,778	)
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		(20,979,051	)		(39,995,436	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		30,999,081			22,999,988
Net amortization and accretion on short-term U.S. government and agency obligations		(21,212	)		(3,358	)
Net realized (gain) loss on investments		190			(85	)
Change in unrealized (appreciation) depreciation on investments		(3,778,567	)		(6,049,224	)
Decrease (Increase) in receivable on open futures contracts		(176,048	)		38,813
Decrease (Increase) in interest receivable		(4,807	)		304
Increase (Decrease) in payable to Sponsor		(9,072	)		(3,427	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(747	)		620
Increase (Decrease) in payable on open futures contracts		(5,840	)		(80,422	)

Net cash provided by (used in) operating activities		13,592,095			(25,537,005	)

Cash flow from financing activities
Proceeds from addition of shares		41,679,928			65,182,313
Payment on shares redeemed		(44,319,889	)		(56,763,547	)

Net cash provided by (used in) financing activities		(2,639,961	)		8,418,766

Net increase (decrease) in cash		10,952,134			(17,118,239	)
Cash, beginning of period		5,483,476			32,155,049

Cash, end of period	$	16,435,610		$	15,036,810

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $10,994,894 and $20,990,068, respectively)	$	10,961,261	$	20,987,825
Cash		33,655,143		3,003,251
Unrealized appreciation on foreign currency forward contracts		1,127,711		1,237,168
Interest receivable		12,600		339

Total assets		45,756,715		25,228,583

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		31,627		20,211
Unrealized depreciation on foreign currency forward contracts		156,206		367,588

Total liabilities		187,833		387,799

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		45,568,882		24,840,784

Total liabilities and shareholders’ equity	$	45,756,715	$	25,228,583

Shares outstanding (Note 1 )		798,580		598,580

Net asset value per share (Note 1 )	$	57.06	$	41.50

Market value per share (Note 1) (Note 2 )	$	57.13	$	41.50

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(24% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.393% due 07/21/22 †	$	6,000,000	$	5,996,417
0.223% due 11/03/22 †		5,000,000		4,964,844

Total short-term U.S. government and agency obligations (cost $10,994,894)			$	10,961,261

Foreign Currency Forward Contracts


	Settlement Date		Contract Amount in Local Currency			Contract Amount in U.S. Dollars			Unrealized Appreciation (Depreciation)/ Value
Contracts to Purchase
Yen with UBS AG		07/08/22		1,505,180,000		$	11,096,632		$	(156,206	)

							Total Unrealized Depreciation		$	(156,206	)

Contracts to Sell
Yen with Goldman Sachs International		07/08/22		(1,658,463,165	)	$	(12,226,680	)	$	164,849
Yen with UBS AG		07/08/22		(12,207,008,574	)		(89,993,668	)		962,862

							Total Unrealized Appreciation		$	1,127,711

†	All or partial amount pledged as collateral for foreign currency forward contracts.

^	The positions and counterparties herein are as of June 30, 2022. 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.

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Investment Income
Interest	$	26,913		$	3,570		$	36,312		$	7,166

Expenses
Management fee		93,181			72,446			153,001			138,999

Total expenses		93,181			72,446			153,001			138,999

Net investment income (loss)		(66,268	)		(68,876	)		(116,689	)		(131,833	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		7,917,170			1,598,086			8,997,343			2,857,659
Short-term U.S. government and agency obligations		—			—			102,971			—

Net realized gain (loss)		7,917,170			1,598,086			9,100,314			2,857,659

Change in net unrealized appreciation (depreciation) on
Foreign currency forward contracts		(1,364,477	)		(1,644,087	)		101,925			1,256,801
Short-term U.S. government and agency obligations		(3,452	)		(1,390	)		(31,390	)		(536	)

Change in net unrealized appreciation (depreciation)		(1,367,929	)		(1,645,477	)		70,535			1,256,265

Net realized and unrealized gain (loss)		6,549,241			(47,391	)		9,170,849			4,113,924

Net income (loss)	$	6,482,973		$	(116,267	)	$	9,054,160		$	3,982,091

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	27,726,701		$	34,921,840		$	24,840,784		$	23,691,070

Addition of 650,000, –, 850,000 and 200,000 shares, respectively (Note 1)		34,515,397			—			44,120,719			7,132,412
Redemption of 450,000, 200,000, 650,000 and 200,000 shares, respectively (Note 1)		(23,156,189	)		(7,573,825	)		(32,446,781	)		(7,573,825	)

Net addition (redemption) of 200,000, (200,000), 200,000 and – shares, respectively (Note 1)		11,359,208			(7,573,825	)		11,673,938			(441,413	)

Net investment income (loss)		(66,268	)		(68,876	)		(116,689	)		(131,833	)
Net realized gain (loss)		7,917,170			1,598,086			9,100,314			2,857,659
Change in net unrealized appreciation (depreciation)		(1,367,929	)		(1,645,477	)		70,535			1,256,265

Net income (loss)		6,482,973			(116,267	)		9,054,160			3,982,091

Shareholders’ equity, end of period	$	45,568,882		$	27,231,748		$	45,568,882		$	27,231,748

See accompanying notes to financial statements.

Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	9,054,160		$	3,982,091
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		(17,984,733	)		(33,495,479	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		28,102,971			21,500,000
Net amortization and accretion on short-term U.S. government and agency obligations		(20,093	)		(3,456	)
Net realized (gain) loss on investments		(102,971	)		—
Change in unrealized (appreciation) depreciation on investments		(70,535	)		(1,256,265	)
Decrease (Increase) in interest receivable		(12,261	)		184
Increase (Decrease) in payable to Sponsor		11,416			1,932

Net cash provided by (used in) operating activities		18,977,954			(9,270,993	)

Cash flow from financing activities
Proceeds from addition of shares		44,120,719			7,132,412
Payment on shares redeemed		(32,446,781	)		(7,573,825	)

Net cash provided by (used in) financing activities		11,673,938			(441,413	)

Net increase (decrease) in cash		30,651,892			(9,712,406	)
Cash, beginning of period		3,003,251			24,274,564

Cash, end of period	$	33,655,143		$	14,562,158

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Investment Income
Interest	$	52,826		$	8,349		$	76,749		$	18,573

Expenses
Management fee		210,584			187,266			426,247			365,346
Brokerage commissions		15,500			16,096			40,369			27,408
Futures account fees		10,906			32,131			46,394			57,763

Total expenses		236,990			235,493			513,010			450,517

Net investment income (loss)		(184,164	)		(227,144	)		(436,261	)		(431,944	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		7,862,052			(14,405,542	)		12,653,885			(10,866,226	)
Short-term U.S. government and agency obligations		—			—			(336	)		—

Net realized gain (loss)		7,862,052			(14,405,542	)		12,653,549			(10,866,226	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		4,040,230			3,575,301			3,705,055			(4,701,371	)
Short-term U.S. government and agency obligations		(47,560	)		(3,271	)		(186,220	)		(2,121	)

Change in net unrealized appreciation (depreciation)		3,992,670			3,572,030			3,518,835			(4,703,492	)

Net realized and unrealized gain (loss)		11,854,722			(10,833,512	)		16,172,384			(15,569,718	)

Net income (loss)	$	11,670,558		$	(11,060,656	)	$	15,736,123		$	(16,001,662	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	97,869,914		$	75,122,747		$	112,875,680		$	72,075,095

Addition of 300,000, 1,025,000, 1,000,000 and 1,425,000 shares, respectively		10,043,451			33,730,245			32,179,053			49,610,239
Redemption of 700,000, 150,000, 1,975,000 and 350,000 shares, respectively		(23,862,652	)		(5,129,602	)		(65,069,585	)		(13,020,938	)

Net addition (redemption) of (400,000), 875,000, (975,000) and 1,075,000 shares, respectively		(13,819,201	)		28,600,643			(32,890,532	)		36,589,301

Net investment income (loss)		(184,164	)		(227,144	)		(436,261	)		(431,944	)
Net realized gain (loss)		7,862,052			(14,405,542	)		12,653,549			(10,866,226	)
Change in net unrealized appreciation (depreciation)		3,992,670			3,572,030			3,518,835			(4,703,492	)

Net income (loss)		11,670,558			(11,060,656	)		15,736,123			(16,001,662	)

Shareholders’ equity, end of period	$	95,721,271		$	92,662,734		$	95,721,271		$	92,662,734

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	15,736,123		$	(16,001,662	)
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		(51,992,010	)		(72,990,517	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		105,998,548			93,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(45,127	)		(8,188	)
Net realized (gain) loss on investments		336			—
Change in unrealized (appreciation) depreciation on investments		186,220			2,121
Decrease (Increase) in receivable on open futures contracts		(752,378	)		136,487
Decrease (Increase) in interest receivable		(21,835	)		(1,364	)
Increase (Decrease) in payable to Sponsor		(20,792	)		7,645
Increase (Decrease) in brokerage commissions and futures account fees payable		(7,124	)		2,100
Increase (Decrease) in payable on open futures contracts		(94,495	)		102,601

Net cash provided by (used in) operating activities		68,987,466			4,249,223

Cash flow from financing activities
Proceeds from addition of shares		32,179,053			48,084,371
Payment on shares redeemed		(65,069,585	)		(13,936,725	)

Net cash provided by (used in) financing activities		(32,890,532	)		34,147,646

Net increase (decrease) in cash		36,096,934			38,396,869
Cash, beginning of period		27,071,819			27,802,834

Cash, end of period	$	63,168,753		$	66,199,703

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $169,905,842 and $150,887,871, respectively)	$	169,526,219	$	150,861,898
Cash		36,024,677		11,013,736
Segregated cash balances with brokers for futures contracts		97,881,220		104,947,080
Receivable from capital shares sold		—		3,026,614
Receivable on open futures contracts		38,448,080		2,115,232
Interest receivable		72,133		1,774

Total assets		341,952,329		271,966,334

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		2,037,391
Brokerage commissions and futures account fees payable		18,674		38,926
Payable to Sponsor		219,339		186,853

Total liabilities		238,013		2,263,170

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		341,714,316		269,703,164

Total liabilities and shareholders’ equity	$	341,952,329	$	271,966,334

Shares outstanding (Note 1)		18,757,826		17,832,826

Net asset value per share (Note 1)	$	18.22	$	15.12

Market value per share (Note 1) (Note 2)	$	18.25	$	15.17

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2022

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(50% of shareholders’ equity)
U.S. Treasury Bills ^^ :
0.967% due 07/14/22	$	25,000,000	$	24,989,618
0.894% due 07/21/22		62,000,000		61,962,973
0.674% due 07/28/22		25,000,000		24,981,438
0.223% due 11/03/22		58,000,000		57,592,190

Total short-term U.S. government and agency obligations (cost $169,905,842)			$	169,526,219

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires July 2022		6,185	$	176,657,825	$	5,185,782
VIX Futures - Cboe, expires August 2022		5,672		165,494,213		(1,810,355	)

					$	3,375,427

^^	Rates shown represent discount rate at the time of purchase.

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Investment Income
Interest	$	207,903		$	40,988		$	278,612		$	79,448

Expenses
Management fee		773,717			669,363			1,479,408			1,494,823
Brokerage commissions		171,182			94,839			287,656			267,497
Futures account fees		115,783			174,368			316,440			439,514

Total expenses		1,060,682			938,570			2,083,504			2,201,834

Net investment income (loss)		(852,779	)		(897,582	)		(1,804,892	)		(2,122,386	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		23,659,182			(175,846,641	)		77,393,309			(252,481,234	)
Short-term U.S. government and agency obligations		(397	)		—			(300	)		—

Net realized gain (loss)		23,658,785			(175,846,641	)		77,393,009			(252,481,234	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		46,680,364			39,005,837			33,506,046			(14,433,077	)
Short-term U.S. government and agency obligations		(79,587	)		(13,490	)		(353,650	)		(5,430	)

Change in net unrealized appreciation (depreciation)		46,600,777			38,992,347			33,152,396			(14,438,507	)

Net realized and unrealized gain (loss)		70,259,562			(136,854,294	)		110,545,405			(266,919,741	)

Net income (loss)	$	69,406,783		$	(137,751,876	)	$	108,740,513		$	(269,042,127	)

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	404,950,400		$	349,578,758		$	269,703,164		$	293,390,549
Addition of 8,175,000, 3,925,000, 18,125,000 and 10,256,250 shares, respectively (Note 1)		141,195,554			124,484,014			302,368,469			451,376,724
Redemption of 13,800,000, 1,992,503, 17,200,000 and 4,280,003 shares, respectively (Note 1)		(273,838,421	)		(63,958,221	)		(339,097,830	)		(203,372,471	)

Net addition (redemption) of (5,625,000), 1,932,497, 925,000 and 5,976,247 shares, respectively (Note 1)		(132,642,867	)		60,525,793			(36,729,361	)		248,004,253

Net investment income (loss)		(852,779	)		(897,582	)		(1,804,892	)		(2,122,386	)
Net realized gain (loss)		23,658,785			(175,846,641	)		77,393,009			(252,481,234	)
Change in net unrealized appreciation (depreciation)		46,600,777			38,992,347			33,152,396			(14,438,507	)

Net income (loss)		69,406,783			(137,751,876	)		108,740,513			(269,042,127	)

Shareholders’ equity, end of period	$	341,714,316		$	272,352,675		$	341,714,316		$	272,352,675

See accompanying notes to financial statements.

Table of Contents

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	108,740,513		$	(269,042,127	)
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		(772,834,858	)		(330,954,205	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		753,998,870			308,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(182,283	)		(43,465	)
Net realized (gain) loss on investments		300			—
Change in unrealized (appreciation) depreciation on investments		353,650			5,430
Decrease (Increase) in receivable on open futures contracts		(36,332,848	)		317,767
Decrease (Increase) in interest receivable		(70,359	)		1,122
Increase (Decrease) in payable to Sponsor		32,486			(12,148	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(20,252	)		(15,157	)
Increase (Decrease) in payable on open futures contracts		(2,037,391	)		2,355,834

Net cash provided by (used in) operating activities		51,647,828			(289,386,949	)

Cash flow from financing activities
Proceeds from addition of shares		305,395,083			451,376,724
Payment on shares redeemed		(339,097,830	)		(203,372,471	)

Net cash provided by (used in) financing activities		(33,702,747	)		248,004,253

Net increase (decrease) in cash		17,945,081			(41,382,696	)
Cash, beginning of period		115,960,816			206,562,147

Cash, end of period	$	133,905,897		$	165,179,451

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION


	June 30, 2022 (unaudited)		December 31, 2021
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $2,087,271,449 and $2,505,722,885, respectively)	$	2,082,952,015	$	2,505,429,337
Cash		952,775,804		394,413,910
Segregated cash balances with brokers for futures contracts		1,005,152,221		1,010,799,328
Segregated cash balances with brokers for foreign currency forward contracts		—		916,000
Segregated cash balances with brokers for swap agreements		318,701,000		2,572,000
Unrealized appreciation on swap agreements		2,594,022		113,159,180
Unrealized appreciation on foreign currency forward contracts		4,529,655		1,457,257
Receivable from capital shares sold		26,374,095		23,475,355
Receivable on open futures contracts		524,152,606		205,819,074
Interest receivable		895,067		22,943

Total assets		4,918,126,485		4,258,064,384

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		53,985,665		25,594,902
Payable on open futures contracts		76,965,857		51,142,167
Brokerage commissions and futures account fees payable		145,235		476,241
Payable to Sponsor		3,736,397		3,178,585
Unrealized depreciation on swap agreements		219,150,943		3,391,968
Unrealized depreciation on foreign currency forward contracts		772,612		806,178

Total liabilities		354,756,709		84,590,041

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		4,563,369,776		4,173,474,343

Total liabilities and shareholders’ equity	$	4,918,126,485	$	4,258,064,384

Shares outstanding (Note 1)		178,619,037		151,164,114

See accompanying notes to financial statements.

Table of Contents

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS*

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Investment Income
Interest	$	3,593,473		$	536,552		$	4,620,355		$	1,086,294
Expenses
Management fee		11,608,051			10,325,523			22,225,008			22,494,533
Brokerage commissions		1,894,153			1,992,098			3,802,918			4,895,898
Futures account fees		1,030,206			1,696,496			2,835,129			4,549,900

Total expenses		14,532,410			14,014,117			28,863,055			31,940,331

Net investment income (loss)		(10,938,937	)		(13,477,565	)		(24,242,700	)		(30,854,037	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		101,692,223			(653,015,480	)		510,140,998			(1,187,149,284	)
Swap agreements		(48,816,783	)		155,633,013			656,366,206			211,397,494
Options		—			—			—			—
Foreign currency forward contracts		9,774,456			757,734			12,836,962			1,921,025
Short-term U.S. government and agency obligations		(420,375	)		2,137			(192,800	)		21,898

Net realized gain (loss)		62,229,521			(496,622,596	)		1,179,151,366			(973,808,867	)

Change in net unrealized appreciation (depreciation) on
Futures contracts		10,131,053			328,994,435			62,770,119			71,883,297
Swap agreements		(57,491,778	)		8,316,702			(326,324,133	)		(131,251,444	)
Foreign currency forward contracts		1,568,995			(2,047,874	)		3,105,964			4,677,182
Short-term U.S. government and agency obligations		(768,379	)		(233,144	)		(4,025,886	)		(126,859	)

Change in net unrealized appreciation (depreciation)		(46,560,109	)		335,030,119			(264,473,936	)		(54,817,824	)

Net realized and unrealized gain (loss)		15,669,412			(161,592,477	)		914,677,430			(1,028,626,691	)

Net income (loss)	$	4,730,475		$	(175,070,042	)	$	890,434,730		$	(1,059,480,728	)

*	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.

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PROSHARES TRUST II

COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY*

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	5,338,066,570		$	4,534,203,653		$	4,173,474,343		$	4,474,251,414

Addition of 111,695,000, 25,865,000, 244,305,000 and 74,621,250 shares, respectively (Note 1)		2,545,986,476			913,598,315			5,628,786,761			3,948,096,111
Redemption of 134,203,304, 33,480,323, 245,538,426 and 87,095,323 shares, respectively (Note 1)		(3,325,413,745	)		(867,885,062	)		(6,129,326,058	)		(2,958,019,933	)

Net addition (redemption) of (22,508,304), (7,615,323), (1,233,426) and (12,474,073) shares, respectively (Note 1)		(779,427,269	)		45,713,253			(500,539,297	)		990,076,178

Net investment income (loss)		(10,938,937	)		(13,477,565	)		(24,242,700	)		(30,854,037	)
Net realized gain (loss)		62,229,521			(496,622,596	)		1,179,151,366			(973,808,867	)
Change in net unrealized appreciation (depreciation)		(46,560,109	)		335,030,119			(264,473,936	)		(54,817,824	)

Net income (loss)		4,730,475			(175,070,042	)		890,434,730			(1,059,480,728	)

Shareholders’ equity, end of period	$	4,563,369,776		$	4,404,846,864		$	4,563,369,776		$	4,404,846,864

*	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.

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PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS*

(unaudited)


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	890,434,730		$	(1,059,480,728	)
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		(11,579,158,324	)		(5,451,274,846	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		12,000,836,596			4,024,989,152
Net amortization and accretion on short-term U.S. government and agency obligations		(3,419,714	)		(563,137	)
Net realized (gain) loss on investments		192,879			(21,898	)
Change in unrealized (appreciation) depreciation on investments		327,244,055			126,701,121
Decrease (Increase) in receivable on futures contracts		(318,333,532	)		964,203
Decrease (Increase) in interest receivable		(872,124	)		(19,482	)
Increase (Decrease) in payable to Sponsor		557,811			(104,518	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(331,006	)		(154,311	)
Increase (Decrease) in payable on futures contracts		25,823,690			(9,525,111	)
Increase (Decrease) in securities purchased payable		—			167,040,817

Net cash provided by (used in) operating activities		1,342,975,061			(2,201,448,738	)

Cash flow from financing activities
Proceeds from addition of shares		5,625,888,021			3,970,199,298
Payment on shares redeemed		(6,100,935,295	)		(2,975,566,551	)

Net cash provided by (used in) financing activities		(475,047,274	)		994,632,747

Net increase (decrease) in cash		867,927,787			(1,206,815,991	)
Cash, beginning of period		1,408,701,238			3,256,463,457

Cash, end of period	$	2,276,629,025		$	2,049,647,466

*	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.

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

June 30, 2022

(unaudited)

NOTE 1—ORGANIZATION

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of June 30, 2022, 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 Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

Each “Short” Fund seeks daily investment results, before fees and expenses, that correspond to either one-half the inverse (-0.5x) or the inverse (-1x) 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, -1x, -2x, 1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly.

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Share Splits and Reverse Share Splits

The table below includes reverse Share splits for the Funds during the six months June 30, 2022, and during the year ended December 31, 2021. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.


	Execution Date		Date Trading
	(Prior to Opening		Resumed at Post-
Fund	of Trading)	Type of Split	Split Price
ProShares Ultra VIX Short-Term Futures ETF	May 25, 2021	1-for-10 reverse Share split	May 26, 2021
ProShares UltraShort Bloomberg Crude Oil	May 25, 2021	1-for-4 reverse Share split	May 26, 2021
ProShares UltraShort Silver	May 25, 2021	1-for-4 reverse Share split	May 26, 2021
ProShares VIX Short-Term Futures ETF	May 25, 2021	1-for-4 reverse Share split	May 26, 2021
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

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”).

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2021, as filed with the SEC on February 25, 2022.

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.

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Basis of Presentation

Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund.

Statements of Cash Flows

The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated June 30, 2022 and 2021, 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 six months ended June 30, 2022 were typically as follows. All times are Eastern Standard Time:


	Create/Redeem	NAV Calculation	NAV
Fund	Cut-off*	Time	Calculation Date
Ultra Silver and UltraShort Silver	1:00 p.m.	1:25 p.m.	June 30, 2022

Ultra Gold and UltraShort Gold	1:00 p.m.	1:30 p.m.	June 30, 2022

Ultra Bloomberg Crude Oil,
Ultra Bloomberg Natural Gas,
UltraShort Bloomberg Crude Oil and
UltraShort Bloomberg Natural Gas	2:00 p.m.	2:30 p.m.	June 30, 2022

Ultra Euro,
Ultra Yen,
UltraShort Euro and
UltraShort Yen	3:00 p.m.	4:00 p.m.	June 30, 2022

Short VIX Short-Term Futures ETF,
Ultra VIX Short-Term Futures ETF,
VIX Mid-Term Futures ETF and
VIX Short-Term Futures ETF	2:00 p.m.	4:00 p.m.	June 30, 2022

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*	Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the six months ended June 30, 2022.

Market value per Share is determined at the close of the applicable primary listing exchange and may be from when the Funds’ NAV per Share is calculated.

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the six months ended June 30, 2022.

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.

Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

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).

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Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.

In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.

Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.

The following table summarizes the valuation of investments at June 30, 2022 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	$	151,418,355	$	1,517,614		$	—		$	—		$	152,935,969
ProShares Ultra Bloomberg Crude Oil		526,423,284		58,454,799			—			(152,287,155	)		432,590,928
ProShares Ultra Bloomberg Natural Gas		105,739,904		(194,426,957	)		—			—			(88,687,053	)
ProShares Ultra Euro		4,690,703		—			(332,395	)		—			4,358,308
ProShares Ultra Gold		208,696,447		(3,932,509	)		—			(6,451,858	)		198,312,080
ProShares Ultra Silver		290,458,173		(4,317,941	)		—			(60,411,930	)		225,728,302
ProShares Ultra VIX Short-Term Futures ETF		243,251,317		35,444,518			—			—			278,695,835
ProShares Ultra Yen		992,969		—			(77,150	)		—			915,819
ProShares UltraShort Bloomberg Crude Oil		232,635,606		28,516,831			—			—			261,152,437
ProShares UltraShort Bloomberg Natural Gas		59,578,128		154,070,341			—			—			213,648,469
ProShares UltraShort Euro		19,885,112		—			3,195,083			—			23,080,195
ProShares UltraShort Gold		13,940,167		811,562			—			720,984			15,472,713
ProShares UltraShort Silver		12,979,368		2,516,890			—			1,873,038			17,369,296
ProShares UltraShort Yen		10,961,261		—			971,505			—			11,932,766
ProShares VIX Mid-Term Futures ETF		31,775,002		3,080,667			—			—			34,855,669
ProShares VIX Short-Term Futures ETF		169,526,219		3,375,427			—			—			172,901,646

Combined Trust:	$	2,082,952,015	$	85,111,242		$	3,757,043		$	(216,556,921	)	$	1,955,263,379

*	Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

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The following table summarizes the valuation of investments at December 31, 2021 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 Euro	$	—	$	(5,400	)	$	—		$	—		$	(5,400	)
ProShares Short VIX Short-Term Futures ETF		147,815,719		31,275,278			—			—			179,090,997
ProShares Ultra Bloomberg Crude Oil		848,757,567		147,455,525			—			63,928,293			1,060,141,385
ProShares Ultra Bloomberg Natural Gas		90,922,438		(8,206,161	)		—			—			82,716,277
ProShares Ultra Euro		997,678		—			82,652			—			1,080,330
ProShares Ultra Gold		207,956,320		654,894			—			8,639,188			217,250,402
ProShares Ultra Silver		451,872,982		2,506,545			—			40,591,699			494,971,226
ProShares Ultra VIX Short-Term Futures ETF		221,660,593		(126,356,757	)		—			(477,437	)		94,826,399
ProShares Ultra Yen		—		—			(93,112	)		—			(93,112	)
ProShares UltraShort Australian Dollar		1,999,875		(65,155	)		—			—			1,934,720
ProShares UltraShort Bloomberg Crude Oil		55,916,023		(8,409,462	)		—			—			47,506,561
ProShares UltraShort Bloomberg Natural Gas		123,821,548		13,436,251			—			—			137,257,799
ProShares UltraShort Euro		46,961,125		—			(208,041	)		—			46,753,084
ProShares UltraShort Gold		25,980,516		158,079			—			(993,117	)		25,145,478
ProShares UltraShort Silver		22,994,261		652,493			—			(1,921,414	)		21,725,340
ProShares UltraShort Yen		20,987,825		—			869,580			—			21,857,405
ProShares VIX Mid-Term Futures ETF		85,922,969		(624,388	)		—			—			85,298,581
ProShares VIX Short-Term Futures ETF		150,861,898		(30,130,619	)		—			—			120,731,279

Combined Trust:	$	2,505,429,337	$	22,341,123		$	651,079		$	109,767,212		$	2,638,188,751

*	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 transf

rs into or out of Level 3 for the fiscal year end.

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 recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.

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.

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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., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.

NOTE 3 – INVESTMENTS

Short-Term Investments

The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.

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.

From the beginning of the reporting period until the close of business on May 2, 2022, the volume of the derivative exposure for each liquidated fund relative to its net assets was generally representative to its investment objective.

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.

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Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.

Option Contracts

An option is a contract that gives the buyer the right, but not the obligation, to buy or sell a specified quantity of a commodity or other instrument at a specific (or strike) price within a specified period of time, regardless of the market price of that instrument. There are two types of options: calls and puts. A call option conveys to the option buyer the right to purchase a particular futures contract at a stated price at any time during the life of the option. A put option conveys to the option buyer the right to sell a particular futures contract at a stated price at any time during the life of the option. Options written by a Fund may be wholly or partially covered (meaning that the Fund holds an offsetting position) or uncovered. In the case of the purchase of an option, the risk of loss of an investor’s entire investment (i.e., the premium paid plus transaction charges) reflects the nature of an option as a wasting asset that may become worthless when the option expires. Where an option is written or granted (i.e., sold) uncovered, the seller may be liable to pay substantial additional margin, and the risk of loss is unlimited, as the seller will be obligated to deliver, or take delivery of, an asset at a predetermined price which may, upon exercise of the option, be significantly different from the market value.

When a Fund writes a call or put, an amount equal to the premium received is recorded and subsequently marked to market to reflect the current value of the option written. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss).

When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.

Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless. Over-the-counter options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The over-the-counter market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.

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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.

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.

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Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference Index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at June 30, 2022 contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount.

The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of June 30, 2022, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

Forward Contracts

Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.

Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.

The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at a third party custodian to protect the counterparty against non-payment by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from

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the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of June 30, 2022, 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 following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period.


Fair Value of Derivative Instruments as of June 30, 2022
		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		Receivables on open futures contracts				Payable on open futures contracts
	ProShares Short VIX Short-Term Futures ETF		$	1,517,614	*		$	—
	ProShares Ultra VIX Short-Term Futures ETF			41,121,658	*			5,677,140	*
	ProShares VIX Mid-Term Futures ETF			3,151,792	*			71,125	*
	ProShares VIX Short-Term Futures ETF			5,185,782	*			1,810,355	*
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			76,385,739	*			170,218,095	*
	ProShares Ultra Bloomberg Natural Gas			—				194,426,957	*
	ProShares Ultra Gold			—				10,384,367	*
	ProShares Ultra Silver			—				64,729,871	*
	ProShares UltraShort
	Bloomberg Crude Oil			28,869,220	*			352,389	*
	ProShares UltraShort Bloomberg Natural Gas			154,070,341	*			—
	ProShares UltraShort Gold			1,532,546	*			—
	ProShares UltraShort Silver			4,389,928	*			—
Foreign Exchange Contracts		Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts				Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
	ProShares Ultra Euro			17,639				350,034
	ProShares Ultra Yen			2,012				79,162
	ProShares UltraShort Euro			3,382,293				187,210
	ProShares UltraShort Yen			1,127,711				156,206

		Combined Trust:	$	320,754,275	*		$	448,442,911	*

*	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.

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Fair Value of Derivative Instruments as of December 31, 2021
		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		Receivables on open futures contracts, unrealized appreciation on swap agreements				Payable on open futures contracts, unrealized depreciation on swap agreements
	ProShares Short VIX Short-Term Futures ETF		$	31,275,278	*		$	—
	ProShares Ultra VIX Short-Term Futures ETF			—				126,834,194	*
	ProShares VIX Mid-Term Futures ETF			642,035	*			1,266,423	*
	ProShares VIX Short-Term Futures ETF			—				30,130,619	*
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			211,383,818	*			—
	ProShares Ultra Bloomberg Natural Gas			—				8,206,161	*
	ProShares Ultra Gold			9,294,082	*			—
	ProShares Ultra Silver			43,098,244	*			—
	ProShares UltraShort Bloomberg Crude Oil			549,283	*			8,958,745	*
	ProShares UltraShort Bloomberg Natural Gas			13,436,251	*			—
	ProShares UltraShort Gold			158,079	*			993,117	*
	ProShares UltraShort Silver			652,493				*1,921,414	*
Foreign Exchange Contracts		Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts				Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts
	ProShares Short Euro			—				5,400	*
	ProShares Ultra Euro			84,150				1,498
	ProShares Ultra Yen			821				93,933
	ProShares UltraShort Australian Dollar			—				65,155	*
	ProShares UltraShort Euro			135,118				343,159
	ProShares UltraShort Yen			1,237,168				367,588

		Combined Trust:	$	311,946,820	*		$	179,187,406	*

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The Effect of Derivative Instruments on the Statement of Operations

For the three months ended June 30, 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/ changes in unrealized appreciation (depreciation) on futures contracts
		ProShares Short VIX Short-Term Futures ETF	$	(13,029,194	)	$	(34,466,848	)
		ProShares Ultra VIX Short-Term Futures ETF		91,039,435			196,657,178
		ProShares VIX Mid-Term Futures ETF		7,862,052			4,040,230
		ProShares VIX Short-Term Futures ETF		23,659,182			46,680,364
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		363,296,092			(211,138,245	)
		ProShares Ultra Bloomberg Natural Gas		164,990,694			(271,251,560	)
		ProShares Ultra Gold		(57,901,083	)		4,971,202
		ProShares Ultra Silver		(156,194,175	)		(50,071,519	)
		ProShares UltraShort Bloomberg Crude Oil		(102,594,000	)		34,810,301
		ProShares UltraShort Bloomberg Natural Gas		(282,646,685	)		228,166,248
		ProShares UltraShort Gold		4,557,870			298,236
		ProShares UltraShort Silver		9,411,232			3,849,687
Foreign Exchange Contracts	Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
		ProShares Ultra Euro		(446,365	)		(282,077	)
		ProShares Ultra Yen		(761,478	)		154,501
		ProShares UltraShort Euro		3,065,129			3,061,048
		ProShares UltraShort Yen		7,917,170			(1,364,477	)

		Combined Trust	$	62,225,876		$	(45,885,731	)

*	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.

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The Effect of Derivative Instruments on the Statement of Operations

For the six months ended June 30, 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	$	(54,129,808	)	$	(29,757,664	)
		ProShares Ultra VIX Short-Term Futures ETF		372,034,119			162,278,712
		ProShares VIX Mid-Term Futures ETF		12,653,885			3,705,055
		ProShares VIX Short-Term Futures ETF		77,393,309			33,506,046
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		1,162,719,162			(305,216,174	)
		ProShares Ultra Bloomberg Natural Gas		241,211,382			(186,220,796	)
		ProShares Ultra Gold		(82,487	)		(19,678,449	)
		ProShares Ultra Silver		(39,557,148	)		(107,828,115	)
		ProShares UltraShort Bloomberg Crude Oil		(209,076,101	)		36,926,293
		ProShares UltraShort Bloomberg Natural Gas		(397,312,383	)		140,634,090
		ProShares UltraShort Gold		(1,750,803	)		2,367,584
		ProShares UltraShort Silver		2,037,486			5,658,849
Foreign Exchange Contracts	Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
		ProShares Ultra Euro		(887,395	)		(415,047	)
		ProShares Ultra Yen		(880,249	)		15,962
		ProShares UltraShort Euro		5,607,263			3,403,124
		ProShares UltraShort Yen		8,997,343			101,925

		Combined Trust:	$	1,178,977,575		$	(260,518,605	)

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The Effect of Derivative Instruments on the Statement of Operations

For the three months ended June 30, 2021


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	$	109,337,017		$	(13,290,409	)
		ProShares Ultra VIX Short-Term Futures ETF		(854,529,061	)		244,143,655
		ProShares VIX Mid-Term Futures ETF		(14,405,542	)		3,575,301
		ProShares VIX Short-Term Futures ETF		(175,846,641	)		39,005,837
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		320,505,659			157,999,797
		ProShares Ultra Bloomberg Natural Gas		4,901,288			28,350,804
		ProShares Ultra Gold		45,506,367			(33,461,145	)
		ProShares Ultra Silver		116,370,479			(48,336,770	)
		ProShares UltraShort Bloomberg Crude Oil		(26,010,421	)		(9,944,438	)
		ProShares UltraShort Bloomberg Natural Gas		(10,305,304	)		(33,691,003	)
		ProShares UltraShort Gold		(6,984,547	)		3,807,080
		ProShares UltraShort Silver		(5,876,456	)		(923,486	)
Foreign Exchange Contracts	Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
		ProShares Short Euro		(38,172	)		17,623
		ProShares Ultra Euro		95,412			(13,092	)
		ProShares Ultra Yen		(140,007	)		118,748
		ProShares UltraShort Australian Dollar		(7,133	)		58,291
		ProShares UltraShort Euro		(795,757	)		(509,443	)
		ProShares UltraShort Yen		1,598,086			(1,644,087	)

		Combined Trust	$	(496,624,733	)	$	335,263,263

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The Effect of Derivative Instruments on the Statement of Operations

For the six months ended June 30, 2021


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	$	133,546,434		$	28,831,483
		ProShares Ultra VIX Short-Term Futures ETF		(1,559,047,085	)		(40,235,121	)
		ProShares VIX Mid-Term Futures ETF		(10,866,226	)		(4,701,371	)
		ProShares VIX Short-Term Futures ETF		(252,481,234	)		(14,433,077	)
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		654,856,887			192,993,880
		ProShares Ultra Bloomberg Natural Gas		46,483,673			10,550,021
		ProShares Ultra Gold		(5,741,765	)		(34,695,444	)
		ProShares Ultra Silver		121,281,030			(186,102,472	)
		ProShares UltraShort Bloomberg Crude Oil		(75,188,186	)		(4,307,804	)
		ProShares UltraShort Bloomberg Natural Gas		(16,664,698	)		(17,797,456	)
		ProShares UltraShort Gold		(2,981,357	)		3,626,416
		ProShares UltraShort Silver		(8,808,807	)		6,542,278
Foreign Exchange Contracts	Net realized gain (loss) on futures and/ or foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on futures and/ or foreign currency forward contracts
		ProShares Short Euro		31,221			96,177
		ProShares Ultra Euro		68,070			(324,232	)
		ProShares Ultra Yen		(279,474	)		(137,341	)
		ProShares UltraShort Australian Dollar		(171,677	)		264,343
		ProShares UltraShort Euro		(725,230	)		3,881,954
		ProShares UltraShort Yen		2,857,659			1,256,801

		Combined Trust:	$	(973,830,765)		$	(54,690,965)

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Offsetting Assets and Liabilities

Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of June 30, 2022.


Fair Values of Derivative Instruments as of June 30, 2022
	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	$	—	$	—	$	—	$	152,287,155	$	—	$	152,287,155
ProShares Ultra Euro
Foreign currency forward contracts		17,639		—		17,639		350,034		—		350,034
ProShares Ultra Gold
Swap agreements		—		—		—		6,451,858		—		6,451,858
ProShares Ultra Silver
Swap agreements		—		—		—		60,411,930		—		60,411,930
ProShares Ultra Yen
Foreign currency forward contracts		2,012		—		2,012		79,162		—		79,162
ProShares UltraShort Euro
Foreign currency forward contracts		3,382,293		—		3,382,293		187,210		—		187,210
ProShares UltraShort Gold
Swap agreements		720,984		—		720,984		—		—		—
ProShares UltraShort Silver
Swap agreements		1,873,038		—		1,873,038		—		—		—
ProShares UltraShort Yen
Foreign currency forward contracts		1,127,711		—		1,127,711		156,206		—		156,206

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2022. 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”.

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Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2022
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.	$	(21,668,621	)	$	—		$	21,668,621		$	—
Goldman Sachs International		(42,218,820	)		—			42,218,820			—
Morgan Stanley & Co. International PLC		(37,530,948	)		—			37,530,948			—
Societe Generale		(20,435,337	)		18,175,337			2,260,000			—
UBS AG		(30,433,429	)		22,524,429			7,909,000			—
ProShares Ultra Euro
Goldman Sachs International		(123,538	)		123,538			—			—
UBS AG		(208,857	)		208,857			—			—
ProShares Ultra Gold
Citibank, N.A.		(2,221,389	)		1,781,389			440,000			—
Goldman Sachs International		(1,919,639	)		1,919,639			—			—
UBS AG		(2,310,830	)		543,830			1,767,000			—
ProShares Ultra Silver
Citibank, N.A.		(14,941,465	)		—			14,941,465			—
Goldman Sachs International		(18,119,916	)		18,119,916			—			—
Morgan Stanley & Co. International PLC		(15,214,853	)		—			15,214,853			—
UBS AG		(12,135,696	)		9,307,696			2,828,000			—
ProShares Ultra Yen
Goldman Sachs International		(34,398	)		34,398			—			—
UBS AG		(42,752	)		42,752			—			—
ProShares UltraShort Euro
Goldman Sachs International		1,245,143			(1,245,143	)		—			—
UBS AG		1,949,940			(1,892,423	)		—			57,517
ProShares UltraShort Gold
Citibank, N.A.		295,777			—			—			295,777
Goldman Sachs International		193,824			—			—			193,824
UBS AG		231,383			—			—			231,383
ProShares UltraShort Silver
Citibank, N.A.		221,841			—			—			221,841
Goldman Sachs International		808,139			(510,736	)		—			297,403
Morgan Stanley & Co. International PLC		638,732			—			(381,000	)		257,732
UBS AG		204,326			—			—			204,326
ProShares UltraShort Yen
Goldman Sachs International		162,849			—			—			162,849
UBS AG		806,656			(806,656	)		—			—

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, 2021:

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Fair Values of Derivative Instruments as of December 31, 2021
	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	$	63,928,293	$	—	$	63,928,293	$	—	$	—	$	—
ProShares Ultra Euro
Foreign currency forward contracts		84,150		—		84,150		1,498		—		1,498
ProShares Ultra Gold
Swap agreements		8,639,188		—		8,639,188		—		—		—
ProShares Ultra Silver
Swap agreements		40,591,699		—		40,591,699		—		—		—
ProShares Ultra VIX Short-Term
Futures ETF
Swap agreements		—		—		—		477,437		—		477,437
ProShares Ultra Yen
Foreign currency forward contracts		821		—		821		93,933		—		93,933
ProShares UltraShort Euro
Foreign currency forward contracts		135,118		—		135,118		343,159		—		343,159
ProShares UltraShort Gold
Swap agreements		—		—		—		993,117		—		993,117
ProShares UltraShort Silver
Swap agreements		—		—		—		1,921,414		—		1,921,414
ProShares UltraShort Yen
Foreign currency forward contracts		1,237,168		—		1,237,168		367,588		—		367,588

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2021. 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”.

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Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2021
	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.	$	9,839,441		$	—		$	(9,839,441	)	$	—
Goldman Sachs International		13,920,431			(13,889,225	)		(31,206	)		—
Morgan Stanley & Co. International PLC		17,042,319			—			(17,042,319	)		—
Societe Generale		9,295,046			(9,292,398	)		(2,648	)		—
UBS AG		13,831,056			—			(13,831,056)			—
ProShares Ultra Euro
Goldman Sachs International		10,301			—			—			10,301
UBS AG		72,351			—			—			72,351
ProShares Ultra Gold
Citibank, N.A.		2,974,490			—			(2,100,000	)		874,490
Goldman Sachs International		2,570,443			(1,877,749	)		(250	)		692,444
UBS AG		3,094,255			—			(2,180,000	)		914,255
ProShares Ultra Silver
Citibank, N.A.		10,785,304			—			(7,890,000	)		2,895,304
Goldman Sachs International		10,781,897			(8,181,572	)		(5,925	)		2,594,400
Morgan Stanley & Co. International PLC		10,046,034			—			(7,306,000	)		2,740,034
UBS AG		8,978,464			—			(6,570,000	)		2,408,464
ProShares Ultra VIX Short-Term Futures ETF
Goldman Sachs & Co.		(477,437	)		—			—			(477,437	)
ProShares Ultra Yen
Goldman Sachs International		(54,919	)		—			54,919			—
UBS AG		(38,193	)		—			—			(38,193	)
ProShares UltraShort Euro
Goldman Sachs International		(83,325	)		83,325			—			—
UBS AG		(124,716	)		124,716			—			—
ProShares UltraShort Gold
Citibank, N.A.		(407,735	)		407,735			—			—
Goldman Sachs International		(266,413	)		266,413			—			—
UBS AG		(318,969	)		318,969			—			—
ProShares UltraShort Silver
Citibank, N.A.		(367,632	)		367,632			—			—
Goldman Sachs International		(486,710	)		368,710			118,000			—
Morgan Stanley & Co. International PLC		(385,104	)		—			385,104			—
UBS AG		(681,968	)		681,968			—			—
ProShares UltraShort Yen
Goldman Sachs International		312,169			(302,523	)		—			9,646
UBS AG		557,411			—			(520,000	)		37,411

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro 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.

The Sponsor stopped charging the Management Fee to the liquidated funds 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 Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, 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.

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Non-Recurring Fees and Expenses

Each Fund pays all 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 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, and 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 for 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 Share splits and 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.

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Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.

Authorized Participants may pay a fixed transaction fee (typically $250) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

Transaction fees for the three and six months ended June 30, 2022 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:


Fund	Three Months Ended June 30, 2022		Six Months Ended June 30, 2022
ProShares Short VIX Short-Term Futures ETF	$	58,615	$	118,759
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		956,110		2,182,872
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		10,258		29,225
ProShares VIX Short-Term Futures ETF		149,306		250,276

Combined Trust:	$	1,174,289	$	2,581,132

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NOTE 6 – FINANCIAL HIGHLIGHTS

Selected Data for a Share Outstanding Throughout the Three Months Ended June 30, 2022


For the Three Months Ended June 30, 2022 (unaudited)
Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil*			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold
Net asset value, at March 31, 2022	$	54.55		$	37.94		$	56.06		$	12.47		$	66.99
Net investment income (loss)		(0.13	)		(0.07	)		(0.21	)		(0.02	)		(0.09	)
Net realized and unrealized gain (loss)#		(6.28	)		3.74			(16.32	)		(1.37	)		(10.44	)
Change in net asset value from operations		(6.41	)		3.67			(16.53	)		(1.39	)		(10.53	)
Net asset value, at June 30, 2022	$	48.14		$	41.61		$	39.53		$	11.08		$	56.46
Market value per share, at March 31, 2022 †	$	54.56		$	38.33		$	56.31		$	12.46		$	66.14
Market value per share, at June 30, 2022 †	$	48.21		$	41.86		$	42.10		$	11.11		$	56.50
Total Return, at net asset value^		(11.8	)%		9 .7	%		(29.5	)%		(11.1	)%		(15.7	)%
Total Return, at market value^		(11.6	)%		9 .2	%		(25.2	)%		(10.8	)%		(14.6	)%
Ratios to Average Net Assets**
Expense ratio^^		1.21	%		1.01	%		1 .26	%		0.95	%		0 .98	%
Net investment income gain (loss)		(1.00	)%		(0.64	)%		(1.01	)%		(0.54	)%		(0.56	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2022.

^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.

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For the Three Months Ended June 30, 2022 (unaudited)
Per Share Operating Performance	Ultra Silver			Ultra VIX Short-Term Futures ETF			Ultra Yen			UltraShort Bloomberg Crude Oil*			UltraShort Bloomberg Natural Gas*
Net asset value, at March 31, 2022	$	39.06		$	13.50		$	42.02		$	29.17		$	64.71
Net investment income (loss)		(0.05	)		(0.05	)		(0.05	)		(0.05	)		(0.08	)
Net realized and unrealized gain (loss)#		(14.23	)		1.06			(8.46	)		(6.08	)		(21.98	)
Change in net asset value from operations		(14.28	)		1.01			(8.51	)		(6.13	)		(22.06	)
Net asset value, at June 30, 2022	$	24.78		$	14.51		$	33.51		$	23.04		$	42.65
Market value per share, at March 31, 2022 †	$	38.53		$	13.46		$	42.09		$	28.95		$	64.56
Market value per share, at June 30, 2022 †	$	24.47		$	14.53		$	33.49		$	22.93		$	40.02
Total Return, at net asset value^		(36.6	)%		7 .5	%		(20.3	)%		(21.0	)%		(34.1	)%
Total Return, at market value^		(36.5	)%		8 .0	%		(20.4	)%		(20.8	)%		(38.0	)%
Ratios to Average Net Assets**
Expense ratio^^		0.98	%		1.53	%		0.95	%		1.14	%		1.36	%
Net investment income gain (loss)		(0.61	)%		(1.36	)%		(0.59	)%		(0.85	)%		(1.14	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2022.

^^	The expense ratio would be 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.

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For the Three Months Ended June 30, 2022 (unaudited)
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 March 31, 2022	$	27.30		$	27.23		$	21.45		$	46.32		$	31.45		$	16.61
Net investment income (loss)		(0.05	)		(0.05	)		(0.05	)		(0.09	)		(0.06	)		(0.04	)
Net realized and unrealized gain (loss)#		3.13			4.37			10.34			10.83			3.90			1.65
Change in net asset value from operations		3.08			4.32			10.29			10.74			3.84			1.61
Net asset value, at June 30, 2022	$	30.38		$	31.55		$	31.74		$	57.06		$	35.29		$	18.22
Market value per share, at March 31, 2022 †	$	27.31		$	27.61		$	21.78		$	46.37		$	31.50		$	16.57
Market value per share, at June 30, 2022 †	$	30.41		$	31.59		$	32.19		$	57.13		$	35.38		$	18.25
Total Return, at net asset value^		11.3	%		15.9	%		48.0	%		23.2	%		12.2	%		9 .6	%
Total Return, at market value^		11.4	%		14.4	%		47.8	%		23.2	%		12.3	%		10.1	%
Ratios to Average Net Assets**
Expense ratio^^		0.95	%		0.99	%		1.06	%		0.95	%		0.96	%		1.16	%
Net investment income gain (loss)		(0.70	)%		(0.74	)%		(0.78	)%		(0.68	)%		(0.74	)%		(0.94	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2022.

^^	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.

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Selected data for a Share outstanding throughout the three months ended June 30, 2021


For the Three Months Ended June 30, 2021 (unaudited)
Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil*			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold
Net asset value, at March 31, 2021	$	47.13		$	13.14		$	21.31		$	14.45		$	54.32
Net investment income (loss)		(0.17	)		(0.04	)		(0.08	)		(0.03	)		(0.14	)
Net realized and unrealized gain (loss)#		8.65			6.46			14.10			0.25			3.10
Change in net asset value from operations		8.48			6.42			14.02			0.22			2.96
Net asset value, at June 30, 2021	$	55.61		$	19.56		$	35.33		$	14.67		$	57.28
Market value per share, at March 31, 2021 †	$	47.10		$	13.21		$	21.20		$	14.47		$	53.91
Market value per share, at June 30, 2021 †	$	55.55		$	19.56		$	37.17		$	14.66		$	57.22
Total Return, at net asset value^		18.0	%		48.9	%		65.8	%		1.6	%		5.5	%
Total Return, at market value^		17.9	%		48.0	%		75.3	%		1.3	%		6.1	%
Ratios to Average Net Assets**
Expense ratio^^		1.37	%		1.13	%		1.42	%		0.95	%		0.99	%
Net investment income gain (loss)		(1.35	)%		(1.09	)%		(1.35	)%		(0.91	)%		(0.95	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2021.

^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.

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For the Three Months Ended June 30, 2021 (unaudited)
Per Share Operating Performance	Ultra Silver			Ultra VIX Short-Term Futures ETF *			Ultra Yen			UltraShort Bloomberg Crude Oil *			UltraShort Bloomberg Natural Gas*
Net asset value, at March 31, 2021	$	41.35		$	56.32		$	51.78		$	143.99		$	782.71
Net investment income (loss)		(0.12	)		(0.17	)		(0.12	)		(0.31	)		(2.47	)
Net realized and unrealized gain (loss)#		4.74			(28.24	)		(0.42	)		(53.12	)		(349.17	)
Change in net asset value from operations		4.62			(28.41	)		(0.54	)		(53.43	)		(351.64	)
Net asset value, at June 30, 2021	$	45.97		$	27.91		$	51.24		$	90.56		$	431.07
Market value per share, at March 31, 2021 †	$	41.10		$	56.50		$	51.78		$	143.00		$	786.40
Market value per share, at June 30, 2021 †	$	46.12		$	27.98		$	51.26		$	90.55		$	408.80
Total Return, at net asset value^		11.2	%		(50.5	)%		(1.1	)%		(37.1	)%		(44.9	)%
Total Return, at market value^		12.2	%		(50.5	)%		(1.0	)%		(36.7	)%		(48.0	)%
Ratios to Average Net Assets**
Expense ratio^^		1.00	%		1.73	%		0.95	%		1.19	%		1.60	%
Net investment income gain (loss)		(0.96	)%		(1.65	)%		(0.90	)%		(1.10	)%		(1.56	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2021.

^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.

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For the Three Months Ended June 30, 2021 (unaudited)
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 March 31, 2021	$	24.41		$	37.60		$	27.92		$	38.86		$	34.74		$	37.29
Net investment income (loss)		(0.05	)		(0.08	)		(0.06	)		(0.09	)		(0.08	)		(0.09	)
Net realized and unrealized gain (loss)#		(0.55	)		(2.85	)		(4.49	)		0.21			(4.15	)		(13.11	)
Change in net asset value from operations		(0.60	)		(2.93	)		(4.55	)		0.12			(4.23	)		(13.20	)
Net asset value, at June 30, 2021	$	23.81		$	34.67		$	23.37		$	38.98		$	30.51		$	24.09
Market value per share, at March 31, 2021 †	$	24.42		$	37.89		$	28.04		$	38.88		$	35.06		$	37.40
Market value per share, at June 30, 2021 †	$	23.82		$	34.69		$	23.28		$	38.99		$	30.54		$	24.08
Total Return, at net asset value^		(2.5	)%		(7.8	)%		(16.3	)%		0.3	%		(12.2	)%		(35.6	)%
Total Return, at market value^		(2.5	)%		(8.4	)%		(17.0	)%		0.3	%		(12.9	)%		(35.4	)%
Ratios to Average Net Assets**
Expense ratio^^		0.95	%		1.01	%		1.05	%		0.95	%		1.07	%		1.19	%
Net investment income gain (loss)		(0.90	)%		(0.96	)%		(1.02	)%		(0.90	)%		(1.03	)%		(1.14	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2021.

^^	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.

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Selected Data for a Share Outstanding Throughout the six Months Ended June 30, 2022


For the Six Months Ended June 30, 2022 (unaudited)
Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil*			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold
Net asset value, at December 31, 2021	$	61.56		$	21.54		$	25.55		$	13.32		$	59.69
Net investment income (loss)		(0.29	)		(0.15	)		(0.29	)		(0.04	)		(0.22	)
Net realized and unrealized gain (loss)#		(13.13	)		20.22			14.27			(2.20	)		(3.01	)
Change in net asset value from operations		(13.42	)		20.07			13.98			(2.24	)		(3.23	)
Net asset value, at June 30, 2022	$	48.14		$	41.61		$	39.53		$	11.08		$	56.46
Market value per share, at December 31, 2021 †	$	61.55		$	21.70		$	26.09		$	13.33		$	59.81
Market value per share, at June 30, 2022 †	$	48.21		$	41.86		$	42.10		$	11.11		$	56.50
Total Return, at net asset value^		(21.8	)%		93.2	%		54.7	%		(16.8	)%		(5.4	)%
Total Return, at market value^		(21.7	)%		92.9	%		61.4	%		(16.7	)%		(5.5	)%
Ratios to Average Net Assets**
Expense ratio^^		1.28	%		1.05	%		1.29	%		0.95	%		0.99	%
Net investment income gain (loss)		(1.12	)%		(0.82	)%		(1.10	)%		(0.65	)%		(0.71	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2022.

^^	The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.

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For the Six Months Ended June 30, 2022 (unaudited)
Per Share Operating Performance	Ultra Silver			Ultra VIX Short-Term Futures ETF *			Ultra Yen			UltraShort Bloomberg Crude Oil *			UltraShort Bloomberg Natural Gas *
Net asset value, at December 31, 2021	$	34.84		$	12.41		$	47.29		$	64.26		$	247.40
Net investment income (loss)		(0.13	)		(0.11	)		(0.13	)		(0.12	)		(0.31	)
Net realized and unrealized gain (loss)#		(9.93	)		2.21			(13.65	)		(41.10	)		(204.44	)
Change in net asset value from operations		(10.06	)		2.10			(13.78	)		(41.22	)		(204.75	)
Net asset value, at June 30, 2022	$	24.78		$	14.51		$	33.51		$	23.04		$	42.65
Market value per share, at December 31, 2021 †	$	34.74		$	12.43		$	47.29		$	63.75		$	242.20
Market value per share, at June 30, 2022 †	$	24.47		$	14.53		$	33.49		$	22.93		$	40.02
Total Return, at net asset value^		(28.9	)%		17.0	%		(29.2	)%		(64.2	)%		(82.8	)%
Total Return, at market value^		(29.6	)%		16.9	%		(29.2	)%		(64.0	)%		(83.5	)%
Ratios to Average Net Assets**
Expense ratio^^		0.98	%		1.65	%		0.95	%		1.18	%		1.47	%
Net investment income gain (loss)		(0.75	)%		(1.53	)%		(0.67	)%		(0.95	)%		(1.30	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2022.

^^	The expense ratio would be 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.

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For the Six Months Ended June 30, 2022 (unaudited)
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		$	26.77		$	41.50		$	30.61		$	15.12
Net investment income (loss)		(0.11	)		(0.12	)		(0.11	)		(0.17	)		(0.14	)		(0.09	)
Net realized and unrealized gain (loss)#		4.65			(0.04	)		5.08			15.73			4.82			3.19
Change in net asset value from operations		4.54			(0.16	)		4.97			15.56			4.68			3.10
Net asset value, at June 30, 2022	$	30.38		$	31.55		$	31.74		$	57.06		$	35.29		$	18.22
Market value per share, at December 31, 2021 †	$	25.86		$	31.66		$	26.84		$	41.50		$	30.57		$	15.17
Market value per share, at June 30, 2022 †	$	30.41		$	31.59		$	32.19		$	57.13		$	35.38		$	18.25
Total Return, at net asset value^		17.5	%		(0.5	)%		18.6	%		37.5	%		15.3	%		20.4	%
Total Return, at market value^		17.6	%		(0.2	)%		19.9	%		37.7	%		15.7	%		20.3	%
Ratios to Average Net Assets**
Expense ratio^^		0.95	%		1.00	%		1.07	%		0.95	%		1.02	%		1.20	%
Net investment income gain (loss)		(0.75	)%		(0.81	)%		(0.86	)%		(0.72	)%		(0.87	)%		(1.04	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2022.

^^	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.

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Selected Data for a Share Outstanding Throughout the six Months Ended June 30, 2021


For the Six Months Ended June 30, 2021 (unaudited)
Per Share Operating Performance	Short VIX Short-Term Futures ETF			Ultra Bloomberg Crude Oil*			Ultra Bloomberg Natural Gas			Ultra Euro			Ultra Gold
Net asset value, at December 31, 2020	$	41.42		$	9.10		$	21.00		$	15.79		$	67.57
Net investment income (loss)		(0.31	)		(0.07	)		(0.17	)		(0.07	)		(0.29	)
Net realized and unrealized gain (loss)#		14.50			10.53			14.50			(1.05	)		(10.00	)
Change in net asset value from operations		14.19			10.46			14.33			(1.12	)		(10.29	)
Net asset value, at June 30, 2021	$	55.61		$	19.56		$	35.33		$	14.67		$	57.28
Market value per share, at December 31, 2020 †	$	41.44		$	9.07		$	21.07		$	15.81		$	68.20
Market value per share, at June 30, 2021 †	$	55.55		$	19.56		$	37.17		$	14.66		$	57.22
Total Return, at net asset value^		34.3	%		115.0	%		68.3	%		(7.1	)%		(15.2	)%
Total Return, at market value^		34.1	%		115.7	%		76.4	%		(7.3	)%		(16.1	)%
Ratios to Average Net Assets**
Expense ratio^^		1.36	%		1.11	%		1.53	%		0.95	%		1.01	%
Net investment income gain (loss)		(1.33	)%		(1.06	)%		(1.47	)%		(0.90	)%		(0.96	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2021.

^^	The expense ratio would be 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.

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For the Six Months Ended June 30, 2021 (unaudited)
Per Share Operating Performance	Ultra Silver			Ultra VIX Short-Term Futures ETF *			Ultra Yen			UltraShort Bloomberg Crude Oil *			UltraShort Bloomberg Natural Gas *
Net asset value, at December 31, 2020	$	50.71		$	106.68		$	59.83		$	232.23		$	951.82
Net investment income (loss)		(0.24	)		(0.55	)		(0.25	)		(0.81	)		(5.26	)
Net realized and unrealized gain (loss)#		(4.50	)		(78.22	)		(8.34	)		(140.86	)		(515.49	)
Change in net asset value from operations		(4.74	)		(78.77	)		(8.59	)		(141.67	)		(520.75	)
Net asset value, at June 30, 2021	$	45.97		$	27.91		$	51.24		$	90.56		$	431.07
Market value per share, at December 31, 2020 †	$	51.28		$	106.50		$	59.82		$	232.80		$	947.60
Market value per share, at June 30, 2021 †	$	46.12		$	27.98		$	51.26		$	90.55		$	408.80
Total Return, at net asset value^		(9.4	)%		(73.8	)%		(14.4	)%		(61.0	)%		(54.7	)%
Total Return, at market value^		(10.1	)%		(73.7	)%		(14.3	)%		(61.1	)%		(56.9	)%
Ratios to Average Net Assets**
Expense ratio^^		1.04	%		1.76	%		0.95	%		1.27	%		1.60	%
Net investment income gain (loss)		(0.99	)%		(1.71	)%		(0.90	)%		(1.20	)%		(1.56	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2021.

^^	The expense ratio would be 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.

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For the Six Months Ended June 30, 2021 (unaudited)
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, 2020	$	22.53		$	31.43		$	27.73		$	33.91		$	36.73		$	55.03
Net investment income (loss)		(0.10	)		(0.17	)		(0.13	)		(0.16	)		(0.18	)		(0.23	)
Net realized and unrealized gain (loss)#		1.38			3.41			(4.23	)		5.22			(6.04	)		(30.71	)
Change in net asset value from operations		1.28			3.24			(4.36	)		5.06			(6.22	)		(30.94	)
Net asset value, at June 30, 2021	$	23.81		$	34.67		$	23.37		$	38.98		$	30.51		$	24.09
Market value per share, at December 31, 2020 †	$	22.52		$	31.14		$	27.40		$	33.91		$	36.70		$	54.96
Market value per share, at June 30, 2021 †	$	23.82		$	34.69		$	23.28		$	38.99		$	30.54		$	24.08
Total Return, at net asset value^		5.7	%		10.3	%		(15.7	)%		15.0	%		(16.9	)%		(56.2	)%
Total Return, at market value^		5.8	%		11.4	%		(15.0	)%		14.9	%		(16.8	)%		(56.2	)%
Ratios to Average Net Assets**
Expense ratio^^		0.95	%		1.04	%		1.10	%		0.95	%		1.05	%		1.25	%
Net investment income gain (loss)		(0.90	)%		(0.99	)%		(1.07	)%		(0.90	)%		(1.00	)%		(1.21	)%

*	See Note 1 of these Notes to Financial Statements.

**	Percentages are annualized.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2021.

^^	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.

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NOTE 7 – RISK

Correlation and Compounding Risk

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater 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 in amount and possibly even direction from one-half the inverse (-0.5x), the inverse (-1x), 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 period. A Geared Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short or UltraShort), as a result of daily rebalancing, the benchmark’s volatility, compounding, and other factors. 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. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Geared Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Geared Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective over time.

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. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Other things being equal, more significant movement in the value of its benchmark up or down will require more significant adjustments to a Fund’s portfolio. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -0.5x, -1x, -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.

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Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.

Counterparty Risk

Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to herein 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.” The SEC requirements have largely yet to be made effective, but the CFTC requirements are largely in place. The CFTC requirements have included rules for some of the types of transactions in which the Funds will engage, 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, the CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.

Counterparty Credit Risk

The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of 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 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, 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.

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In addition, cleared derivatives benefit from daily marking-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 FCM in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its 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 customer segregated funds, under which the clearing house may access all of the commingled 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. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.

The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com.

Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.

The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.

Leverage Risk

The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.

For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and one-half times 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.

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“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 2021 may specify a January 2022 expiration. As that contract nears expiration, it may be replaced by selling the January 2022 contract and purchasing the contract expiring in March 2022. 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 2020 contract would take place at a price that is higher than the price at which the March 2020 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 Funds 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. 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.

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Natural Disaster/Epidemic Risk

Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, 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. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. 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’ 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 substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. 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, resulting in losses to your investment.

Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks

The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions in an attempt to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased. Financial markets across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis in 2008. U.S. equity markets entered a bear market in the fastest such move in the history of U.S. financial markets in March 2020. Contemporaneous with the onset of the COVID-19 pandemic in the U.S., crude oil markets experienced shocks to the supply of and demand for crude oil. This led to an oversupply of crude oil, which impacted the price of crude oil and futures contracts on crude oil and caused historic volatility in the market for crude oil and crude oil futures contracts. In April 20210, 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. The futures contracts held by the Funds may experience a period of extraordinary contango in the future. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and can result in significant losses. These and other global economic shocks as a result of the COVID-19 pandemic may cause the underlying assumptions and expectations concerning the investments, operations and performance of the Funds and secondary market trading of Fund Shares to become inaccurate or outdated quickly, resulting in significant and unexpected losses.

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.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential,” “intend,” “project,” “seek” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.

Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements.

Introduction

ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of June 30, 2022, 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”. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds”.

On May 11, 2021, the Trust announced a 1-for-10 reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures ETF (ticker symbol: UVXY), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Crude Oil (ticker symbol: SCO), a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and a 1-for-4 reverse split of the shares of beneficial interest of ProShares VIX Short-Term Futures ETF (ticker symbol: VIXY). The reverse splits were effective prior to market open on May 26, 2021, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the 4 funds. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.

On December 22, 2021, the Trust announced a 1-for-5 reverse split of the shares of beneficial interest of ProShares UltraShort Bloomberg Natural Gas ETF (ticker symbol: KOLD). The reverse splits were effective prior to market open on January 14, 2022, when the funds began trading at their post-split price. The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding and resulted in a proportionate increase in the price per share and the per share information of the fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse splits.

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On May 11, 2022, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and ProShares Ultra Bloomberg Crude Oil and a reverse share split on ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Bloomberg Crude Oil. The Splits did not change the value of a shareholder’s investment.

Forward Split

ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. ProShares Ultra Bloomberg Crude Oil executed a 4:1 Forward Split of its shares. The Forward Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Forward Split prices. The ticker symbol for the Funds did not change. The Forward Split decreased the price per share of the Funds with a proportionate increase in the number of shares outstanding.

Reverse Split

ProShares UltraShort Bloomberg Natural Gas executed a 1:4 Reverse Split of its shares. ProShares UltraShort Bloomberg Crude Oil executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on May 26, 2022, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y813 for KOLD and 74347Y797 for SCO). The Reverse Split increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding.

The Sponsor also serves as the Trust’s commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act (the “CEA”), and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.

Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

As described in each Fund’s prospectus, each of the Funds intends to invest in “Financial Instruments” (Financial Instruments are instruments whose value is derived from the value of an underlying asset, rate or benchmark including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the VIX Index, natural gas, crude oil, precious metals, or currencies, as applicable. Financial Instruments also are used to produce economically “inverse”, “inverse leveraged” or “leveraged” investment results for the Geared Funds.

Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from -0.5x, -1x, -2x, 1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily.

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Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”).

ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.

Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and six months ended June 30, 2022 and 2021, each of the Funds earned interest income as follows:


Fund	Interest Income Three Months Ended June 30, 2022		Interest Income Three Months Ended June 30, 2021		Interest Income Six Months Ended June 30, 2022		Interest Income Six Months Ended June 30, 2021
ProShares Short VIX Short-Term Futures ETF		225,134		33,687		319,477		67,577
ProShares Ultra Bloomberg Crude Oil		1,264,011		111,333		1,572,891		279,408
ProShares Ultra Bloomberg Natural Gas		146,470		11,544		186,051		25,359
ProShares Ultra Euro		6,522		438		11,109		1,022
ProShares Ultra Gold		319,154		20,094		414,267		55,921
ProShares Ultra Silver		421,514		65,529		561,963		163,658
ProShares Ultra VIX Short-Term Futures ETF		430,670		202,556		525,931		316,525
ProShares Ultra Yen		3,064		307		3,937		663

127


ProShares UltraShort Bloomberg Crude Oil	289,299	18,343	343,206	29,178
ProShares UltraShort Bloomberg Natural Gas	122,188	7,750	178,013	15,633
ProShares UltraShort Euro	39,011	5,640	54,416	12,806
ProShares UltraShort Gold	19,975	3,176	29,660	6,138
ProShares UltraShort Silver	18,743	2,678	27,663	5,795
ProShares UltraShort Yen	26,913	3,570	36,312	7,166
ProShares VIX Mid-Term Futures ETF	52,826	8,349	76,749	18,573
ProShares VIX Short-Term Futures ETF	207,903	40,988	278,612	79,448

Each Fund’s underlying swaps, futures, options, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.

Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.

Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.

For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q.

Credit Risk

When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.

The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.

Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.

128

Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

The Sponsor attempts to minimize certain of these market and credit risks by normally:

•

executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

•

limiting the outstanding amounts due from counterparties to the Funds;

•

not posting margin directly with a counterparty;

•

requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;

•

limiting the amount of margin or premium posted at a FCM; and

•

ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.

Off-Balance Sheet Arrangements and Contractual Obligations

As of August 9, 2022, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.

Critical Accounting Policies

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.

Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.

The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended June 30, 2022.

129

Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. 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 be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. 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 each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).

The prices used by a Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.

Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

Realized gains (losses) and changes in unrealized gain (loss) on open investments are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.

Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give up fees, pit futures account fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying brokerage commissions in VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

130

Results of Operations for the Three Months Ended June 30, 2022 Compared to the Three Months Ended June 30, 2021

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
NAV beginning of period	$	495,588,849		$	527,130,851
NAV end of period	$	403,644,956		$	588,615,946
Percentage change in NAV		(18.6	)%		11.7	%
Shares outstanding beginning of period		9,084,307			11,184,307
Shares outstanding end of period		8,384,307			10,584,307
Percentage change in shares outstanding		(7.7	)%		(5.4	)%
Shares created		1,600,000			450,000
Shares redeemed		2,300,000			1,050,000
Per share NAV beginning of period	$	54.55		$	47.13
Per share NAV end of period	$	48.14		$	55.61
Percentage change in per share NAV		(11.8	)%		18.0	%
Percentage change in benchmark		10.3	%		(35.2	)%
Benchmark annualized volatility		90.4	%		70.4	%

During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 9,084,307 outstanding Shares at March 31, 2022 to 8,384,307 outstanding Shares at June 30, 2022.

By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 11,184,307 outstanding Shares at March 31, 2021 to 10,584,307 outstanding Shares at June 30, 2021.

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to one-half the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.8% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 18.0% for the three months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

The benchmark’s rise of 10.3% for the three months ended June 30, 2022, as compared to the benchmark’s decline of 35.2% for the three months ended June 30, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2022.

131

During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily due to decrease in shareholder activity offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

. The decrease in the Fund’s NAV offset by an increase from 8,810,774 outstanding Shares at March 31, 2022 to 25,493,096 outstanding Shares at June 30, 2022.

. The increase in the Fund’s NAV was offset by a decrease from 82,843,096 outstanding Shares at March 31, 2021 to 66,643,096 outstanding Shares at June 30, 2021.

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.7% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 48.9% for the three months ended June 30, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

The benchmark’s rise of 6.8% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 23.1% for the three months ended June 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
Net investment income (loss)	$	(2,084,704	)	$	(3,210,719	)
Management fee		3,098,904			2,794,292
Brokerage commission		140,210			210,012
Futures account fees		109,601			317,748
Net realized gain (loss)		363,291,439			320,505,659
Change in net unrealized appreciation (depreciation)		(211,544,109	)		157,919,139
Net Income (loss)	$	149,662,626		$	475,214,079

The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil during the three months ended June 30, 2022.

*	See Note 1 of the Notes to Financial Statements in item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Ultra Bloomberg Crude Oil.

133

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
NAV beginning of period	$	145,069,486		$	74,307,070
NAV end of period	$	187,297,842		$	70,213,227
Percentage change in NAV		29.1	%		(5.5	)%
Shares outstanding beginning of period		2,587,527			3,487,527
Shares outstanding end of period		4,737,527			1,987,527
Percentage change in shares outstanding		83.1	%		(43.0	)%
Shares created		6,500,000			650,000
Shares redeemed		4,350,000			2,150,000
Per share NAV beginning of period	$	56.06		$	21.31
Per share NAV end of period	$	39.53		$	35.33
Percentage change in per share NAV		(29.5	)%		65.8	%
Percentage change in benchmark		(6.0	)%		30.3	%
Benchmark annualized volatility		37.5	%		27.8	%

During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 2,587,527 outstanding Shares at March 31, 2022 to 4,737,527 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex

By comparison, during the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,487,527 outstanding Shares at March 31, 2021 to 1,987,527 outstanding Shares at June 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 29.5% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 65.8% for the three months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

The benchmark’s decline of 6% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 30.3% for the three months ended June 30, 2021, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
Net investment income (loss)	$	(566,073	)	$	(217,363	)
Management fee		534,624			152,958
Brokerage commission		114,706			63,062
Futures account fees		63,213			12,887
Net realized gain (loss)		164,990,694			4,901,288
Change in net unrealized appreciation (depreciation)		(271,288,469	)		28,347,917
Net Income (loss)	$	(106,863,848	)	$	33,031,842

134

The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of Henry Hub Natural Gas during the three months ended June 30, 2022.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
NAV beginning of period	$	6,236,982		$	3,611,724
NAV end of period	$	9,415,626		$	3,668,741
Percentage change in NAV		51.0	%		1.6	%
Shares outstanding beginning of period		500,000			250,000
Shares outstanding end of period		850,000			250,000
Percentage change in shares outstanding		70.0	%		—	%
Shares created		450,000			100,000
Shares redeemed		100,000			100,000
Per share NAV beginning of period	$	12.47		$	14.45
Per share NAV end of period	$	11.08		$	14.67
Percentage change in per share NAV		(11.1	)%		1.6	%
Percentage change in benchmark		(5.3	)%		1.1	%
Benchmark annualized volatility		9.1	%		5.9	%

During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 500,000 outstanding Shares at March 31, 2022 to 850,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.

By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2021 to June 30, 2021.

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.1% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 1.6% for the three months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

The benchmark’s decline of 5.3% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 1.1% for the three months ended June 30, 2021, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2022.

135

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
Net investment income (loss)	$	(8,515	)	$	(8,978	)
Management fee		15,037			9,416
Net realized gain (loss)		(446,365	)		95,412
Change in net unrealized appreciation (depreciation)		(281,290	)		(13,219	)
Net Income (loss)	$	(736,170	)	$	73,215

The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended June 30, 2022.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
NAV beginning of period	$	355,029,822		$	214,548,056
NAV end of period	$	239,938,853		$	243,456,703
Percentage change in NAV		(32.4	)%		13.5	%
Shares outstanding beginning of period		5,300,000			3,950,000
Shares outstanding end of period		4,250,000			4,250,000
Percentage change in shares outstanding		(19.8	)%		7.6	%
Shares created		100,000			400,000
Shares redeemed		1,150,000			100,000
Per share NAV beginning of period	$	66.99		$	54.32
Per share NAV end of period	$	56.46		$	57.28
Percentage change in per share NAV		(15.7	)%		5.5	%
Percentage change in benchmark		(7.6	)%		3.2	%
Benchmark annualized volatility		13.8	%		14.6	%

During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,300,000 outstanding Shares at March 31, 2022 to 4,250,000 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex

By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 3,950,000 outstanding Shares at March 31, 2021 to 4,250,000 outstanding Shares at June 30, 2021. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Gold Subindex

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.7% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 5.5% for the three months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

The benchmark’s decline of 7.6% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 3.2% for the three months ended June 30, 2021, can be attributed to a decrease in the value of gold futures contracts during the period ended June 30, 2022.

136

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
Net investment income (loss)	$	(419,722	)	$	(569,965	)
Management fee		716,148			568,040
Brokerage commission		14,064			8,665
Futures account fees		8,664			13,354
Net realized gain (loss)		(57,901,083	)		45,506,367
Change in net unrealized appreciation (depreciation)		4,971,043			(33,478,303	)
Net Income (loss)	$	(53,349,762	)	$	11,458,099

The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of futures prices during the three months ended June 30, 2022.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
NAV beginning of period	$	558,375,841		$	572,501,249
NAV end of period	$	355,577,515		$	661,778,727
Percentage change in NAV		(36.3	)%		15.6	%
Shares outstanding beginning of period		14,296,526			13,846,526
Shares outstanding end of period		14,346,526			14,396,526
Percentage change in shares outstanding		0.3	%		4.0	%
Shares created		800,000			1,000,000
Shares redeemed		750,000			450,000
Per share NAV beginning of period	$	39.06		$	41.35
Per share NAV end of period	$	24.78		$	45.97
Percentage change in per share NAV		(36.6	)%		11.2	%
Percentage change in benchmark		(19.4	)%		6.5	%
Benchmark annualized volatility		23.7	%		25.5	%

. The decrease in the Fund’s NAV was offset by an increase from 14,296,526 outstanding Shares at March 31, 2022 to 14,346,526 outstanding Shares at June 30, 2022.

. The increase in the Fund’s NAV also resulted in part from an increase from 13,846,526 outstanding Shares at March 31, 2021 to 14,396,526 outstanding Shares at June 30, 2021.

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 36.6% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 11.2% for the three months ended June 30, 2021, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

137

During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 83,528,420 outstanding Shares at March 31, 2022 to 67,228,420 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.

By comparison, during the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 22,803,091 outstanding Shares at March 31, 2021 to 30,128,420 outstanding Shares at June 30, 2021.

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.5% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 50.5% for the three months ended June 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
Net investment income (loss)	$	(3,277,402	)	$	(3,975,284	)
Management fee		2,293,738			2,293,121
Brokerage commission		970,211			1,173,276
Futures account fees		444,123			711,443
Net realized gain (loss)		90,701,501			(854,526,924	)
Change in net unrealized appreciation (depreciation)		196,735,349			244,115,248
Net Income (loss)	$	284,159,448		$	(614,386,960	)

The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to an increase in the value of futures prices during the three months ended June 30, 2022.

139

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
NAV beginning of period	$	2,099,705		$	2,587,694
NAV end of period	$	5,024,773		$	2,560,348
Percentage change in NAV		139.3	%		(1.1	)%
Shares outstanding beginning of period		49,970			49,970
Shares outstanding end of period		149,970			49,970
Percentage change in shares outstanding		200.1	%		—	%
Shares created		100,000			—
Shares redeemed		—			—
Per share NAV beginning of period	$	42.02		$	51.78
Per share NAV end of period	$	33.51		$	51.24
Percentage change in per share NAV		(20.3	)%		(1.1	)%
Percentage change in benchmark		(10.3	)%		(0.3	)%
Benchmark annualized volatility		11.5	%		4.9	%

During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at March 31, 2022 to 149,970 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

By comparison, during the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2021 to June 30, 2021.

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 20.3% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 1.1% for the three months ended June 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

The benchmark’s decline of 10.3% for the three months ended June 30, 2022, as compared to the benchmark’s decline of 0.3% for the three months ended June 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
Net investment income (loss)	$	(4,972	)	$	(5,955	)
Management fee		8,036			6,262
Net realized gain (loss)		(761,478	)		(140,007	)
Change in net unrealized appreciation (depreciation)		152,185			118,616
Net Income (loss)	$	(614,265	)	$	(27,346	)

The Fund’s net income decreased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2022.

140

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.0% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 37.1% for the three months ended June 30, 2021, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
Net investment income (loss)	$	(849,692	)	$	(208,741	)
Management fee		946,110			181,035
Brokerage commission		107,079			28,581
Futures account fees		85,802			17,468
Net realized gain (loss)		(102,594,000	)		(26,010,421	)
Change in net unrealized appreciation (depreciation)		34,757,114			(9,947,432	)
Net Income (loss)	$	(68,686,578	)	$	(36,166,594	)

*	See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil.

ProShares UltraShort Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
NAV beginning of period	$	250,340,837		$	69,459,275
NAV end of period	$	211,823,446		$	97,525,300
Percentage change in NAV		(15.4	)%		40.4	%
Shares outstanding beginning of period		3,868,619			88,742
Shares outstanding end of period		4,966,856			226,242
Percentage change in shares outstanding		28.4	%		154.9	%
Shares created		18,700,000			172,500
Shares redeemed		17,601,764			35,000
Per share NAV beginning of period	$	64.71		$	782.71
Per share NAV end of period	$	42.65		$	431.07
Percentage change in per share NAV		(34.1	)%		(44.9	)%
Percentage change in benchmark		(6.0	)%		30.3	%
Benchmark annualized volatility		87.3	%		27.8	%

142

During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a increase from 3,868,619 outstanding Shares at March 31, 2022 to 4,966,856 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex

By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 88,742 outstanding Shares at March 31, 2021 to 226,242 outstanding Shares at June 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 34.1% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 44.9% for the three months ended June 30, 2021, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

The benchmark’s decline of 6.0% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 30.3% for the three months ended June 30, 2021, can be attributed to a decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
Net investment income (loss)	$	(610,379	)	$	(313,757	)
Management fee		510,704			191,311
Brokerage commission		144,907			96,343
Futures account fees		76,956			33,853
Net realized gain (loss)		(282,646,884	)		(10,305,304	)
Change in net unrealized appreciation (depreciation)		228,079,127			(33,693,761	)
Net Income (loss)	$	(55,178,136	)	$	(44,312,822	)

*	See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Natural Gas.

143

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
NAV beginning of period	$	50,498,084		$	54,932,137
NAV end of period	$	62,270,097		$	48,820,440
Percentage change in NAV		23.3	%		(11.1	)%
Shares outstanding beginning of period		1,850,000			2,250,000
Shares outstanding end of period		2,050,000			2,050,000
Percentage change in shares outstanding		10.8	%		(8.9	)%
Shares created		500,000			—
Shares redeemed		300,000			200,000
Per share NAV beginning of period	$	27.30		$	24.41
Per share NAV end of period	$	30.38		$	23.81
Percentage change in per share NAV		11.3	%		(2.5	)%
Percentage change in benchmark		(5.3	)%		1.1	%
Benchmark annualized volatility		9.1	%		5.9	%

During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,850,000 outstanding Shares at March 31, 2022 to 2,050,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.

By comparison, during the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,250,000 outstanding Shares at March 31, 2021 to 2,050,000 outstanding Shares at June 30, 2021. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 11.3% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 2.5% for the three months ended June 30, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
Net investment income (loss)	$	(107,923	)	$	(109,040	)
Management fee		146,934			114,680
Net realized gain (loss)		3,065,129			(795,757	)
Change in net unrealized appreciation (depreciation)		3,039,738			(511,170	)
Net Income (loss)	$	5,996,944		$	(1,415,967	)

144

The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended June 30, 2022.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
NAV beginning of period	$	32,598,451		$	41,243,515
NAV end of period	$	34,611,284		$	32,835,014
Percentage change in NAV		6.2	%		(20.4	)%
Shares outstanding beginning of period		1,196,977			1,096,977
Shares outstanding end of period		1,096,977			946,977
Percentage change in shares outstanding		(8.4	)%		(13.7	)%
Shares created		700,000			300,000
Shares redeemed		800,000			450,000
Per share NAV beginning of period	$	27.23		$	37.60
Per share NAV end of period	$	31.55		$	34.67
Percentage change in per share NAV		15.9	%		(7.8	)%
Percentage change in benchmark		(7.6	)%		3.2	%
Benchmark annualized volatility		13.8	%		14.6	%

During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex

. The increase in the Fund’s NAV was offset by a decrease from 1,196,977 outstanding Shares at March 31, 2022 to 1,096,977 outstanding Shares at June 30, 2022.

By comparison, during the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,096,977 outstanding Shares at March 31, 2021 to 946,977 outstanding Shares at June 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Gold Subindex

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 15.9% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 7.8% for the three months ended June 30, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

The benchmark’s decline of 7.6% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 3.2% for the three months ended June 30, 2021, can be attributed to decrease in the value of gold futures contracts during the period ended June 30, 2022.

145

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
Net investment income (loss)	$	(59,266	)	$	(70,877	)
Management fee		75,676			69,968
Brokerage commission		2,985			2,283
Futures account fees		580			1,802
Net realized gain (loss)		4,557,870			(6,984,547	)
Change in net unrealized appreciation (depreciation)		289,951			3,806,053
Net Income (loss)	$	4,788,555		$	(3,249,371	)

The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to decrease in the value of the futures prices during the three months ended June 30, 2022.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
NAV beginning of period	$	23,406,516		$	45,144,664
NAV end of period	$	33,052,840		$	34,859,763
Percentage change in NAV		41.2	%		(22.8	)%
Shares outstanding beginning of period		1,091,329			1,616,744
Shares outstanding end of period		1,041,329			1,491,329
Percentage change in shares outstanding		(4.6	)%		(7.8	)%
Shares created		700,000			300,000
Shares redeemed		750,000			425,415
Per share NAV beginning of period	$	21.45		$	27.92
Per share NAV end of period	$	31.74		$	23.37
Percentage change in per share NAV		48.0	%		(16.3	)%
Percentage change in benchmark		(19.4	)%		6.5	%
Benchmark annualized volatility		23.7	%		25.5	%

. The increase in the Fund’s NAV was offset by a decrease from 1,091,329 outstanding Shares at March 31, 2022 to 1,041,329 outstanding Shares at June 30, 2022.

. The decrease in the Fund’s NAV also resulted in part from a decrease from 1,616,744 outstanding Shares at March 31, 2021 to 1,491,329 outstanding Shares at June 30, 2021.

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 48.0% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 16.3% for the three months ended June 30, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

146

The benchmark’s decline of 19.4% for the three months ended June 30, 2022, as compared to the benchmark’s rise of 6.5% for the three months ended June 30, 2021, can be attributed to a decrease in the value of the silver futures contracts during the period ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
Net investment income (loss)	$	(51,484	)	$	(78,184	)
Management fee		62,381			72,831
Brokerage commission		6,677			3,824
Futures account fees		1,169			4,207
Net realized gain (loss)		9,411,232			(5,876,456	)
Change in net unrealized appreciation (depreciation)		3,853,312			(925,320	)
Net Income (loss)	$	13,213,060		$	(6,879,960	)

The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a decrease in the value of futures prices during the three months ended June 30, 2022.

ProShares UltraShort Yen*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
NAV beginning of period	$	27,726,701		$	34,921,840
NAV end of period	$	45,568,882		$	27,231,748
Percentage change in NAV		64.4	%		(22.0	)%
Shares outstanding beginning of period		598,580			898,580
Shares outstanding end of period		798,580			698,580
Percentage change in shares outstanding		33.4	%		(22.3	)%
Shares created		650,000			—
Shares redeemed		450,000			200,000
Per share NAV beginning of period	$	46.32		$	38.86
Per share NAV end of period	$	57.06		$	38.98
Percentage change in per share NAV		23.2	%		0.3	%
Percentage change in benchmark		(10.3	)%		(0.3	)%
Benchmark annualized volatility		11.4	%		4.9	%

During the three months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 598,580 outstanding Shares at March 31, 2022 to 798,580 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

147

By comparison, during the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 898,580 outstanding Shares at March 31, 2021 to 698,580 outstanding Shares at June 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 23.2% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 0.3% for the three months ended June 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
Net investment income (loss)	$	(66,268	)	$	(68,876	)
Management fee		93,181			72,446
Net realized gain (loss)		7,917,170			1,598,086
Change in net unrealized appreciation (depreciation)		(1,367,929	)		(1,645,477	)
Net Income (loss)	$	6,482,973		$	(116,267	)

The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2022.

*	See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Yen.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
NAV beginning of period	$	97,869,914		$	75,122,747
NAV end of period	$	95,721,271		$	92,662,734
Percentage change in NAV		(2.2	)%		23.3	%
Shares outstanding beginning of period		3,112,403			2,162,403
Shares outstanding end of period		2,712,403			3,037,403
Percentage change in shares outstanding		(12.9	)%		40.5	%
Shares created		300,000			1,025,000
Shares redeemed		700,000			150,000
Per share NAV beginning of period	$	31.45		$	34.74
Per share NAV end of period	$	35.29		$	30.51
Percentage change in per share NAV		12.2	%		(12.2	)%
Percentage change in benchmark		12.9	%		(11.9	)%
Benchmark annualized volatility		37.1	%		31.1	%

148

During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,112,403 outstanding Shares at March 31, 2022 to 2,712,403 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

By comparison, during the three months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 2,162,403 outstanding Shares at March 31, 2021 to 3,037,403 outstanding Shares at June 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 12.2% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 12.2% for the three months ended June 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

The benchmark’s rise of 12.9% for the three months ended June 30, 2022, as compared to the benchmark’s decline of 11.9% for the three months ended June 30, 2021, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
Net investment income (loss)	$	(184,164	)	$	(227,144	)
Management fee		210,584			187,266
Brokerage commission		15,500			16,096
Futures account fees		10,906			32,131
Net realized gain (loss)		7,862,052			(14,405,542	)
Change in net unrealized appreciation (depreciation)		3,992,670			3,572,030
Net Income (loss)	$	11,670,558		$	(11,060,656	)

The Fund’s net income increased for the three months ended June 30, 2022 as compared to the three months ended June 30, 2021, primarily due to an increase in the value of the futures prices during the three months ended June 30, 2022.

149

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2022 and 2021:


	Three Months Ended June 30, 2022			Three Months Ended June 30, 2021
NAV beginning of period	$	404,950,400		$	349,578,758
NAV end of period	$	341,714,316		$	272,352,675
Percentage change in NAV		(15.6	)%		(22.1	)%
Shares outstanding beginning of period		24,382,826			9,375,329
Shares outstanding end of period		18,757,826			11,307,826
Percentage change in shares outstanding		(23.1	)%		20.6	%
Shares created		8,175,000			3,925,000
Shares redeemed		13,800,000			1,992,503
Per share NAV beginning of period	$	16.61		$	37.29
Per share NAV end of period	$	18.22		$	24.09
Percentage change in per share NAV		9.6	%		(35.6	)%
Percentage change in benchmark		10.3	%		(35.2	)%
Benchmark annualized volatility		90.4	%		70.5	%

During the three months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 24,382,826 outstanding Shares at March 31, 2022 to 18,757,826 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

By comparison, during the three months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 9,375,329 outstanding Shares at March 31, 2021 to 11,307,826 outstanding Shares at June 30, 2021.

For the three months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.6% for the three months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 35.6% for the three months ended June 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2022.

The benchmark’s rise of 10.3% for the three months ended June 30, 2022, as compared to the benchmark’s decline of 35.2% for the three months ended June 30, 2021, can be attributed to an increase in the value of the near-term futures contracts on the VIX futures curve during the period ended June 30, 2022.

150

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
NAV beginning of period	$	1,103,783,570		$	902,739,250
NAV end of period	$	1,060,867,238		$	1,303,530,902
Percentage change in NAV		(3.9	)%		44.4	%
Shares outstanding beginning of period		51,243,096			99,243,096
Shares outstanding end of period		25,493,096			66,643,096
Percentage change in shares outstanding		(50.3	)%		(32.8	)%
Shares created		10,300,000			13,600,000
Shares redeemed		36,050,000			46,200,000
Per share NAV beginning of period	$	21.54		$	9.10
Per share NAV end of period	$	41.61		$	19.56
Percentage change in per share NAV		93.2	%		115.0	%
Percentage change in benchmark		45.9	%		50.1	%
Benchmark annualized volatility		41.9	%		28.2	%

During the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily due to the change in shares outstanding and offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an decrease from 51,243,096 outstanding Shares at December 31, 2021 to 25,493,096 outstanding Shares at June 30, 2022

By comparison, during the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Commodity Balance WTI Crude Oil Index

. The increase in the Fund’s NAV was offset by a decrease from 99,243,096 outstanding Shares at December 31, 2020 to 66,643,096 outstanding Shares at June 30, 2021.

For the six months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 93.2% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 115.0% for the six months ended June 30, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.

The benchmark’s rise of 45.9% for the six months ended June 30, 2022, as compared to the benchmark’s rise of 50.1% for the six months ended June 30, 2021, can be attributed to a lesser increase in the value of WTI Crude Oil during the period ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
Net investment income (loss)	$	(5,308,864	)	$	(5,969,866	)
Management fee		6,183,716			5,329,377
Brokerage commission		335,751			503,212
Futures account fees		362,288			416,685
Net realized gain (loss)		1,162,711,373			654,856,887
Change in net unrealized appreciation (depreciation)		(306,208,096	)		192,954,795
Net Income (loss)	$	851,194,413		$	841,841,816

154

The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the six months ended June 30, 2022.

*	See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares Ultra Bloomberg Crude Oil.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
NAV beginning of period	$	193,892,178		$	169,800,371
NAV end of period	$	187,297,842		$	70,213,227
Percentage change in NAV		(3.4	)%		(58.6	)%
Shares outstanding beginning of period		7,587,527			8,087,527
Shares outstanding end of period		4,737,527			1,987,527
Percentage change in shares outstanding		(37.6	)%		(75.4	)%
Shares created		9,100,000			4,050,000
Shares redeemed		11,950,000			10,150,000
Per share NAV beginning of period	$	25.55		$	21.00
Per share NAV end of period	$	39.53		$	35.33
Percentage change in per share NAV		54.7	%		68.3	%
Percentage change in benchmark		48.9	%		34.2	%
Benchmark annualized volatility		80.3	%		35.5	%

During the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 7,587,527 outstanding Shares at December 31, 2021 to 4,737,527 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex

By comparison, during the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,087,527 outstanding Shares at December 31, 2020 to 1,987,527 outstanding Shares at June 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Natural Gas Subindex

For the six months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 54.7% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 68.3% for the six months ended June 30, 2021, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.

The benchmark’s rise of 48.9% for the six months ended June 30, 2022, as compared to the benchmark’s rise of 34.2% for the six months ended June 30, 2021, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended June 30, 2022.

155

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
Net investment income (loss)	$	(1,082,671	)	$	(632,508	)
Management fee		931,234			407,773
Brokerage commission		203,158			155,359
Futures account fees		134,330			94,735
Net realized gain (loss)		241,207,930			46,484,224
Change in net unrealized appreciation (depreciation)		(186,420,725	)		10,549,049
Net Income (loss)	$	53,704,534		$	56,400,765

The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the six months ended June 30, 2022.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
NAV beginning of period	$	8,659,095		$	4,737,350
NAV end of period	$	9,415,626		$	3,668,741
Percentage change in NAV		8.7	%		(22.6	)%
Shares outstanding beginning of period		650,000			300,000
Shares outstanding end of period		850,000			250,000
Percentage change in shares outstanding		30.8	%		(16.7	)%
Shares created		550,000			100,000
Shares redeemed		350,000			150,000
Per share NAV beginning of period	$	13.32		$	15.79
Per share NAV end of period	$	11.08		$	14.67
Percentage change in per share NAV		(16.8	)%		(7.1	)%
Percentage change in benchmark		(7.9	)%		(2.9	)%
Benchmark annualized volatility		8.8	%		6.1	%

During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 650,000 outstanding Shares at December 31, 2021 to 850,000 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.

By comparison, during the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2020 to 250,000 outstanding Shares at June 30, 2021. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the euro versus the U.S. dollar.

For the six months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.8% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 7.1% for the six months ended June 30, 2021, was primarily due to a greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.

156

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
NAV beginning of period	$	515,453,594		$	745,304,028
NAV end of period	$	355,577,515		$	661,778,727
Percentage change in NAV		(31.0	)%		(11.2	)%
Shares outstanding beginning of period		14,796,526			14,696,526
Shares outstanding end of period		14,346,526			14,396,526
Percentage change in shares outstanding		(3.0	)%		(2.0	)%
Shares created		1,800,000			3,400,000
Shares redeemed		2,250,000			3,700,000
Per share NAV beginning of period	$	34.84		$	50.71
Per share NAV end of period	$	24.78		$	45.97
Percentage change in per share NAV		(28.9	)%		(9.4	)%
Percentage change in benchmark		(13.4	)%		(1.2	)%
Benchmark annualized volatility		28.2	%		35.9	%

During the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the Bloomberg Silver Subindex

. The decrease in the Fund’s NAV also resulted in part from a decrease from 14,796,526 outstanding Shares at December 31, 2021 to 14,346,526 outstanding Shares at June 30, 2022.

. The decrease in the Fund’s NAV also resulted in part from a decrease from 14,696,526 outstanding Shares at December 31, 2020 to 14,396,526 outstanding Shares at June 30, 2021.

For the six months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 28.9% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 9.4% for the six months ended June 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.

The benchmark’s decline of 13.4% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 1.2% for the six months ended June 30, 2021, can be attributed to a greater decrease in the value of silver futures contracts during the period ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
Net investment income (loss)	$	(1,823,952	)	$	(3,381,011	)
Management fee		2,299,939			3,246,292
Brokerage commission		59,283			87,297
Futures account fees		26,693			211,080
Net realized gain (loss)		(39,558,312	)		121,281,221
Change in net unrealized appreciation (depreciation)		(108,172,044	)		(186,138,026	)
Net Income (loss)	$	(149,554,308	)	$	(68,237,816	)

159

The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater decrease in the value of futures prices during the six months ended June 30, 2022.

ProShares Ultra VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
NAV beginning of period	$	816,679,636		$	1,356,204,199
NAV end of period	$	975,683,533		$	840,870,703
Percentage change in NAV		19.5	%		(38.0	)%
Shares outstanding beginning of period		65,828,420			12,713,091
Shares outstanding end of period		67,228,420			30,128,420
Percentage change in shares outstanding		2.1	%		137.0	%
Shares created		141,500,000			32,585,000
Shares redeemed		140,100,000			15,169,671
Per share NAV beginning of period	$	12.41		$	106.68
Per share NAV end of period	$	14.51		$	27.91
Percentage change in per share NAV		17.0	%		(73.8	)%
Percentage change in benchmark		21.6	%		(56.0	)%
Benchmark annualized volatility		88.1	%%		76.0	%

During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 65,828,420 outstanding Shares at December 31, 2021 to 67,228,420 outstanding Shares at June 30, 2022.

By comparison, during the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to one and one-half times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 12,713,091 outstanding Shares at December 31, 2020 to 30,128,420 outstanding Shares at June 30, 2021.

For the six months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 17.0% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 73.8% for the six months ended June 30, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.

160

The benchmark’s rise of 21.6% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 56.0% for the six months ended June 30, 2021, can be attributed to an increase in the value of near-term futures contracts on the VIX futures curve during the period ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
Net investment income (loss)	$	(6,862,764	)	$	(12,044,833	)
Management fee		4,254,915			6,676,198
Brokerage commission		1,906,969			3,129,904
Futures account fees		1,226,811			2,555,256
Net realized gain (loss)		371,681,032			(1,559,026,428	)
Change in net unrealized appreciation (depreciation)		161,734,465			(40,244,083	)
Net Income (loss)	$	526,552,733		$	(1,611,315,344	)

The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to an increase in the value of futures prices during the six months ended June 30, 2022.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
NAV beginning of period	$	2,362,849		$	2,989,499
NAV end of period	$	5,024,773		$	2,560,348
Percentage change in NAV		112.7	%		(14.4	)%
Shares outstanding beginning of period		49,970			49,970
Shares outstanding end of period		149,970			49,970
Percentage change in shares outstanding		200.1	%		—	%
Shares created		100,000			—
Shares redeemed		—			—
Per share NAV beginning of period	$	47.29		$	59.83
Per share NAV end of period	$	33.51		$	51.24
Percentage change in per share NAV		(29.2	)%		(14.4	)%
Percentage change in benchmark		(15.2	)%		(7.1	)%
Benchmark annualized volatility		9.5	%		5.0	%

During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 49,970 outstanding Shares at December 31, 2021 to 149,970 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

By comparison, during the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times (2x) the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to June 30, 2021.

For the six months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 29.2% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 14.4% for the six months ended June 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.

The benchmark’s decline of 15.2% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 7.1% for the six months ended June 30, 2021, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2022.

161

During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 1,776,760 outstanding Shares at December 31, 2021 to 21,755,220 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Commodity Balanced WTI Crude Oil Index

. The decrease in the Fund’s NAV was offset by an increase from 416,994 outstanding Shares at December 31, 2020 to 876,760 outstanding Shares at June 30, 2021.

For the six months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 64.2% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 61.0% for the six months ended June 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
Net investment income (loss)	$	(1,435,665	)	$	(509,925	)
Management fee		1,438,757			402,298
Brokerage commission		184,135			71,625
Futures account fees		155,979			65,180
Net realized gain (loss)		(209,076,101	)		(75,188,186	)
Change in net unrealized appreciation (depreciation)		36,686,156			(4,308,588	)
Net Income (loss)	$	(173,825,610	)	$	(80,006,699	)

The Fund’s net income decreased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a lesser increase in the value of WTI Crude Oil, in conjunction with the timing of shareholder activity, during the six months ended June 30, 2022.

*	See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Crude Oil.

163

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
NAV beginning of period	$	242,145,130		$	24,977,745
NAV end of period	$	211,823,446		$	97,525,300
Percentage change in NAV		(12.5	)%		290.4	%
Shares outstanding beginning of period		978,742			26,242
Shares outstanding end of period		4,966,856			226,242
Percentage change in shares outstanding		407.5	%		762.1	%
Shares created		23,340,000			377,500
Shares redeemed		19,351,886			177,500
Per share NAV beginning of period	$	247.40		$	951.82
Per share NAV end of period	$	42.65		$	431.07
Percentage change in per share NAV		(82.8	)%		(54.7	)%
Percentage change in benchmark		48.9	%		34.2	%
Benchmark annualized volatility		80.3	%		35.5	%

During the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex

. The decrease in the Fund’s NAV was offset by an increase from 978,742 outstanding Shares at December 31, 2021 to 4,966,856 outstanding Shares at June 30, 2022.

By comparison, during the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 26,242 outstanding Shares at December 31, 2020 to 226,242 outstanding Shares at June 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Natural Gas Subindex

For the six months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 82.8% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 54.7% for the six months ended June 30, 2021, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
Net investment income (loss)	$	(1,447,798	)	$	(574,164	)
Management fee		1,053,068			350,648
Brokerage commission		365,858			182,023
Futures account fees		206,885			57,126
Net realized gain (loss)		(397,371,192	)		(16,664,698	)
Change in net unrealized appreciation (depreciation)		140,292,056			(17,798,697	)
Net Income (loss)	$	(258,526,934	)	$	(35,037,559	)

164

*	See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares UltraShort Bloomberg Natural Gas.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
NAV beginning of period	$	54,263,045		$	52,953,339
NAV end of period	$	62,270,097		$	48,820,440
Percentage change in NAV		14.8	%		(7.8	)%
Shares outstanding beginning of period		2,100,000			2,350,000
Shares outstanding end of period		2,050,000			2,050,000
Percentage change in shares outstanding		(2.4	)%		(12.8	)%
Shares created		550,000			200,000
Shares redeemed		600,000			500,000
Per share NAV beginning of period	$	25.84		$	22.53
Per share NAV end of period	$	30.38		$	23.81
Percentage change in per share NAV		17.5	%		5.7	%
Percentage change in benchmark		(7.9	)%		(2.9	)%
Benchmark annualized volatility		8.8	%		6.1	%

During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 2,100,000 outstanding Shares at December 31, 2021 to 2,050,000 outstanding Shares at June 30, 2022.

By comparison, during the six months ended June 30, 2021, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,350,000 outstanding Shares at December 31, 2020 to 2,050,000 outstanding Shares at June 30, 2021. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the euro versus the U.S. dollar.

For the six months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 17.5% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 5.7% for the six months ended June 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.

165

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
NAV beginning of period	$	26,537,000		$	28,885,775
NAV end of period	$	33,052,840		$	34,859,763
Percentage change in NAV		24.6	%		20.7	%
Shares outstanding beginning of period		991,329			1,041,744
Shares outstanding end of period		1,041,329			1,491,329
Percentage change in shares outstanding		5.0	%		43.2	%
Shares created		1,800,000			2,750,000
Shares redeemed		1,750,000			2,300,415
Per share NAV beginning of period	$	26.77		$	27.73
Per share NAV end of period	$	31.74		$	23.37
Percentage change in per share NAV		18.6	%		(15.7	)%
Percentage change in benchmark		(13.4	)%		(1.2	)%
Benchmark annualized volatility		28.2	%		35.9	%

. The increase in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 991,329 outstanding Shares at December 31, 2021 to 1,041,329 outstanding Shares at June 30, 2022.

By comparison, during the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,041,744 outstanding Shares at December 31, 2020 to 1,491,329 outstanding Shares at June 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Bloomberg Silver Subindex

For the six months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 18.6% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 15.7% for the six months ended June 30, 2021, was primarily due to an appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.

The benchmark’s decline of 13.4% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 1.2% for the six months ended June 30, 2021, can be attributed to a greater decrease in the value of the silver futures contracts during the period ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
Net investment income (loss)	$	(112,092	)	$	(177,247	)
Management fee		123,334			157,576
Brokerage commission		11,978			11,268
Futures account fees		4,443			14,198
Net realized gain (loss)		2,037,296			(8,808,722	)
Change in net unrealized appreciation (depreciation)		5,642,964			6,541,191
Net Income (loss)	$	7,568,168		$	(2,444,778	)

The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater decrease in the value of futures prices during the six months ended June 30, 2022.

168

ProShares UltraShort Yen*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
NAV beginning of period	$	24,840,784		$	23,691,070
NAV end of period	$	45,568,882		$	27,231,748
Percentage change in NAV		83.4	%		14.9	%
Shares outstanding beginning of period		598,580			698,580
Shares outstanding end of period		798,580			698,580
Percentage change in shares outstanding		33.4	%		—	%
Shares created		850,000			200,000
Shares redeemed		650,000			200,000
Per share NAV beginning of period	$	41.50		$	33.91
Per share NAV end of period	$	57.06		$	38.98
Percentage change in per share NAV		37.5	%		15.0	%
Percentage change in benchmark		(15.2	)%		(7.1	)%
Benchmark annualized volatility		9.5	%		5.0	%

During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from an increase from 598,980 outstanding Shares at December 31, 2021 to 798,580 outstanding Shares at June 30, 2022. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

By comparison, during the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2020 to June 30, 2021.

For the six months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 37.5% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV increase of 15.0% for the six months ended June 30, 2021, was primarily due to greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.

169

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
Net investment income (loss)	$	(116,689	)	$	(131,833	)
Management fee		153,001			138,999
Net realized gain (loss)		9,100,314			2,857,659
Change in net unrealized appreciation (depreciation)		70,535			1,256,265
Net Income (loss)	$	9,054,160		$	3,982,091

The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2022.

*	See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the forward Share split for ProShares UltraShort Yen.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
NAV beginning of period	$	112,875,680		$	72,075,095
NAV end of period	$	95,721,271		$	92,662,734
Percentage change in NAV		(15.2	)%		28.6	%
Shares outstanding beginning of period		3,687,403			1,962,403
Shares outstanding end of period		2,712,403			3,037,403
Percentage change in shares outstanding		(26.4	)%		54.8	%
Shares created		1,000,000			1,425,000
Shares redeemed		1,975,000			350,000
Per share NAV beginning of period	$	30.61		$	36.73
Per share NAV end of period	$	35.29		$	30.51
Percentage change in per share NAV		15.3	%		(16.9	)%
Percentage change in benchmark		16.5	%		(16.4	)%
Benchmark annualized volatility		34.9	%		30.8	%

During the six months ended June 30, 2022, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,687,403 outstanding Shares at December 31, 2021 to 2,712,403 outstanding Shares at June 30, 2022. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

By comparison, during the six months ended June 30, 2021, the increase in the Fund’s NAV resulted primarily from an increase from 1,962,403 outstanding Shares at December 31, 2020 to 3,037,403 outstanding Shares at June 30, 2021. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

170

For the six months ended June 30, 2022 and 2021, the Fund’s daily performance had a statistical correlation over 0.99 to the daily performance of its benchmark. The Fund’s per Share NAV increase of 15.3% for the six months ended June 30, 2022, as compared to the Fund’s per Share NAV decrease of 16.9% for the six months ended June 30, 2021, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2022.

The benchmark’s rise of 16.5% for the six months ended June 30, 2022, as compared to the benchmark’s decline of 16.4% for the six months ended June 30, 2021, can be attributed to an increase in the value of the futures contracts that made the S&P 500 VIX Mid-Term Futures Index during the period ended June 30, 2022.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
Net investment income (loss)	$	(436,261	)	$	(431,944	)
Management fee		426,247			365,346
Brokerage commission		40,369			27,408
Futures account fees		46,394			57,763
Net realized gain (loss)		12,653,549			(10,866,226	)
Change in net unrealized appreciation (depreciation)		3,518,835			(4,703,492	)
Net Income (loss)	$	15,736,123		$	(16,001,662	)

The Fund’s net income increased for the six months ended June 30, 2022 as compared to the six months ended June 30, 2021, primarily due to an increase in the value of the futures prices during the six months ended June 30, 2022.

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2022 and 2021:


	Six Months Ended June 30, 2022			Six Months Ended June 30, 2021
NAV beginning of period	$	269,703,164		$	293,390,549
NAV end of period	$	341,714,316		$	272,352,675
Percentage change in NAV		26.7	%		(7.2	)%
Shares outstanding beginning of period		17,832,826			5,331,579
Shares outstanding end of period		18,757,826			11,307,826
Percentage change in shares outstanding		5.2	%		112.1	%
Shares created		18,125,000			10,256,250
Shares redeemed		17,200,000			4,280,003
Per share NAV beginning of period	$	15.12		$	55.03
Per share NAV end of period	$	18.22		$	24.09
Percentage change in per share NAV		20.4	%		(56.2	)%
Percentage change in benchmark		21.6	%		(56.0	)%
Benchmark annualized volatility		88.1	%		76.0	%

During the six months ended June 30, 2022, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV also resulted in part from an increase from 17,832,826 outstanding Shares at December 31, 2021 to 18,757,826 outstanding Shares at June 30, 2022.

171

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Exchange Rate Sensitivity, Equity Market Volatility Sensitivity, and Commodity Price Sensitivity

Each of the Funds is exposed to certain risks pertaining to the use of Financial Instruments. Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. Each of the Commodity Funds and Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments.

The tables below provide information about each of the Currency Funds’ Financial Instruments, VIX Funds’ Financial Instruments, and Commodity Funds’ and the Commodity Index Funds’ Financial Instruments. As of June 30, 2022 and 2021, each of the Fund’s positions were as follows:

ProShares Short VIX Short-Term Futures ETF

As of June 30, 2022 and 2021, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of June 30, 2022 and 2021, which were sensitive to equity market volatility risk.


Futures Positions as of June 30, 2022
Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)		Short	July 2022		3,652	$	28.56		1,000	$	(104,309,520	)
VIX Futures (Cboe)		Short	August 2022		3,346		29.18		1,000		(97,627,580	)


Futures Positions as of June 30, 2021
Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)		Short	July 2021		8,517	$	17.90		1,000	$	(152,482,406	)
VIX Futures (Cboe)		Short	August 2021		7,201		19.75		1,000		(142,210,389	)

The June 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

173

Swap Agreements as of June 30, 2021

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Commodity Balanced WTI Crude Oil Index

Citibank, N.A.

Long

60.4445

54,331,869

Bloomberg Commodity Balanced WTI Crude Oil Index

Goldman Sachs International

Long

60.4445

192,754,488

Bloomberg Commodity Balanced WTI Crude Oil Index

Morgan Stanley & Co.
International PLC

Long

60.4445

249,583,741

Bloomberg Commodity Balanced WTI Crude Oil Index

Societe Generale

Long

60.4445

128,583,706

Bloomberg Commodity Balanced WTI Crude Oil Index

UBS AG

Long

60.4445

191,424,891

The June 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2022 and 2021 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of exposure to the Index for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Bloomberg Natural Gas:

As of June 30, 2022 and 2021, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Natural Gas (NYMEX)

Long

September 2022

6,954

5.39

10,000

374,959,680

Futures Positions as of June 30, 2021

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Natural Gas (NYMEX)

Long

September 2021

3,875

3.62

10,000

140,430,000

The June 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of exposure to the Index for every $1.00 of net assets. Future

period

175

ProShares Ultra Euro:

As of June 30, 2022 and 2021, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2022

Reference

Currency

Counterparty

Long or
Short

Settlement
Date

Local Currency

Forward
Rate

Market Value
USD

Euro

Goldman Sachs International

Long

07/08/22

4,532,921

1.0752

4,873,797

Euro

UBS AG

Long

07/08/22

14,836,502

1.0632

15,774,356

Euro

UBS AG

Short

07/08/22

(1,446,000

)

1.0601

(1,532,970

)

Foreign Currency Forward Contracts as of June 30, 2021

Reference

Currency

Counterparty

Long or
Short

Settlement
Date

Local Currency

Forward
Rate

Market Value
USD

Euro

Goldman Sachs International

Long

07/09/21

3,450,921

1.2118

4,181,993

Euro

UBS AG

Long

07/09/21

4,235,502

1.2213

5,172,812

Euro

UBS AG

Short

07/09/21

(1,496,000

)

1.1883

(1,777,623

)

The June 30, 2022 and 2021 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of exposure to the euro for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Gold:

As of June 30, 2022 and 2021 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex

. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Gold Futures (COMEX)

Long

August 2022

954

1,807.30

100

172,416,420

Swap Agreements as of June 30, 2022

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Gold Subindex

Citibank, N.A.

Long

197.5387

109,384,670

Bloomberg Gold Subindex

Goldman Sachs International

Long

197.5387

84,543,271

Bloomberg Gold Subindex

UBS AG

Long

197.5387

113,788,925

Futures Positions as of June 30, 2021

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Gold Futures (COMEX)

Long

August 2021

972

1,771.60

100

172,199,520

176

Swap Agreements as of June 30, 2021

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Gold Subindex

Citibank, N.A.

Long

195.7033

108,368,339

Bloomberg Gold Subindex

Goldman Sachs International

Long

195.7033

93,647,812

Bloomberg Gold Subindex

UBS AG

Long

195.7033

112,731,674

The June 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2022 and 2021 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of exposure to the Index for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Silver:

As of June 30, 2022 and 2021 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex

. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Silver Futures (COMEX)

Long

September 2022

773

20.35

5,000

78,660,480

Swap Agreements as of June 30, 2022

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Silver Subindex

Citibank, N.A.

Long

182.7827

153,262,171

Bloomberg Silver Subindex

Goldman Sachs International

Long

182.7827

177,466,859

Bloomberg Silver Subindex

Morgan Stanley & Co.
International PLC

Long

182.7827

168,307,407

Bloomberg Silver Subindex

UBS AG

Long

182.7827

134,298,894

Futures Positions as of June 30, 2021

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Silver Futures (COMEX)

Long

September 2021

2,217

26.19

5,000

290,360,490

177

Swap Agreements as of June 30, 2021

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

Bloomberg Silver Subindex

Citibank, N.A.

Long

238.4964

310,326,474

Bloomberg Silver Subindex

Goldman Sachs International

Long

238.4964

261,540,197

Bloomberg Silver Subindex

Morgan Stanley & Co.
International PLC

Long

238.4964

243,690,136

Bloomberg Silver Subindex

UBS AG

Long

238.4964

217,640,652

The June 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2022 and 2021 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of exposure to the Index for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra VIX Short-Term Futures ETF

As of June 30, 2022 and 2021, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to equity market volatility risk.


Futures Positions as of June 30, 2022
Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)		Long	July 2022		26,481	$	28.56		1,000	$	756,358,266
VIX Futures (Cboe)		Long	August 2022		24,277		29.18		1,000		708,339,740


Futures Positions as of June 30, 2021
Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)		Long		July 2021		34,175	$	17.90		1,000	$	611,845,278
VIX Futures (Cboe)		Long		August 2021		28,926		19.75		1,000		571,250,896

Swap Agreements as of June 30, 2021

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount

at Value

iPath Series B S&P 500 VIX Short-Term Futures ETN iNAV Index

Goldman Sachs & Co.

Long

29.4600

77,700,750

178

subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and one-half. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares Ultra Yen:

As of June 30, 2022 and 2021, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2022

Reference

Currency

Counterparty

Long or
Short

Settlement
Date

Local Currency

Forward Rate

Market Value
USD

Yen

Goldman Sachs International

Long

07/08/22

333,241,517

0.007476

2,491,153

Yen

UBS AG

Long

07/08/22

1,080,855,856

0.007414

8,013,151

Yen

UBS AG

Short

07/08/22

(54,170,000

)

0.007409

(401,369

)

Foreign Currency Forward Contracts as of June 30, 2021

Reference

Currency

Counterparty

Long or
Short

Settlement
Date

Local Currency

Forward Rate

Market Value
USD

Yen

Goldman Sachs International

Long

07/09/21

336,192,517

0.009125

3,067,633

Yen

UBS AG

Long

07/09/21

246,112,756

0.009124

2,245,458

Yen

UBS AG

Short

07/09/21

(13,400,000

)

0.009047

(121,227

)

The June 30, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of exposure to the yen for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares UltraShort Bloomberg Crude Oil:

As of June 30, 2022 and 2021, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

179


Futures Positions as of June 30, 2022
Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)		Short	September 2022		3,134	$	103.10		1,000	$	(323,115,400	)
WTI Crude Oil (NYMEX)		Short	December 2022		3,605		95.56		1,000		(344,493,800	)
WTI Crude Oil (NYMEX)		Short	June 2023		3,824		87.62		1,000		(335,058,880	)


Futures Positions as of June 30, 2021
Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)		Short	September 2021		720	$	72.77		1,000	$	(52,394,400	)
WTI Crude Oil (NYMEX)		Short	December 2021		764		70.13		1,000		(53,579,320	)
WTI Crude Oil (NYMEX)		Short	June 2022		794		66.54		1,000		(52,832,760	)

each day

to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future

period

ProShares UltraShort Bloomberg Natural Gas:

As of June 30, 2022 and 2021, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Natural Gas (NYMEX)

Short

September 2022

7,871

5.39

10,000

(424,404,320

)

Futures Positions as of June 30, 2021

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Natural Gas (NYMEX)

Short

September 2021

5,382

3.62

10,000

(195,043,680

)

The June 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent

180

decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future

period

ProShares UltraShort Euro:

As of June 30, 2022 and 2021, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to exchange rate price risk.


Foreign Currency Forward Contracts as of June 30, 2022
Reference Currency	Counterparty	Long or Short		Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	Goldman Sachs International		Long		07/08/22		12,080,000			1.0563	$	12,760,213
Euro	UBS AG		Long		07/08/22		12,060,000			1.0551		12,724,426
Euro	Goldman Sachs International		Short		07/08/22		(51,635,263	)		1.0740	$	(55,457,155	)
Euro	UBS AG		Short		07/08/22		(91,489,199	)		1.0702		(97,911,917	)


Foreign Currency Forward Contracts as of June 30, 2021
Reference Currency	Counterparty	Long or Short		Settlement Date		Local Currency			Forward Rate		Market Value USD
Euro	Goldman Sachs International		Long		07/09/21		950,000			1.2101	$	1,149,583
Euro	UBS AG		Long		07/09/21		2,380,000			1.2022		2,861,261
Euro	Goldman Sachs International		Short		07/09/21		(37,911,263	)		1.2211	$	(46,293,004	)
Euro	UBS AG		Short		07/09/21		(47,835,199	)		1.2168		(58,206,953	)

The June 30, 2022 and 2021 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

181

ProShares UltraShort Gold:

As of June 30, 2022 and 2021 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex

. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Gold Futures (COMEX)

Short

August 2022

184

1,807.30

100

(33,254,320

)


Swap Agreements as of June 30, 2022
Reference Index	Counterparty	Long or Short		Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.		Short	$	197.5387	$	(14,809,140	)
Bloomberg Gold Subindex	Goldman Sachs International		Short		197.5387		(9,688,247	)
Bloomberg Gold Subindex	UBS AG		Short		197.5387		(11,585,084	)

Futures Positions as of June 30, 2021

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Gold Futures (COMEX)

Short

August 2021

169

1,771.60

100

(29,940,040

)


Swap Agreements as of June 30, 2021
Reference Index	Counterparty	Long or Short		Index Close		Notional Amount at Value
Bloomberg Gold Subindex	Citibank, N.A.		Short	$	195.7033	$	(14,671,543	)
Bloomberg Gold Subindex	Goldman Sachs International		Short		195.7033		(9,598,230	)
Bloomberg Gold Subindex	UBS AG		Short		195.7033		(11,477,443	)

The June 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2022 and 2021 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the swap agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

182

ProShares UltraShort Silver:

As of June 30, 2022 and 2021 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex

. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2022

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Silver Futures (COMEX)

Short

September 2022

445

20.35

5,000

(45,283,200

)


Swap Agreements as of June 30, 2022
Reference Index	Counterparty	Long or Short		Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.		Short	$	182.7827	$	(2,464,774	)
Bloomberg Silver Subindex	Goldman Sachs International		Short		182.7827		(8,978,838	)
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC		Short		182.7827		(7,099,463	)
Bloomberg Silver Subindex	UBS AG		Short		182.7827		(2,270,181	)

Futures Positions as of June 30, 2021

Contract

Long or

Short

Expiration

Contracts

Valuation

Price

Contract

Multiplier

Notional Amount

at Value

Silver Futures (COMEX)

Short

September 2021

179

26.19

5,000

(23,443,630

)


Swap Agreements as of June 30, 2021
Reference Index	Counterparty	Long or Short		Index Close		Notional Amount at Value
Bloomberg Silver Subindex	Citibank, N.A.		Short	$	238.4964	$	(8,849,343	)
Bloomberg Silver Subindex	Goldman Sachs International		Short		238.4964		(11,715,662	)
Bloomberg Silver Subindex	Morgan Stanley & Co. International PLC		Short		238.4964		(9,263,439	)
Bloomberg Silver Subindex	UBS AG		Short		238.4964		(16,415,733	)

The June 30, 2022 and 2021 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2022 and 2021 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future

period

183

ProShares UltraShort Yen:

As of June 30, 2022 and 2021, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2022 and 2021, which were sensitive to exchange rate price risk.


Foreign Currency Forward Contracts as of June 30, 2022
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	UBS AG	Long		07/08/22		1,505,180,000			0.007476	$	11,252,838
Yen	Goldman Sachs International	Short		07/08/22		(1,658,463,165	)		0.007476	$	(12,389,197	)
Yen	UBS AG	Short		07/08/22		(12,207,008,574	)		0.007451		(90,956,530	)


Foreign Currency Forward Contracts as of June 30, 2021
Reference Currency	Counterparty	Long or Short	Settlement Date		Local Currency			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		07/09/21		995,120,000			0.009133	$	9,088,259
Yen	UBS AG	Long		07/09/21		152,800,000			0.009096		1,389,896
Yen	Goldman Sachs International	Short		07/09/21		(2,069,325,165	)		0.009121	$	(18,874,773	)
Yen	UBS AG	Short		07/09/21		(5,125,948,875	)		0.009118		(46,736,956	)

The June 30, 2022 and 2021 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future

period

returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s third-party custodian.

ProShares VIX Mid-Term Futures ETF

As of June 30, 2022 and 2021, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of June 30, 2022 and 2021, which were sensitive to equity market volatility risk.


Futures Positions as of June 30, 2022
Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)		Long	October 2022		569	$	29.78		1,000	$	16,944,251
VIX Futures (Cboe)		Long	November 2022		1,089		29.52		1,000		32,144,884
VIX Futures (Cboe)		Long	December 2022		1,090		28.81		1,000		31,400,611
VIX Futures (Cboe)		Long	January 2023		521		29.60		1,000		15,420,610


Futures Positions as of June 30, 2021
Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)		Long	October 2021		747	$	21.85		1,000	$	16,325,237
VIX Futures (Cboe)		Long	November 2021		1,379		22.26		1,000		30,695,161
VIX Futures (Cboe)		Long	December 2021		1,379		22.38		1,000		30,859,951
VIX Futures (Cboe)		Long	January 2022		632		23.38		1,000		14,775,781

184

The June 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares VIX Short-Term Futures ETF

As of June 30, 2022 and 2021, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of June 30, 2022 and 2021, which were sensitive to equity market volatility risk.


Futures Positions as of June 30, 2022
Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)		Long	July 2022		6,185	$	28.56		1,000	$	176,657,825
VIX Futures (Cboe)		Long	August 2022		5,672		29.18		1,000		165,494,213


Futures Positions as of June 30, 2021
Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (Cboe)		Long	July 2021		7,861	$	17.90		1,000	$	140,737,841
VIX Futures (Cboe)		Long	August 2021		6,655		19.75		1,000		131,427,599

The June 30, 2022 and 2021 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments

each day

185

Qualitative Disclosure

As described in Item 7 in the Annual Report on Form 10-K, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, of its corresponding benchmark. Each Short Fund seeks daily investment results, before fees and expenses, that correspond to one-half the inverse (-0.5x) or the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results, before fees and expenses, that correspond to one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative one-half, one, one and one-half, two or three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form 10-K for additional information regarding performance for periods longer than a single day.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading strategies and other factors could ultimately lead to a loss of all or substantially all of investors’ capital.

As described in Item 7 in the Annual Report on Form 10-K, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

186

the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Annual Report on Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-0.5x, -1x, -2x, 1.5x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described in Item 7 of the Annual Report on Form 10-K, these adjustments are done through the use of various Financial Instruments. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

For Geared Funds, the impact of the index’s movements each day also affects whether the Fund’s portfolio needs to be rebalanced. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds and UltraShort Funds will generally decrease when the Index rises on a given day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the Index has fallen on a given day. As a result, the Fund’s short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in both non-interest bearing and interest bearing demand deposit accounts. The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

Item 4. Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of December 31, 2021, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to management, including the principal executive officer and principal financial officer, of the Trust as appropriate to allow timely decisions regarding required disclosure.

187

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

As of June 30, 2022, the Trust is not a party to any material legal proceedings.

Item 1A. Risk Factors.

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.

During April 2020, the collapse of demand for fuel as a result of economic conditions relating to COVID-19 and other factors created an oversupply of crude oil production that rapidly filled most available oil storage facilities. As a result, market participants who contractually promised to buy and take delivery of crude oil were unable to store the crude oil and were at risk of default under the terms of the May 2020 WTI crude oil futures contract. The scarcity in storage was widespread, and some market participants took the extreme measure of selling their futures contracts at a negative price (effectively paying another market participant to accept their crude oil). As a result, for the first time in history, a period of “extraordinary contango” resulted in certain crude oil futures contracts trading below zero. The effects of rolling futures contracts under extraordinary contango market conditions generally are more exaggerated than rolling futures contracts under contango market conditions and could cause significant losses. The oversupply of oil may continue, impacting futures contracts for other delivery months. Such circumstances may arise as a result of a number of factors, including the following: (1) disruptions in oil pipelines and other means to get oil out of storage and delivered to refineries (as might occur due to infrastructure deterioration, work stoppages, or weather/disaster); (2) any agreement by oil producing nations regarding production limits; or (3) potential government intervention (in the form of grants or other aid) to keep oil producers, and the workers they employ, in service. It is not possible to predict if or when these economic conditions will reverse. Any reversal of these conditions could have a significant negative impact on the performance of the Short Crude Oil Fund.

On February 24, 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future could have a significant adverse impact on the Russian economy and related markets. How long such conflict and related events will last and whether it will escalate further cannot be predicted. Impacts from the conflicts and related events could have significant impact on a Fund’s performance, and the value of an investment in a Fund may decline significantly.

The price of futures contracts can change quickly and without warning. If the price of WTI crude oil futures contracts in the future were to decline significantly or reach a negative price, investors in the Ultra Crude Oil Fund could suffer significant losses or lose their entire investment.

Extreme market volatility and economic turbulence in the first part of 2020 has led to futures commission merchants increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some futures commission merchants may impose trading limitations, whether in the form of limits or prohibitions on trading oil futures contracts. If the Oil Funds are subject to increased margin requirements, they will incur increased costs and may not be able to achieve desired exposure. The Oil Funds may not be able to achieve their investment objective if they become subject to heightened margin requirements or trading limitations.

189

Natural Disasters and Public Health Disruptions, such as the COVID-19 Virus, 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, the novel coronavirus COVID-19), have been and may continue to be highly disruptive to economies and markets and have recently 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, 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. For example, during March and April 2020, the U.S. federal government passed various legislation in response to the COVID-19 pandemic, the effects and results of which are uncertain. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities and accuracy of economic projections. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. A widespread crisis, such as the COVID-19 pandemic, 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.

Natural or environmental disasters or public health crisis, such as the COVID-19 pandemic and hurricanes, could result in sudden and large fluctuations in the supply of and demand for crude oil. For example, contemporaneous with the onset of the COVID-19 pandemic in the U.S., crude oil markets experienced shocks to supply of and demand for crude oil, which dramatically impacted the price of crude oil and futures contracts on crude oil and caused extreme volatility in the crude oil markets and crude oil futures markets.

The COVID-19 pandemic has already had, and may continue to have, a significant negative and unpredictable impact on the U.S. and global economy. For example, equity and other markets have experienced extreme declines and volatility. During much of 2020 and the first quarter of 2021, the unemployment rate in the U.S. has been extremely high by historical standards. Further, the global slowdown in the economy contributed to a significant oversupply in the crude oil market, resulting in historic shocks to, and extreme volatility in, the price of oil and related derivatives contracts. It is not possible to predict when unemployment and market conditions will return to more normal levels.

Market downturns, disruptions or illiquidity as a result of, or related to, the COVID-19 pandemic can have a significant negative impact on the value of Fund portfolio investments, the operations of each Fund, the markets in which the Funds invest and the trading of Fund Shares in the secondary market. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margin 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 transact 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 consistent 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.

Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks

190


	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Shareholders’ equity, beginning of period	$	495,588,849		$	527,130,851		$	423,812,594		$	409,371,468

Addition of 1,600,000, 450,000, 4,600,000 and 2,850,000 shares, respectively		75,921,860			21,503,474			232,437,331			119,612,942
Redemption of 2,300,000, 1,050,000, 3,100,000 and 2,150,000 shares, respectively		(119,158,761	)		(54,181,509	)		(165,787,854	)		(99,423,763	)

Net addition (redemption) of (700,000), (600,000), 1,500,000 and 700,000 shares, respectively		(43,236,901	)		(32,678,035	)		66,649,477			20,189,179

Net investment income (loss)		(1,094,000	)		(1,865,757	)		(2,390,922	)		(3,308,123	)
Net realized gain (loss)		(13,105,212	)		109,337,017			(54,216,320	)		133,546,434
Change in net unrealized appreciation (depreciation)		(34,507,780	)		(13,308,130	)		(30,209,873	)		28,816,988

Net income (loss)		(48,706,992	)		94,163,130			(86,817,115	)		159,055,299

Shareholders’ equity, end of period	$	403,644,956		$	588,615,946		$	403,644,956		$	588,615,946


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(86,817,115	)	$	159,055,299
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		(569,767,938	)		(371,956,927	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		565,832,801			237,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(206,220	)		(32,691	)
Net realized (gain) loss on investments		86,512			—
Change in unrealized (appreciation) depreciation on investments		452,209			14,495
Decrease (Increase) in receivable on open futures contracts		(6,253,293	)		(11,016,780	)
Decrease (Increase) in interest receivable		(73,181	)		1,167
Increase (Decrease) in payable to Sponsor		(2,886	)		124,617
Increase (Decrease) in brokerage commissions and futures account fees payable		(92,191	)		20,038
Increase (Decrease) in payable on open futures contracts		1,735,890			4,589,992

Net cash provided by (used in) operating activities		(95,105,412	)		17,799,210

Cash flow from financing activities
Proceeds from addition of shares		232,437,331			119,612,942
Payment on shares redeemed		(171,912,984	)		(99,423,763	)

Net cash provided by (used in) financing activities		60,524,347			20,189,179

Net increase (decrease) in cash		(34,581,065	)		37,988,389
Cash, beginning of period		183,010,984			266,579,220

Cash, end of period	$	148,429,919		$	304,567,609


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	851,194,413		$	841,841,816
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(4,782,347,856	)		(1,692,766,532	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		5,104,987,142			980,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(1,304,714	)		(158,785	)
Net realized (gain) loss on investments		7,789			—
Change in unrealized (appreciation) depreciation on investments		217,207,370			(21,466,224	)
Decrease (Increase) in receivable on open futures contracts		—			(4,050,185	)
Decrease (Increase) in interest receivable		(210,318	)		(38,568	)
Increase (Decrease) in payable to Sponsor		174,702			246,994
Increase (Decrease) in brokerage commissions and futures account fees payable		(12,077	)		22,929
Increase (Decrease) in payable on open futures contracts		(4,104,319	)		—
Increase (Decrease) in securities purchased payable		—			149,968,500

Net cash provided by (used in) operating activities		1,385,592,132			253,599,945

Cash flow from financing activities
Proceeds from addition of shares		402,736,686			177,252,853
Payment on shares redeemed		(1,276,766,479	)		(621,930,951	)

Net cash provided by (used in) financing activities		(874,029,793	)		(444,678,098	)

Net increase (decrease) in cash		511,562,339			(191,078,153	)
Cash, beginning of period		217,287,389			667,259,596

Cash, end of period	$	728,849,728		$	476,181,443


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	53,704,534		$	56,400,765
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		(520,892,453	)		(118,983,722	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		505,991,302			118,999,676
Net amortization and accretion on short-term U.S. government and agency obligations		(119,696	)		(13,040	)
Net realized (gain) loss on investments		3,452			(551	)
Change in unrealized (appreciation) depreciation on investments		199,929			972
Decrease (Increase) in receivable on open futures contracts		20,455,330			13,775,851
Decrease (Increase) in interest receivable		(38,738	)		2,763
Increase (Decrease) in payable to Sponsor		68,086			(91,354	)
Increase (Decrease) in brokerage commissions and futures account fees payable		(57,121	)		296
Increase (Decrease) in payable on open futures contracts		26,800,768			210,440

Net cash provided by (used in) operating activities		86,115,393			70,302,096

Cash flow from financing activities
Proceeds from addition of shares		638,028,828			90,187,414
Payment on shares redeemed		(691,677,317	)		(257,307,869	)

Net cash provided by (used in) financing activities		(53,648,489	)		(167,120,455	)

Net increase (decrease) in cash		32,466,904			(96,818,359	)
Cash, beginning of period		54,135,725			137,292,722

Cash, end of period	$	86,602,629		$	40,474,363


	Six Months Ended June 30,
	2022			2021
Cash flow from operating activities
Net income (loss)	$	(1,337,265	)	$	(274,673	)
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	)		(2,999,505	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		2,290,249			2,000,000
Net amortization and accretion on short-term U.S. government and agency obligations		(9,602	)		(473	)
Net realized (gain) loss on investments		5,949			—
Change in unrealized (appreciation) depreciation on investments		419,715			324,271
Decrease (Increase) in interest receivable		(1,382	)		40
Increase (Decrease) in payable to Sponsor		2,121			(586	)

Net cash provided by (used in) operating activities		(4,614,504	)		(950,926	)

Cash flow from financing activities
Proceeds from addition of shares		6,368,822			1,488,793
Payment on shares redeemed		(4,275,026	)		(1,548,903	)

Net cash provided by (used in) financing activities		2,093,796			(60,110	)

Net increase (decrease) in cash		(2,520,708	)		(1,011,036	)
Cash, beginning of period		7,582,458			4,652,092

Cash, end of period	$	5,061,750		$	3,641,056


Title of Securities Registered*	Shares Sold For the Three Months Ended June 30, 2022		Sale Price of Shares Sold For the Three Months Ended June 30, 2022		Shares Sold For the Six Months Ended June 30, 2022		Sale Price of Shares Sold For the Six Months Ended June 30, 2022
ProShares Short VIX Short-Term Futures ETF
Common Units of Beneficial Interest		1,600,000	$	75,921,860		4,600,000	$	232,437,331
ProShares Ultra Bloomberg Crude Oil
Common Units of Beneficial Interest		1,700,000	$	72,419,653		10,300,000	$	402,736,686
ProShares Ultra Bloomberg Natural Gas
Common Units of Beneficial Interest		6,500,000	$	549,486,344		9,100,000	$	637,366,699
ProShares Ultra Euro
Common Units of Beneficial Interest		450,000	$	5,052,555		550,000	$	6,368,822
ProShares Ultra Gold
Common Units of Beneficial Interest		100,000	$	6,573,039		1,600,000	$	102,257,715
ProShares Ultra Silver
Common Units of Beneficial Interest		800,000	$	26,625,358		1,800,000	$	65,659,299
ProShares Ultra VIX Short-Term Futures ETF
Common Units of Beneficial Interest		58,400,000	$	799,757,076		141,500,000	$	1,971,472,943
ProShares Ultra Yen
Common Units of Beneficial Interest		100,000	$	3,539,333		100,000	$	3,539,333
ProShares UltraShort Bloomberg Crude Oil
Common Units of Beneficial Interest		12,320,000	$	278,861,920		27,890,000	$	788,890,799
ProShares UltraShort Bloomberg Natural Gas *
Common Units of Beneficial Interest		18,700,000	$	489,076,501		23,340,000	$	944,035,742
ProShares UltraShort Euro
Common Units of Beneficial Interest		500,000	$	14,656,401		550,000	$	16,028,063
ProShares UltraShort Gold
Common Units of Beneficial Interest		700,000	$	20,554,617		1,150,000	$	33,744,566


Exhibit No.		Description of Document

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 (1)

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 (1)

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 (1)

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 (1)

101.INS		XBRL Instance Document (1)

101.SCH		XBRL Taxonomy Extension Schema (1)

101.CAL		XBRL Taxonomy Extension Calculation Linkbase (1)

101.DEF		XBRL Taxonomy Extension Definition Linkbase (1)

101.LAB		XBRL Taxonomy Extension Label Linkbase (1)

101.PRE		XBRL Taxonomy Extension Presentation Linkbase (1)

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)		Filed herewith.