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目錄
 
 
美國
證券交易委員會
華盛頓特區20549
 
 
形式
10-問答
 
 
 
根據1934年證券交易法第13或15(d)條的規定,截至季度的季度報告 3月31日, 2024.
 
根據1934年證券交易法第13或15(d)條的過渡報告
     
.
委員會文件號:
001-34200
 
 
信託II
(章程中規定的註冊人的確切名稱)
 
 
 
德拉瓦
 
87-6284802
(州或其他司法管轄區
成立或組織)
 
(國稅局僱主
識別號)
c/o ProShare Capital Management LLC
威斯康星大道7272號, 21
ST
地板
Bethesda, 馬裏蘭 20814
(主要行政辦公室地址)(郵政編碼)
(240)
497-6400
(註冊人的電話號碼,包括地區代碼)
 
 
根據該法第12(b)條登記的證券:
 
每個班級的標題
 
交易
符號
 
每個交易所的名稱
在哪裡註冊
ProShares賣空VIX短期期貨ETF   SVXY   Cboe BZX Exchange
ProShares Ultra Bloomberg原油   UCO   NYSE Arca
ProShares Ultra Bloomberg天然氣   沸騰   NYSE Arca
ProShares Ultra Euro   ULE   NYSE Arca
ProShares Ultra Gold   UGL   NYSE Arca
ProShares Ultra Silver   AGQ   NYSE Arca
ProShares Ultra VIX短期期貨ETF   UVXY   Cboe BZX Exchange
ProShares Ultra日元   YCL   NYSE Arca
ProShares UltraShort Bloomberg原油   SCO   NYSE Arca
ProShares UltraShort彭博天然氣   KOLD   NYSE Arca
ProShares超短歐元   EUO   NYSE Arca
ProShares UltraShort Gold   吉祥   NYSE Arca
ProShares UltraShort Silver   ZSL   NYSE Arca
ProShares超短日元   YCS   NYSE Arca
ProShares VIX
中期
期貨ETF
  VIXM   Cboe BZX Exchange
ProShares VIX短期期貨ETF   維克西   Cboe BZX Exchange
根據該法第12(g)條登記的證券:無
通過勾選標記標明註冊人是否(1)在過去12個月內(或在註冊人被要求提交此類報告的較短期限內)提交了1934年證券交易法第13或15(d)條要求提交的所有報告,以及(2)在過去90天內是否遵守此類提交要求。    否
用複選標記表示註冊人是否已經按照條例第405條的規定以電子方式提交了所有需要提交的交互數據檔案
S-T
(本章第232.405條)在過去12個月內(或要求註冊人提交此類文件的較短期限內)。    否
通過勾選註冊人是否是大型加速歸檔者、加速歸檔者、
非加速
歸檔者、小型報告公司或新興成長型公司。請參閱規則中“大型加速申報人”、“加速申報人”、“小型報告公司”和“新興成長型公司”的定義
12b-2
《交易法》。
 
大型加速文件管理器      加速編報公司  
非加速文件管理器
     小型上市公司  
新興成長型公司       
如果是一家新興的成長型公司,用複選標記表示註冊人是否選擇不使用延長的過渡期來遵守根據《交易法》第13(A)節提供的任何新的或修訂的財務會計準則。 ☐
通過勾選註冊人是否是空殼公司(如規則中定義)來確定
12b-2
《交易法》。)。  是的  沒有
在根據法院確認的計劃發行證券後,通過勾選標記檢查登記人是否已提交1934年證券交易法第12、13或15(d)條要求提交的所有文件和報告。是否    
截至2024年5月2日,登記人已
126,184,561 普通股,每股面值0美元,已發行。
 
 
 

目錄
解釋性說明
本修正案表格上第1號修正案
10-Q
(「表格」
10-Q/A“)
修正和重述以下表格季度報告中註明的某些項目
10-Q
ProShares Trust II(「註冊人」)截至2024年3月31日的季度報告,與最初於2024年5月9日提交給美國證券交易委員會(「美國證券交易委員會」)的(「原始表格」)相同
10-Q”).
重述的背景和效果
如先前在登記人的當前表格報告中所披露的
8-K
登記人管理層(「管理層」)於2024年11月18日作出結論,認爲不應再依賴以下報告中登記人的財務報表:
 
 
 
以前提交的年度報告表格
10-K
截至2023年12月31日的財年;
 
 
 
以前提交的表格季度報告
10-Q
截至2024年3月31日的季度期間;以及
 
 
 
以前提交的表格季度報告
10-Q
截至2024年6月30日的季度。
管理層的決定是由於登記人在編制截至2024年9月30日和截至2024年9月30日的三個月的財務報表時查明的相關財務報表中存在以下錯誤:
 
 
 
在財務狀況表中,少報了「期貨合約與經紀商的單獨現金餘額」,多報或少報了「未平倉期貨合約的應收(應付)款」。
 
 
 
在現金流量表中,「未平倉期貨合約應收/應付款項減少(增加)」、「經營活動提供(用於)的現金淨額」、「期初現金」和「期末現金」中的不正確餘額。
管理層確定,上述錯誤分類對註冊人的業績、投資結果、資產淨值、收入和分配沒有任何影響。該等錯誤乃與一名經紀的期貨事務監察委員會商戶有關的分類錯誤,對註冊人的期貨淨風險敞口並無影響。
這項修正案反映了對上述分類錯誤的更正,這些錯誤是在提交原件後發現的
表格10-Q。

目錄
重述其他財務報表
除本季度報告外,本表格
10-Q/A,
註冊人同時提交對其年度報告表格的修改
10-K/A
截至2023年12月31日止年度(「表格」
10-K/A“)
和表格上的季度報告
10個問題/答案
截至2024年6月30日的季度,(
「表格10-Q/A」)。
註冊人正在提交表格
10-K/A
和表格
10個問題/答案
就上述錯誤重新列報這些報告所載期間的財務報表和有關財務資料。
內部控制注意事項
由於上述錯誤和重述原始表格10-Q,註冊人管理層重新評估了截至2024年3月31日註冊人對財務報告的披露控制程序和內部控制的有效性。管理層的結論是,註冊人關於上述與期貨交易商戶帳戶餘額分類相關的披露控制和程序於2024年3月31日並未生效,其對有關該等帳戶餘額的財務報告的內部控制於2024年3月31日亦未生效,原因是有關該等帳戶餘額的財務報告的內部控制存在以下重大弱點。具體地說,在財務狀況表和現金流量表內上述財務管理帳戶的列報方面,控制活動的設計存在重大缺陷。見第一部分第4項所載的其他討論。本季度報告表格10-Q/A中的「控制和程序」。
本表格年報中修訂的項目
10個問題/答案
爲方便讀者,本季度報表
10個問題/答案
顯示原始表單
10-Q
它的全部。
根據細則
12b-15
根據經修訂的1934年《證券交易法》(以下簡稱《交易法》),以下條款採用原來的形式
10-Q
已在本修正案中進行了修改:
 
 
 
第一部分,第2項。《管理層對財務狀況和經營成果的討論與分析》;
 
 
 
第一部分,第1項。「財務報表(未經審計)」;
 
 
 
第一部分,第4項。「管制及程序」;及
 
 
 
第二部分,第6項。「展品。」
註冊人也包括在本季度報告的表格中
10個問題/答案
登記人主要執行幹事和主要財務幹事目前註明日期的證明(載於第二部分,第6項。「證物」,並作爲證物31.1、31.2、32.1和32.2附上)。
此外,根據我們財務報表附註8的要求和討論,註冊人在本季度報告中以表格的形式提供了股票金額和每股計算
10個問題/答案
以追溯方式反映在提交原始表格後發生的反向股票拆分和正向股票拆分
10-Q.

目錄
This Quarterly Report on Form
10-Q/A
is presented as of the date of the Original Form
10-Q
and does not reflect adjustments for events occurring after March 31, 2024, the date of the Original Form
10-Q,
except to the extent they are otherwise required to be included and discussed herein and does not substantively modify or update the disclosures herein other than as required to reflect the adjustments described above. Among other things, forward-looking statements made in the Original Form
10-Q
have not been revised to reflect events, results or developments that occurred or facts that became known to us after the date of the Original Form
10-Q,
other than the adjustments described above, and such forward-looking statements should be read in conjunction with our filings with the SEC, including those subsequent to the filing of the Original Form
10-Q.

Table of Contents
PROSHARES TRUST II
Table of Contents
 
    
Page
 
  
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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:
  
     2  
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     86  

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31,
2023
 
    
(As Restated)
    
(As Restated)
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $148,766,040 and $109,391,681, respectively)
  
$
148,757,467
    
$
109,410,342
 
Cash
    
35,336,557
      
54,492,235
 
Segregated cash balances with brokers for futures contracts
    
112,485,302
      
107,839,052
 
Receivable on open futures contracts
    
18,971,757
      
11,214,160
 
Interest receivable
    
403,104
      
456,930
 
  
 
 
    
 
 
 
Total assets
    
315,954,187
      
283,412,719
 
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
    
      
15,522,316
 
Payable on open futures contracts
    
1,713,926
      
447,611
 
Brokerage commissions and futures account fees payable
    
7,440
      
9,571
 
P
ayable to Spons
or
    
254,022
      
248,862
 
  
 
 
    
 
 
 
Total liabilities
    
1,975,388
      
16,228,360
 
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
    
313,978,799
      
267,184,359
 
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
  
$
315,954,187
    
$
283,412,719
 
  
 
 
    
 
 
 
Shares outstanding (Note 8)
    
5,568,614
      
5,168,614
 
  
 
 
    
 
 
 
Net asset value per share (Note 8)
  
$
56.38
    
$
51.69
 
  
 
 
    
 
 
 
Market value per share (Note 8) (Note 2)
  
$
56.37
    
$
51.70
 
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
2

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(47% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.365% due 04/18/24
   $ 50,000,000      $ 49,875,215  
5.269% due 06/06/24
     50,000,000        49,521,960  
5.352% due 06/18/24
     25,000,000        24,717,792  
5.349% due 07/09/24
     25,000,000        24,642,500  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $148,766,040)
      $ 148,757,467  
     
 
 
 
Futures Contracts Sold
 
    
Number of
Contracts
    
Notional
Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires April 2024
     6,720      $ 96,557,664      $ 7,932,302  
VIX Futures - Cboe, expires May 2024
     3,920        60,440,520        80,735  
        
 
 
 
         $ 8,013,037  
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
3

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
March 31,
 
    
2024
   
2023
 
Investment Income
    
Interest
   $ 3,309,285     $ 2,109,122  
  
 
 
   
 
 
 
Expenses
    
Management fee
     740,396       565,777  
Brokerage commissions
     171,599       126,503  
  
 
 
   
 
 
 
Total expenses
     911,995       692,280  
  
 
 
   
 
 
 
Net investment income (loss)
     2,397,290       1,416,842  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
     28,496,948       29,604,148  
Short-term U.S. government and agency obligations
     17,669        
  
 
 
   
 
 
 
Net realized gain (loss)
     28,514,617       29,604,148  
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
     (4,627,587     3,178,807  
Short-term U.S. government and agency obligations
     (27,234     (23,630
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (4,654,821     3,155,177  
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     23,859,796       32,759,325  
  
 
 
   
 
 
 
Net income (loss)
   $ 26,257,086     $ 34,176,167  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
4

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
March 31,
 
    
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 267,184,359     $ 339,591,638  
  
 
 
   
 
 
 
Addition of 2,400,000 and 4,900,000 shares, respectively (Note 8)
     128,429,751       147,299,334  
Redemption of 2,000,000 and 7,200,000 shares, respectively (Note 8)
     (107,892,397     (225,726,746
  
 
 
   
 
 
 
Net addition (redemption) of 400,000 and (2,300,000) shares, respectively (Note 8)
     20,537,354       (78,427,412
  
 
 
   
 
 
 
Net investment income (loss)
     2,397,290       1,416,842  
Net realized gain (loss)
     28,514,617       29,604,148  
Change in net unrealized appreciation (depreciation)
     (4,654,821     3,155,177  
  
 
 
   
 
 
 
Net income (loss)
     26,257,086       34,176,167  
  
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 313,978,799     $ 295,340,393  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
5

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended
March 31,
 
    
2024
   
2023
 
    
(As Restated)
   
(As Restated)
 
Cash flow from operating activities
    
Net income (loss)
  
$
26,257,086
   
$
34,176,167
 
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
    
(172,768,544
   
(99,763,542
Proceeds from sales or maturities of short-term U.S. government and agency obligations
    
135,017,669
     
150,000,000
 
Net amortization and accretion on short-term U.S. government and agency obligations
    
(1,605,815
   
(813,036
Net realized (gain) loss on investments
    
(17,669
   
 
Change in unrealized (appreciation) depreciation on investments
    
27,234
     
23,630
 
Decrease (Increase) in receivable on open futures contracts
    
(7,757,597
)
   
15,859,379
 
Decrease (Increase) in interest receivable
    
53,826
     
3,869
 
Increase (Decrease) in payable to Sponsor
    
5,160
     
(150,813
Increase (Decrease) in brokerage commissions and futures account fees payable
    
(2,131
   
(16,391
Increase (Decrease) in payable on open futures contracts
    
1,266,315
     
 
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
    
(19,524,466
)
   
99,319,263
 
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
    
128,429,751
     
147,299,334
 
Payment on shares redeemed
    
(123,414,713
)
   
(222,035,742
)
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
    
5,015,038
     
(74,736,408
)
  
 
 
   
 
 
 
Net increase (decrease) in cash
    
(14,509,428
)
   
24,582,855
 
Cash, beginning of period
    
162,331,287
     
160,907,259
 
  
 
 
   
 
 
 
Cash, end of period
  
$
147,821,859
   
$
185,490,114
 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
6

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31,
2023
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $301,987,549 and $233,435,026, respectively)
   $ 301,974,899      $ 233,476,941  
Cash
     9,434,959        123,662,313  
Segregated cash balances with brokers for futures contracts
     33,977,462        70,781,753  
Segregated cash balances with brokers for swap agreements
     202,937,760        203,734,760  
Unrealized appreciation on swap agreements
     47,666,365        17,954,935  
Receivable from capital shares sold
            5,255,022  
Receivable on open futures contracts
     2,343,342         
Interest receivable
     217,730        568,017  
  
 
 
    
 
 
 
Total assets
     598,552,517        655,433,741  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     899,964        2,099,944  
Brokerage commissions and futures account fees payable
     3,652        5,682  
P
ayable to Sponso
r
     472,006        534,678  
  
 
 
    
 
 
 
Total liabilities
     1,375,622        2,640,304  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     597,176,895        652,793,437  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 598,552,517      $ 655,433,741  
  
 
 
    
 
 
 
Shares outstanding
     17,993,096        24,843,096  
  
 
 
    
 
 
 
Net asset value per share
   $ 33.19      $ 26.28  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 33.00      $ 26.10  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
7

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(51% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.365% due 04/18/24
   $ 50,000,000      $ 49,875,215  
5.273% due 05/14/24
     30,000,000        29,811,159  
5.269% due 06/06/24
     75,000,000        74,282,940  
5.352% due 06/18/24
     50,000,000        49,435,585  
5.349% due 07/09/24
     100,000,000        98,570,000  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $301,987,549)
      $ 301,974,899  
     
 
 
 
 
Futures Contracts Purchased
        
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires June 2024
     1,009      $ 83,161,780      $ 12,762,625  
WTI Crude Oil - NYMEX, expires December 2024
     1,066        82,977,440        5,557,088  
WTI Crude Oil - NYMEX, expires June 2025
     1,108        82,723,280        3,592,032  
        
 
 
 
         $ 21,911,745  
        
 
 
 
 
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     04/08/24      $ 207,504,255      $ 10,459,881  
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.35     04/08/24        257,994,386        13,004,988  
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.35     04/08/24        129,073,877        6,506,359  
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.25     04/08/24        195,835,168        9,882,872  
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.30     04/08/24        154,892,648        7,812,265  
          
 
 
 
          Total Unrealized
Appreciation

 
   $ 47,666,365  
          
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of March 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
8

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
March 31,
 
    
2024
   
2023
 
Investment Income
    
Interest
   $ 5,010,450     $ 6,007,908  
  
 
 
   
 
 
 
Expenses
    
Management fee
     1,477,017       1,874,618  
Brokerage commissions
     61,804       94,344  
  
 
 
   
 
 
 
Total expenses
     1,538,821       1,968,962  
  
 
 
   
 
 
 
Net investment income (loss)
     3,471,629       4,038,946  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
     16,466,837       10,834,024  
Swap agreements
     76,651,763       74,946,403  
Short-term U.S. government and agency obligations
     12,505        
  
 
 
   
 
 
 
Net realized gain (loss)
     93,131,105       85,780,427  
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
     25,426,977       3,202,447  
Swap agreements
     29,711,430       (141,361,963
Short-term U.S. government and agency obligations
     (54,565     (50,926
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     55,083,842       (138,210,442
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     148,214,947       (52,430,015
  
 
 
   
 
 
 
Net income (loss)
   $ 151,686,576     $ (48,391,069
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
9

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
March 31,
 
    
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 652,793,437     $ 859,094,274  
  
 
 
   
 
 
 
Addition of 4,050,000 and 19,100,000 shares, respectively
     109,039,827       459,350,575  
Redemption of 10,900,000 and 16,900,000 shares, respectively
     (316,342,945     (458,385,324
  
 
 
   
 
 
 
Net addition (redemption) of (6,850,000) and 2,200,000 shares, respectively
     (207,303,118     965,251  
  
 
 
   
 
 
 
Net investment income (loss)
     3,471,629       4,038,946  
Net realized gain (loss)
     93,131,105       85,780,427  
Change in net unrealized appreciation (depreciation)
     55,083,842       (138,210,442
  
 
 
   
 
 
 
Net income (loss)
     151,686,576       (48,391,069
  
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 597,176,895     $ 811,668,456  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
10

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended
March 31,
 
    
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 151,686,576     $ (48,391,069
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
     (379,945,998     (7,526,215,542
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     315,012,505       7,644,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (3,606,525     (4,072,062
Net realized (gain) loss on investments
     (12,505      
Change in unrealized (appreciation) depreciation on investments
     (29,656,865     141,412,889  
Decrease (Increase) in receivable on open futures contracts
     (2,343,342     (5,775,330
Decrease (Increase) in interest receivable
     350,287       (188,100
Increase (Decrease) in payable to Sponsor
     (62,672     (31,541
Increase (Decrease) in brokerage commissions and futures account fees payable
     (2,030     (667
Increase (Decrease) in payable on open futures contracts
     (1,199,980      
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     50,219,451       200,738,578  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     114,294,849       459,350,575  
Payment on shares redeemed
     (316,342,945     (424,214,999
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (202,048,096     35,135,576  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (151,828,645     235,874,154  
Cash, beginning of period
     398,178,826       476,600,261  
  
 
 
   
 
 
 
Cash, end of period
   $ 246,350,181     $ 712,474,415  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
11

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31,
2023
 
    
(As Restated)
    
(As Restated)
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $
and $
64,445,510
, respectively)
  
$
    
$
64,459,117
 
Cash
    
241,325,015
      
326,252,692
 
Segregated cash balances with brokers for futures contracts
    
302,029,800
      
374,861,689
 
Receivable from capital shares sold
    
42,021,325
      
4,281,925
 
Receivable on open futures contracts
    
15,036,929
      
 
Interest receivable
    
762,494
      
1,925,643
 
  
 
 
    
 
 
 
Total assets
    
601,175,563
      
771,781,066
 
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
    
      
19,366,361
 
Payable on open futures contracts
    
19,972,507
      
21,843,883
 
Brokerage commissions and futures account fees payable
    
19,369
      
52,349
 
P
ayable to Sponso
r
    
442,310
      
625,665
 
  
 
 
    
 
 
 
Total liabilities
    
20,434,186
      
41,888,258
 
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
    
580,741,377
      
729,892,808
 
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
  
$
601,175,563
    
$
771,781,066
 
  
 
 
    
 
 
 
Shares outstanding (Note 1) (Note 8)
    
8,843,709
      
5,113,709
 
  
 
 
    
 
 
 
Net asset value per share (Note 1) (Note 8)
  
$
65.67
    
$
142.73
 
  
 
 
    
 
 
 
Market value per share (Note 1) (Note 8) (Note 2)
  
$
64.30
    
$
142.20
 
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
12

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
 
Futures Contracts Purchased
        
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires May 2024
     65,891      $ 1,161,658,330      $ (92,772,278
See accompanying notes to financial statements.
 
13

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
March 31,
 
    
2024
   
2023
 
Investment Income
    
Interest
   $ 6,452,140     $ 8,958,523  
  
 
 
   
 
 
 
Expenses
    
Management fee
     1,449,427       2,328,410  
Brokerage commissions
     703,092       952,779  
Futures accounts fees
     88,985       187,693  
  
 
 
   
 
 
 
Total expenses
     2,241,504       3,468,882  
  
 
 
   
 
 
 
Net investment income (loss)
     4,210,636       5,489,641  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
     (242,180,914     (1,100,791,083
Swap agreements
           39,159,789  
Short-term U.S. government and agency obligations
           (3,570
  
 
 
   
 
 
 
Net realized gain (loss)
     (242,180,914     (1,061,634,864
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
     (136,379,348     (13,901,318
Swap agreements
           (39,088,319
Short-term U.S. government and agency obligations
     (13,607     (20,053
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (136,392,955     (53,009,690
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (378,573,869     (1,114,644,554
  
 
 
   
 
 
 
Net income (loss)
   $ (374,363,233   $ (1,109,154,913
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
14

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Shareholders’ equity, beginning of period
  
$
729,892,808
   
$
586,151,113
 
  
 
 
   
 
 
 
Addition of 8,020,000 and 3,794,500 shares, respectively (Note 1) (Note 8)
    
730,517,767
     
2,345,948,834
 
Redemption of 4,290,000 and 1,026,500 shares, respectively (Note 1) (Note 8)
    
(505,305,965
   
(682,961,261
  
 
 
   
 
 
 
Net addition (redemption) of 3,730,000 and 2,768,000 shares, respectively (Note 1) (Note 8)
    
225,211,802
     
1,662,987,573
 
  
 
 
   
 
 
 
Net investment income (loss)
    
4,210,636
     
5,489,641
 
Net realized gain (loss)
    
(242,180,914
   
(1,061,634,864
Change in net unrealized appreciation (depreciation)
    
(136,392,955
   
(53,009,690
  
 
 
   
 
 
 
Net income (loss)
    
(374,363,233
   
(1,109,154,913
  
 
 
   
 
 
 
Shareholders’
equity
, end of period
  
$
580,741,377
   
$
1,139,983,773
 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
15

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
 
 
  
Three Months Ended
March 31,
 
  
2024
 
 
2023
 
    
(As Restated)
   
(As Restated)
 
Cash flow from operating activities
    
Net income (loss)
  
$
(374,363,233
 
$
(1,109,154,913
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
    
     
(7,560,364,945
Proceeds from sales or maturities of short-term U.S. government and agency obligations
    
65,000,000
     
7,527,849,267
 
Net amortization and accretion on short-term U.S. government and agency obligations
    
(554,490
   
(3,957,517
Net realized (gain) loss on investments
    
     
3,570
 
Change in unrealized (appreciation) depreciation on investments
    
13,607
     
39,108,372
 
Decrease (Increase) in receivable on open futures contracts
    
(15,036,929
)
   
(86,364,320
)
Decrease (Increase) in interest receivable
    
1,163,149
     
(1,249,353
Increase (Decrease) in payable to Sponsor
    
(183,355
   
509,363
 
Increase (Decrease) in brokerage commissions and futures account fees payable
    
(32,980
   
38,432
 
Increase (Decrease) in payable on open futures contracts
    
(1,871,376
)
   
11,361,469
 
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
    
(325,865,607
)
   
(1,182,220,575
)
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
    
692,778,367
     
2,336,728,392
 
Payment on shares redeemed
    
(524,672,326
   
(658,786,268
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
    
168,106,041
     
1,677,942,124
 
  
 
 
   
 
 
 
Net increase (decrease) in cash
    
(157,759,566
)
   
495,721,549
 
Cash, beginning of period
    
701,114,381
     
327,716,484
 
  
 
 
   
 
 
 
Cash, end of period
  
$
543,354,815
   
$
823,438,033
 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
16

Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 6,451,388      $ 6,162,459  
Segregated cash balances with brokers for foreign currency forward contracts
     533,000        623,000  
Unrealized appreciation on foreign currency forward contracts
     965        308,424  
Interest receivable
     27,781        27,219  
  
 
 
    
 
 
 
Total assets
     7,013,134        7,121,102  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
P
ayable to Sponso
r
     5,556        5,612  
Unrealized depreciation on foreign currency forward contracts
     203,530        1,475  
  
 
 
    
 
 
 
Total liabilities
     209,086        7,087  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     6,804,048        7,114,015  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 7,013,134      $ 7,121,102  
  
 
 
    
 
 
 
Shares outstanding
     600,000        600,000  
  
 
 
    
 
 
 
Net asset value per share
   $ 11.34      $ 11.86  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 11.32      $ 11.84  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
17

Table of Contents
PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
Foreign Currency Forward Contracts
^
 
    
Settlement Date
    
Contract Amount
in Local Currency
   
Contract Amount
in U.S. Dollars
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
         
Euro with Goldman Sachs International
     04/05/24        5,678,921     $ 6,127,948     $ (90,225
Euro with UBS AG
     04/05/24        7,153,502       7,719,122       (113,305
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (203,530
         
 
 
 
Contracts to Sell
         
Euro with UBS AG
     04/05/24        (221,000   $ (238,475   $ 965  
         
 
 
 
          Total Unrealized
Appreciation
 
 
  $ 965  
         
 
 
 
 
^
The positions and counterparties herein are as of March 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
See accompanying notes to financial statements.
 
18

Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Investment Income
    
Interest
   $ 78,486     $ 97,237  
  
 
 
   
 
 
 
Expenses
    
Management fee
     15,935       24,246  
  
 
 
   
 
 
 
Total expenses
     15,935       24,246  
  
 
 
   
 
 
 
Net investment income (loss)
     62,551       72,991  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Foreign currency forward contracts
     144,574       280,279  
  
 
 
   
 
 
 
Net realized gain (loss)
     144,574       280,279  
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Foreign currency forward contracts
     (509,514     (96,945
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (509,514     (96,945
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (364,940     183,334  
  
 
 
   
 
 
 
Net income (loss)
   $ (302,389   $ 256,325  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
19

Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 7,114,015     $ 10,704,662  
  
 
 
   
 
 
 
Addition of 100,000 and 200,000 shares, respectively
     1,140,357       2,296,437  
Redemption of 100,000 and 400,000 shares, respectively
     (1,147,935     (4,640,991
  
 
 
   
 
 
 
Net addition (redemption) of and (200,000) shares, respectively
     (7,578     (2,344,554
  
 
 
   
 
 
 
Net investment income (loss)
     62,551       72,991  
Net realized gain (loss)
     144,574       280,279  
Change in net unrealized appreciation (depreciation)
     (509,514     (96,945
  
 
 
   
 
 
 
Net income (loss)
     (302,389     256,325  
  
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 6,804,048     $ 8,616,433  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
20

Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (302,389   $ 256,325  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Change in unrealized (appreciation) depreciation on investments
     509,514       96,945  
Decrease (Increase) in interest receivable
     (562     9,474  
Increase (Decrease) in payable to Sponsor
     (56     (3,189
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     206,507       359,555  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     1,140,357       2,296,437  
Payment on shares redeemed
     (1,147,935     (4,640,991
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (7,578     (2,344,554
  
 
 
   
 
 
 
Net increase (decrease) in cash
     198,929       (1,984,999
Cash, beginning of period
     6,785,459       10,259,418  
  
 
 
   
 
 
 
Cash, end of period
   $ 6,984,388     $ 8,274,419  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
21

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31, 2023
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $138,592,669 and $59,496,177, respectively)
   $ 138,587,964      $ 59,507,594  
Cash
     28,188,613        92,898,206  
Segregated cash balances with brokers for futures contracts
     5,728,800        4,523,500  
Segregated cash balances with brokers for swap agreements
     31,280,271        31,930,271  
Unrealized appreciation on swap agreements
     7,535,027        3,078,593  
Receivable from capital shares sold
     3,599,595         
Receivable on open futures contracts
     1,065,148         
Interest receivable
     146,036        276,736  
  
 
 
    
 
 
 
Total assets
     216,131,454        192,214,900  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
            564,042  
Pa
yable to Spons
or
     160,613        148,835  
  
 
 
    
 
 
 
Total liabilities
     160,613        712,877  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     215,970,841        191,502,023  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 216,131,454      $ 192,214,900  
  
 
 
    
 
 
 
Shares outstanding
     3,000,000        3,000,000  
  
 
 
    
 
 
 
Net asset value per share
   $ 71.99      $ 63.83  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 72.26      $ 63.87  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
22

Table of Contents
PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(64% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.365% due 04/18/24
   $ 20,000,000      $ 19,950,086  
5.273% due 05/14/24
     20,000,000        19,874,106  
5.269% due 06/06/24
     25,000,000        24,760,980  
5.390% due 06/18/24
     25,000,000        24,717,792  
5.349% due 07/09/24
     50,000,000        49,285,000  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $138,592,669)
      $ 138,587,964  
     
 
 
 
Futures Contracts Purchased
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)
/Value
 
Gold Futures - COMEX, expires June 2024
     649      $ 145,272,160      $ 2,377,155  
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     04/08/24      $ 123,084,977      $ 3,235,432  
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
     0.25       04/08/24        58,461,471        1,536,727  
Swap agreement with UBS AG based on Bloomberg Gold Subindex
     0.25       04/08/24        105,107,323        2,762,868  
          
 
 
 
          Total Unrealized
Appreciation

 
   $ 7,535,027  
          
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of March 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
23

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Investment Income
    
Interest
   $ 2,013,915     $ 1,649,014  
  
 
 
   
 
 
 
Expenses
    
Management fee
     436,603       427,114  
Brokerage commissions
     9,873       8,615  
  
 
 
   
 
 
 
Total expenses
     446,476       435,729  
  
 
 
   
 
 
 
Net investment income (loss)
     1,567,439       1,213,285  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
     6,965,052       2,760,579  
Swap agreements
     11,506,219       8,039,317  
Short-term U.S. government and agency obligations
     3,011        
  
 
 
   
 
 
 
Net realized gain (loss)
     18,474,282       10,799,896  
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
     (1,719,120     1,854,323  
Swap agreements
     4,456,434       8,856,793  
Short-term U.S. government and agency obligations
     (16,122     (22,737
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     2,721,192       10,688,379  
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     21,195,474       21,488,275  
  
 
 
   
 
 
 
Net income (loss)
   $ 22,762,913     $ 22,701,560  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
24

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 191,502,023     $ 173,524,136  
  
 
 
   
 
 
 
Addition of 450,000 and 400,000 shares, respectively
     29,329,988       24,973,354  
Redemption of 450,000 and 350,000 shares, respectively
     (27,624,083     (20,037,521
  
 
 
   
 
 
 
Net addition (redemption) of and 50,000 shares, respectively
     1,705,905       4,935,833  
  
 
 
   
 
 
 
Net investment income (loss)
     1,567,439       1,213,285  
Net realized gain (loss)
     18,474,282       10,799,896  
Change in net unrealized appreciation (depreciation)
     2,721,192       10,688,379  
  
 
 
   
 
 
 
Net income (loss)
     22,762,913       22,701,560  
  
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 215,970,841     $ 201,161,529  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
25

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 22,762,913     $ 22,701,560  
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
     (162,692,795     (264,664,939
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     85,003,011       300,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (1,403,697     (1,094,933
Net realized (gain) loss on investments
     (3,011      
Change in unrealized (appreciation) depreciation on investments
     (4,440,312     (8,834,056
Decrease (Increase) in receivable on open futures contracts
     (1,065,148     8,169  
Decrease (Increase) in interest receivable
     130,700       (119,918
Increase (Decrease) in payable to Sponsor
     11,778       4,685  
Increase (Decrease) in payable on open futures contracts
     (564,042     684,839  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (62,260,603     48,685,407  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     25,730,393       24,973,354  
Payment on shares redeemed
     (27,624,083     (20,037,521
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (1,893,690     4,935,833  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (64,154,293     53,621,240  
Cash, beginning of period
     129,351,977       37,909,767  
  
 
 
   
 
 
 
Cash, end of period
   $ 65,197,684     $ 91,531,007  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
26

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31, 2023
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $205,091,268 and $114,255,151, respectively)
   $ 205,080,219      $ 114,276,025  
Cash
     63,426,794        160,468,637  
Segregated cash balances with brokers for futures contracts
     20,833,500        23,499,000  
Segregated cash balances with brokers for swap agreements
     99,214,121        95,226,292  
Unrealized appreciation on swap agreements
     8,532,455         
Receivable from capital shares sold
     5,705,998        2,728,828  
Receivable on open futures contracts
     714,136         
Interest receivable
     399,563        598,623  
  
 
 
    
 
 
 
Total assets
     403,906,786        396,797,405  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
            3,503,958  
P
ayable to Sponsor
     322,042        319,853  
Unrealized depreciation on swap agreements
            2,827,221  
  
 
 
    
 
 
 
Total liabilities
     322,042        6,651,032  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     403,584,744        390,146,373  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 403,906,786      $ 396,797,405  
  
 
 
    
 
 
 
Shares outstanding
     14,146,526        14,296,526  
  
 
 
    
 
 
 
Net asset value per share
   $ 28.53      $ 27.29  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 28.74      $ 27.17  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
27

Table of Contents
PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(51% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.365% due 04/18/24
   $ 32,000,000      $ 31,920,138  
5.273% due 05/14/24
     40,000,000        39,748,212  
5.269% due 06/06/24
     50,000,000        49,521,960  
5.352% due 06/18/24
     35,000,000        34,604,909  
5.349% due 07/09/24
     50,000,000        49,285,000  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $205,091,268)
      $ 205,080,219  
     
 
 
 
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
  Appreciation  
(Depreciation)/Value
 
Silver Futures - COMEX, expires May 2024
     2,406      $ 299,739,480      $ 22,681,594  
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     04/08/24      $ 183,114,057      $ 3,081,663  
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
     0.30       04/08/24        22,879,089        384,359  
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
     0.30       04/08/24        155,225,776        2,607,725  
Swap agreement with UBS AG based on Bloomberg Silver Subindex
     0.25       04/08/24        146,097,767        2,458,708  
          
 
 
 
          Total Unrealized
Appreciation

 
   $ 8,532,455  
          
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of March 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
^^
Rates shown represent discount rate at the time of purchase.
*
Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
28

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Investment Income
    
Interest
   $ 3,634,857     $ 3,374,396  
  
 
 
   
 
 
 
Expenses
    
Management fee
     873,901       871,559  
Brokerage commissions
     28,042       26,562  
  
 
 
   
 
 
 
Total expenses
     901,943       898,121  
  
 
 
   
 
 
 
Net investment income (loss)
     2,732,914       2,476,275  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
     (5,638,782     3,641,746  
Swap agreements
     1,168,070       (32,385,610
Short-term U.S. government and agency obligations
     4,797        
  
 
 
   
 
 
 
Net realized gain (loss)
     (4,465,915     (28,743,864
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
     10,280,846       (751,963
Swap agreements
     11,359,676       23,139,621  
Short-term U.S. government and agency obligations
     (31,923     (35,538
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     21,608,599       22,352,120  
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     17,142,684       (6,391,744
  
 
 
   
 
 
 
Net income (loss)
   $ 19,875,598     $ (3,915,469
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
29

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 390,146,373     $ 414,285,878  
  
 
 
   
 
 
 
Addition of 2,300,000 and 1,900,000 shares, respectively
     58,374,730       51,232,279  
Redemption of 2,450,000 and 1,150,000 shares, respectively
     (64,811,957     (32,487,354
  
 
 
   
 
 
 
Net addition (redemption) of (150,000) and 750,000 shares, respectively
     (6,437,227     18,744,925  
  
 
 
   
 
 
 
Net investment income (loss)
     2,732,914       2,476,275  
Net realized gain (loss)
     (4,465,915     (28,743,864
Change in net unrealized appreciation (depreciation)
     21,608,599       22,352,120  
  
 
 
   
 
 
 
Net income (loss)
     19,875,598       (3,915,469
  
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 403,584,744     $ 429,115,334  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
30

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 19,875,598     $ (3,915,469
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
     (263,537,090     (1,776,762,620
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     175,004,797       1,858,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (2,299,027     (2,414,024
Net realized (gain) loss on investments
     (4,797      
Change in unrealized (appreciation) depreciation on investments
     (11,327,753     (23,104,083
Decrease (Increase) in receivable on open futures contracts
     (714,136     (1,907,867
Decrease (Increase) in interest receivable
     199,060       (100,488
Increase (Decrease) in payable to Sponsor
     2,189       (57,403
Increase (Decrease) in payable on open futures contracts
     (3,503,958     (1,948,902
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (86,305,117     47,789,144  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     55,397,560       51,232,279  
Payment on shares redeemed
     (64,811,957     (34,102,736
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (9,414,397     17,129,543  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (95,719,514     64,918,687  
Cash, beginning of period
     279,193,929       150,012,071  
  
 
 
   
 
 
 
Cash, end of period
   $ 183,474,415     $ 214,930,758  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
31

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31, 2023
 
    
(As Restated)
   
(As Restated)
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $59,312,431 and $, respectively)
  
$
59,307,872
    
$
 
Cash
    
41,175,228
      
86,615,956
 
Segregated cash balances with brokers for futures contracts
    
163,567,496
      
250,795,661
 
Receivable from capital shares sold
    
3,777,822
      
 
Receivable on open futures contracts
    
10,760,790
      
10,559,699
 
Interest receivable
    
533,452
      
924,148
 
  
 
 
    
 
 
 
Total assets
    
279,122,660
      
348,895,464
 
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
    
648,632
      
 
Brokerage commissions and futures account fees payable
    
23,097
      
36,088
 
P
ayable to Spons
or
    
210,282
      
303,633
 
  
 
 
    
 
 
 
Total liabilities
    
882,011
      
339,721
 
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
    
278,240,649
      
348,555,743
 
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
  
$
279,122,660
    
$
348,895,464
 
  
 
 
    
 
 
 
Shares outstanding (Note 8)
    
8,844,891
      
8,264,892
 
  
 
 
    
 
 
 
Net asset value per share (Note 8)
  
$
31.46
    
$
42.17
 
  
 
 
    
 
 
 
Market value per share (Note 8) (Note 2)
  
$
31.60
    
$
42.20
 
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
32

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(
21
% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.269
% due
06/06/24
   $ 35,000,000      $ 34,665,372  
5.349
% due
07/09/24
     25,000,000        24,642,500  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $
59,312,431
)
      $ 59,307,872  
     
 
 
 
Futures Contracts Purchased
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires April 2024
     17,863      $ 160,660,770      $ (17,550,463
VIX Futures - Cboe, expires May 2024
     10,420        256,668,088        (348,320
        
 
 
 
         $ (17,898,783
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
33

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Investment Income
    
Interest
   $ 2,758,242     $ 4,416,655  
  
 
 
   
 
 
 
Expenses
    
Management fee
     667,531       1,373,770  
Brokerage commissions
     486,546       777,701  
Futures accounts fees
     86,170       123,361  
  
 
 
   
 
 
 
Total expenses
     1,240,247       2,274,832  
  
 
 
   
 
 
 
Net investment income (loss)
     1,517,995       2,141,823  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
     (91,003,229     (182,233,430
Short-term U.S. government and agency obligations
     10,637       (7,778
  
 
 
   
 
 
 
Net realized gain (loss)
     (90,992,592     (182,241,208
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
     13,285,128       2,046,250  
Short-term U.S. government and agency obligations
     (4,559     (8,723
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     13,280,569       2,037,527  
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (77,712,023     (180,203,681
  
 
 
   
 
 
 
Net income (loss)
   $ (76,194,028   $ (178,061,858
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
34

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 348,555,743     $ 639,318,362  
  
 
 
   
 
 
 
Addition of 2,820,000 and 1,674,000 shares, respectively (Note 1) (Note 8)
     94,706,832       436,460,449  
Redemption of 2,240,000 and 1,218,000 shares, respectively (Note 1) (Note 8)
     (88,827,898     (361,736,717
  
 
 
   
 
 
 
Net addition (redemption) of 580,000 and 456,000 shares, respectively (Note 1) (Note 8)
     5,878,934       74,723,732  
  
 
 
   
 
 
 
Net investment income (loss)
     1,517,995       2,141,823  
Net realized gain (loss)
     (90,992,592     (182,241,208
Change in net unrealized appreciation (depreciation)
     13,280,569       2,037,527  
  
 
 
   
 
 
 
Net income (loss)
     (76,194,028     (178,061,858
  
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 278,240,649     $ 535,980,236  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
35

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
    
(As Restated)
   
(As Restated)
 
Cash flow from operating activities
    
Net income (loss)
  
$
(76,194,028
 
$
(178,061,858
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
    
(105,703,000
   
(664,522,118
Proceeds from sales or maturities of short-term U.S. government and agency obligations
    
46,921,617
     
629,900,478
 
Net amortization and accretion on short-term U.S. government and agency obligations
    
(520,411
   
(526,310
Net realized (gain) loss on investments
    
(10,637
   
7,778
 
Change in unrealized (appreciation) depreciation on investments
    
4,559
     
8,723
 
Decrease (Increase) in receivable on open futures contracts
    
(201,091
)
   
(2,913,056
)
Decrease (Increase) in interest receivable
    
390,696
     
(107,914
Increase (Decrease) in payable to Sponsor
    
(93,351
   
(112,552
Increase (Decrease) in brokerage commissions and futures account fees payable
    
(12,991
   
(16,834
Increase (Decrease) in payable on open futures contracts
    
648,632
     
19,254,374
 
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
    
(134,770,005
)
   
(197,089,289
)
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
    
90,929,010
     
423,036,558
 
Payment on shares redeemed
    
(88,827,898
   
(361,736,717
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
    
2,101,112
     
61,299,841
 
  
 
 
   
 
 
 
Net increase (decrease) in cash
    
(132,668,893
)
   
(135,789,448
)
Cash, beginning of period
    
337,411,617
     
583,213,839
 
  
 
 
   
 
 
 
Cash, end of period
  
$
204,742,724
   
$
447,424,391
 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
36

Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 38,021,417      $ 27,001,312  
Segregated cash balances with brokers for foreign currency forward contracts
     5,920,471        2,976,399  
Unrealized appreciation on foreign currency forward contracts
     5,548        1,534,924  
Interest receivable
     142,575        104,541  
  
 
 
    
 
 
 
Total assets
     44,090,011        31,617,176  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
            1,373,167  
Pa
yable to Spon
sor
     30,272        22,600  
Unrealized depreciation on foreign currency forward contracts
     2,065,194        15,639  
  
 
 
    
 
 
 
Total liabilities
     2,095,466        1,411,406  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     41,994,545        30,205,770  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 44,090,011      $ 31,617,176  
  
 
 
    
 
 
 
Shares outstanding
     1,799,970        1,099,970  
  
 
 
    
 
 
 
Net asset value per share
   $ 23.33      $ 27.46  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 23.35      $ 27.49  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
37

Table of Contents
PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
Foreign Currency Forward Contracts
^
 
    
Settlement Date
    
Contract Amount
in Local Currency
   
Contract Amount
in U.S. Dollars
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
         
Yen with Goldman Sachs International
     04/05/24        6,299,288,056     $ 41,644,228     $ (954,143
Yen with UBS AG
     04/05/24        6,445,204,856       42,608,876       (1,111,051
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (2,065,194
         
 
 
 
Contracts to Sell
         
Yen with UBS AG
     04/05/24        (36,515,000   $ (241,399   $ 5,548  
         
 
 
 
          Total Unrealized
Appreciation

 
  $ 5,548  
         
 
 
 
 
^
The positions and counterparties herein are as of March 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
See accompanying notes to financial statements.
 
38

Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Investment Income
    
Interest
   $ 370,254     $ 120,118  
  
 
 
   
 
 
 
Expenses
    
Management fee
     77,236       30,560  
  
 
 
   
 
 
 
Total expenses
     77,236       30,560  
  
 
 
   
 
 
 
Net investment income (loss)
     293,018       89,558  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Foreign currency forward contracts
     (2,031,575     (298,808
  
 
 
   
 
 
 
Net realized gain (loss)
     (2,031,575     (298,808
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Foreign currency forward contracts
     (3,578,931     (494,067
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (3,578,931     (494,067
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (5,610,506     (792,875
  
 
 
   
 
 
 
Net income (loss)
   $ (5,317,488   $ (703,317
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
39

Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 30,205,770     $ 13,814,796  
  
 
 
   
 
 
 
Addition of 800,000 and 50,000 shares, respectively
     19,596,625       1,812,626  
Redemption of 100,000 and 150,000 shares, respectively
     (2,490,362     (5,009,022
  
 
 
   
 
 
 
Net addition (redemption) of 700,000 and (100,000) shares, respectively
     17,106,263       (3,196,396
  
 
 
   
 
 
 
Net investment income (loss)
     293,018       89,558  
Net realized gain (loss)
     (2,031,575     (298,808
Change in net unrealized appreciation (depreciation)
     (3,578,931     (494,067
  
 
 
   
 
 
 
Net income (loss)
     (5,317,488     (703,317
  
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 41,994,545     $ 9,915,083  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
40

Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (5,317,488   $ (703,317
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Change in unrealized (appreciation) depreciation on investments
     3,578,931       494,067  
Decrease (Increase) in interest receivable
     (38,034     4,301  
Increase (Decrease) in payable to Sponsor
     7,672       (1,699
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (1,768,919     (206,648
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     19,596,625       1,812,626  
Payment on shares redeemed
     (3,863,529     (3,355,657
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     15,733,096       (1,543,031
  
 
 
   
 
 
 
Net increase (decrease) in cash
     13,964,177       (1,749,679
Cash, beginning of period
     29,977,711       12,801,958  
  
 
 
   
 
 
 
Cash, end of period
   $ 43,941,888     $ 11,052,279  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
41

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31, 2023
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $123,822,272 and $49,673,923, respectively)
   $ 123,814,531      $ 49,683,885  
Cash
     25,792,785        91,925,442  
Segregated cash balances with brokers for futures contracts
     49,385,885        49,648,726  
Receivable from capital shares sold
     3,980,628         
Receivable on open futures contracts
            654,887  
Interest receivable
     237,927        285,610  
  
 
 
    
 
 
 
Total assets
     203,211,756        192,198,550  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
            3,096,091  
Payable on open futures contracts
     5,534,125         
Brokerage commissions and futures account fees payable
     3,387        3,509  
P
ayable to Sponso
r
     161,949        135,358  
  
 
 
    
 
 
 
Total liabilities
     5,699,461        3,234,958  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     197,512,295        188,963,592  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 203,211,756      $ 192,198,550  
  
 
 
    
 
 
 
Shares outstanding
     12,405,220        9,105,220  
  
 
 
    
 
 
 
Net asset value per share
   $ 15.92      $ 20.75  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 16.02      $ 20.89  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
42

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(63% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.365% due 04/18/24
   $ 15,000,000      $ 14,962,564  
5.273% due 05/14/24
     20,000,000        19,874,106  
5.269% due 06/06/24
     40,000,000        39,617,568  
5.352% due 06/18/24
     25,000,000        24,717,793  
5.349% due 07/09/24
     25,000,000        24,642,500  
     
 
 
 
Total short-term U.S. government and agency obligations (cost $123,822,272)
      $ 123,814,531  
     
 
 
 
Futures Contracts Sold
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires June 2024
     1,601      $ 131,954,420      $ (6,262,875
WTI Crude Oil - NYMEX, expires December 2024
     1,693        131,783,120        (270,752
WTI Crude Oil - NYMEX, expires June 2025
     1,758        131,252,280        (5,461,484
        
 
 
 
         $ (11,995,111
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
43

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Investment Income
    
Interest
   $ 2,242,767     $ 2,003,209  
  
 
 
   
 
 
 
Expenses
    
Management fee
     451,585       484,880  
Brokerage commissions
     53,961       65,757  
  
 
 
   
 
 
 
Total expenses
     505,546       550,637  
  
 
 
   
 
 
 
Net investment income (loss)
     1,737,221       1,452,572  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
     (12,515,601     27,614,279  
Short-term U.S. government and agency obligations
     6,779       488  
  
 
 
   
 
 
 
Net realized gain (loss)
     (12,508,822     27,614,767  
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
     (34,431,430     10,971,115  
Short-term U.S. government and agency obligations
     (17,703     (14,885
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (34,449,133     10,956,230  
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (46,957,955     38,570,997  
  
 
 
   
 
 
 
Net income (loss)
   $ (45,220,734   $ 40,023,569  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
44

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 188,963,592     $ 222,697,337  
  
 
 
   
 
 
 
Addition of 8,450,000 and 5,300,000 shares, respectively
     150,729,657       127,905,875  
Redemption of 5,150,000 and 8,850,000 shares, respectively
     (96,960,220     (245,864,218
  
 
 
   
 
 
 
Net addition (redemption) of 3,300,000 and (3,550,000) shares, respectively
     53,769,437       (117,958,343
  
 
 
   
 
 
 
Net investment income (loss)
     1,737,221       1,452,572  
Net realized gain (loss)
     (12,508,822     27,614,767  
Change in net unrealized appreciation (depreciation)
     (34,449,133     10,956,230  
  
 
 
   
 
 
 
Net income (loss)
     (45,220,734     40,023,569  
  
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 197,512,295     $ 144,762,563  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
45

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (45,220,734   $ 40,023,569  
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
     (162,869,137     (239,587,448
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     90,006,779       284,998,708  
Net amortization and accretion on short-term U.S. government and agency obligations
     (1,279,212     (956,401
Net realized (gain) loss on investments
     (6,779     (488
Change in unrealized (appreciation) depreciation on investments
     17,703       14,885  
Decrease (Increase) in receivable on open futures contracts
     654,887       1,604,847  
Decrease (Increase) in interest receivable
     47,683       103,592  
Increase (Decrease) in payable to Sponsor
     26,591       (68,565
Increase (Decrease) in brokerage commissions and futures account fees payable
     (122     (727
Increase (Decrease) in payable on open futures contracts
     5,534,125       526,742  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (113,088,216     86,658,714  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     146,749,029       109,041,151  
Payment on shares redeemed
     (100,056,311     (247,121,308
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     46,692,718       (138,080,157
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (66,395,498     (51,421,443
Cash, beginning of period
     141,574,168       139,811,511  
  
 
 
   
 
 
 
Cash, end of period
   $ 75,178,670     $ 88,390,068  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
46

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31, 2023
 
    
(As Restated)
   
(As Restated)
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $54,451,445 and $, respectively)
  
$
54,447,299
    
$
 
Cash
    
10,722,485
      
73,282,564
 
Segregated cash balances with brokers for futures contracts
    
37,891,000
      
62,890,001
 
Receivable from capital shares sold
    
      
9,611,378
 
Receivable on open futures contracts
    
2,309,115
      
4,446,202
 
Interest receivable
    
177,094
      
447,861
 
  
 
 
    
 
 
 
Total assets
    
105,546,993
      
150,678,006
 
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
    
8,069,201
      
 
Payable on open futures contracts
    
3,043,723
      
9,596,045
 
Brokerage commissions and futures account fees payable
    
4,183
      
10,461
 
P
ayable to Spons
or
    
84,531
      
108,408
 
  
 
 
    
 
 
 
Total liabilities
    
11,201,638
      
9,714,914
 
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
    
94,345,355
      
140,963,092
 
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
  
$
105,546,993
    
$
150,678,006
 
  
 
 
    
 
 
 
Shares outstanding (Note 8)
    
1,233,712
      
2,933,712
 
  
 
 
    
 
 
 
Net asset value per share (Note 8)
  
$
76.47
    
$
48.05
 
  
 
 
    
 
 
 
Market value per share (Note 8) (Note 2)
  
$
78.35
    
$
48.21
 
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
47

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(58% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.273% due 05/14/24
   $ 5,000,000      $ 4,968,526  
5.269% due 06/06/24
     25,000,000        24,760,980  
5.390% due 06/18/24
     25,000,000        24,717,793  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $54,451,445)
      $ 54,447,299  
     
 
 
 
Futures Contracts Sold
 
    
Number of
Contracts
    
Notional Amount
at Value
   
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires May 2024
     10,700      $ 188,641,000     $ 20,277,127  
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
48

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Investment Income
    
Interest
   $ 1,347,078     $ 1,186,752  
  
 
 
   
 
 
 
Expenses
    
Management fee
     262,444       296,862  
Brokerage commissions
     261,254       209,641  
Futures accounts fees
     16,033       29,609  
  
 
 
   
 
 
 
Total expenses
     539,731       536,112  
  
 
 
   
 
 
 
Net investment income (loss)
     807,347       650,640  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
     44,654,357       183,408,644  
Short-term U.S. government and agency obligations
     (1,743     (2,678
  
 
 
   
 
 
 
Net realized gain (loss)
     44,652,614       183,405,966  
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
     23,830,634       (44,952,803
Short-term U.S. government and agency obligations
     (4,146     (6,995
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     23,826,488       (44,959,798
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     68,479,102       138,446,168  
  
 
 
   
 
 
 
Net income (loss)
   $ 69,286,449     $ 139,096,808  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
49

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 140,963,092     $ 134,109,520  
  
 
 
   
 
 
 
Addition of 6,600,000 and 14,500,000 shares, respectively (Note 8)
     330,055,174       376,009,637  
Redemption of 8,300,000 and 20,300,000 shares, respectively (Note 8)
     (445,959,360     (502,234,205
  
 
 
   
 
 
 
Net addition (redemption) of (1,700,000) and (5,800,000) shares, respectively (Note 8)
     (115,904,186     (126,224,568
  
 
 
   
 
 
 
Net investment income (loss)
     807,347       650,640  
Net realized gain (loss)
     44,652,614       183,405,966  
Change in net unrealized appreciation (depreciation)
     23,826,488       (44,959,798
  
 
 
   
 
 
 
Net income (loss)
     69,286,449       139,096,808  
  
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 94,345,355     $ 146,981,760  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
50

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
    
(As Restated)
   
(As Restated)
 
Cash flow from operating activities
    
Net income (loss)
  
$
69,286,449
   
$
139,096,808
 
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
    
(98,718,829
   
(34,903,867
Proceeds from sales or maturities of short-term U.S. government and agency obligations
    
44,796,807
     
71,888,275
 
Net amortization and accretion on short-term U.S. government and agency obligations
    
(531,166
   
(508,358
Net realized (gain) loss on investments
    
1,743
     
2,678
 
Change in unrealized (appreciation) depreciation on investments
    
4,146
     
6,995
 
Decrease (Increase) in receivable on open futures contracts
    
2,137,087
     
679,250
 
Decrease (Increase) in interest receivable
    
270,767
     
78,984
 
Increase (Decrease) in payable to Sponsor
    
(23,877
   
(37,297
Increase (Decrease) in brokerage commissions and futures account fees payable
    
(6,278
   
1,562
 
Increase (Decrease) in payable on open futures contracts
    
(6,552,322
)
   
19,607,153
 
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
    
10,664,527
     
195,912,183
 
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
    
339,666,552
     
347,564,637
 
Payment on shares redeemed
    
(437,890,159
   
(507,599,401
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
    
(98,223,607
   
(160,034,764
  
 
 
   
 
 
 
Net increase (decrease) in cash
    
(87,559,080
)
   
35,877,419
 
Cash, beginning of period
    
136,172,565
     
77,441,180
 
  
 
 
   
 
 
 
Cash, end of period
  
$
48,613,485
   
$
113,318,599
 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
51

Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 33,082,139      $ 34,758,230  
Segregated cash balances with brokers for foreign currency forward contracts
     4,392,112        6,332,112  
Unrealized appreciation on foreign currency forward contracts
     1,164,063        38,029  
Interest receivable
     151,231        159,359  
  
 
 
    
 
 
 
Total assets
     38,789,545        41,287,730  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Pa
yable to Spons
or
     31,554        33,372  
Unrealized depreciation on foreign currency forward contracts
     45,109        1,886,808  
  
 
 
    
 
 
 
Total liabilities
     76,663        1,920,180  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     38,712,882        39,367,550  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 38,789,545      $ 41,287,730  
  
 
 
    
 
 
 
Shares outstanding
     1,250,000        1,350,000  
  
 
 
    
 
 
 
Net asset value per share
   $ 30.97      $ 29.16  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 30.96      $ 29.15  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
52

Table of Contents
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
Foreign Currency Forward Contracts
^
 
    
Settlement Date
    
Contract Amount
in Local Currency
   
Contract Amount
in U.S. Dollars
   
Unrealized
Appreciation
(Depreciation)/
Value
 
Contracts to Purchase
         
Euro with Goldman Sachs International
     04/05/24        2,089,000     $ 2,254,174     $ (24,577
Euro with UBS AG
     04/05/24        2,400,000       2,589,766       (20,532
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (45,109
         
 
 
 
Contracts to Sell
         
Euro with Goldman Sachs International
     04/05/24        (38,956,263   $ (42,036,495   $ 611,935  
Euro with UBS AG
     04/05/24        (37,273,199     (40,220,352     552,128  
         
 
 
 
          Total Unrealized
Appreciation

 
  $ 1,164,063  
         
 
 
 
 
^
The positions and counterparties herein are as of March 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
See accompanying notes to financial statements.
 
53

Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Investment Income
    
Interest
   $ 458,317     $ 647,120  
  
 
 
   
 
 
 
Expenses
    
Management fee
     95,250       161,568  
  
 
 
   
 
 
 
Total expenses
     95,250       161,568  
  
 
 
   
 
 
 
Net investment income (loss)
     363,067       485,552  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Foreign currency forward contracts
     (943,861     (1,407,311
Short-term U.S. government and agency obligations
     4,641        
  
 
 
   
 
 
 
Net realized gain (loss)
     (939,220     (1,407,311
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Foreign currency forward contracts
     2,967,733       146,013  
Short-term U.S. government and agency obligations
           (4,802
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     2,967,733       141,211  
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     2,028,513       (1,266,100
  
 
 
   
 
 
 
Net income (loss)
   $ 2,391,580     $ (780,548
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
54

Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 39,367,550     $ 75,113,179  
  
 
 
   
 
 
 
Addition of and 100,000 shares, respectively
           3,051,886  
Redemption of 100,000 and 600,000 shares, respectively
     (3,046,248     (17,847,257
  
 
 
   
 
 
 
Net addition (redemption) of (100,000) and (500,000) shares, respectively
     (3,046,248     (14,795,371
  
 
 
   
 
 
 
Net investment income (loss)
     363,067       485,552  
Net realized gain (loss)
     (939,220     (1,407,311
Change in net unrealized appreciation (depreciation)
     2,967,733       141,211  
  
 
 
   
 
 
 
Net income (loss)
     2,391,580       (780,548
  
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 38,712,882     $ 59,537,260  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
55

Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 2,391,580     $ (780,548
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Purchases of short-term U.S. government and agency obligations
           (54,925,175
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     4,641       95,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
           (83,003
Net realized (gain) loss on investments
     (4,641      
Change in unrealized (appreciation) depreciation on investments
     (2,967,733     (141,211
Decrease (Increase) in interest receivable
     8,128       (34,330
Increase (Decrease) in payable to Sponsor
     (1,818     (12,013
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (569,843     39,023,720  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
           3,051,886  
Payment on shares redeemed
     (3,046,248     (16,411,868
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (3,046,248     (13,359,982
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (3,616,091     25,663,738  
Cash, beginning of period
     41,090,342       37,531,356  
  
 
 
   
 
 
 
Cash, end of period
   $ 37,474,251     $ 63,195,094  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
56

Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31,
2023
 
Assets
     
Cash
   $ 11,632,081      $ 9,309,908  
Segregated cash balances with brokers for futures contracts
     488,400        261,450  
Segregated cash balances with brokers for swap agreements
     2,499,614        2,375,125  
Receivable from capital shares sold
     1,172,457         
Receivable on open futures contracts
            17,324  
Interest receivable
     50,067        41,501  
  
 
 
    
 
 
 
Total assets
     15,842,619        12,005,308  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     178,749         
P
ayable to Sponso
r
     11,405        9,708  
Unrealized depreciation on swap agreements
     481,581        199,821  
  
 
 
    
 
 
 
Total liabilities
     671,735        209,529  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     15,170,884        11,795,779  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 15,842,619      $ 12,005,308  
  
 
 
    
 
 
 
Shares outstanding
     646,977        446,977  
  
 
 
    
 
 
 
Net asset value per share
   $ 23.45      $ 26.39  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 23.38      $ 26.37  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
57

Table of Contents
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized

Appreciation

(Depreciation)/Value
 
Gold Futures - COMEX, expires June 2024
     55      $ 12,311,200      $ (207,050
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     04/08/24      $ (4,178,267   $ (111,058
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
     0.20     04/08/24        (5,476,095     (145,392
Swap agreement with UBS AG based on Bloomberg Gold Subindex
     0.25     04/08/24        (8,470,022     (225,131
         
 
 
 
          Total Unrealized
Depreciation

 
  $ (481,581
         
 
 
 
 
^
The positions and counterparties herein are as of March 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
*
Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
58

Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Investment Income
    
Interest
   $ 143,203     $ 132,562  
  
 
 
   
 
 
 
Expenses
    
Management fee
     32,401       36,373  
Brokerage commissions
     935       1,361  
  
 
 
   
 
 
 
Total expenses
     33,336       37,734  
  
 
 
   
 
 
 
Net investment income (loss)
     109,867       94,828  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
     (649,963     (114,050
Swap agreements
     (747,850     (916,831
  
 
 
   
 
 
 
Net realized gain (loss)
     (1,397,813     (1,030,881
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
     (62,819     (63,271
Swap agreements
     (281,760     (592,431
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (344,579     (655,702
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (1,742,392     (1,686,583
  
 
 
   
 
 
 
Net income (loss)
   $ (1,632,525   $ (1,591,755
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
59

Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
March 31,
 
  
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 11,795,779     $ 15,456,037  
  
 
 
   
 
 
 
Addition of 200,000 and 300,000 shares, respectively
     5,007,630       8,364,270  
Redemption of
and 200,000 shares, respectively
           (6,179,279
  
 
 
   
 
 
 
Net addition (redemption) of 200,000 and 100,000 shares, respectively
     5,007,630       2,184,991  
  
 
 
   
 
 
 
Net investment income (loss)
     109,867       94,828  
Net realized gain (loss)
     (1,397,813     (1,030,881
Change in net unrealized appreciation (depreciation)
     (344,579     (655,702
  
 
 
   
 
 
 
Net income (loss)
     (1,632,525     (1,591,755
  
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 15,170,884     $ 16,049,273  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
60

Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended

March 31,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (1,632,525   $ (1,591,755
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Change in unrealized (appreciation) depreciation on investments
     281,760       592,431  
Decrease (Increase) in receivable on open futures contracts
     17,324       (59,952
Decrease (Increase) in interest receivable
     (8,566     353  
Increase (Decrease) in payable to Sponsor
     1,697       (1,413
Increase (Decrease) in payable on open futures contracts
     178,749       (700
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (1,161,561     (1,061,036
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     3,835,173       8,364,270  
Payment on shares redeemed
           (6,179,279
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     3,835,173       2,184,991  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     2,673,612       1,123,955  
Cash, beginning of period
     11,946,483       16,020,413  
  
 
 
   
 
 
 
Cash, end of period
   $ 14,620,095     $ 17,144,368  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
61

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Cash
  
$
19,551,988
    
$
46,444,776
 
Segregated cash balances with brokers for futures contracts
    
1,398,250
      
5,494,500
 
Segregated cash balances with brokers for swap agreements
    
5,505,236
      
12,657,595
 
Receivable from capital shares sold
    
      
907,025
 
Receivable on open futures contracts
    
      
329,629
 
Interest receivable
    
65,590
      
173,799
 
  
 
 
    
 
 
 
Total assets
    
26,521,064
      
66,007,324
 
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
    
1,704,153
      
 
Payable on open futures contracts
    
72,258
      
 
P
ayable to Spons
or
    
17,114
      
43,464
 
Unrealized depreciation on swap agreements
    
482,510
      
814,174
 
  
 
 
    
 
 
 
Total liabilities
    
2,276,035
      
857,638
 
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
    
24,245,029
      
65,149,686
 
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
  
$
26,521,064
    
$
66,007,324
 
  
 
 
    
 
 
 
Shares outstanding (Note 8)
    
360,332
      
897,832
 
  
 
 
    
 
 
 
Net asset value per share (Note 8)
  
$
67.29
    
$
72.56
 
  
 
 
    
 
 
 
Market value per share (Note 8) (Note 2)
  
$
66.84
    
$
72.96
 
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
62

Table of Contents
PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
 
Futures Contracts Sold
        
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized

Appreciation

(Depreciation)/Value
 
Silver Futures - COMEX, expires May 2024
     163      $ 20,306,540      $ (61,220
 
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     04/08/24      $ (5,353,674   $ (91,685
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
     0.25       04/08/24        (10,145,879     (173,752
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
     0.30       04/08/24        (1,399,517     (24,009
Swap agreement with UBS AG based on Bloomberg Silver Subindex
     0.25     04/08/24        (11,273,405     (193,064
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (482,510
         
 
 
 
 
^
The positions and counterparties herein are as of March 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
*
Reflects the floating financing rate, as of March 31, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.
**
For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.
See accompanying notes to financial statements.
 
63

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended

March 31,
 
    
2024
   
2023
 
Investment Income
    
Interest
   $ 381,433     $ 200,078  
  
 
 
   
 
 
 
Expenses
    
Management fee
     91,138       60,168  
Brokerage commissions
     6,024       5,703  
  
 
 
   
 
 
 
Total expenses
     97,162       65,871  
  
 
 
   
 
 
 
Net investment income (loss)
     284,271       134,207  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
     4,873,708       1,331,998  
Swap agreements
     906,312       1,381,625  
  
 
 
   
 
 
 
Net realized gain (loss)
     5,780,020       2,713,623  
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
     (1,750,266     116,463  
Swap agreements
     331,664       (1,299,699
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (1,418,602     (1,183,236
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     4,361,418       1,530,387  
  
 
 
   
 
 
 
Net income (loss)
   $ 4,645,689     $ 1,664,594  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
64

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended

March 31,
 
    
2024
   
2023
 
Shareholders’ equity, beginning of period
  
$
65,149,686
   
$
31,932,799
 
  
 
 
   
 
 
 
Addition of 350,000 and 162,500 shares, respectively (Note 8)
    
25,818,888
     
13,789,540
 
Redemption of 887,500 and 300,000 shares, respectively (Note 8)
    
(71,369,234
   
(27,051,242
  
 
 
   
 
 
 
Net addition (redemption) of (537,500) and (137,500) shares, respectively (Note 8)
    
(45,550,346
   
(13,261,702
  
 
 
   
 
 
 
Net investment income (loss)
    
284,271
     
134,207
 
Net realized gain (loss)
    
5,780,020
     
2,713,623
 
Change in net unrealized
appreciation
(depreciation)
    
(1,418,602
   
(1,183,236
  
 
 
   
 
 
 
Net income (loss)
    
4,645,689
     
1,664,594
 
  
 
 
   
 
 
 
Shareholders’ equity, end of period
  
$
24,245,029
   
$
20,335,691
 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
65

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended

March 31,
 
    
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 4,645,689     $ 1,664,594  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Change in unrealized (appreciation) depreciation on investments
     (331,664     1,299,699  
Decrease (Increase) in receivable on open futures contracts
     329,629       59,575  
Decrease (Increase) in interest receivable
     108,209       7,257  
Increase (Decrease) in payable to Sponsor
     (26,350     (4,042
Increase (Decrease) in payable on open futures contracts
     72,258       192,643  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     4,797,771       3,219,726  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     26,725,913       13,830,619  
Payment on shares redeemed
     (69,665,081     (27,051,242
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (42,939,168     (13,220,623
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (38,141,397     (10,000,897
Cash, beginning of period
     64,596,871       32,583,283  
  
 
 
   
 
 
 
Cash, end of period
   $ 26,455,474     $ 22,582,386  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
66

Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
    
March 31, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Cash
  
$
27,798,083
    
$
21,807,595
 
Segregated cash balances with brokers for foreign currency forward contracts
    
3,148,645
      
3,434,732
 
Unrealized appreciation on foreign currency forward contracts
    
1,626,444
      
129,697
 
Interest receivable
    
113,414
      
100,284
 
  
 
 
    
 
 
 
Total assets
    
32,686,586
      
25,472,308
 
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
P
ayable to Spons
or
    
24,146
      
20,676
 
Unrealized depreciation on foreign currency forward contracts
    
217
      
1,441,622
 
  
 
 
    
 
 
 
Total liabilities
    
24,363
      
1,462,298
 
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
    
32,662,223
      
24,010,010
 
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
  
$
32,686,586
    
$
25,472,308
 
  
 
 
    
 
 
 
Shares outstanding (Note 8)
    
797,160
      
697,160
 
  
 
 
    
 
 
 
Net asset value per share (Note 8)
  
$
40.97
    
$
34.44
 
  
 
 
    
 
 
 
Market value per share (Note 8) (Note 2)
  
$
40.92
    
$
34.47
 
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
67

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PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
 
Foreign Currency Forward Contracts
^
                         
    
Settlement Date
    
Contract Amount

in Local Currency
   
Contract Amount

in U.S. Dollars
   
Unrealized

Appreciation

(Depreciation)/

Value
 
Contracts to Purchase
         
Yen with UBS AG
     04/05/24        46,414,000     $ 306,840     $ (217
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (217
         
 
 
 
Contracts to Sell
         
Yen with Goldman Sachs International
     04/05/24        (4,271,976,165   $ (28,241,787   $ 715,090  
Yen with UBS AG
     04/05/24        (5,644,914,574     (37,318,203     911,354  
         
 
 
 
          Total Unrealized
Appreciation
 
 
  $ 1,626,444  
         
 
 
 
 
^
The positions and counterparties herein are as of March 31, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.
See accompanying notes to financial statements.
 
68

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PROSHARES ULTRASHORT YEN
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended

March 31,
 
  
2024
    
2023
 
Investment Income
     
Interest
   $ 315,417      $ 204,200  
  
 
 
    
 
 
 
Expenses
     
Management fee
     66,133        50,812  
  
 
 
    
 
 
 
Total expenses
     66,133        50,812  
  
 
 
    
 
 
 
Net investment income (loss)
     249,284        153,388  
  
 
 
    
 
 
 
Realized and unrealized gain (loss) on investment activity
     
Net realized gain (loss) on
     
Foreign currency forward contracts
     1,705,271        (1,027,976
Short-term U.S. government and agency obligations
     3,541         
  
 
 
    
 
 
 
Net realized gain (loss)
     1,708,812        (1,027,976
  
 
 
    
 
 
 
Change in net unrealized appreciation (depreciation) on
     
Foreign currency forward contracts
     2,938,152        1,862,262  
Short-term U.S. government and agency obligations
            (2,761
  
 
 
    
 
 
 
Change in net unrealized appreciation (depreciation)
     2,938,152        1,859,501  
  
 
 
    
 
 
 
Net realized and unrealized gain (loss)
     4,646,964        831,525  
  
 
 
    
 
 
 
Net income (loss)
   $ 4,896,248      $ 984,913  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
69

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PROSHARES ULTRASHORT YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended

March 31,
 
  
2024
   
2023
 
Shareholders’ equity, beginning of period
  
$
24,010,010
   
$
21,397,736
 
  
 
 
   
 
 
 
Addition of 200,000 and 400,000 shares, respectively (Note 8)
    
7,579,960
     
11,156,537
 
Redemption of 100,000 and 300,000 shares, respectively (Note 8)
    
(3,823,995
   
(8,427,368
  
 
 
   
 
 
 
Net addition (redemption) of 100,000 and 100,000 shares, respectively (Note 8)
    
3,755,965
     
2,729,169
 
  
 
 
   
 
 
 
Net investment income (loss)
    
249,284
     
153,388
 
Net realized gain (loss)
    
1,708,812
     
(1,027,976
Change in net unrealized appreciation (depreciation)
    
2,938,152
     
1,859,501
 
  
 
 
   
 
 
 
Net income (loss)
    
4,896,248
     
984,913
 
  
 
 
   
 
 
 
Shareholders’ equity, end of period
  
$
32,662,223
   
$
25,111,818
 
  
 
 
   
 
 
 
See accompanying notes to financial
statements
.
 
70

Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended

March 31,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 4,896,248     $ 984,913  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     3,541       23,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
           (4,702
Net realized (gain) loss on investments
     (3,541      
Change in unrealized (appreciation) depreciation on investments
     (2,938,152     (1,859,501
Decrease (Increase) in interest receivable
     (13,130     (45,381
Increase (Decrease) in payable to Sponsor
     3,470       (10,546
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     1,948,436       22,064,783  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     7,579,960       8,356,690  
Payment on shares redeemed
     (3,823,995     (11,110,823
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     3,755,965       (2,754,133
  
 
 
   
 
 
 
Net increase (decrease) in cash
     5,704,401       19,310,650  
Cash, beginning of period
     25,242,327       4,104,127  
  
 
 
   
 
 
 
Cash, end of period
   $ 30,946,728     $ 23,414,777  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
71

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PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 71,789,332      $ 31,674,194  
Segregated cash balances with brokers for futures contracts
     11,712,177        5,936,995  
Receivable on open futures contracts
     905,571        137,945  
Interest receivable
     245,795        141,818  
  
 
 
    
 
 
 
Total assets
     84,652,875        37,890,952  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Brokerage commissions and futures account fees payable
     2,524        1,876  
Pa
yable to Spons
or
     47,287        22,933  
  
 
 
    
 
 
 
Total liabilities
     49,811        24,809  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     84,603,064        37,866,143  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 84,652,875      $ 37,890,952  
  
 
 
    
 
 
 
Shares outstanding
     5,337,403        2,262,403  
  
 
 
    
 
 
 
Net asset value per share
   $ 15.85      $ 16.74  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 15.85      $ 16.75  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
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PROSHARES VIX
MID-TERM
FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
Futures Contracts Purchased
 
    
Number of

Contracts
    
Notional
Amount

at Value
    
Unrealized

Appreciation

(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2024
     993      $ 16,799,673      $ (416,880
VIX Futures - Cboe, expires August 2024
     1,572        27,510,000        (204,210
VIX Futures - Cboe, expires September 2024
     1,572        28,311,406        (352,062
VIX Futures - Cboe, expires October 2024
     580        11,948,000        17,267  
        
 
 
 
         $ (955,885
        
 
 
 
See accompanying notes to financial statements.
 
73

Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended

March 31,
 
    
2024
   
2023
 
Investment Income
    
Interest
   $ 515,164     $ 647,920  
  
 
 
   
 
 
 
Expenses
    
Management fee
     96,887       150,123  
Brokerage commissions
     20,163       9,169  
Futures accounts fees
     6,004       11,440  
  
 
 
   
 
 
 
Total expenses
     123,054       170,732  
  
 
 
   
 
 
 
Net investment income (loss)
     392,110       477,188  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
     (6,108,469     (15,820,720
Short-term U.S. government and agency obligations
     3,278        
  
 
 
   
 
 
 
Net realized gain (loss)
     (6,105,191     (15,820,720
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
     2,789,791       4,590,535  
Short-term U.S. government and agency obligations
           (8,075
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     2,789,791       4,582,460  
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (3,315,400     (11,238,260
  
 
 
   
 
 
 
Net income (loss)
   $ (2,923,290   $ (10,761,072
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
74

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PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended

March 31,
 
    
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 37,866,143     $ 84,014,959  
  
 
 
   
 
 
 
Addition of 3,375,000 and 275,000 shares, respectively
     54,425,947       7,751,336  
Redemption of 300,000 and 525,000 shares, respectively
     (4,765,736     (13,699,136
  
 
 
   
 
 
 
Net addition (redemption) of 3,075,000 and (250,000) shares, respectively
     49,660,211       (5,947,800
  
 
 
   
 
 
 
Net investment income (loss)
     392,110       477,188  
Net realized gain (loss)
     (6,105,191     (15,820,720
Change in net unrealized appreciation (depreciation)
     2,789,791       4,582,460  
  
 
 
   
 
 
 
Net income (loss)
     (2,923,290     (10,761,072
  
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 84,603,064     $ 67,306,087  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
75

Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended
March 31,
 
    
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (2,923,290   $ (10,761,072
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
           (214,823,214
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     3,278       220,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
           (236,917
Net realized (gain) loss on investments
     (3,278      
Change in unrealized (appreciation) depreciation on investments
           8,075  
Decrease (Increase) in receivable on open futures contracts
     (767,626     (26,021
Decrease (Increase) in interest receivable
     (103,977     (28,792
Increase (Decrease) in payable to Sponsor
     24,354       (10,798
Increase (Decrease) in brokerage commissions and futures account fees payable
     648       (1,011
Increase (Decrease) in payable on open futures contracts
           14,074  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (3,769,891     (5,865,676
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     54,425,947       7,751,336  
Payment on shares redeemed
     (4,765,736     (12,360,023
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     49,660,211       (4,608,687
  
 
 
   
 
 
 
Net increase (decrease) in cash
     45,890,320       (10,474,363
Cash, beginning of period
     37,611,189       33,959,989  
  
 
 
   
 
 
 
Cash, end of period
   $ 83,501,509     $ 23,485,626  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
76

Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31, 2023
 
    
(As Restated)
    
(As Restated)
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $69,205,152 and $59,648,776, respectively)
  
$
69,201,410
    
$
59,660,373
 
Cash
    
23,097,902
      
22,277,582
 
Segregated cash balances with brokers for futures contracts
    
63,711,190
      
72,849,393
 
Receivable from capital shares sold
    
1,617,143
      
 
Receivable on open futures contracts
    
5,145,343
      
2,362,837
 
Interest receivable
    
249,471
      
254,671
 
  
 
 
    
 
 
 
Total assets
    
163,022,459
      
157,404,856
 
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
    
      
580
 
Brokerage commissions and futures account fees payable
    
8,607
      
11,961
 
Pa
yable to Spons
or
    
77,801
      
70,569
 
  
 
 
    
 
 
 
Total liabilities
    
86,408
      
83,110
 
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
    
162,936,051
      
157,321,746
 
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
  
$
163,022,459
    
$
157,404,856
 
  
 
 
    
 
 
 
Shares outstanding (Note 1) (Note 8)
    
3,150,237
      
2,537,737
 
  
 
 
    
 
 
 
Net asset value per share (Note 1) (Note 8)
  
$
51.72
    
$
61.99
 
  
 
 
    
 
 
 
Market value per share (Note 1) (Note 8) (Note 2)
  
$
51.84
    
$
62.04
 
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
77

Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
MARCH 31, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(42% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.269% due 06/06/24
   $ 30,000,000      $ 29,713,176  
5.352% due 06/18/24
     20,000,000        19,774,234  
5.349% due 07/09/24
     20,000,000        19,714,000  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $69,205,152)
      $ 69,201,410  
     
 
 
 
Futures Contracts Purchased
 
    
Number of
Contracts
    
Notional
Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires April 2024
     6,974      $ 100,207,314      $ (6,554,137
VIX Futures - Cboe, expires May 2024
     4,068        62,722,458        (125,438
        
 
 
 
         $ (6,679,575
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
78

Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
March 31,
 
    
2024
   
2023
 
Investment Income
    
Interest
   $ 1,758,262     $ 2,120,561  
  
 
 
   
 
 
 
Expenses
    
Management fee
     336,376       517,488  
Brokerage commissions
     40,259       96,497  
Futures accounts fees
     33,271       50,659  
  
 
 
   
 
 
 
Total expenses
     409,906       664,644  
  
 
 
   
 
 
 
Net investment income (loss)
     1,348,356       1,455,917  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
     (31,758,964     (46,096,702
Short-term U.S. government and agency obligations
     4,830       8  
  
 
 
   
 
 
 
Net realized gain (loss)
     (31,754,134     (46,096,694
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
     2,984,519       1,147,992  
Short-term U.S. government and agency obligations
     (15,339     (17,966
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     2,969,180       1,130,026  
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (28,784,954     (44,966,668
  
 
 
   
 
 
 
Net income (loss)
   $ (27,436,598   $ (43,510,751
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
79

Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
March 31,
 
    
2024
   
2023
 
Shareholders’ equity, beginning of period
  
$
157,321,746
   
$
266,580,320
 
  
 
 
   
 
 
 
Addition of 950,000 and 575,000 shares, respectively (Note 1) (Note 8)
    
52,780,309
     
108,467,352
 
Redemption of 337,500 and 488,750 shares, respectively (Note 1) (Note 8)
    
(19,729,406
   
(104,771,717
  
 
 
   
 
 
 
Net addition (redemption) of 612,500 and 86,250 shares, respectively (Note 1) (Note 8)
    
33,050,903
     
3,695,635
 
  
 
 
   
 
 
 
Net investment income (loss)
    
1,348,356
     
1,455,917
 
Net realized gain (loss)
    
(31,754,134
   
(46,096,694
Change in net
unrealized
appreciation (depreciation)
    
2,969,180
     
1,130,026
 
  
 
 
   
 
 
 
Net income (loss)
    
(27,436,598
   
(43,510,751
  
 
 
   
 
 
 
Shareholders’ equity, end of period
  
$
162,936,051
   
$
226,765,204
 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
80

Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended
March 31,
 
    
2024
   
2023
 
    
(As Restated)
   
(As Restated)
 
Cash flow from operating activities
    
Net income (loss)
  
$
(27,436,598
 
$
(43,510,751
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
    
(108,597,450
   
(124,671,570
Proceeds from sales or maturities of short-term U.S. government and agency obligations
    
99,944,134
     
109,979,608
 
Net amortization and accretion on short-term U.S. government and agency obligations
    
(898,230
   
(819,344
Net realized (gain) loss on investments
    
(4,830
   
(8
Change in unrealized (appreciation) depreciation on investments
    
15,339
     
17,966
 
Decrease (Increase) in receivable on open futures contracts
    
(2,782,506
)
   
(892,495
)
Decrease (Increase) in interest receivable
    
5,200
     
(108,848
Increase (Decrease) in payable to Sponsor
    
7,232
     
6,899
 
Increase (Decrease) in brokerage commissions and futures account fees payable
    
(3,354
   
(13,059
Increase (Decrease) in payable on open futures contracts
    
(580
   
7,857,160
 
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
    
(39,751,643
)
   
(52,154,442
)
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
    
51,163,166
     
103,045,732
 
Payment on shares redeemed
    
(19,729,406
   
(105,342,190
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
    
31,433,760
     
(2,296,458
  
 
 
   
 
 
 
Net increase (decrease) in cash
    
(8,317,883
)
   
(54,450,900
)
Cash, beginning of period
    
95,126,975
     
175,279,856
 
  
 
 
   
 
 
 
Cash, end of period
  
$
86,809,092
   
$
120,828,956
 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
81

Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF FINANCIAL CONDITION
 
    
March 31, 2024
(unaudited)
    
December 31, 2023
 
    
(As Restated)
   
(As Restated)
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $1,101,228,826 and $690,346,244, respectively)
  
$
1,101,171,661
    
$
690,474,277
 
Cash
    
686,826,766
      
1,209,034,101
 
Segregated cash balances with brokers for futures contracts
    
803,209,262
      
1,029,381,720
 
Segregated cash balances with brokers for foreign currency forward contracts
    
13,994,228
      
13,366,243
 
Segregated cash balances with brokers for swap agreements
    
341,437,002
      
345,924,043
 
Unrealized appreciation on swap agreements
    
63,733,847
      
21,033,528
 
Unrealized appreciation on foreign currency forward contracts
    
2,797,020
      
2,011,074
 
Receivable from capital shares sold
    
61,874,968
      
22,784,178
 
Receivable on open futures contracts
    
57,252,131
      
29,722,683
 
Interest receivable
    
3,923,324
      
6,486,760
 
  
 
 
    
 
 
 
Total assets
    
3,136,220,209
      
3,370,218,607
 
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
    
9,773,354
      
39,357,935
 
Payable on open futures contracts
    
32,063,884
      
38,056,063
 
Brokerage commissions and futures account fees payable
    
72,259
      
131,497
 
Pa
yable to Spons
or
    
2,352,890
      
2,654,226
 
Unrealized depreciation on swap agreements
    
964,091
      
3,841,216
 
Unrealized depreciation on foreign currency forward contracts
    
2,314,050
      
3,345,544
 
  
 
 
    
 
 
 
Total liabilities
    
47,540,528
      
87,386,481
 
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
    
3,088,679,681
      
3,282,832,126
 
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
  
$
3,136,220,209
    
$
3,370,218,607
 
  
 
 
    
 
 
 
Shares outstanding (Note 8)
    
85,977,847
      
82,617,848
 
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
82

Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
March 31,
 
    
2024
   
2023
 
Investment Income
    
Interest
   $ 30,789,270     $ 33,875,375  
Expenses
    
Management fee
     7,170,260       9,254,328  
Brokerage commissions
     1,843,552       2,374,632  
Futures account fees
     230,463       402,762  
  
 
 
   
 
 
 
Total expenses
     9,244,275       12,031,722  
  
 
 
   
 
 
 
Net investment income (loss)
     21,544,995       21,843,653  
  
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
    
Net realized gain (loss) on
    
Futures contracts
     (288,399,020     (1,085,860,567
Swap agreements
     89,484,514       90,224,693  
Foreign currency forward contracts
     (1,125,591     (2,453,816
Short-term U.S. government and agency obligations
     69,945       (13,530
  
 
 
   
 
 
 
Net realized gain (loss)
     (199,970,152     (998,103,220
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
    
Futures contracts
     (100,372,675     (32,561,423
Swap agreements
     45,577,444       (150,345,998
Foreign currency forward contracts
     1,817,440       1,417,263  
Short-term U.S. government and agency obligations
     (185,198     (217,091
  
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (53,162,989     (181,707,249
  
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (253,133,141     (1,179,810,469
  
 
 
   
 
 
 
Net income (loss)
   $ (231,588,146   $ (1,157,966,816
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
83

Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
March 31,
 
    
2024
   
2023
 
Shareholders’ equity, beginning of period
  
$
3,282,832,126
   
$
3,887,786,746
 
  
 
 
   
 
 
 
Addition of 41,065,000 and 53,631,000 shares, respectively (Note 1) (Note 8)
    
1,797,533,442
     
4,125,870,321
 
Redemption of 37,705,000 and 59,958,250 shares, respectively (Note 1) (Note 8)
    
(1,760,097,741
   
(2,717,059,358
  
 
 
   
 
 
 
Net addition (redemption) of 3,360,000 and (6,327,250) shares, respectively (Note 1) (Note 8)
    
37,435,701
     
1,408,810,963
 
  
 
 
   
 
 
 
Net investment income (loss)
    
21,544,995
     
21,843,653
 
Net realized gain (loss)
    
(199,970,152
   
(998,103,220
Change in net unrealized appreciation (depreciation)
    
(53,162,989
   
(181,707,249
  
 
 
   
 
 
 
Net income (loss)
    
(231,588,146
   
(1,157,966,816
  
 
 
   
 
 
 
Shareholders’ equity, end of period
  
$
3,088,679,681
   
$
4,138,630,893
 
  
 
 
   
 
 
 
See
accompanying notes to financial statements.
 
84

Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Three Months Ended
March 31,
 
    
2024
   
2023
 
    
(As Restated)
   
(As Restated)
 
Cash flow from operating activities
    
Net income (loss)
  
$
(231,588,146
 
$
(1,157,966,816
)
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
    
(1,454,832,843
   
(18,561,204,980
)
Proceeds from sales or maturities of short-term U.S. government and agency obligations
    
1,056,718,779
     
18,914,616,336
 
Net amortization and accretion on short-term U.S. government and agency obligations
    
(12,698,573
   
(15,486,607
)
Net realized (gain) loss on investments
    
(69,945
   
13,530
 
Change in unrealized (appreciation) depreciation on investments
    
(47,209,686
   
149,145,826
 
Decrease (Increase) in receivable on futures contracts
    
(27,529,448
)
   
(79,727,821
)
Decrease (Increase) in interest receivable
    
2,563,436
     
(1,775,294
)
Increase (Decrease) in payable to Sponsor
    
(301,336
   
19,076
 
Increase (Decrease) in brokerage commissions and futures account fees payable
    
(59,238
   
(8,695
)
Increase (Decrease) in payable on futures contracts
    
(5,992,179
)
   
57,548,852
 
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
    
(720,999,179
)
   
(694,826,593
)
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
    
1,758,442,652
     
4,047,735,876
 
Payment on shares redeemed
    
(1,789,682,322
   
(2,662,086,765
)
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
    
(31,239,670
   
1,385,649,111
 
  
 
 
   
 
 
 
Net increase (decrease) in cash
    
(752,238,849
)
   
690,822,518
 
Cash, beginning of period
    
2,597,706,107
     
2,276,152,772
 
  
 
 
   
 
 
 
Cash, end of period
  
$
1,845,467,258
   
$
2,966,975,290
 
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
85

Table of Contents
PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
March 31, 2024
(unaudited)
NOTE 1 - ORGANIZATION
ProShares Trust II (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2024, the following
sixteen
series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX
Mid-Term
Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund, other than the Matching VIX Funds and the Geared VIX Funds, are listed on the NYSE Arca, Inc. (“NYSE Arca”). The Matching VIX Funds and the Geared VIX Funds are listed on the Cboe BZX Exchange (“Cboe BZX”). The Leveraged Funds and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.
The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.
Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.
The “Short” Fund seeks daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and
one-half
times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a
single day
and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation.
The Geared Funds do not seek to achieve their stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g.,
-0.5x,
-2x,
1.5x, or 2x) of the period return of the corresponding benchmark and will likely differ significantly.
Share Splits
The table below includes forward and reverse Share splits for the Funds during the three months March 31, 2024, and during the year ended December 31, 2023. The ticker symbols for these Funds did not change, and each Fund continues to trade on its primary listing exchange, as applicable.
 
86

Fund
  
Execution Date
(Prior to Opening
of Trading)
  
Type of Split
  
Date Trading
Resumed at Post-
Split Price
ProShares VIX Short-Term Futures    June 22, 2023    1-for-5 reverse Share split    June 23, 2023
ProShares Ultra VIX Short-Term Futures    June 22, 2023    1-for-10 reverse Share split    June 23, 2023
ProShares Ultra Bloomberg Natural Gas    June 22, 2023    1-for-20 reverse Share split    June 23, 2023
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.
Restatement of Previously Issued Form 10-Q and Form 10-K Filings
ProShares Trust II (the “Trust”) identified an error related to the classification of amounts on the Statements of Financial Condition between “Segregated cash balances with brokers for futures contracts” and “Receivable (Payable) on open futures contracts” for Trust filings for each quarterly Form 10-Q and annual Form 10-K filing for the period December 31, 2021, through June 30, 2024, for five Funds. The Statement of Cash Flows was the only other statement affected by these misclassifications. No other financial statement or financial statement disclosure in the Forms 10-Q or Form 10-K filings were affected by these errors. The misclassifications did not change the Shareholder Equity, net asset value per share, or total return of any Fund. The Funds impacted were: ProShares Short VIX Short-Term Futures ETF, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra VIX Short-Term Futures ETF, ProShares UltraShort Bloomberg Natural Gas, and ProShares VIX Short-Term Futures ETF (the “Affected Funds”).
These misclassifications were caused by a misinterpretation of amounts on a futures commission merchant statement and resulted in reclassifications between accounts. There is no impact on the Affected Funds’ performance, investment results, net asset values or income. The impact of these adjustments is shown in the table below.
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
 
 
  
March 31, 2024 (unaudited)
 
 
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
 
As Previously
Reported
 
  
Adjustment
 
 
As Restated
 
Assets
  
 
 
 
  
 
Segregated cash balances with brokers for futures contracts
  
 
92,929,810
 
 
 
19,555,492
 
 
 
112,485,302
 
 
 
88,647,616
 
  
 
19,191,436
 
 
 
107,839,052
 
Receivable on open futures contracts
  
 
38,527,249
 
 
 
(19,555,492
 
 
18,971,757
 
 
 
30,330,665
 
  
 
(19,116,505
 
 
11,214,160
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
Total Assets
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
283,337,788
 
  
 
74,931
 
 
 
283,412,719
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
Liabilities and shareholders’ equity
  
 
 
 
  
 
Payble on open futures contracts
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
372,680
 
  
 
74,931
 
 
 
447,611
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
Total Liabilities
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
16,153,429
 
  
 
74,931
 
 
 
16,228,360
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
Total liabilities and shareholders’ equity
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
283,337,788
 
  
 
74,931
 
 
 
283,412,719
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
  
March 31, 2024 (unaudited)
 
 
March 31, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
   
As Previously
Reported
    
Adjustment
   
As Restated
 
Statements of Cash Flows
  
 
 
 
  
 
Decrease (Increase) in receivable on open futures contracts
  
 
(8,196,584
 
 
438,987
 
 
 
(7,757,597
 
 
23,629,273
 
  
 
(7,769,894
 
 
15,859,379
 
Increase (Decrease) in payable on futures contracts
  
 
1,341,246
 
 
 
(74,931
 
 
1,266,315
 
 
 
NR
 
  
 
NR
 
 
 
NR
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
Net Cash provided by (used in) operating activities
  
 
(19,888,522
 
 
364,056
 
 
 
(19,524,466
 
 
107,089,157
 
  
 
(7,769,894
 
 
99,319,263
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
Net Increase (decrease) in cash
  
 
(14,873,484
 
 
364,056
 
 
 
(14,509,428
 
 
32,352,749
 
  
 
(7,769,894
 
 
24,582,855
 
Cash, beginninng of period
  
 
143,139,851
 
 
 
19,191,436
 
 
 
162,331,287
 
 
 
133,946,941
 
  
 
26,960,318
 
 
 
160,907,259
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
Cash, End of period
  
 
128,266,367
 
 
 
19,555,492
 
 
 
147,821,859
 
 
 
166,299,690
 
  
 
19,190,424
 
 
 
185,490,114
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
PROSHARES ULTRA BLOOMBERG NATURAL GAS
 
 
  
March 31, 2024 (unaudited)
 
 
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
 
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
Assets
  
 
 
 
 
 
Segregated cash balances with brokers for futures contracts
  
 
211,412,836
 
 
 
90,616,964
 
 
 
302,029,800
 
 
 
256,589,331
 
 
 
118,272,358
 
 
 
374,861,689
 
Receivable on open futures contracts
  
 
101,640,598
 
 
 
(86,603,669
 
 
15,036,929
 
 
 
117,168,017
 
 
 
(117,168,017
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Assets
  
 
597,162,268
 
 
 
4,013,295
 
 
 
601,175,563
 
 
 
770,676,725
 
 
 
1,104,341
 
 
 
771,781,066
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities and shareholders’ equity
  
 
 
 
 
 
Payble on open futures contracts
  
 
15,959,212
 
 
 
4,013,295
 
 
 
19,972,507
 
 
 
20,739,542
 
 
 
1,104,341
 
 
 
21,843,883
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Liabilities
  
 
16,420,891
 
 
 
4,013,295
 
 
 
20,434,186
 
 
 
40,783,917
 
 
 
1,104,341
 
 
 
41,888,258
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total liabilities and shareholders’ equity
  
 
597,162,268
 
 
 
4,013,295
 
 
 
601,175,563
 
 
 
770,676,725
 
 
 
1,104,341
 
 
 
771,781,066
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
March 31, 2024 (unaudited)
 
 
March 31, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
   
As Previously
Reported
   
Adjustment
   
As Restated
 
Statements of Cash Flows
  
 
 
 
 
 
Decrease (Increase) in receivable on open futures contracts
  
 
15,527,419
 
 
 
(30,564,348
)  
 
 
(15,036,929
 
 
(82,107,988
)  
 
 
(4,256,332
)  
 
 
(86,364,320
Increase (Decrease) in payable on futures contracts
  
 
(4,780,330
 
 
2,908,954
 
 
 
(1,871,376
 
 
(1,835,443
 
 
13,196,912
 
 
 
11,361,469
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Cash provided by (used in) operating activities
  
 
(298,210,213
)  
 
 
(27,655,394
)  
 
 
(325,865,607
 
 
(1,191,161,155
)  
 
 
8,940,580
 
 
 
(1,182,220,575
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Increase (decrease) in cash
  
 
(130,104,172
)  
 
 
(27,655,394
)  
 
 
(157,759,566
 
 
486,780,969
 
 
 
8,940,580
 
 
 
495,721,549
 
Cash, beginninng of period
  
 
582,842,023
 
 
 
118,272,358
 
 
 
701,114,381
 
 
 
176,734,664
 
 
 
150,981,820
 
 
 
327,716,484
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash, End of period
  
 
452,737,851
 
 
 
90,616,964
 
 
 
543,354,815
 
 
 
663,515,633
 
 
 
159,922,400
 
 
 
823,438,033
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
 
 
  
March 31, 2024 (unaudited)
 
 
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
 
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
Assets
  
 
 
 
 
 
Segregated cash balances with brokers for futures contracts
  
 
136,617,804
 
 
 
26,949,692
 
 
 
163,567,496
 
 
 
210,845,154
 
 
 
39,950,507
 
 
 
250,795,661
 
Receivable on open futures contracts
  
 
37,710,482
 
 
 
(26,949,692
 
 
10,760,790
 
 
 
50,510,206
 
 
 
(39,950,507
 
 
10,559,699
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Assets
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities and shareholders’ equity
  
 
 
 
 
 
Payble on open futures contracts
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Liabilities
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total liabilities and shareholders’ equity
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
March 31, 2024 (unaudited)
 
 
March 31, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
   
As Previously
Reported
   
Adjustment
   
As Restated
 
Statements of Cash Flows
  
 
 
 
 
 
Decrease (Increase) in receivable on open futures contracts
  
 
12,799,724
 
 
 
(13,000,815
)  
 
 
(201,091
 
 
109,195,498
 
 
 
(112,108,554
)  
 
 
(2,913,056
Increase (Decrease) in payable on futures contracts
  
 
648,632
 
 
 
— 
 
 
 
648,632
 
 
 
371,040
 
 
 
18,883,334
 
 
 
19,254,374
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Cash provided by (used in) operating activities
  
 
(121,769,190
)  
 
 
(13,000,815
)  
 
 
(134,770,005
 
 
(103,864,069
)  
 
 
(93,225,220
)  
 
 
(197,089,289
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Increase (decrease) in cash
  
 
(119,668,078
)  
 
 
(13,000,815
)  
 
 
(132,668,893
 
 
(42,564,228
)  
 
 
(93,225,220
)  
 
 
(135,789,448
Cash, beginninng of period
  
 
297,461,110
 
 
 
39,950,507
 
 
 
337,411,617
 
 
 
394,847,507
 
 
 
188,366,332
 
 
 
583,213,839
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash, End of period
  
 
177,793,032
 
 
 
26,949,692
 
 
 
204,742,724
 
 
 
352,283,279
 
 
 
95,141,112
 
 
 
447,424,391
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
 
 
  
March 31, 2024 (unaudited)
 
 
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
 
As Previously
Reported
 
  
Adjustment
 
 
As Restated
 
Assets
  
 
 
 
  
 
Segregated cash balances with brokers for futures contracts
  
 
27,668,768
 
 
 
10,222,232
 
 
 
37,891,000
 
 
 
35,326,076
 
  
 
27,563,925
 
 
 
62,890,001
 
Receivable on open futures contracts
  
 
12,531,347
 
 
 
(10,222,232
 
 
2,309,115
 
 
 
22,414,082
 
  
 
(17,967,880
 
 
4,446,202
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
Total Assets
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
141,081,961
 
  
 
9,596,045
 
 
 
150,678,006
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
Liabilities and shareholders’ equity
  
 
 
 
  
 
Payble on open futures contracts
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
— 
 
  
 
9,596,045
 
 
 
9,596,045
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
Total Liabilities
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
118,869
 
  
 
9,596,045
 
 
 
9,714,914
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
Total liabilities and shareholders’ equity
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
141,081,961
 
  
 
9,596,045
 
 
 
150,678,006
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
  
March 31, 2024 (unaudited)
 
 
March 31, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
   
As Previously
Reported
    
Adjustment
   
As Restated
 
Statements of Cash Flows
  
 
 
 
  
 
Decrease (Increase) in receivable on open futures contracts
  
 
9,882,735
 
 
 
(7,745,648
)  
 
 
2,137,087
 
 
 
14,440,205
 
  
 
(13,760,955
)  
 
 
679,250
 
Increase (Decrease) in payable on futures contracts
  
 
3,043,723
 
 
 
(9,596,045
 
 
(6,552,322
 
 
11,040,838
 
  
 
8,566,315
 
 
 
19,607,153
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
Net Cash provided by (used in) operating activities
  
 
28,006,220
 
 
 
(17,341,693
)  
 
 
10,664,527
 
 
 
201,106,823
 
  
 
(5,194,640
)  
 
 
195,912,183
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
Net Increase (decrease) in cash
  
 
(70,217,387
)  
 
 
(17,341,693
)  
 
 
(87,559,080
 
 
41,072,059
 
  
 
(5,194,640
)  
 
 
35,877,419
 
Cash, beginninng of period
  
 
108,608,640
 
 
 
27,563,925
 
 
 
136,172,565
 
 
 
44,482,540
 
  
 
32,958,640
 
 
 
77,441,180
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
Cash, End of period
  
 
38,391,253
 
 
 
10,222,232
 
 
 
48,613,485
 
 
 
85,554,599
 
  
 
27,764,000
 
 
 
113,318,599
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
PROSHARES VIX SHORT-TERM FUTURES ETF
 
 
  
March 31, 2024 (unaudited)
 
 
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
 
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
Assets
  
 
 
 
 
 
Segregated cash balances with brokers for futures contracts
  
 
49,390,884
 
 
 
14,320,306
 
 
 
63,711,190
 
 
 
59,164,337
 
 
 
13,685,056
 
 
 
72,849,393
 
Receivable on open futures contracts
  
 
19,465,649
 
 
 
(14,320,306
 
 
5,145,343
 
 
 
16,047,893
 
 
 
(13,685,056
 
 
2,362,837
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Assets
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities and shareholders’ equity
  
 
 
 
 
 
Payble on open futures contracts
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Liabilities
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total liabilities and shareholders’ equity
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
 
 
NR
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
March 31, 2024 (unaudited)
 
 
March 31, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
   
As Previously
Reported
   
Adjustment
   
As Restated
 
Statements of Cash Flows
  
 
 
 
 
 
Decrease (Increase) in receivable on open futures contracts
  
 
(3,417,756
)  
 
 
635,250
 
 
 
(2,782,506
 
 
26,481,863
 
 
 
(27,374,358
)  
 
 
(892,495
Increase (Decrease) in payable on futures contracts
  
 
(580
 
 
— 
 
 
 
(580
 
 
129,396
 
 
 
7,727,764
 
 
 
7,857,160
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Cash provided by (used in) operating activities
  
 
(40,386,893
)  
 
 
635,250
 
 
 
(39,751,643
 
 
(32,507,848
)  
 
 
(19,646,594
)  
 
 
(52,154,442
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Increase (decrease) in cash
  
 
(8,953,133
)  
 
 
635,250
 
 
 
(8,317,883
 
 
(34,804,306
)  
 
 
(19,646,594
)  
 
 
(54,450,900
Cash, beginninng of period
  
 
81,441,919
 
 
 
13,685,056
 
 
 
95,126,975
 
 
 
125,161,810
 
 
 
50,118,046
 
 
 
175,279,856
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash, End of period
  
 
72,488,786
 
 
 
14,320,306
 
 
 
86,809,092
 
 
 
90,357,504
 
 
 
30,471,452
 
 
 
120,828,956
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
PROSHARES TRUST II
 
 
  
March 31, 2024 (unaudited)
 
 
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
 
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
Assets
  
 
 
 
 
 
Segregated cash balances with brokers for futures contracts
  
 
641,544,576
 
 
 
161,664,686
 
 
 
803,209,262
 
 
 
810,718,438
 
 
 
218,663,282
 
 
 
1,029,381,720
 
Receivable on open futures contracts
  
 
214,903,522
 
 
 
(157,651,391
 
 
57,252,131
 
 
 
237,610,648
 
 
 
(207,887,965
 
 
29,722,683
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Assets
  
 
3,132,206,914
 
 
 
4,013,295
 
 
 
3,136,220,209
 
 
 
3,359,443,290
 
 
 
10,775,317
 
 
 
3,370,218,607
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities and shareholders’ equity
  
 
 
 
 
 
Payble on open futures contracts
  
 
28,050,589
 
 
 
4,013,295
 
 
 
32,063,884
 
 
 
27,280,746
 
 
 
10,775,317
 
 
 
38,056,063
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Liabilities
  
 
43,527,233
 
 
 
4,013,295
 
 
 
47,540,528
 
 
 
76,611,164
 
 
 
10,775,317
 
 
 
87,386,481
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total liabilities and shareholders’ equity
  
 
3,132,206,914
 
 
 
4,013,295
 
 
 
3,136,220,209
 
 
 
3,359,443,290
 
 
 
10,775,317
 
 
 
3,370,218,607
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
March 31, 2024 (unaudited)
 
 
March 31, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
   
As Previously
Reported
   
Adjustment
   
As Restated
 
Statements of Cash Flows
  
 
 
 
 
 
Decrease (Increase) in receivable on open futures contracts
  
 
22,707,126
 
 
 
(50,236,574
 
 
(27,529,448
 
 
85,542,272
 
 
 
(165,270,093
 
 
(79,727,821
Increase (Decrease) in payable on futures contracts
  
 
769,843
 
 
 
(6,762,022
 
 
(5,992,179
 
 
9,174,527
 
 
 
48,374,325
 
 
 
57,548,852
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Cash provided by (used in) operating activities
  
 
(664,000,583
 
 
(56,998,596
)  
 
 
(720,999,179
 
 
(577,930,825
)  
 
 
(116,895,768
)  
 
 
(694,826,593
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Increase (decrease) in cash
  
 
(695,240,253
 
 
(56,998,596
)  
 
 
(752,238,849
 
 
807,718,286
 
 
 
(116,895,768
)  
 
 
690,822,518
 
Cash, beginninng of period
  
 
2,379,042,825
 
 
 
218,663,282
 
 
 
2,597,706,107
 
 
 
1,826,767,616
 
 
 
449,385,156
 
 
 
2,276,152,772
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash, End of period
  
 
1,683,802,572
 
 
 
161,664,686
 
 
 
1,845,467,258
 
 
 
2,634,485,902
 
 
 
332,489,388
 
 
 
2,966,975,290
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
NR - Not Restated.
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form
10-Q
and the rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form
10-K
for the year ended December 31, 2023, as filed with the SEC on February 29, 2024.
Use of Estimates & Indemnifications
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of material or significant loss to be remote.
Basis of Presentation
Pursuant to rules and regulations of the SEC, these financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of each Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund.
Statements of Cash Flows
The cash amounts shown in the Statements of Cash Flows are the amounts reported as cash in the Statements of Financial Condition dated March 31, 2024 and 2023, and represents cash, segregated cash balances with brokers for futures contracts, segregated cash with brokers for swap agreements and segregated cash with brokers for foreign currency forward agreements but does not include short-term investments.
 
87

Table of Contents
Final Net Asset Value for Fiscal Period
The
cut-off
times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 2024 were typically as follows. All times are Eastern Standard Time:
 
Fund
  
Create/Redeem
Cut-off*
  
NAV Calculation
Time
  
NAV
Calculation Date
 
Ultra Silver and UltraShort Silver
   1:00 p.m.    1:25 p.m.      March 28, 2024  
  
 
  
 
  
 
 
 
Ultra Gold and UltraShort Gold
   1:00 p.m.    1:30 p.m.      March 28, 2024  
  
 
  
 
  
 
 
 
Ultra Bloomberg Crude Oil,
        
Ultra Bloomberg Natural Gas,
        
UltraShort Bloomberg Crude Oil and
        
UltraShort Bloomberg Natural Gas
   2:00 p.m.    2:30 p.m.      March 28, 2024  
  
 
  
 
  
 
 
 
Ultra Euro,
        
Ultra Yen,
        
UltraShort Euro and
        
UltraShort Yen
   3:00 p.m.    4:00 p.m.      March 28, 2024  
  
 
  
 
  
 
 
 
Short VIX Short-Term Futures ETF,
        
Ultra VIX Short-Term Futures ETF,
        
VIX
Mid-Term
Futures ETF and
        
VIX Short-Term Futures ETF
   2:00 p.m.    4:00 p.m.      March 28, 2024  
  
 
  
 
  
 
 
 
 
*
Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 2024.
Market value per Share is determined at the close of the applicable primary listing exchange and may be from when the Funds’ NAV per Share is calculated.
For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended March 31, 2024.
Investment Valuation
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate fair value.
Derivatives (e.g., futures contracts, options, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver and UltraShort Euro Fund, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver and UltraShort Euro Fund are generally valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are generally valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. The Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. The Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.
Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.
 
88

Fair Value of Financial Instruments
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:
Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.
Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).
Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.
In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.
Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.
The following table summarizes the valuation of investments at March 31, 2024 using the fair value hierarchy:
 
    
Level I - Quoted Prices
   
Level II - Other Significant
Observable Inputs
       
Fund
  
Short-Term U.S.

Government
and Agencies
    
Futures
Contracts
*
   
Foreign
Currency
Forward
Contracts
   
Swap
Agreements
   
Total
 
ProShares Short VIX Short-Term Futures ETF
   $ 148,757,467      $ 8,013,037     $ —      $ —      $ 156,770,504  
ProShares Ultra Bloomberg Crude Oil
     301,974,899        21,911,745       —        47,666,365       371,553,009  
ProShares Ultra Bloomberg Natural Gas
     —         (92,772,278     —        —        (92,772,278
ProShares Ultra Euro
     —         —        (202,565     —        (202,565
ProShares Ultra Gold
     138,587,964        2,377,155       —        7,535,027       148,500,146  
ProShares Ultra Silver
     205,080,219        22,681,594       —        8,532,455       236,294,268  
ProShares Ultra VIX Short-Term Futures ETF
   $ 59,307,872      $ (17,898,783   $ —      $ —      $ 41,409,089  
ProShares Ultra Yen
     —         —        (2,059,646     —        (2,059,646
ProShares UltraShort Bloomberg Crude Oil
     123,814,531        (11,995,111     —        —        111,819,420  
ProShares UltraShort Bloomberg Natural Gas
     54,447,299        20,277,127       —        —        74,724,426  
ProShares UltraShort Euro
     —         —        1,118,954       —        1,118,954  
ProShares UltraShort Gold
     —         (207,050     —        (481,581     (688,631
ProShares UltraShort Silver
     —         (61,220     —        (482,510     (543,730
ProShares UltraShort Yen
     —         —        1,626,227       —        1,626,227  
ProShares VIX
Mid-Term
Futures ETF
     —         (955,885     —        —        (955,885
ProShares VIX Short-Term Futures ETF
     69,201,410        (6,679,575     —        —        62,521,835  
  
 
 
    
 
 
   
 
 
   
 
 
   
 
 
 
Combined Trust:
  
$
1,101,171,661
 
  
$
(55,309,244
 
$
482,970
 
 
$
62,769,756
 
 
$
1,109,115,143
 
 
*
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.
 
89

The following table summarizes the valuation of investments at December 31, 2023 using the fair value hierarchy:
 
    
Level I - Quoted Prices
   
Level II - Other Significant
Observable Inputs
       
Fund
  
Short-Term U.S.

Government and
Agencies
    
Futures
Contracts
*
   
Foreign
Currency
Forward
Contracts
   
Swap
Agreements
   
Total
 
ProShares Short VIX Short-Term Futures ETF
   $ 109,410,342      $ 12,640,624     $ —      $ —      $ 122,050,966  
ProShares Ultra Bloomberg Crude Oil
     233,476,941        (3,515,232     —        17,954,935       247,916,644  
ProShares Ultra Bloomberg Natural Gas
     64,459,117        43,607,070       —        —        108,066,187  
ProShares Ultra Euro
     —         —        306,949       —        306,949  
ProShares Ultra Gold
     59,507,594        4,096,275       —        3,078,593       66,682,462  
ProShares Ultra Silver
     114,276,025        12,400,748       —        (2,827,221     123,849,552  
ProShares Ultra VIX Short-Term Futures ETF
     —         (31,183,911     —        —        (31,183,911
ProShares Ultra Yen
     —         —        1,519,285       —        1,519,285  
ProShares UltraShort Bloomberg Crude Oil
     49,683,885        22,436,319       —        —        72,120,204  
ProShares UltraShort Bloomberg Natural Gas
     —         (3,553,507     —        —        (3,553,507
ProShares UltraShort Euro
     —         —        (1,848,779     —        (1,848,779
ProShares UltraShort Gold
     —         (144,231     —        (199,821     (344,052
ProShares UltraShort Silver
     —         1,689,046       —        (814,174     874,872  
ProShares UltraShort Yen
     —         —        (1,311,925     —        (1,311,925
ProShares VIX
Mid-Term
Futures ETF
     —         (3,745,676     —        —        (3,745,676
ProShares VIX Short-Term Futures ETF
     59,660,373        (9,664,094     —        —        49,996,279  
  
 
 
    
 
 
   
 
 
   
 
 
   
 
 
 
Combined Trust:
  
$
690,474,277
 
  
$
45,063,431
 
 
$
(1,334,470
 
$
17,192,312
 
 
$
751,395,550
 
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
There were no transfers into or out of Level 3 for the quarter ended March 31, 2024 or the year ended December 31, 2023.
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
Investment Transactions and Related Income
Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation (depreciation) on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation (depreciation) between periods are reflected in the Statements of
Operations
.
 
90

Interest income is generally recognized on an accrual basis and includes the amortization of discount on short-term U.S. government and agency obligations and is reflected in the Statement of Operations. Additionally, interest income may be earned on Repurchase Agreements and/or cash held on deposit with brokers for futures contracts.
Brokerage Commissions and Futures Account Fees
Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees,
give-up
fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.
Federal Income Tax
Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.
Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., last three years and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management monitors its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to,
on-going
analysis of tax law, regulation, and interpretations thereof.
 
91

Table of Contents
NOTE 3 – INVESTMENTS
Short-Term Investments
The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts.
Repurchase Agreements
The Funds may enter into repurchase agreements. Repurchase agreements are primarily used by the Funds as short-term investments for cash positions. Under a repurchase agreement, a Fund purchases one or more debt securities and simultaneously agrees to sell those securities back to the seller at a mutually agreed-upon future price and date, normally one day or a few days later. The resale price is greater than the purchase price, reflecting an agreed-upon market interest rate during the purchaser’s holding period. While the maturities of the underlying securities in repurchase transactions may be more than one year, the term of each repurchase agreement will always be less than one year. The Funds follow certain procedures designed to minimize the risks inherent in such agreements. These procedures include affecting repurchase transactions generally with major global financial institutions whose creditworthiness is monitored by the Advisor. In addition, the value of the collateral underlying the repurchase agreement is required to be at least equal to the repurchase price, including any accrued interest income earned on the repurchase agreement. The collateral underlying the repurchase agreement is held by the Fund’s custodian. A repurchase agreement is subject to the risk that the counterparty to the repurchase agreement that sells the securities may default on its obligation to repurchase them. In this circumstance, a Fund may lose money because it may not be able to sell the securities at the agreed upon time and price, the securities may lose value before they can be sold, the selling institution may declare bankruptcy, or the Fund may have difficulty exercising rights to the collateral. During periods of high demand for repurchase agreements, the Funds may be unable to invest available cash in these instruments to the extent desired by the Advisor.
At March 31, 2024, the Trust did not have any open repurchase agreements.
Accounting for Derivative Instruments
In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.
All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.
Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.
Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.
 
92

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.
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.
 
93

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.
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 March 31, 2024
 
contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount.
The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated
tri-party
account at the Custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
 
94

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 March 31, 2024, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.
Forward Contracts
Certain of the Funds enter into forward contracts for the purpose of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contracts are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.
The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.
Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates
non-deliverable
forwards (including deliverable forwards where the parties do not take delivery). Certain
non-deliverable
forward contracts, such as
non-deliverable
foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in increased reporting requirements.
The Funds may collateralize OTC forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated
tri-party
account at a third party custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2024, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
 
95

Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.
A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.
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 March 31, 2024
 
         
Asset Derivatives
   
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized
Appreciation
   
Statements of
Financial Condition
Location
  
Unrealized
Depreciation
 
VIX Futures Contracts
      Receivable on open futures contracts, unrealized appreciation on swap agreements      Payable on open futures contracts, unrealized depreciation on swap agreements   
   ProShares Short VIX Short-Term Futures ETF       $ 8,013,037
*
 
     $ —   
   ProShares Ultra VIX Short-Term Futures ETF         —           17,898,783
*
 
   ProShares VIX
Mid-Term
Futures ETF
        17,267
*
 
       973,152
*
 
   ProShares VIX Short-Term Futures ETF         —           6,679,575
*
 
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         69,578,110
*
 
       —   
   ProShares Ultra Bloomberg Natural Gas         —           92,772,278
*
 
   ProShares Ultra Gold         9,912,182
*
 
       —   
   ProShares Ultra Silver         31,214,049
*
 
       —   
   ProShares UltraShort Bloomberg Crude Oil         —           11,995,111
*
 
   ProShares UltraShort Bloomberg Natural Gas         20,277,127
*
 
       —   
   ProShares UltraShort Gold         —           688,631
*
 
   ProShares UltraShort Silver         —           543,730
*
 
 
96

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         965          203,530  
   ProShares Ultra Yen         5,548          2,065,194  
   ProShares UltraShort Euro         1,164,063          45,109  
   ProShares UltraShort Yen         1,626,444          217  
        
 
 
      
 
 
 
     
Combined Trust:
  
$
141,808,792
*
 
    
$
133,865,310
*
 
 
*
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.
 
Fair Value of Derivative Instruments as of December 31, 2023
 
         
Asset Derivatives
   
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
  
Fund
  
Statements of
Financial Condition
Location
  
Unrealized
Appreciation
   
Statements of
Financial Condition
Location
  
Unrealized
Depreciation
 
VIX Futures Contracts
      Receivable on open futures contracts, unrealized appreciation on swap agreements      Payable on open futures contracts, unrealized depreciation on swap agreements   
   ProShares Short VIX Short-Term Futures ETF       $ 12,640,624
*
 
     $ —   
   ProShares Ultra VIX Short-Term Futures ETF         —           31,183,911
*
 
   ProShares VIX
Mid-Term
Futures ETF
        —           3,745,676
*
 
   ProShares VIX Short-Term Futures ETF         —           9,664,094
*
 
Commodities Contracts
      Receivables on open futures contracts and/or unrealized appreciation on swap agreements      Payable on open futures contracts and/or unrealized depreciation on swap agreements   
   ProShares Ultra Bloomberg Crude Oil         20,191,987
*
 
       5,752,284
*
 
   ProShares Ultra Bloomberg Natural Gas         43,607,070
*
 
       —   
   ProShares Ultra Gold         7,174,868
*
 
       —   
   ProShares Ultra Silver         12,400,748
*
 
       2,827,221
*
 
   ProShares UltraShort Bloomberg Crude Oil         22,436,319
*
 
       —   
   ProShares UltraShort Bloomberg Natural Gas         —           3,553,507
*
 
   ProShares UltraShort Gold         —           344,052
*
 
   ProShares UltraShort Silver         1,879,957
*
 
       1,005,085
*
 
Foreign Exchange Contracts
      Unrealized appreciation on foreign currency forward contracts, and/or receivables on open futures contracts      Unrealized depreciation on foreign currency forward contracts, and/or payable on open futures contracts   
   ProShares Ultra Euro         308,424          1,475  
   ProShares Ultra Yen         1,534,924          15,639  
   ProShares UltraShort Euro         38,029          1,886,808  
   ProShares UltraShort Yen         129,697          1,441,622  
        
 
 
      
 
 
 
     
Combined Trust:
  
$
122,342,647
*
 
    
$
61,421,374
*
 
 
97

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 2024
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income
 
VIX Futures Contracts
   Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements        
      ProShares Short VIX Short-Term Futures ETF    $ 28,496,948     $ (4,627,587
      ProShares Ultra VIX Short-Term Futures ETF      (91,003,229     13,285,128  
      ProShares VIX
Mid-Term
Futures ETF
     (6,108,469     2,789,791  
      ProShares VIX Short-Term Futures ETF    $ (31,758,964   $ 2,984,519  
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      93,118,600       55,138,407  
      ProShares Ultra Bloomberg Natural Gas      (242,180,914     (136,379,348
      ProShares Ultra Gold      18,471,271       2,737,314  
      ProShares Ultra Silver      (4,470,712     21,640,522  
      ProShares UltraShort Bloomberg Crude Oil      (12,515,601     (34,431,430
      ProShares UltraShort Bloomberg Natural Gas      44,654,357       23,830,634  
      ProShares UltraShort Gold      (1,397,813     (344,579
      ProShares UltraShort Silver      5,780,020       (1,418,602
 
98

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
     144,574       (509,514
     
ProShares Ultra Yen
     (2,031,575     (3,578,931
     
ProShares UltraShort Euro
     (943,861     2,967,733  
     
ProShares UltraShort Yen
     1,705,271       2,938,152  
        
 
 
   
 
 
 
     
Combined Trust:
  
$
(200,040,097
 
$
(52,977,791
 
*
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 Effect of Derivative Instruments on the Statement of Operations
For the three months ended March 31, 2023
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
   
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
VIX Futures Contracts
  
Net realized gain (loss) on futures contracts and/or swap agreements/ changes in unrealized appreciation (depreciation) on futures contracts and/or swap agreements
       
     
ProShares Short VIX Short-Term Futures ETF
   $ 29,604,148     $ 3,178,807  
     
ProShares Ultra VIX Short-Term Futures ETF
     (182,233,430     2,046,250  
     
ProShares VIX
Mid-Term
Futures ETF
     (15,820,720     4,590,535  
     
ProShares VIX Short-Term Futures ETF
     (46,096,702     1,147,992  
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
     85,780,427       (138,159,516
     
ProShares Ultra Bloomberg Natural Gas
     (1,061,631,294     (52,989,637
     
ProShares Ultra Gold
     10,799,896       10,711,116  
     
ProShares Ultra Silver
     (28,743,864     22,387,658  
 
99

    ProShares UltraShort Bloomberg Crude Oil     27,614,279       10,971,115  
    ProShares UltraShort Bloomberg Natural Gas     183,408,644       (44,952,803
    ProShares UltraShort Gold     (1,030,881     (655,702
    ProShares UltraShort Silver     2,713,623       (1,183,236
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     280,279       (96,945
    ProShares Ultra Yen     (298,808     (494,067
    ProShares UltraShort Euro     (1,407,311     146,013  
    ProShares UltraShort Yen     (1,027,976     1,862,262  
     
 
 
   
 
 
 
   
Combined Trust:
 
$
(998,089,690
 
$
(181,490,158
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 March 31, 2024.
 
100

Fair Values of Derivative Instruments as of March 31, 2024
 
    
Assets
    
Liabilities
 
Fund
  
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
    
Gross Amounts
Offset in the
Statements of
Financial
Condition
    
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
    
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
    
Gross Amounts
Offset in the
Statements of
Financial
Condition
    
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
                 
Swap agreements
   $ 47,666,365      $      $ 47,666,365      $      $      $  
ProShares Ultra Euro
                 
Foreign currency forward contracts
     965               965        203,530               203,530  
ProShares Ultra Gold
                 
Swap agreements
     7,535,027               7,535,027                       
ProShares Ultra Silver
                 
Swap agreements
     8,532,455               8,532,455                       
ProShares Ultra Yen
                 
Foreign currency forward contracts
     5,548               5,548        2,065,194               2,065,194  
ProShares UltraShort Euro
                 
Foreign currency forward contracts
     1,164,063               1,164,063        45,109               45,109  
ProShares UltraShort Gold
                 
Swap agreements
                          481,581               481,581  
ProShares UltraShort Silver
                 
Swap agreements
                          482,510               482,510  
ProShares UltraShort Yen
                 
Foreign currency forward contracts
     1,626,444               1,626,444        217               217  
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2024. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.
 
101

Gross Amounts Not Offset in the Statements of Financial Condition as of March 31, 2024
 
Fund
  
Amounts of Recognized Assets /
(Liabilities) presented in the

Statements of Financial Condition
    
Financial Instruments for
the Benefit of (the Funds) /
the Counterparties
    
Cash Collateral for the
Benefit of (the Funds) /
the Counterparties
    
Net Amount
 
ProShares Ultra Bloomberg Crude Oil
           
Citibank, N.A.
   $ 10,459,881      $ (7,619,374    $      $ 2,840,507  
Goldman Sachs International
     13,004,988        (9,569,805             3,435,183  
Morgan Stanley & Co.
           
International PLC
     6,506,359        (4,940,096             1,566,263  
Societe Generale
     9,882,872        (7,241,166             2,641,706  
UBS AG
     7,812,265        (5,715,005             2,097,260  
ProShares Ultra Euro
           
Goldman Sachs International
     (90,225 )             90,225         
UBS AG
     (112,340 )             96,000        (16,340 )
ProShares Ultra Gold
           
Citibank, N.A.
     3,235,432        (1,854,908             1,380,524  
Goldman Sachs International
     1,536,727        (899,187             637,540  
UBS AG
     2,762,868        (1,568,634             1,194,234  
ProShares Ultra Silver
           
Citibank, N.A.
     3,081,663        (1,908,038             1,173,625  
Goldman Sachs International
     384,359        (341,967             42,392  
Morgan Stanley & Co.
           
International PLC
     2,607,725        (804,404             1,803,321  
UBS AG
     2,458,708        (1,535,526             923,182  
ProShares Ultra Yen
           
Goldman Sachs International
     (954,143             954,143         
UBS AG
     (1,105,503             1,105,503         
ProShares UltraShort Euro
           
Goldman Sachs International
     587,358        (286,766             300,592  
UBS AG
     531,596        (266,627             264,969  
ProShares UltraShort Gold
           
Citibank, N.A.
     (111,058             111,058         
Goldman Sachs International
     (145,392             145,392         
UBS AG
     (225,131             225,131         
ProShares UltraShort Silver
           
Citibank, N.A.
     (91,685             91,685         
Goldman Sachs International
     (173,752             173,752         
Morgan Stanley & Co.
           
International PLC
     (24,009             24,009         
UBS AG
     (193,064             193,064         
ProShares UltraShort Yen
           
Goldman Sachs International
     715,090        (603,220             111,870  
UBS AG
     911,137        (738,210             172,927  
The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2023:
 
102

Fair Values of Derivative Instruments as of December 31, 2023
 
    
Assets
    
Liabilities
 
Fund
  
Gross Amounts
of Recognized
Assets presented
in the
Statements of
Financial
Condition
    
Gross Amounts
Offset in the
Statements of
Financial
Condition
    
Net Amounts of
Assets presented
in the
Statements of
Financial
Condition
    
Gross Amounts
of Recognized
Liabilities
presented in the
Statements of
Financial
Condition
    
Gross Amounts
Offset in the
Statements of
Financial
Condition
    
Net Amounts of
Liabilities
presented in the
Statements of
Financial
Condition
 
ProShares Ultra Bloomberg Crude Oil
                 
Swap agreements
   $ 17,954,935      $      $ 17,954,935      $      $      $  
ProShares Ultra Euro
                 
Foreign currency forward contracts
     308,424               308,424        1,475               1,475  
ProShares Ultra Gold
                 
Swap agreements
     3,078,593               3,078,593                       
ProShares Ultra Silver
                 
Swap agreements
                          2,827,221               2,827,221  
ProShares Ultra Yen
                 
Foreign currency forward contracts
     1,534,924               1,534,924        15,639               15,639  
ProShares UltraShort Euro
                 
Foreign currency forward contracts
     38,029               38,029        1,886,808               1,886,808  
ProShares UltraShort Gold
                 
Swap agreements
                          199,821               199,821  
ProShares UltraShort Silver
                 
Swap agreements
                          814,174               814,174  
ProShares UltraShort Yen
                 
Foreign currency forward contracts
     129,697               129,697        1,441,622               1,441,622  
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2023. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”
 
Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2023
 
Fund
  
Amounts of Recognized
Assets / (Liabilities)
presented in the
Statements of Financial
Condition
    
Financial Instruments
for the Benefit of (the
Funds) / the
Counterparties
    
Cash Collateral for the
Benefit of (the Funds)
/ the Counterparties
    
Net Amount
 
ProShares Ultra Bloomberg Crude Oil
           
Citibank, N.A.
   $ 3,938,035      $ (3,938,035    $      $  
Goldman Sachs International
     4,896,240        (4,896,240              
Morgan Stanley & Co.
           
International PLC
     2,449,576        (2,449,576              
Societe Generale
     3,727,284        (3,727,284              
UBS AG
     2,943,800        (2,943,800              
ProShares Ultra Euro
           
Goldman Sachs International
     162,672                      162,672  
UBS AG
     144,277                      144,277  
ProShares Ultra Gold
           
Citibank, N.A.
     1,321,903        (1,321,903              
Goldman Sachs International
     627,862        (627,862              
UBS AG
     1,128,828        (1,128,828              
ProShares Ultra Silver
           
Citibank, N.A.
     (906,324             906,324         
Goldman Sachs International
     (135,877             135,877         
Morgan Stanley & Co.
           
International PLC
     (921,875             921,875         
UBS AG
     (863,145             863,145         
ProShares Ultra Yen
           
Goldman Sachs International 
     646,861        (465,767             181,094  
 
103

UBS AG
     872,424        (618,104               254,320  
ProShares UltraShort Euro
           
Goldman Sachs International
     (964,142                  964,142         
UBS AG
     (884,637             884,637         
ProShares UltraShort Gold
           
Citibank, N.A.
     (46,103             46,103         
Goldman Sachs International
     (60,261             60,261         
UBS AG
     (93,457             93,457         
ProShares UltraShort Silver
           
Citibank, N.A.
          126,314                             126,314  
Goldman Sachs International
     56,804                      56,804  
Morgan Stanley & Co.
           
International PLC
     7,793                      7,793  
UBS AG
     (1,005,085             1,005,085         
ProShares UltraShort Yen
           
Goldman Sachs International
     (701,077             701,077         
UBS AG
     (610,848             610,848         
NOTE 4 – AGREEMENTS
Management Fee
Each Leveraged Fund, and each Geared VIX Fund, pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund. Each Fund accrues the Management Fee daily at an annualized rate based on its average daily net assets.
The Management Fee is paid in consideration of the Sponsor’s trading advisory services and the other services provided to the Fund that the Sponsor pays directly. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to, (i) the fees and expenses of the Administrator, Custodian, Transfer Agent, Distributor (as each is defined below), and ProFunds Distributors, Inc., an affiliated broker-dealer of the Sponsor, as well as accounting and auditing fees and expenses, (ii) any Index licensors for the Funds; and (iii) the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations. Fees associated with a Fund’s trading operations may include expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule
K-1
preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses.
Non-Recurring
Fees and Expenses
Each Fund pays all of its
non-recurring
and unusual fees and expenses, if any, as determined by the Sponsor.
Non-recurring
and unusual fees and expenses are fees and expenses that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.
The Administrator
BNY Mellon Asset Servicing, a division of The Bank of New York Mellon (“BNY Mellon”), serves as the Administrator of the Funds (the “Administrator”). The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into an administration and accounting agreement (the “Administration and Accounting Agreement”) in connection therewith. Pursuant to the terms of the Administration and Accounting Agreement and under the supervision and direction of the Sponsor and the Trust, BNY Mellon prepares and files certain regulatory filings on behalf of the Funds. BNY Mellon may also perform other services for the Funds pursuant to the Administration and Accounting Agreement as mutually agreed upon by the Sponsor, the Trust and BNY Mellon from time to time. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.
 
104

The Custodian
BNY Mellon serves as the Custodian of the Funds (the “Custodian”). The Trust, on its own behalf and on behalf of each Fund, and BNY Mellon have entered into a custody agreement (the “Custody Agreement”) in connection therewith. Pursuant to the terms of the Custody Agreement, BNY Mellon is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BNY Mellon by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.
The Transfer Agent
BNY Mellon serves as the Transfer Agent of the Funds (the “Transfer Agent”) for entities that have entered into an Authorized Participant Agreement with one or more of the Funds (“Authorized Participants”) and has entered into a transfer agency and service agreement (the “Transfer Agency and Service Agreement”). Pursuant to the terms of the Transfer Agency and Service Agreement, BNY Mellon is responsible for processing purchase and redemption orders and maintaining records of ownership of the Funds. The Transfer Agent Fees are paid on behalf of the Funds by the Sponsor.
The Distributor
SEI Investments Distribution Co. (“SEI”) serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds.
NOTE 5 – CREATION AND REDEMPTION OF CREATION UNITS
Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000
Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the reverse share splits as described in Note 1 and Note 8, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.
Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions is not relevant to retail investors.
Transaction Fees on Creation and Redemption Transactions
The manner by which Creation Units are purchased or redeemed is governed by the terms of the Authorized Participant Agreement and Authorized Participant Procedures Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade with the relevant fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.
Authorized Participants may pay a fixed transaction fee (typically $250) in connection with each order to create or redeem a Creation Unit in order to compensate BNY Mellon, as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the
Funds
to other investors in the secondary market.
Transaction fees three months ended March 31, 2024 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:
 
105

    
Three Months Ended
 
Fund
  
March 31, 2024
 
ProShares Short VIX Short-Term Futures ETF
   $ 71,241  
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
     97,529  
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
     17,883  
ProShares VIX Short-Term Futures ETF
     32,345  
  
 
 
 
Combined Trust:
   $ 218,998  
 
106

Table of Contents
NOTE 6 – FINANCIAL HIGHLIGHTS
S
elected Data for a Share Outstanding Throughout the Three Months Ended March
 31, 2024
For the Three Months Ended March 31, 2024 (unaudited)
 
Per Share Operating Performance
  
Short VIX
Short-Term

Futures ETF
*
   
Ultra
Bloomberg
Crude Oil
   
Ultra
Bloomberg
Natural Gas
*
   
Ultra Euro
   
Ultra Gold
   
Ultra Silver
 
Net asset value, at December 31, 2023
  
$
51.69
   
$
26.28
   
$
142.73
   
$
11.86
   
$
63.83
   
$
27.29
 
Net investment income (loss)
    
0.41
     
0.16
     
0.67
     
0.11
     
0.54
     
0.19
 
Net realized and unrealized gain (loss)#
    
4.28
     
6.75
     
(77.73
)
   
(0.63
   
7.62
     
1.05
 
Change in net asset value from operations
    
4.69
     
6.91
     
(77.06
)
   
(0.52
   
8.16
     
1.24
 
Net asset value, at March 31, 2024
  
$
56.38
   
$
33.19
   
$
65.67
   
$
11.34
   
$
71.99
   
$
28.53
 
Market value per share, at December 31, 2023
  
$
51.70
   
$
26.10
   
$
142.20
   
$
11.84
   
$
63.87
   
$
27.17
 
Market value per share, at March 31, 2024
  
$
56.37
   
$
33.00
   
$
64.30
   
$
11.32
   
$
72.26
   
$
28.74
 
Total Return, at net asset value^
    
9.1
   
26.3
   
(54.0
)%
   
(4.4
)% 
   
12.8
   
4.6
Total Return, at market value^
    
9.0
   
26.4
   
(54.8
)%
   
(4.4
)% 
   
13.1
   
5.8
Ratios to Average Net Assets**
            
Expense ratio^^
    
1.17
   
0.99
   
1.47
   
0.95
   
0.97
   
0.98
Net investment income gain (loss)
    
3.08
   
2.23
   
2.76
   
3.73
   
3.41
   
2.97
 
*
See Note 8 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended March 31, 2024.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
 
107

For the Three Months Ended March 31, 2024 (unaudited)
 
Per Share Operating Performance
  
Ultra VIX
Short-Term

Futures ETF
*
   
Ultra Yen
   
UltraShort
Bloomberg
Crude Oil
   
UltraShort
Bloomberg
Natural Gas
*
   
UltraShort
Euro
   
UltraShort
Gold
 
Net asset value, at December 31, 2023
   $ 42.17     $ 27.46     $ 20.75     $ 48.05     $ 29.16     $ 26.39  
Net investment income (loss)
     0.20       0.22       0.17       0.40       0.27       0.21  
Net realized and unrealized gain (loss)#
     (10.91     (4.35     (5.00     28.02       1.54       (3.15
Change in net asset value from operations
     (10.71     (4.13     (4.83     28.42       1.81       (2.94
Net asset value, at March 31, 2024
   $ 31.46     $ 23.33     $ 15.92     $ 76.47     $ 30.97     $ 23.45  
Market value per share, at December 31, 2023
   $ 42.20     $ 27.49     $ 20.89     $ 48.21     $ 29.15     $ 26.37  
Market value per share, at March 31, 2024
   $ 31.60     $ 23.35     $ 16.02     $ 78.35     $ 30.96     $ 23.38  
Total Return, at net asset value^
     (25.4 )%      (15.1 )%      (23.3 )%      59.2     6.2     (11.1 )% 
Total Return, at market value^
     (25.1 )%      (15.1 )%      (23.3 )%      62.5     6.2     (11.3 )% 
Ratios to Average Net Assets**
            
Expense ratio^^
     1.77     0.95     1.06     1.95     0.95     0.98
Net investment income gain (loss)
     2.16     3.60     3.65     2.92     3.62     3.22
 
*
See Note 8 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended March 31, 2024.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
 
108

For the Three Months Ended March 31, 2024 (unaudited)
 
Per Share Operating Performance
  
UltraShort
Silver
*
   
UltraShort
Yen
*
   
VIX
Mid-Term

Futures ETF
   
VIX
Short-Term

Futures ETF
*
 
Net asset value, at December 31, 2023
  
$
72.56
   
$
34.44
   
$
16.74
   
$
61.99
 
Net investment income (loss)
    
0.57
     
0.35
     
0.14
     
0.48
 
Net realized and unrealized gain (loss)#
    
(5.84
   
6.18
     
(1.03
   
(10.75
Change in net asset value from operations
    
(5.27
   
6.53
     
(0.89
   
(10.27
Net asset value, at March 31, 2024
  
$
67.29
   
$
40.97
   
$
15.85
   
$
51.72
 
Market value per share, at December 31, 2023
  
$
72.96
   
$
34.47
   
$
16.75
   
$
62.04
 
Market value per share, at March 31, 2024
  
$
66.84
   
$
40.92
   
$
15.85
   
$
51.84
 
Total Return, at net asset value^
    
(7.3
)% 
   
19.0
   
(5.3
)% 
   
(16.6
)% 
Total Return, at market value^
    
(8.4
)% 
   
18.7
   
(5.4
)% 
   
(16.4
)% 
Ratios to Average Net Assets**
        
Expense ratio^^
    
1.01
   
0.95
   
1.08
   
1.04
Net investment income gain (loss)
    
2.96
   
3.58
   
3.44
   
3.41
 
*
See Note 8 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended March 31, 2024.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
 
109

Selected Data for a Share Outstanding Throughout the Three Months Ended March 31, 2023
For the Three Months Ended March 31, 2023 (unaudited)
 
Per Share Operating Performance
  
Short VIX
Short-Term

Futures
ETF
**
   
Ultra
Bloomberg
Crude Oil
   
Ultra
Bloomberg
Natural Gas
*
   
Ultra Euro
   
Ultra Gold
   
Ultra Silver
 
Net asset value, at December 31, 2022
  
$
29.35
   
$
30.26
   
$
1,815.41
   
$
11.27
   
$
55.09
   
$
31.75
 
Net investment income (loss)
    
0.18
     
0.14
     
3.36
     
0.08
     
0.39
     
0.19
 
Net realized and unrealized gain (loss)#
    
2.33
     
(3.87
   
(1,449.95
)
   
0.14
     
7.38
     
(0.84
Change in net asset value from operations
    
2.51
     
(3.73
   
(1,446,59
)
   
0.22
     
7.77
     
(0.65
Net asset value, at March 31, 2023
  
$
31.86
   
$
26.53
   
$
368.82
   
$
11.49
   
$
62.86
   
$
31.10
 
Market value per share, at December 31, 2022
  
$
29.34
   
$
30.31
   
$
1,778.00
   
$
11.26
   
$
55.27
   
$
32.00
 
Market value per share, at March 31, 2023
  
$
31.88
   
$
26.47
   
$
361.00
   
$
11.49
   
$
63.02
   
$
31.23
 
Total Return, at net asset value^
    
8.6
   
(12.3
)% 
   
(79.7
)%
   
2.0
   
14.1
   
(2.0
)% 
Total Return, at market value^
    
8.6
   
(12.7
)% 
   
(79.7
)%
   
2.0
   
14.0
   
(2.4
)% 
Ratios to Average Net Assets***
            
Expense ratio^^
    
1.16
   
1.00
   
1.42
   
0.95
   
0.97
   
0.98
Net investment income gain (loss)
    
2.38
   
2.05
   
2.24
   
2.86
   
2.70
   
2.70
 
*
See Note 1 and Note 8 of these Notes to Financial Statements.
**
See Note 8 of these Notes to Financial Statements.
***
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended March 31, 2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
 
110

Table of Contents
For the Three Months Ended March 31, 2023 (unaudited)
 
Per Share Operating Performance
  
Ultra VIX
Short-Term

Futures
ETF
*
   
Ultra Yen
   
UltraShort
Bloomberg
Crude Oil
   
UltraShort
Bloomberg
Natural Gas
**
   
UltraShort
Euro
   
UltraShort
Gold
 
Net asset value, at December 31, 2022
   $ 343.43     $ 34.54     $ 23.93     $ 13.50     $ 29.46     $ 31.10  
Net investment income (loss)
     0.98       0.23       0.18       0.13       0.21       0.18  
Net realized and unrealized gain (loss)#
     (113.14     (1.72     1.04       21.93       (0.63     (4.40
Change in net asset value from operations
     (112.16     (1.49     1.22       22.06       (0.42     (4.22
Net asset value, at March 31, 2023
   $ 231.27     $ 33.05     $ 25.15     $ 35.56     $ 29.04     $ 26.88  
Market value per share, at December 31, 2022
   $ 343.00     $ 34.56     $ 23.85     $ 13.78     $ 29.45     $ 30.99  
Market value per share, at March 31, 2023
   $ 232.50     $ 33.02     $ 25.22     $ 36.21     $ 29.04     $ 26.84  
Total Return, at net asset value^
     (32.7 )%      (4.3 )%      5.1     163.4     (1.4 )%      (13.6 )% 
Total Return, at market value^
     (32.2 )%      (4.5 )%      5.8     162.8     (1.4 )%      (13.4 )% 
Ratios to Average Net Assets***
            
Expense ratio^^
     1.57     0.95     1.08     1.72     0.95     0.99
Net investment income gain (loss)
     1.48     2.78     2.85     2.08     2.85     2.48
 
*
See Note 1 and Note 8 of these Notes to Financial Statements.
**
See Note 8 of these Notes to Financial Statements.
***
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended March 31, 2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
 
111

Table of Contents
For the Three Months Ended March 31, 2023 (unaudited)
 
Per Share Operating Performance
  
UltraShort
Silver
**
   
UltraShort
Yen
**
   
VIX Mid-

Term Futures
ETF
   
VIX Short-
Term Futures
ETF
*
 
Net asset value, at December 31, 2022
  
$
77.82
   
$
26.84
   
$
30.41
   
$
228.01
 
Net investment income (loss)
    
0.45
     
0.19
     
0.18
     
1.15
 
Net realized and unrealized gain (loss)#
    
(3.73
   
0.96
     
(3.80
   
(48.53
Change in net asset value from operations
    
(3.28
   
1.15
     
(3.62
   
(47.38
Net asset value, at March 31, 2023
  
$
74.54
   
$
27.99
   
$
26.79
   
$
180.63
 
Market value per share, at December 31, 2022
  
$
77.20
   
$
26.79
   
$
30.36
   
$
227.60
 
Market value per share, at March 31, 2023
  
$
74.24
   
$
28.00
   
$
26.82
   
$
181.00
 
Total Return, at net asset value^
    
(4.2
)% 
   
4.3
   
(11.9
)% 
   
(20.8
)% 
Total Return, at market value^
    
(3.8
)% 
   
4.5
   
(11.7
)% 
   
(20.5
)% 
Ratios to Average Net Assets***
        
Expense ratio^^
    
1.04
   
0.95
   
0.97
   
1.09
Net investment income gain (loss)
    
2.12
   
2.87
   
2.70
   
2.39
 
*
See Note 1 and Note 8 of these Notes to Financial Statements.
**
See Note 8 of these Notes to Financial Statements.
***
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended March 31, 2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if
non-recurring
fees and expenses, and brokerage commissions and futures account fees were excluded.
 
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Table of Contents
NOTE 7 – RISK
Correlation and Holding Period Risk
Each of the Geared Funds is “geared” which means that each has an investment objective to seek daily investment results, before fees and expenses, that correspond either to one-half the inverse (-0.5x), two times the inverse (-2x), one and one-half times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark (referred to as the “Daily Target”). The Geared Funds do not seek to achieve their Daily Target for any period of time other than a single day (as measured from NAV calculation time to NAV calculation time).
The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ from one-half the inverse (-0.5x), two times the inverse (-2x), one and one-half times (1.5x) the return or two times (2x) the return of the Geared Fund’s benchmark for the same period. This difference may be significant.
Compounding is the cumulative effect of applying investment gains and losses and income to the principal amount invested over time. Gains or losses experienced over a given period will increase or reduce the principal amount invested from which the subsequent period’s returns are calculated. The effects of compounding will likely cause the performance of a Geared Fund to differ from the Geared Fund’s stated multiple times the return of its benchmark for the same period. The effect of compounding becomes more pronounced as benchmark volatility and holding period increase. The impact of compounding will impact each shareholder differently depending on the period of time an investment in a Geared Fund is held and the volatility of the benchmark during the holding period of an investment in the Geared Fund.
The return of a Geared Fund for periods longer than a day is the product of a series of daily leveraged returns for each trading day during that period. If you hold Geared Fund shares for any period other than a day, it is important for you to understand the risks and long-term performance of a daily objective fund. You should know that over your holding period:
 
 
 
Your return may be higher or lower than the Daily Target, and this difference may be significant.
 
 
 
Factors that contribute to returns that are worse than the Daily Target include smaller Benchmark gains or losses and higher Benchmark volatility, as well as longer holding periods when these factors apply.
 
 
 
Factors that contribute to returns that are better than the Daily Target include larger Benchmark gains or losses and lower Benchmark volatility, as well as longer holding periods when these factors apply.
 
 
 
The more extreme these factors are, and the more they occur together, the more your return will tend to deviate from the Daily Target.
For periods longer than a day, you will lose money if the Benchmark’s performance is flat. It is possible that you will lose money invested in a Short or UltraShort Fund even if the value of the Benchmark falls during that period or money invested in an Ultra Fund even if the value of the Benchmark rises during that period. Returns may move in the opposite direction of the Benchmark during periods of higher Benchmark volatility, low Benchmark returns, or both. In addition, during periods of higher Benchmark volatility, the Benchmark volatility may affect your return as much or more than the return of the Benchmark.
Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra with a 1.5x or 2x multiple should be approximately one and one-half or two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of an UltraShort Fund is designed to return two times the inverse (-2x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present significant risks not applicable to other types of funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Investors should understand the consequences of holding daily rebalanced funds for periods longer than a given day, including the impact of compounding on fund performance. Shareholders who invest in the Geared Funds should consider actively monitoring and/or periodically rebalancing their investments (which will possibly trigger transaction costs and tax consequences) in light of their investment goals and risk tolerances.
The Matching VIX Funds seek to achieve their stated investment objective over time.
While the Funds seek to meet their investment objectives, there is no guarantee they will do so. Factors that may affect a Fund’s ability to meet its investment objective include: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding or trading instruments in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark Index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on 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.
 
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Table of Contents
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, -2x, 1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.
Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.
Counterparty Risk
Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to in this Counterparty Risk section as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks.
Regulatory Treatment
Derivatives are generally traded in OTC markets and are subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).
Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” Although some of the SEC requirements have not yet been made effective, the CFTC requirements are largely in place. The CFTC requirements include rules for some of the types of derivatives transactions in which the Funds engages, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.
As noted, all of the relevant CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.
Counterparty Credit Risk
The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of uncleared OTC derivatives, the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to uncleared OTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties or otherwise, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.
The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.
OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.
 
114

In addition, cleared derivatives benefit from daily
mark-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a futures commission merchant in cleared swaps customer accounts, which are required by CFTC regulations to be separate from the futures commission merchant’s proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of futures customer segregated funds, under which the clearing house may access all of the commingled futures customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. Bilateral OTC derivatives expose the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.
The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com.
Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.
The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.
Leverage Risk
The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.
For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and
one-half
times (1.5x) multiplier) include a two times the inverse
(-2x),
or a two times (2x) multiplier, a
single-day
movement in the relevant benchmark approaching 50% at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward
single-day
or intraday movements in the underlying benchmark of an Ultra Fund or upward
single-day
or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.
Liquidity Risk
Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.
 
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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 2022 may specify a January 2023 expiration. As that contract nears expiration, it may be replaced by selling the January 2023 contract and purchasing the contract expiring in March 2023. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2023 contract would take place at a price that is higher than the price at which the March 2023 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Fund and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.
Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.
Gold and silver have historically exhibited persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly.
There have been times where WTI crude oil futures contracts experience “extraordinary contango or extraordinary backwardation”. For example, in April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. In the summer of 2022, the market for crude oil futures contracts experienced a period of extreme backwardation, but normalized towards the end of the year. The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future. If all or a significant portion of the futures contracts held by an Ultra Fund at a future date were to reach a negative price, investors in such Fund could lose their entire investment. Conversely, investors in an UltraShort Fund could suffer significant losses or lose their entire investment if prices reversed or were subject to extraordinary backwardation. The effects of rolling futures contracts under extraordinary contango or backwardation market conditions generally are more exaggerated than rolling futures contracts under more typical contango or backwardation market conditions. Either scenario may result in significant losses.
Investments in futures contracts are subject to current position limits and accountability levels established by the exchanges. Accordingly, the Sponsor and the Funds may be required to reduce the size of outstanding positions or be restricted from entering into new positions that would otherwise be taken for a Fund or not trade in certain markets on behalf of the Fund in order to comply with those limits or any future limits. These restrictions, if implemented, could limit the ability of each Fund to invest in additional futures contracts, add to existing positions in the desired amount, or create additional Creation Units and could otherwise have a significant negative impact on Fund operations and performance, decreasing a Fund’s correlation to the performance of its benchmark, and otherwise preventing a Fund from achieving its investment objective. On May 4, 2020, CME imposed a more restrictive position limit in September 2020 WTI oil futures contracts with respect to the Oil Funds. In response to CME’s imposition of a more restrictive position limit, global developments, and other factors, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts. In early July 2020, in anticipation of the roll of the Oil Funds’ benchmark, and in order to help manage the impact of recent extraordinary conditions and volatility in the markets for crude oil and related Financial Instruments, the Sponsor modified certain of the Oil Funds’ investment strategies to invest in longer-dated futures contracts.
Natural Disasters and Public Health Disruptions, such as the
COVID-19
Pandemic, May Have a Significant Negative Impact on the Performance of Each Fund.
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example,
COVID-19
including its variants), have been and may continue to be highly disruptive to economies and markets. These conditions have led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could
 
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exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, civil unrest, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. To attempt to curb the spread of
COVID-19,
federal, state, and local governments introduced various forms of vaccine and mask mandates, lockdowns, curfews, and other policy initiatives. However, several of the federal mandates were rolled back or eliminated entirely due to actions taken within the courts. In response to COVID’s shock to the labor market and economy overall. The government drastically increased its federal spending for COVID-related relief packages, which came in the form of increases in unemployment insurance and stimulus packages. 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 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. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margins and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transaction on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.
Additionally, public health issues, war and military conflicts (such as Russia’s continued military actions against Ukraine that started in February 2022 and the Israel-Hamas conflict and the ensuing conflict), sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.
NOTE 8 – SUBSEQUENT EVENTS
On March 20, 2024, the Trust announced a
2-for-1
forward split of the shares of beneficial interest of ProShares Short VIX Short-Term Futures (ticker symbol: SVXY) and ProShares UltraShort Bloomberg Natural Gas (ticker symbol: KOLD)
and a
1-for-5
reverse split of the shares of beneficial interest of ProShares Ultra VIX Short-Term Futures (ticker symbol: UVXY)
. The splits were effective prior to market open on April 11, 2024, when the funds began trading at its post-split price. The splits were applied retroactively for all periods presented, reducing (increasing) the number of shares outstanding and resulted in a proportionate increase (decrease) in the price per share and the per share information of the fund. Therefore, the splits did not change the aggregate net asset value of a shareholder’s investment at the time of the splits.
For SVXY and KOLD shareholders who hold a quantity of shares that is not an exact multiple of the Forward Split ratio (i.e., not a multiple of 2), the Forward Split will result in the creation of a fractional share. Post-Forward Split fractional shares will be redeemed for cash and sent to the shareholder’s broker of record. This redemption may cause some shareholders to realize gains or losses, which could be a taxable event for those shareholders.
For UVXY shareholders who hold a quantity of shares that is not an exact multiple of the Reverse Split ratio (i.e., not a multiple of 5), the Reverse Split will result in the creation of a fractional share. Post-Reverse Split fractional shares will be redeemed for cash and sent to the shareholder’s broker of record. This redemption may cause some shareholders to realize gains or losses, which could be a taxable event for those shareholders.
On October 28, 2024, the Trust announced a 2-for-1 forward split of the shares of beneficial interest of ProShares UltraShort Yen (ticker symbol: YCS) and a 1-for-4 reverse split of the shares of beneficial interest of ProShares UltraShort Silver (ticker symbol: ZSL) and ProShares VIX Short-Term Futures (ticker symbol: VIXY) and a 1-for-5 reverse split of the shares of beneficial interest of ProShares Ultra Bloomberg Natural Gas (ticker symbol: BOIL). The splits were effective prior to market open on November 7, 2024, when the funds began trading at its post-split price. The splits were applied retroactively for all periods presented, reducing (increasing) the number of shares outstanding and resulted in a proportionate increase (decrease) in the price per share and the per share information of the fund. Therefore, the splits did not change the aggregate net asset value of a shareholder’s investment at the time of the splits.
For ZSL, VIXY, BOIL shareholders who hold a quantity of shares that is not an exact multiple of the Reverse Split ratio (i.e., not a multiple of 4 or 5), the Reverse Split will result in the creation of a fractional share. Post-Reverse Split fractional shares will be redeemed for cash and sent to the shareholder’s broker of record. This redemption may cause some shareholders to realize gains or losses, which could be a taxable event for those shareholders.
 
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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. Because forward-looking statements relate to the future, they are subject to inherent uncertainties, risk and changes in circumstances that are difficult to predict and many of which are outside of the Funds’ control. The Funds’ forward-looking statements are not guarantees of future results and conditions and important factors, risks and uncertainties \in the markets for financial instruments that the Funds trade, in the markets for related physical commodities, in the legal and regulatory regimes applicable to the Sponsor, the Funds, and the Funds’ service providers, and in the broader economy may cause the Funds’ actual results to differ materially from those expressed in forward-looking statements. These forward-looking statements are based on information currently available to the Sponsor and are subject to a number of risks, uncertainties and other factors, both known, such as those described in “Risk Factors” in our Annual Report on Form
10-K
for the fiscal year ended December 31, 2023 and in this Quarterly Report on Form
10-Q
for the period ended March 31, 2024 and unknown, that could cause the actual results, performance, prospects or opportunities of the Funds to differ materially from those expressed in, or implied by, these forward-looking statements. Factors that could cause results to differ from those expressed in the forward-looking statements include those described in the aforementioned filings and in other SEC filings by the Funds, as well as the following: risks and uncertainty related to geopolitical conflict, world health crises and the global economic markets; risks associated with a rising rate environment; risks associated with regulatory and exchange daily price limits, position limits and accountability levels; and risks related to market competition. None of the Trust, the Sponsor, the Trustee, or the Administrator assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.
Introduction
Each of the Funds generally invests in instruments whose value is derived from the value of an underlying asset, rate or index (Collectively, “Financial Instruments”), including futures contracts, swap agreements, forward contracts and other instruments as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to its applicable underlying commodity futures index, commodity, currency exchange rate or equity volatility index. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds.
The “Short” Fund seeks daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results, before fees and expenses, that correspond to either one and
one-half
times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, both for a single day and over time, that match (1x) the performance of its corresponding benchmark. Daily performance is measured from the calculation of each Fund’s net asset value (“NAV”) to the Fund’s next NAV calculation.
Each Geared Fund seeks investment results for a single day only, not for any other period. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ in amount and possibly even direction from
-0.5x,
-2x,
1.5x, or 2x, of the return of the benchmark to which such Fund is benchmarked for that period. Volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds that use leverage, are riskier than similarly benchmarked exchange-traded funds that do not use leverage. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Geared Funds should actively manage and monitor their investments, as frequently as daily.
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”).
 
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ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.
Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.
The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form
10-K,
Quarterly Reports on Form
10-Q,
Current Reports on Form
8-K
and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.
Share Splits
On June 7, 2023, the Trust issued a press release announcing a reverse share split on ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and ProShares Ultra Bloomberg Natural Gas. The Splits did not change the value of a shareholder’s investment. ProShares VIX Short-Term Futures ETF executed a 1:5 Reverse Split of its shares. ProShares Ultra VIX Short-Term Futures ETF executed a 1:10 Reverse Split of its shares. ProShares Ultra Bloomberg Natural Gas ETF executed a 1:20 Reverse Split of its shares. The Reverse Splits were effective at the market open on June 23, 2023, when the Funds began trading at their post-Reverse Split prices. The ticker symbol for the Funds did not change, but the Funds issued new CUSIP numbers (74347Y789 for VIXY, 74347Y771 for UVXY, and 74347Y763 for BOIL). The Reverse Splits increased the price per share of the Funds with a proportionate decrease in the number of shares outstanding.
On March 20, 2024, the Trust issued a press release announcing a forward share split on ProShares Short VIX Short-Term Futures, ProShares UltraShort Bloomberg Natural Gas and a reverse share split on ProShares Ultra VIX Short-Term Futures. The Splits did not change the value of a shareholder’s investment. ProShares Short VIX Short-Term Futures executed a 2:1 Forward Split of its shares. ProShares UltraShort Bloomberg Natural Gas also executed a 2:1 Forward Split of its shares. The Forward Splits were effective at the market open on April 11, 2024, when the Funds began trading at their post-Forward Split prices. The Forward Split decreased the price per share of each Funds with a proportionate increase in the number of its shares outstanding. ProShares Ultra VIX Short-Term Futures executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on April 11, 2024, when the Fund begins trading at its post-Reverse Split price. The ticker symbol for the Fund did not change, but the Fund was issued a new CUSIP number (74347Y755 for UVXY). The Reverse Split increased the price per share of the Fund with a proportionate decrease in the number of shares outstanding.
On October 28, 2024, the Trust issued a press release announcing a forward share split on ProShares UltraShort Yen and a reverse share split on ProShares UltraShort Silver, ProShares VIX Short-Term Futures, ProShares Ultra Bloomberg Natural Gas. The Splits did not change the value of a shareholder’s investment. ProShares UltraShort Yen executed a 2:1 Forward Split of its shares. The Forward Splits were effective at the market open on November 7, 2024, when the Funds began trading at their post-Forward Split prices. The Forward Split decreased the price per share of each Funds with a proportionate increase in the number of its shares outstanding. ProShares UltraShort Silver and ProShares ProShares VIX Short-Term Futures executed a 1:4 Reverse Split of its shares and ProShares Ultra Bloomberg Natural Gas executed a 1:5 Reverse Split of its shares. The Reverse Split was effective at the market open on November 7, 2024, when the Fund begins trading at its post-Reverse Split price. The ticker symbol for the Fund did not change, but the Fund was issued a new CUSIP number (74347Y722 for ZSL), (74347Y730 for VIXY), (74347Y748 for BOIL). The Reverse Split increased the price per share of the Fund with a proportionate decrease in the number of shares outstanding.
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 months ended March 31, 2024 and 2023, each of the Funds earned interest income as follows:
 
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Fund
 
Interest Income
Three Months
Ended
March 31, 2024
   
Interest Income
Three Months
Ended
March 31, 2023
 
ProShares Short VIX Short-Term Futures ETF
  $ 3,309,285     $ 2,109,122  
ProShares Ultra Bloomberg Crude Oil
    5,010,450       6,007,908  
ProShares Ultra Bloomberg Natural Gas
    6,452,140       8,958,523  
ProShares Ultra Euro
    78,486       97,237  
ProShares Ultra Gold
    2,013,915       1,649,014  
ProShares Ultra Silver
    3,634,857       3,374,396  
ProShares Ultra VIX Short-Term Futures ETF
    2,758,242       4,416,655  
ProShares Ultra Yen
    370,254       120,118  
ProShares UltraShort Bloomberg Crude Oil
    2,242,767       2,003,209  
ProShares UltraShort Bloomberg Natural Gas
    1,347,078       1,186,752  
ProShares UltraShort Euro
    458,317       647,120  
ProShares UltraShort Gold
    143,203       132,562  
ProShares UltraShort Silver
    381,433       200,078  
ProShares UltraShort Yen
    315,417       204,200  
ProShares VIX
Mid-Term
Futures ETF
    515,164       647,920  
ProShares VIX Short-Term Futures ETF
    1,758,262       2,120,561  
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.
 
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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.
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 May 3, 2024, 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.
 
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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 March 31, 2024.
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.
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 and Silver 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 and Silver 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. 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.
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.
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. Additionally, interest income may be earned on Repurchase Agreements and/or cash held on deposit with brokers for futures contracts.
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.
 
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Results of Operations for the Three Months Ended March 31, 2024 Compared to the Three Months Ended March 31, 2023
ProShares Short VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
   $ 267,184,359     $ 339,591,638  
NAV end of period
   $ 313,978,799     $ 295,340,393  
Percentage change in NAV
     17.5     (13.0 )% 
Shares outstanding beginning of period
     5,168,614       11,568,614  
Shares outstanding end of period
     5,568,614       9,268,614  
Percentage change in shares outstanding
     7.7     (19.9 )% 
Shares created
     2,400,000       4,900,000  
Shares redeemed
     2,000,000       7,200,000  
Per share NAV beginning of period
   $ 51.69     $ 29.35  
Per share NAV end of period
   $ 56.38     $ 31.86  
Percentage change in per share NAV
     9.1     8.6
Percentage change in benchmark
     (16.2 )%      (20.3 )% 
Benchmark annualized volatility
     39.6     68.1
During the three months ended March 31, 2024, 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 also resulted in part from an increase from 5,168,614 outstanding Shares at December 31, 2023 to 5,568,614 outstanding Shares at March 31, 2024. By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 11,568,614 outstanding Shares at December 31, 2022 to 9,268,614 outstanding Shares at March 31, 2023. 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-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the three months ended March 31, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 0.5x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.1% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV increase of 8.6% for the three months ended March 31, 2023, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
The benchmark’s decline of 16.2% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 20.3% for the three months ended March 31, 2023, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 2,397,290      $ 1,416,842  
Management fee
     740,396        565,777  
Brokerage commission
     171,599        126,503  
Net realized gain (loss)
     28,514,617        29,604,148  
Change in net unrealized appreciation (depreciation)
     (4,654,821      3,155,177  
Net Income (loss)
   $ 26,257,086      $ 34,176,167  
The Fund’s net income decreased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a lesser decrease in the value of futures prices during the three months ended March 31, 2024.
* See Note 8 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 Short VIX Short-Term Futures.
ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
  $ 652,793,437     $ 859,094,274  
NAV end of period
  $ 597,176,895     $ 811,668,456  
Percentage change in NAV
    (8.5 )%      (5.5 )% 
Shares outstanding beginning of period
    24,843,096       28,393,096  
Shares outstanding end of period
    17,993,096       30,593,096  
Percentage change in shares outstanding
    (27.6 )%      7.7
Shares created
    4,050,000       19,100,000  
Shares redeemed
    10,900,000       16,900,000  
Per share NAV beginning of period
  $ 26.28     $ 30.26  
Per share NAV end of period
  $ 33.19     $ 26.53  
Percentage change in per share NAV
    26.3     (12.3 )% 
Percentage change in benchmark
    12.8     (5.4 )% 
Benchmark annualized volatility
    21.4     30.8
During the three months ended March 31, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 24,843,096 outstanding Shares at December 31, 2023 to 17,993,096 outstanding Shares at March 31, 2024. 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 Commodity Balanced WTI Crude Oil Index
SM
. By comparison, during the three months ended March 31, 2023, 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 Commodity Balanced WTI Crude Oil Index
SM
. The decrease in the Fund’s NAV was offset by an increase from 28,393,096 outstanding Shares at December 31, 2022 to 30,593,096 outstanding Shares at March 31, 2023.
 
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For the three months ended March 31, 2024 and 2023, 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 26.3% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 12.3% for the three months ended March 31, 2023, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
The benchmark’s rise of 12.8% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 5.4% for the three months ended March 31, 2023, can be attributed to an increase in the value of WTI Crude Oil during the period ended March 31, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 3,471,629      $ 4,038,946  
Management fee
     1,477,017        1,874,618  
Brokerage commission
     61,804        94,344  
Net realized gain (loss)
     93,131,105        85,780,427  
Change in net unrealized appreciation (depreciation)
     55,083,842        (138,210,442
Net Income (loss)
   $ 151,686,576      $ (48,391,069
The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a an increase in the value of WTI Crude Oil during the three months ended March 31, 2024.
 
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ProShares Ultra Bloomberg Natural Gas*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
 
$
729,892,808
   
$
586,151,113
 
NAV end of period
 
$
580,741,377
   
$
1,139,983,773
 
Percentage change in NAV
   
(20.4
)% 
   
94.5
Shares outstanding beginning of period
   
5,113,709
     
322,875
 
Shares outstanding end of period
   
8,843,709
     
3,090,875
 
Percentage change in shares outstanding
   
72.9
   
857.3
Shares created
   
8,020,000
     
3,794,500
 
Shares redeemed
   
4,290,000
     
1,026,500
 
Per share NAV beginning of period
 
$
142.73
   
$
1,815.41
 
Per share NAV end of period
 
$
65.67
   
$
368.82
 
Percentage change in per share NAV
   
(54.0
)% 
   
(79.7
)% 
Percentage change in benchmark
   
(28.7
)% 
   
(50.4
)% 
Benchmark annualized volatility
   
57.3
   
78.6
During the three months ended March 31, 2024, 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 Natural Gas Subindex
SM
. The decrease in the Fund’s NAV was offset by an increase from 5,113,709 outstanding Shares at December 31, 2023 to 8,843,709 outstanding Shares at March 31, 2024. By comparison, during the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 322,875 outstanding Shares at December 31, 2022 to 3,090,875 outstanding Shares at March 31, 2023. 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
SM
, which was offset by the timing of shareholder activity.
For the three months ended March 31, 2024 and 2023, 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 54.0% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 79.7% for the three months ended March 31, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
The benchmark’s decline of 28.7% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 50.4% for the three months ended March 31, 2023, can be attributed to a lesser decrease in the value of Henry Hub Natural Gas during the period ended March 31, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
  $ 4,210,636      $ 5,489,641  
Management fee
    1,449,427        2,328,410  
Brokerage commission
    703,092        952,779  
Futures account fees
    88,985        187,693  
Net realized gain (loss)
    (242,180,914      (1,061,634,864
Change in net unrealized appreciation (depreciation)
    (136,392,955      (53,009,690
Net Income (loss)
  $ (374,363,233    $ (1,109,154,913
 
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The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a lesser decrease in the value of Henry Hub Natural Gas during the three months ended March 31, 2024.
* See Note 1 and Note 8 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 Ultra Bloomberg Natural Gas.
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
  $ 7,114,015     $ 10,704,662  
NAV end of period
  $ 6,804,048     $ 8,616,433  
Percentage change in NAV
    (4.4 )%      (19.5 )% 
Shares outstanding beginning of period
    600,000       950,000  
Shares outstanding end of period
    600,000       750,000  
Percentage change in shares outstanding
    —      (21.1 )% 
Shares created
    100,000       200,000  
Shares redeemed
    100,000       400,000  
Per share NAV beginning of period
  $ 11.86     $ 11.27  
Per share NAV end of period
  $ 11.34     $ 11.49  
Percentage change in per share NAV
    (4.4 )%      2.0
Percentage change in benchmark
    (2.3 )%      1.3
Benchmark annualized volatility
    5.0     9.2
During the three months ended March 31, 2024, 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 euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2023 to March 31, 2024. By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 750,000 outstanding Shares at March 31, 2023. 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 spot price of the euro versus the U.S. dollar.
For the three months ended March 31, 2024 and 2023, 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 4.4% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV increase of 2.0% for the three months ended March 31, 2023, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
The benchmark’s decline of 2.3% for the three months ended March 31, 2024, as compared to the benchmark’s rise of 1.3% for the three months ended March 31, 2023, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 62,551      $ 72,991  
Management fee
     15,935        24,246  
Net realized gain (loss)
     144,574        280,279  
Change in net unrealized appreciation (depreciation)
     (509,514      (96,945
Net Income (loss)
   $ (302,389    $ 256,325  
The Fund’s net income decreased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due an decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2024.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
  $ 191,502,023     $ 173,524,136  
NAV end of period
  $ 215,970,841     $ 201,161,529  
Percentage change in NAV
    12.8     15.9
Shares outstanding beginning of period
    3,000,000       3,150,000  
Shares outstanding end of period
    3,000,000       3,200,000  
Percentage change in shares outstanding
    —      1.6
Shares created
    450,000       400,000  
Shares redeemed
    450,000       350,000  
Per share NAV beginning of period
  $ 63.83     $ 55.09  
Per share NAV end of period
  $ 71.99     $ 62.86  
Percentage change in per share NAV
    12.8     14.1
Percentage change in benchmark
    7.4     8.1
Benchmark annualized volatility
    11.3     15.7
During the three months ended March 31, 2024, 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 Gold Subindex
SM
. There was no net change in the Fund’s outstanding Shares from December 31, 2023 to March 31, 2024. By comparison, during the three months ended March 31, 2023, 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 Gold Subindex
SM
. The increase in the Fund’s NAV also resulted in part from an increase from 3,150,000 outstanding Shares at December 31, 2022 to 3,200,000 outstanding Shares at March 31, 2023.
For the three months ended March 31, 2024 and 2023, 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 12.8% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV increase of 14.1% for the three months ended March 31, 2023, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
 
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The benchmark’s rise of 7.4% for the three months ended March 31, 2024, as compared to the benchmark’s rise of 8.1% for the three months ended March 31, 2023, can be attributed to a lesser increase in the value of gold futures contracts during the period ended March 31, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 1,567,439      $ 1,213,285  
Management fee
     436,603        427,114  
Brokerage commission
     9,873        8,615  
Net realized gain (loss)
     18,474,282        10,799,896  
Change in net unrealized appreciation (depreciation)
     2,721,192        10,688,379  
Net Income (loss)
   $ 22,762,913      $ 22,701,560  
The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a an increase in futures prices, in conjunction with an increase in average net assets, during the three months ended March 31, 2024.
 
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ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
  $ 390,146,373     $ 414,285,878  
NAV end of period
  $ 403,584,744     $ 429,115,334  
Percentage change in NAV
    3.4     3.6
Shares outstanding beginning of period
    14,296,526       13,046,526  
Shares outstanding end of period
    14,146,526       13,796,526  
Percentage change in shares outstanding
    (1.0 )%      5.7
Shares created
    2,300,000       1,900,000  
Shares redeemed
    2,450,000       1,150,000  
Per share NAV beginning of period
  $ 27.29     $ 31.75  
Per share NAV end of period
  $ 28.53     $ 31.10  
Percentage change in per share NAV
    4.6     (2.0 )% 
Percentage change in benchmark
    3.8     0.8
Benchmark annualized volatility
    21.3     27.6
During the three months ended March 31, 2024, 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 Silver Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 14,296,526 outstanding Shares at December 31, 2023 to 14,146,526 outstanding Shares at March 31, 2024. By comparison, during the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from a increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,796,526 outstanding Shares at March 31, 2023. The increase 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 (2x) the daily performance of the Bloomberg Silver Subindex
SM
.
For the three months ended March 31, 2024 and 2023, 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 4.6% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 2.0% for the three months ended March 31, 2023, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
The benchmark’s rise of 3.8% for the three months ended March 31, 2024, as compared to the benchmark’s rise of 0.8% for the three months ended March 31, 2023, can be attributed to a greater increase in the value of silver futures contracts during the period ended March 31, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 2,732,914      $ 2,476,275  
Management fee
     873,901        871,559  
Brokerage commission
     28,042        26,562  
Net realized gain (loss)
     (4,465,915      (28,743,864
Change in net unrealized appreciation (depreciation)
     21,608,599        22,352,120  
Net Income (loss)
   $ 19,875,598      $ (3,915,469
The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a greater increase in the value of futures prices during the three months ended March 31, 2024.
 
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ProShares Ultra VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
 
$
348,555,743
   
$
639,318,362
 
NAV end of period
 
$
278,240,649
   
$
535,980,236
 
Percentage change in NAV
   
(20.2
)% 
   
(16.2
)% 
Shares outstanding beginning of period
   
8,264,892
     
1,861,568
 
Shares outstanding end of period
   
8,844,891
     
2,317,568
 
Percentage change in shares outstanding
   
7.0
   
24.5
Shares created
   
2,820,000
     
1,674,000
 
Shares redeemed
   
2,240,000
     
1,218,000
 
Per share NAV beginning of period
 
$
42.17
   
$
343.43
 
Per share NAV end of period
 
$
31.46
   
$
231.27
 
Percentage change in per share NAV
   
(25.4
)% 
   
(32.7
)% 
Percentage change in benchmark
   
(16.2
)% 
   
(20.3
)% 
Benchmark annualized volatility
   
39.6
   
68.1
During the three months ended March 31, 2024, 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 8,264,892 outstanding Shares at December 31, 2023 to 8,844,891 outstanding Shares at March 31, 2024. By comparison, during the three months ended March 31, 2023, 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 1,861,568 outstanding Shares at December 31, 2022 to 2,317,568 outstanding Shares at March 31, 2023.
For the three months ended March 31, 2024 and 2023, 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 decrease of 25.4% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 32.7% for the three months ended March 31, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
The benchmark’s decline of 16.2% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 20.3% for the three months ended March 31, 2023, can be attributed to a lesser decrease in the value of near-term futures contracts on the VIX futures curve during the period ended March 31, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 1,517,995      $ 2,141,823  
Management fee
     667,531        1,373,770  
Brokerage commission
     486,546        777,701  
Futures account fees
     86,170        123,361  
Net realized gain (loss)
     (90,992,592      (182,241,208
Change in net unrealized appreciation (depreciation)
     13,280,569        2,037,527  
Net Income (loss)
   $ (76,194,028    $ (178,061,858
The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a lesser decrease in the value of futures prices during the three months ended March 31, 2024.
* See Note 1 and Note 8 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 Ultra VIX Short-Term Futures.
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
  $ 30,205,770     $ 13,814,796  
NAV end of period
  $ 41,994,545     $ 9,915,083  
Percentage change in NAV
    39.0     (28.2 )% 
Shares outstanding beginning of period
    1,099,970       399,970  
Shares outstanding end of period
    1,799,970       299,970  
Percentage change in shares outstanding
    63.6     (25.0 )% 
Shares created
    800,000       50,000  
Shares redeemed
    100,000       150,000  
Per share NAV beginning of period
  $ 27.46     $ 34.54  
Per share NAV end of period
  $ 23.33     $ 33.05  
Percentage change in per share NAV
    (15.1 )%      (4.3 )% 
Percentage change in benchmark
    (6.9 )%      (1.2 )% 
Benchmark annualized volatility
    7.8     12.4
During the three months ended March 31, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 1,099,970 outstanding Shares at December 31, 2023 to 1,799,970 outstanding Shares at March 31, 2024. 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 March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 399,970 outstanding Shares at December 31, 2022 to 299,970 outstanding Shares at March 31, 2023. The decrease in the Fund’s 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 Japanese yen versus the U.S. dollar.
For the three months ended March 31, 2024 and 2023, 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 15.1% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 4.3% for the three months ended March 31, 2023, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
 
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The benchmark’s decline of 6.9% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 1.2% for the three months ended March 31, 2023, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 293,018      $ 89,558  
Management fee
     77,236        30,560  
Net realized gain (loss)
     (2,031,575      (298,808
Change in net unrealized appreciation (depreciation)
     (3,578,931      (494,067
Net Income (loss)
   $ (5,317,488    $ (703,317
The Fund’s net income decreased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2024.
 
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ProShares UltraShort Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
  $ 188,963,592     $ 222,697,337  
NAV end of period
  $ 197,512,295     $ 144,762,563  
Percentage change in NAV
    4.5     (35.0 )% 
Shares outstanding beginning of period
    9,105,220       9,305,220  
Shares outstanding end of period
    12,405,220       5,755,220  
Percentage change in shares outstanding
    36.2     (38.2 )% 
Shares created
    8,450,000       5,300,000  
Shares redeemed
    5,150,000       8,850,000  
Per share NAV beginning of period
  $ 20.75     $ 23.93  
Per share NAV end of period
  $ 15.92     $ 25.15  
Percentage change in per share NAV
    (23.3 )%      5.1
Percentage change in benchmark
    12.8     (5.4 )% 
Benchmark annualized volatility
    21.4     30.8
During the three months ended March 31, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 9,105,220 outstanding Shares at December 31, 2023 to 12,405,220 outstanding Shares at March 31, 2024. 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
SM
. By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,305,220 outstanding Shares at December 31, 2022 to 5,755,220 outstanding Shares at March 31, 2023. 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 Bloomberg Commodity Balanced WTI Crude Oil Index
SM
.
For the three months ended March 31, 2024 and 2023, 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 23.3% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV increase of 5.1% for the three months ended March 31, 2023, was primarily due to depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
The benchmark’s rise of 12.8% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 5.4% for the three months ended March 31, 2023, can be attributed to an increase in the value of WTI Crude Oil during the period ended March 31, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 1,737,221      $ 1,452,572  
Management fee
     451,585        484,880  
Brokerage commission
     53,961        65,757  
Net realized gain (loss)
     (12,508,822      27,614,767  
Change in net unrealized appreciation (depreciation)
     (34,449,133      10,956,230  
Net Income (loss)
   $ (45,220,734    $ 40,023,569  
The Fund’s net income decreased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due an increase in the value of WTI Crude Oil, during the three months ended March 31, 2024.
 
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ProShares UltraShort Bloomberg Natural Gas*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
  $ 140,963,092     $ 134,109,520  
NAV end of period
  $ 94,345,355     $ 146,981,760  
Percentage change in NAV
    (33.1 )%      9.6
Shares outstanding beginning of period
    2,933,712       9,933,712  
Shares outstanding end of period
    1,233,712       4,133,712  
Percentage change in shares outstanding
    (57.9 )%      (58.4 )% 
Shares created
    6,600,000       14,500,000  
Shares redeemed
    8,300,000       20,300,000  
Per share NAV beginning of period
  $ 48.05     $ 13.50  
Per share NAV end of period
  $ 76.47     $ 35.56  
Percentage change in per share NAV
    59.2     163.4
Percentage change in benchmark
    (28.7 )%      (50.4 )% 
Benchmark annualized volatility
    57.3     78.6
During the three months ended March 31, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,933,712 outstanding Shares at December 31, 2023 to 1,233,712 outstanding Shares at March 31, 2024. 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 Bloomberg Natural Gas Subindex
SM
. By comparison, during the three months ended March 31, 2023, 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 Natural Gas Subindex
SM
. The increase in the Fund’s NAV was offset by a decrease from 9,933,712 outstanding Shares at December 31, 2022 to 4,133,712 outstanding Shares at March 31, 2023.
For the three months ended March 31, 2024 and 2023, 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 59.2% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV increase of 163.4% for the three months ended March 31, 2023, was primarily due to lesser appreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
The benchmark’s decline of 28.7% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 50.4% for the three months ended March 31, 2023, can be attributed to a lesser decrease in the value of Henry Hub Natural Gas during the period ended March 31, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 807,347      $ 650,640  
Management fee
     262,444        296,862  
Brokerage commission
     261,254        209,641  
Futures account fees
     16,033        29,609  
Net realized gain (loss)
     44,652,614        183,405,966  
Change in net unrealized appreciation (depreciation)
     23,826,488        (44,959,798
Net Income (loss)
   $ 69,286,449      $ 139,096,808  
The Fund’s net income decreased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a lesser decrease in the value of Henry Hub Natural Gas during the three months ended March 31, 2024.
* See Note 8 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 Bloomberg Natural Gas.
 
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ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
  $ 39,367,550     $ 75,113,179  
NAV end of period
  $ 38,712,882     $ 59,537,260  
Percentage change in NAV
    (1.7 )%      (20.7 )% 
Shares outstanding beginning of period
    1,350,000       2,550,000  
Shares outstanding end of period
    1,250,000       2,050,000  
Percentage change in shares outstanding
    (7.4 )%      (19.6 )% 
Shares created
    —        100,000  
Shares redeemed
    100,000       600,000  
Per share NAV beginning of period
  $ 29.16     $ 29.46  
Per share NAV end of period
  $ 30.97     $ 29.04  
Percentage change in per share NAV
    6.2     (1.4 )% 
Percentage change in benchmark
    (2.3 )%      1.3
Benchmark annualized volatility
    5.0     9.2
During the three months ended March 31, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,350,000 outstanding Shares at December 31, 2023 to 1,250,000 outstanding Shares at March 31, 2024. 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. By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at December 31, 2022 to 2,050,000 outstanding Shares at March 31, 2023. 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 spot price of the euro versus the U.S. dollar.
For the three months ended March 31, 2024 and 2023, 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 6.2% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 1.4% for the three months ended March 31, 2023, was primarily due to appreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
The benchmark’s decline of 2.3% for the three months ended March 31, 2024, as compared to the benchmark’s rise of 1.3% for the three months ended March 31, 2023, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended March 31, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 363,067      $ 485,552  
Management fee
     95,250        161,568  
Net realized gain (loss)
     (939,220      (1,407,311
Change in net unrealized appreciation (depreciation)
     2,967,733        141,211  
Net Income (loss)
   $ 2,391,580      $ (780,548
The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a decrease in the value of the euro versus the U.S. dollar during the three months ended March 31, 2024.
 
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ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
  $ 11,795,779     $ 15,456,037  
NAV end of period
  $ 15,170,884     $ 16,049,273  
Percentage change in NAV
    28.6     3.8
Shares outstanding beginning of period
    446,977       496,977  
Shares outstanding end of period
    646,977       596,977  
Percentage change in shares outstanding
    44.7     20.1
Shares created
    200,000       300,000  
Shares redeemed
    —        200,000  
Per share NAV beginning of period
  $ 26.39     $ 31.10  
Per share NAV end of period
  $ 23.45     $ 26.88  
Percentage change in per share NAV
    (11.1 )%      (13.6 )% 
Percentage change in benchmark
    7.4     8.1
Benchmark annualized volatility
    11.3     15.7
During the three months ended March 31, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 446,977 outstanding Shares at December 31, 2023 to 646,977 outstanding Shares at March 31, 2024. 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 Gold Subindex
SM
. By comparison, during the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from a increase from 496,977 outstanding Shares at December 31, 2022 to 596,977 outstanding Shares at March 31, 2023. 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 Gold Subindex
SM
.
For the three months ended March 31, 2024 and 2023, 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 11.1% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 13.6% for the three months ended March 31, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
The benchmark’s rise of 7.4% for the three months ended March 31, 2024, as compared to the benchmark’s rise of 8.1% for the three months ended March 31, 2023, can be attributed to a lesser increase in the value of gold futures contracts during the period ended March 31, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 109,867      $ 94,828  
Management fee
     32,401        36,373  
Brokerage commission
     935        1,361  
Net realized gain (loss)
     (1,397,813      (1,030,881
Change in net unrealized appreciation (depreciation)
     (344,579      (655,702
Net Income (loss)
   $ (1,632,525    $ (1,591,755
The Fund’s net income decreased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a lesser increase in the value of the futures prices during the three months ended March 31, 2024.
ProShares UltraShort Silver*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
 
$
65,149,686
   
$
31,932,799
 
NAV end of period
 
$
24,245,029
   
$
20,335,691
 
Percentage change in NAV
   
(62.8
)% 
   
(36.3
)% 
Shares outstanding beginning of period
   
897,832
     
410,332
 
Shares outstanding end of period
   
360,332
     
272,832
 
Percentage change in shares outstanding
   
(59.9
)% 
   
(33.5
)% 
Shares created
   
350,000
     
162,500
 
Shares redeemed
   
887,500
     
300,000
 
Per share NAV beginning of period
 
$
72.56
   
$
77.82
 
Per share NAV end of period
 
$
67.29
   
$
74.54
 
Percentage change in per share NAV
   
(7.3
)% 
   
(4.2
)% 
Percentage change in benchmark
   
3.8
   
0.8
Benchmark annualized volatility
   
21.3
   
27.6
During the three months ended March 31, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 897,832 outstanding Shares at December 31, 2023 to 360,332 outstanding Shares at March 31, 2024. 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 Silver Subindex
SM
. By comparison, during the three months ended March 31, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 410,332 outstanding Shares at December 31, 2022 to 272,832 outstanding Shares at March 31, 2023. 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 Silver Subindex
SM
.
For the three months ended March 31, 2024 and 2023, 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 7.3% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 4.2% for the three months ended March 31, 2023, was primarily due to greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
 
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The benchmark’s rise of 3.8% for the three months ended March 31, 2024, as compared to the benchmark’s rise of 0.8% for the three months ended March 31, 2023, can be attributed to a greater increase in the value of the silver futures contracts during the period ended March 31, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 284,271      $ 134,207  
Management fee
     91,138        60,168  
Brokerage commission
     6,024        5,703  
Net realized gain (loss)
     5,780,020        2,713,623  
Change in net unrealized appreciation (depreciation)
     (1,418,602      (1,183,236
Net Income (loss)
   $ 4,645,689      $ 1,664,594  
The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due to timing of shareholder activity, which was offset by a greater increase in the value of futures prices during the three months ended March 31, 2024.
* See Note 8 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 Silver.
 
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ProShares UltraShort Yen*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
 
$
24,010,010
   
$
21,397,736
 
NAV end of period
 
$
32,662,223
   
$
25,111,818
 
Percentage change in NAV
   
36.0
   
17.4
Shares outstanding beginning of period
   
697,160
     
797,160
 
Shares outstanding end of period
   
797,160
     
897,160
 
Percentage change in shares outstanding
   
14.3
   
12.5
Shares created
   
200,000
     
400,000
 
Shares redeemed
   
100,000
     
300,000
 
Per share NAV beginning of period
 
$
34.44
   
$
26.84
 
Per share NAV end of period
 
$
40.97
   
$
27.99
 
Percentage change in per share NAV
   
19.0
   
4.3
Percentage change in benchmark
   
(6.9
)% 
   
(1.2
)% 
Benchmark annualized volatility
   
7.8
   
12.4
During the three months ended March 31, 2024, 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. The increase in the Fund’s NAV also resulted in part from an increase from 697,160 outstanding Shares at December 31, 2023 to 797,160 outstanding Shares at March 31, 2024. By comparison, during the three months ended March 31, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 797,160 outstanding Shares at December 31, 2022 to 897,160 outstanding Shares at March 31, 2023. 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.
For the three months ended March 31, 2024 and 2023, 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 19.0% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV increase of 4.3% for the three months ended March 31, 2023, was primarily due to greater appreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
The benchmark’s decline of 6.9% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 1.2% for the three months ended March 31, 2023, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended March 31, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 249,284      $ 153,388  
Management fee
     66,133        50,812  
Net realized gain (loss)
     1,708,812        (1,027,976
Change in net unrealized appreciation (depreciation)
     2,938,152        1,859,501  
Net Income (loss)
   $ 4,896,248      $ 984,913  
The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a greater decrease in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2024.
* See Note 8 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 Yen.
 
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ProShares VIX
Mid-Term
Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
  $ 37,866,143     $ 84,014,959  
NAV end of period
  $ 84,603,064     $ 67,306,087  
Percentage change in NAV
    123.4     (19.9 )% 
Shares outstanding beginning of period
    2,262,403       2,762,403  
Shares outstanding end of period
    5,337,403       2,512,403  
Percentage change in shares outstanding
    135.9     (9.1 )% 
Shares created
    3,375,000       275,000  
Shares redeemed
    300,000       525,000  
Per share NAV beginning of period
  $ 16.74     $ 30.41  
Per share NAV end of period
  $ 15.85     $ 26.79  
Percentage change in per share NAV
    (5.3 )%      (11.9 )% 
Percentage change in benchmark
    (4.8 )%      (11.4 )% 
Benchmark annualized volatility
    19.0     36.4
During the three months ended March 31, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 2,262,403 outstanding Shares at December 31, 2023 to 5,337,403 outstanding Shares at March 31, 2024. 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. By comparison, during the three months ended March 31, 2023, 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 Mid-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 2,762,403 outstanding Shares at December 31, 2022 to 2,512,403 outstanding Shares at March 31, 2023.
For the three months ended March 31, 2024 and 2023, 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 decrease of 5.3% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 11.9% for the three months ended March 31, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
The benchmark’s decline of 4.8% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 11.4% for the three months ended March 31, 2023, can be attributed to a lesser decrease in the value of the futures contracts that made the S&P 500 VIX
Mid-Term
Futures Index during the period ended March 31, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 392,110      $ 477,188  
Management fee
     96,887        150,123  
Brokerage commission
     20,163        9,169  
Futures account fees
     6,004        11,440  
Net realized gain (loss)
     (6,105,191      (15,820,720
Change in net unrealized appreciation (depreciation)
     2,789,791        4,582,460  
Net Income (loss)
   $ (2,923,290    $ (10,761,072
The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a lesser decrease in the value of the futures prices during the three months ended March 31, 2024.
ProShares VIX Short-Term Futures ETF*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended March 31, 2024 and 2023:
 
   
Three Months Ended
March 31, 2024
   
Three Months Ended
March 31, 2023
 
NAV beginning of period
 
$
157,321,746
   
$
266,580,320
 
NAV end of period
 
$
162,936,051
   
$
226,765,204
 
Percentage change in NAV
   
3.6
   
(14.9
)% 
Shares outstanding beginning of period
   
2,537,737
     
1,169,141
 
Shares outstanding end of period
   
3,150,237
     
1,255,391
 
Percentage change in shares outstanding
   
24.1
   
7.4
Shares created
   
950,000
     
575,000
 
Shares redeemed
   
337,500
     
488,750
 
Per share NAV beginning of period
 
$
61.99
   
$
228.01
 
Per share NAV end of period
 
$
51.72
   
$
180.63
 
Percentage change in per share NAV
   
(16.6
)% 
   
(20.8
)% 
Percentage change in benchmark
   
(16.2
)% 
   
(20.3
)% 
Benchmark annualized volatility
   
39.6
   
68.1
During the three months ended March 31, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 2,537,737 outstanding Shares at December 31, 2023 to 3,150,237 outstanding Shares at March 31, 2024. 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 Short-Term Futures Index. By comparison, during the three months ended March 31, 2023, 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 1,169,141 outstanding Shares at December 31, 2022 to 1,255,391 outstanding Shares at March 31, 2023.
For the three months ended March 31, 2024 and 2023, 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 decrease of 16.6% for the three months ended March 31, 2024, as compared to the Fund’s per Share NAV decrease of 20.8% for the three months ended March 31, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the three months ended March 31, 2024.
 
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The benchmark’s decline of 16.2% for the three months ended March 31, 2024, as compared to the benchmark’s decline of 20.3% for the three months ended March 31, 2023, can be attributed to a lesser decrease in the value of the near-term futures contracts on the VIX futures curve during the period ended March 31, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended March 31, 2024 and 2023:
 
    
Three Months Ended
March 31, 2024
    
Three Months Ended
March 31, 2023
 
Net investment income (loss)
   $ 1,348,356      $ 1,455,917  
Management fee
     336,376        517,488  
Brokerage commission
     40,259        96,497  
Futures account fees
     33,271        50,659  
Net realized gain (loss)
     (31,754,134      (46,096,694
Change in net unrealized appreciation (depreciation)
     2,969,180        1,130,026  
Net Income (loss)
   $ (27,436,598    $ (43,510,751
The Fund’s net income increased for the three months ended March 31, 2024 as compared to the three months ended March 31, 2023, primarily due a lesser decrease in the value of the futures prices during the three months ended March 31, 2024.
* See Note 8 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 VIX Short-Term Futures ETF.
 
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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 March 31, 2024 and 2023, each of the Fund’s positions were as follows:
ProShares Short VIX Short-Term Futures ETF
As of March 31, 2024 and 2023, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2024 and 2023, which were sensitive to equity market volatility risk.
 
    
Futures Positions as of March 31, 2024
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
     Short        April 2024        6,720      $ 14.37        1,000      $ (96,557,664
VIX Futures (Cboe)
     Short        May 2024        3,920        15.42        1,000        (60,440,520
 
    
Futures Positions as of March 31, 2023
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
     Short        April 2023        4,007      $ 20.76        1,000      $ (83,202,149
VIX Futures (Cboe)
     Short        May 2023        2,915        22.13        1,000        (64,504,578
The March 31, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative
one-half.
See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
 
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ProShares Ultra Bloomberg Crude Oil:
As of March 31, 2024 and 2023, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to commodity price risk.
 
   
Futures Positions as of March 31, 2024
 
Contract
 
Long or
Short
   
Expiration
 
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
    Long     June 2024     1,009     $ 82.42       1,000     $ 83,161,780  
WTI Crude Oil (NYMEX)
    Long     December 2024     1,066       77.84       1,000       82,977,440  
WTI Crude Oil (NYMEX)
    Long     June 2025     1,108       74.66       1,000       82,723,280  
 
   
Swap Agreements as of March 31, 2024
 
Reference Index
 
Counterparty
 
Long or
Short
   
Index Close
   
Notional Amount
at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
  Citibank, N.A.     Long     $ 92.0580     $ 207,504,255  
Bloomberg Commodity Balanced WTI Crude Oil Index
  Goldman Sachs International     Long       92.0580       257,994,386  
Bloomberg Commodity Balanced WTI Crude Oil Index
  Morgan Stanley & Co.
International PLC
    Long       92.0580       129,073,877  
Bloomberg Commodity Balanced WTI Crude Oil Index
  Societe Generale     Long       92.0580       195,835,168  
Bloomberg Commodity Balanced WTI Crude Oil Index
  UBS AG     Long       92.0580       154,892,648  
 
   
Futures Positions as of March 31, 2023
 
Contract
 
Long or
Short
   
Expiration
 
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
    Long     June 2023     2,112     $ 75.80       1,000     $ 160,089,600  
WTI Crude Oil (NYMEX)
    Long     December 2023     2,182       73.55       1,000       160,486,100  
WTI Crude Oil (NYMEX)
    Long     June 2024     2,261       71.23       1,000       161,051,030  
 
    
Swap Agreements as of March 31, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount
at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
   Citibank, N.A.      Long      $ 80.1009      $ 180,552,235  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Goldman Sachs International      Long        80.1009        224,484,374  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Morgan Stanley & Co. International PLC      Long        80.1009        312,723,926  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Societe Generale      Long        80.1009        170,398,805  
Bloomberg Commodity Balanced WTI Crude Oil Index
   UBS AG      Long        80.1009        253,675,785  
The March 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2024 and 2023 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such
 
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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 March 31, 2024 and 2023, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts and swap agreements linked to the Bloomberg Natural Gas Subindex. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to commodity price risk.
 
    
Futures Positions as of March 31, 2024
 
Contract
  
Long or
Short
    
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Natural Gas (NYMEX)
     Long      May 2024      65,891      $ 1.76        10,000      $ 1,161,658,330  
 
    
Futures Positions as of March 31, 2023
 
Contract
  
Long or
Short
    
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Natural Gas (NYMEX)
     Long      May 2023      95,284      $ 2.22        10,000      $ 2,111,493,440  
 
    
Swap Agreements as of March 31, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount
at Value
 
Bloomberg Natural Gas Subindex
   Citibank, N.A.      Long      $ 0.0885      $ 67,247,193  
Bloomberg Natural Gas Subindex
   Goldman Sachs International      Long        0.0885        100,389,846  
Bloomberg Natural Gas Subindex
   UBS AG      Long        0.0885        803,815  
The March 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2023 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Euro:
As of March 31, 2024 and 2023, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to exchange rate price risk.
 
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Foreign Currency Forward Contracts as of March 31, 2024
 
Reference
Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local
Currency
   
Forward
Rate
    
Market
Value USD
 
Euro
   Goldman Sachs International      Long        04/05/24        5,678,921       1.0950      $ 6,218,173  
Euro
   UBS AG      Long        04/05/24        7,153,502       1.0949        7,832,427  
Euro
   UBS AG      Short        04/05/24        (221,000     1.0834        (239,440
 
    
Foreign Currency Forward Contracts as of March 31, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local
Currency
   
Forward
Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International      Long        04/14/23        8,826,921       1.0680      $ 9,427,525  
Euro
   UBS AG      Long        04/14/23        9,821,502       1.0684        10,492,894  
Euro
   Goldman Sachs International      Short        04/14/23        (308,000     1.0633        (327,497
Euro
   UBS AG      Short        04/14/23        (2,461,000     1.0877        (2,676,882
The March 31, 2024 and 2023 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in 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 March 31, 2024 and 2023 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to commodity price risk.
 
    
Futures Positions as of March 31, 2024
 
Contract
  
Long or
Short
  
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Gold Futures (COMEX)
   Long      June 2024        649      $ 2,238.40        100      $ 145,272,160  
 
    
Swap Agreements as of March 31, 2024
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount
at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.      Long      $ 222.2802      $ 123,084,977  
Bloomberg Gold Subindex
   Goldman Sachs International      Long        222.2802        58,461,471  
Bloomberg Gold Subindex
   UBS AG      Long        222.2802        105,107,323  
 
    
Futures Positions as of March 31, 2023
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Gold Futures (COMEX)
     Long        June 2023        667      $ 1,986.20        100      $ 132,479,540  
 
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Swap Agreements as of March 31, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount
at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.      Long      $ 209.1875      $ 115,835,052  
Bloomberg Gold Subindex
   Goldman Sachs International      Long        209.1875        55,017,986  
Bloomberg Gold Subindex
   UBS AG      Long        209.1875        98,916,314  
The March 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2024 and 2023 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Silver:
As of March 31, 2024 and 2023 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to commodity price risk.
 
    
Futures Positions as of March 31, 2024
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Silver Futures (COMEX)
     Long        May 2024        2,406      $ 24.92        5,000      $ 299,739,480  
 
    
Swap Agreements as of March 31, 2024
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount
at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.      Long      $ 206.5403      $ 183,114,057  
Bloomberg Silver Subindex
   Goldman Sachs International      Long        206.5403        22,879,089  
Bloomberg Silver Subindex
   Morgan Stanley & Co. International PLC      Long        206.5403        155,225,776  
Bloomberg Silver Subindex
   UBS AG      Long        206.5403        146,097,767  
 
    
Futures Positions as of March 31, 2023
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Silver Futures (COMEX)
     Long        May 2023        2,879      $ 24.16        5,000      $ 347,725,620  
 
    
Swap Agreements as of March 31, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount
at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.      Long      $ 211.9607      $ 177,727,745  
Bloomberg Silver Subindex
   Goldman Sachs International      Long        211.9607        23,479,523  
Bloomberg Silver Subindex
   Morgan Stanley & Co. International PLC      Long        211.9607        159,299,488  
Bloomberg Silver Subindex
   UBS AG      Long        211.9607        149,931,926  
 
 
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The March 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2024 and 2023 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra VIX Short-Term Futures ETF
As of March 31, 2024 and 2023, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to equity market volatility risk.
 
    
Futures Positions as of March 31, 2024
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
     Long        April 2024        17,863      $ 14.37        1,000      $ 160,660,770  
VIX Futures (Cboe)
     Long        May 2024        10,420        15.42        1,000        256,668,088  
 
    
Futures Positions as of March 31, 2023
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
     Long        April 2023        21,811      $ 20.76        1,000      $ 452,887,966  
VIX Futures (Cboe)
     Long        May 2023        15,863        22.13        1,000        351,024,396  
The March 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and
one-half.
See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares Ultra Yen:
As of March 31, 2024 and 2023, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to exchange rate price risk.
 
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Table of Contents
    
Foreign Currency Forward Contracts as of March 31, 2024
 
Reference
Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local Currency
   
Forward
Rate
    
Market Value
USD
 
Yen
   Goldman Sachs International      Long        04/05/24        6,299,288,056       0.006762      $ 42,598,371  
Yen
   UBS AG      Long        04/05/24        6,445,204,856       0.006783        43,719,927  
Yen
   UBS AG      Short        04/05/24        (36,515,000     0.006763        (246,947
 
    
Foreign Currency Forward Contracts as of March 31, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local Currency
   
Forward
Rate
    
Market Value
USD
 
Yen
   GOLDMAN SACHS
INTERNATIONAL
     Long        04/14/23        1,492,519,517       0.007400      $ 11,044,802  
Yen
   UBS AG      Long        04/14/23        1,730,435,856       0.007387        12,782,072  
Yen
   GOLDMAN SACHS INTERNATIONAL      Short        04/14/23        (16,977,000     0.007387        (125,407
Yen
   UBS AG      Short        04/14/23        (577,337,000     0.007533        (4,348,806
The March 31, 2024 and 2023 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in 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 March 31, 2024 and 2023, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to commodity price risk.
 
   
Futures Positions as of March 31, 2024
 
Contract
 
Long or
Short
   
Expiration
 
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
    Short     June 2024     1,601     $ 82.42       1,000     $ (131,954,420
WTI Crude Oil (NYMEX)
    Short     December 2024     1,693       77.84       1,000       (131,783,120
WTI Crude Oil (NYMEX)
    Short     June 2025     1,758       74.66       1,000       (131,252,280
 
   
Futures Positions as of March 31, 2023
 
Contract
 
Long or
Short
   
Expiration
 
Contracts
   
Valuation
Price
   
Contract
Multiplier
   
Notional Amount
at Value
 
WTI Crude Oil (NYMEX)
    Short     June 2023     1,269     $ 75.80       1,000     $ (96,190,200
WTI Crude Oil (NYMEX)
    Short     December 2023     1,312       73.55       1,000       (96,497,600
WTI Crude Oil (NYMEX)
    Short     June 2024     1,359       71.23       1,000       (96,801,570
 
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The March 31, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Bloomberg Natural Gas:
As of March 31, 2024 and 2023, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to commodity price risk.
 
    
Futures Positions as of March 31, 2024
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Natural Gas (NYMEX)
     Short        May 2024        10,700      $ 1.76        10,000      $ (188,641,000
 
    
Futures Positions as of March 31, 2023
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Natural Gas (NYMEX)
     Short        May 2023        13,265      $ 2.22        10,000      $ (293,952,400
The March 31, 2024 and 2023 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Euro:
As of March 31, 2024 and 2023, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to exchange rate price risk.
 
    
Foreign Currency Forward Contracts as of March 31, 2024
 
Reference
Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local
Currency
   
Forward
Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International      Long        04/05/24        2,089,000       1.0908      $ 2,278,751  
Euro
   UBS AG      Long        04/05/24        2,400,000       1.0876        2,610,298  
Euro
   Goldman Sachs International      Short        04/05/24        (38,956,263     1.0948        (42,648,430
Euro
   UBS AG      Short        04/05/24        (37,273,199     1.0939        (40,772,480
 
    
Foreign Currency Forward Contracts as of March 31, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local
Currency
   
Forward
Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International      Long        04/14/23        13,747,000       1.0724      $ 14,742,763  
Euro
   UBS AG      Long        04/14/23        21,381,000       1.0781        23,050,631  
Euro
   Goldman Sachs International      Short        04/14/23        (71,345,263     1.0673        (76,146,038
Euro
   UBS AG      Short        04/14/23        (73,465,199     1.0668        (78,376,112
 
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The March 31, 2024 and 2023 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Gold:
As of March 31, 2024 and 2023 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to commodity price risk.
 
    
Futures Positions as of March 31, 2024
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Gold Futures (COMEX)
     Short        June 2024        55      $ 2,238.40        100      $ (12,311,200
 
    
Swap Agreements as of March 31, 2024
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount
at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.      Short      $ 222.2802      $ (4,178,267
Bloomberg Gold Subindex
   Goldman Sachs International      Short        222.2802        (5,476,095
Bloomberg Gold Subindex
   UBS AG      Short        222.2802        (8,470,022
 
    
Futures Positions as of March 31, 2023
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Gold Futures (COMEX)
     Short        June 2023        76      $ 1,986.20        100      $ (15,095,120
 
    
Swap Agreements as of March 31, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount
at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.      Short      $ 209.1875      $ (3,932,159
Bloomberg Gold Subindex
   Goldman Sachs International      Short        209.1875        (5,153,543
Bloomberg Gold Subindex
   UBS AG      Short        209.1875        (7,971,123
The March 31, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2024 and 2023 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
 
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Table of Contents
ProShares UltraShort Silver:
As of March 31, 2024 and 2023 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to commodity price risk.
 
    
Futures Positions as of March 31, 2024
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Silver Futures (COMEX)
     Short        May 2024        163      $ 24.92        5,000      $ (20,306,540
 
    
Swap Agreements as of March 31, 2024
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount
at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.      Short      $ 206.5403      $ (5,353,674
Bloomberg Silver Subindex
   Goldman Sachs International      Short        206.5403        (10,145,879
Bloomberg Silver Subindex
   Morgan Stanley & Co. International PLC      Short        206.5403        (1,399,517
Bloomberg Silver Subindex
   UBS AG      Short        206.5403        (11,273,405
 
    
Futures Positions as of March 31, 2023
 
Contract
  
Long or
Short
    
Expiration
    
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
Silver Futures (COMEX)
     Short        May 2023        137      $ 24.16        5,000      $ (16,546,860
 
    
Swap Agreements as of March 31, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index Close
    
Notional Amount
at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.      Short      $ 211.9607      $ (2,858,231
Bloomberg Silver Subindex
   Goldman Sachs International      Short        211.9607        (10,412,145
Bloomberg Silver Subindex
   Morgan Stanley & Co. International PLC      Short        211.9607        (8,232,766
Bloomberg Silver Subindex
   UBS AG      Short        211.9607        (2,632,575
The March 31, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2024 and 2023 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
 
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Table of Contents
ProShares UltraShort Yen:
As of March 31, 2024 and 2023, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2024 and 2023, which were sensitive to exchange rate price risk.
 
    
Foreign Currency Forward Contracts as of March 31, 2024
 
Reference
Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local Currency
   
Forward
Rate
    
Market Value
USD
 
Yen
   UBS AG      Long        04/05/24        46,414,000       0.006616      $ 307,057  
Yen
   Goldman Sachs International      Short        04/05/24        (4,271,976,165     0.006778        (28,956,877
Yen
   UBS AG      Short        04/05/24        (5,644,914,574     0.006772        (38,229,557
 
    
Foreign Currency Forward Contracts as of March 31, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
    
Settlement
Date
    
Local Currency
   
Forward
Rate
    
Market Value
USD
 
Yen
   Goldman Sachs International      Long        04/14/23        1,438,381,000       0.007577      $ 10,898,111  
Yen
   UBS AG      Long        04/14/23        1,461,674,000       0.007452        10,891,748  
Yen
   Goldman Sachs International      Short        04/14/23        (4,075,246,165     0.007410        (30,197,307
Yen
   UBS AG      Short        04/14/23        (5,475,162,574     0.007421        (40,629,712
The March 31, 2024 and 2023 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in 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 March 31, 2024 and 2023, the ProShares VIX
Mid-Term
Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2024 and 2023, which were sensitive to equity market volatility risk.
 
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Table of Contents
    
Futures Positions as of March 31, 2024
 
Contract
  
Long or
Short
    
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
     Long      July 2024      993      $ 16.92        1,000      $ 16,799,673  
VIX Futures (Cboe)
     Long      August 2024      1,572        17.50        1,000        27,510,000  
VIX Futures (Cboe)
     Long      September 2024      1,572        18.01        1,000        28,311,406  
VIX Futures (Cboe)
     Long      October 2024      580        20.60        1,000        11,948,000  
 
    
Futures Positions as of March 31, 2023
 
Contract
  
Long or
Short
    
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
     Long      July 2023      545      $ 23.59        1,000      $ 12,858,785  
VIX Futures (Cboe)
     Long      August 2023      942        23.70        1,000        22,324,458  
VIX Futures (Cboe)
     Long      September 2023      942        23.99        1,000        22,599,428  
VIX Futures (Cboe)
     Long      October 2023      396        24.05        1,000        9,523,800  
The March 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in 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 March 31, 2024 and 2023, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of March 31, 2024 and 2023, which were sensitive to equity market volatility risk.
 
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Futures Positions as of March 31, 2024
 
Contract
  
Long or
Short
    
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
     Long      April 2024      6,974      $ 14.37        1,000      $ 100,207,314  
VIX Futures (Cboe)
     Long      May 2024      4,068        15.42        1,000        62,722,458  
 
    
Futures Positions as of March 31, 2023
 
Contract
  
Long or
Short
    
Expiration
  
Contracts
    
Valuation
Price
    
Contract
Multiplier
    
Notional Amount
at Value
 
VIX Futures (Cboe)
     Long      April 2023      6,151      $ 20.76        1,000      $ 127,720,594  
VIX Futures (Cboe)
     Long      May 2023      4,474        22.13        1,000        99,002,909  
The March 31, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
 
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Qualitative Disclosure
As described in Item 7 in the Annual Report on Form
10-K,
it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, of its corresponding benchmark (referred to as the “Daily Target”). Each Short Fund seeks daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results, before fees and expenses, that correspond to one and one half times (1.5x) or two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by negative three, negative two, negative one, negative
one-half,
one, one and
one-half,
two or three. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
Primary Market Risk Exposure
The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and long exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its
sub-indexes
are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).
Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading strategies and other factors, could ultimately lead to a loss of all or substantially all of investors’ capital.
As described in Item 7 in the Annual Report on Form
10-K,
trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.
Commodity Price Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form
10-K,
the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.
Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a
(1.1*0.9)-1
=
-1%
period benchmark return, the
two-day
period return for a theoretical
two-times
fund would be equal to a (1.2
*0.8)-1
=
-4%
period Fund return (rather than simply two times the period return of the benchmark).
Exchange Rate Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form
10-K,
the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect 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.
 
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Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a
(1.1*0.9)-1
=
-1%
period benchmark return, the
two-day
period return for a theoretical
two-times
fund would be equal to a (1.2
*0.8)-1
=
-4%
period Fund return (rather than simply two times the period return of the benchmark).
Equity Market Volatility Sensitivity
As further described in “Item 1A. Risk Factors” in the Annual Report on Form
10-K,
the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.
Managing Market Risks
Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective
(-0.5x,
-2x,
1.5x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times in “Note 2—Significant Accounting Policies - Final Net Asset Value for Fiscal Period”), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described in Item 7 of the Annual Report on Form
10-K,
these adjustments are done through the use of various Financial Instruments. Factors common to all Funds that may require portfolio
re-positioning
are creation/redemption activity and index rebalances.
For Geared Funds, the impact of the index’s movements each day also affects whether the Fund’s portfolio needs to be rebalanced. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds and UltraShort Funds will generally decrease when the Index rises on a given day, to the extent there are not offsetting factors. As a result, the Fund’s short exposure may need to be decreased. As a result, the Fund’s short exposure may need to be increased.
The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.
Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in both
non-interest
bearing and interest bearing demand deposit accounts. The Funds may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collat
er
alized 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 (as defined in Rules
13a-15(e)
and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)). At the time of the filing of the Original Form 10-Q for the period ended March 31, 2024 on May 9, 2024 our principal executive officer and principal financial officer concluded that the disclosure controls and procedures of the Trust and the Funds were effective as of March 31, 2024. Subsequent to that evaluation, our principal executive officer and principal financial officer concluded that the disclosure controls and procedures of the Trust and the Funds were not effective as of March 31, 2024 due to a material weakness in internal control over financial reporting in the design of certain controls over the presentation and disclosure of segregated cash balances with brokers for futures contracts, receivable on open futures contracts, payable on open futures contracts and related accounts in the statement of cash flows. Specifically, certain controls over manual journal entries were not designed at a sufficient level of precision to identify inconsistencies between the journal entries and the information provided in the futures broker customer statements. A material weakness is a deficiency, or a combination of deficiencies, in internal control over financial reporting, such that there is a reasonable possibility that a material misstatement of the company’s annual or interim financial statements will not be prevented or detected on a timely basis. This material weakness resulted in the restatement of the Trust’s and the Funds’ financial statements as of and for the year ended December 31, 2021, 2022 and 2023 and the interim financial statements for the fiscal quarters ended September 30, 2023, March 31, 2023 and 2024, and June 30, 2023 and 2024. Additionally, this material weakness could result in misstatements of the financial statements or disclosures that would result in a material misstatement to the annual or interim financial statements that would not be prevented or detected.
 
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As a result, additional analysis was performed as deemed necessary to ensure that our financial st
a
tements were
p
repared in accordance with U.S. generally accepted accounting principles.
Remediation Plan for Material Weakness with respect to Controls Related to the Classification of the FCM Accounts
In response to the identified material weakness with respect to controls related to the classification of the FCM accounts, Management has begun a comprehensive plan to enhance its internal controls over financial reporting with respect to controls related to the classification of the FCM accounts, which generally includes working with the Funds’ Administrator to enhance procedures and reviews relating to the classification of Futures Commission Merchant balances for financial reporting purposes.
Changes in Internal Control over Financial Reporting
There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred duri
n
g the quarter ended March 31, 2024, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.
Certifications
The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.
 
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Table of Contents
Part II. OTHER INFORMATION
Item 1. Legal Proceedings.
As of March 31, 2024, the Trust is not a party to any material legal proceedings.
Item 1A. Risk Factors.
Regulatory and exchange accountability levels may restrict the creation of Creation Units and the operation of the Trust
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.
Risk that Current Assumptions and Expectations Could Become Outdated As a Result of Global Economic Shocks
The onset of the novel coronavirus
(COVID-19)
and its variants 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 if reimposed, a severe economic impact on global economies as economic activity in some instances has essentially ceased.
On February 24, 2022, Russia commenced a military attack on Ukraine. The ongoing hostilities between the two countries could result in additional widespread conflict and could have a severe adverse effect on the region and the markets for securities and commodities, including oil. As the war continues, sanctions on Russian exports 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 FCMs increasing margin requirements for certain futures contracts, including nearer-dated WTI crude oil and other oil futures contracts. Some FCMs 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.
 
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Table of Contents
Natural Disasters and Public Health Disruptions, such as the
COVID-19
Pandemic, May Have a Significant Negative Impact on the Performance of Each Fund
.
Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including public health disruptions, pandemics and epidemics (for example,
COVID-19
including its variants), have been and may continue to be highly disruptive to economies and markets. These conditions have led, and may continue to lead, to increased or extreme market volatility, illiquidity and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, civil unrest, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. To attempt to curb the spread of
COVID-19,
federal, state, and local governments introduced various forms of vaccine and mask mandates, lockdowns, curfews, and other policy initiatives. However, several of the federal mandates were rolled back or eliminated entirely due to actions taken within the courts. In response to COVID’s shock to the labor market and economy overall. The government drastically increased its federal spending for COVID-related relief packages, which came in the form of increases in unemployment insurance and stimulus packages. 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 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. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margins and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transaction on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.
Additionally, public health issues, war and military conflicts (such as Russia’s continued military actions against Ukraine that started in February 2022 and the Israel-Hamas conflict and the ensuing conflict), sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
 
a)
None.
 
b)
Not applicable.
 
c)
The Trust does not purchase shares directly from its shareholders. The following table summarizes the redemptions by Authorized Participants during the three months ended March 31, 2024:
 
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Table of Contents
Title of Securities Registered
*
       
Total Number of
Shares Redeemed
    
Average Price
Per Share
 
ProShares Short VIX Short-Term Futures ETF**
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
— 
    
$
— 
 
  
02/01/24 to 02/29/24
    
1,200,000
    
$
53.34
 
  
03/01/24 to 03/31/24
    
800,000
    
$
55.31
 
ProShares Ultra Bloomberg Crude Oil
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
3,850,000
    
$
27.50
 
  
02/01/24 to 02/29/24
    
4,450,000
    
$
29.33
 
  
03/01/24 to 03/31/24
    
2,600,000
    
$
31.42
 
ProShares Ultra Bloomberg Natural Gas**
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
1,720,000
    
$
157.30
 
  
02/01/24 to 02/29/24
    
1,770,000
    
$
86.85
 
  
03/01/24 to 03/31/24
    
800,000
    
$
84.80
 
ProShares Ultra Euro
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
50,000
    
$
11.52
 
  
02/01/24 to 02/29/24
    
50,000
    
$
11.44
 
  
03/01/24 to 03/31/24
    
— 
    
$
— 
 
ProShares Ultra Gold
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
200,000
    
$
61.14
 
  
02/01/24 to 02/29/24
    
200,000
    
$
59.78
 
  
03/01/24 to 03/31/24
    
50,000
    
$
68.79
 
ProShares Ultra Silver
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
750,000
    
$
25.06
 
  
02/01/24 to 02/29/24
    
550,000
    
$
24.67
 
  
03/01/24 to 03/31/24
    
1,150,000
    
$
28.04
 
ProShares Ultra VIX Short-Term Futures ETF**
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
1,120,000
    
$
42.05
 
  
02/01/24 to 02/29/24
    
620,000
    
$
39.17
 
  
03/01/24 to 03/31/24
    
500,000
    
$
36.57
 
ProShares Ultra Yen
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
50,000
    
$
26.09
 
  
02/01/24 to 02/29/24
    
50,000
    
$
23.72
 
  
03/01/24 to 03/31/24
    
— 
    
$
— 
 
ProShares UltraShort Bloomberg Crude Oil
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
1,100,000
    
$
20.17
 
  
02/01/24 to 02/29/24
    
2,100,000
    
$
18.99
 
  
03/01/24 to 03/31/24
    
1,950,000
    
$
17.29
 
ProShares UltraShort Bloomberg Natural Gas**
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
5,400,000
    
$
44.51
 
  
02/01/24 to 02/29/24
    
1,800,000
    
$
67.88
 
  
03/01/24 to 03/31/24
    
1,100,000
    
$
69.91
 
 
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Table of Contents
ProShares UltraShort Euro
        
Common Units of Beneficial Interest
                                          
  
01/01/24 to 01/31/24
    
— 
    
$
— 
 
  
02/01/24 to 02/29/24
    
— 
    
$
— 
 
  
03/01/24 to 03/31/24
    
100,000
    
$
30.46
 
ProShares UltraShort Gold
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
— 
    
$
— 
 
  
02/01/24 to 02/29/24
    
— 
    
$
— 
 
  
03/01/24 to 03/31/24
    
— 
    
$
— 
 
ProShares UltraShort Silver**
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
575,000
    
$
80.24
 
  
02/01/24 to 02/29/24
    
287,500
    
$
82.68
 
  
03/01/24 to 03/31/24
    
25,000
    
$
68.16
 
ProShares UltraShort Yen**
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
100,000
    
$
38.24
 
  
02/01/24 to 02/29/24
    
— 
    
$
— 
 
  
03/01/24 to 03/31/24
    
— 
    
$
— 
 
ProShares VIX
Mid-Term
Futures ETF
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
50,000
    
$
16.27
 
  
02/01/24 to 02/29/24
    
150,000
    
$
15.77
 
  
03/01/24 to 03/31/24
    
100,000
    
$
15.89
 
ProShares VIX Short-Term Futures ETF**
        
Common Units of Beneficial Interest
        
  
01/01/24 to 01/31/24
    
62,500
    
$
62.64
 
  
02/01/24 to 02/29/24
    
31,250
    
$
61.28
 
  
03/01/24 to 03/31/24
    
243,750
    
$
56.84
 
 
*
The registration statement covers an indeterminate amount of securities to be offered or sold.
**
See Note 8 of these Notes to Financial Statements.
Item 3. Defaults Upon Senior Securities.
None.
Item 4. Mine Safety Disclosures.
Not applicable.
Item 5. Other Information.
No officers or trustees of the Trust have adopted, modified or terminated trading plans under either a Rule
10b5-1
trading arrangement (as such terms are defined in Item 408 of Regulation
S-K
under the Securities Act of 1933, as amended) for the three month period ended March 31, 2024.
 
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Item 6. Exhibits.
 
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)
   Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL
104.1    tags are embedded within the inline XBRL document.
 
(1)
Filed herewith.
*
These certifications are furnished to the SEC pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and are deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, nor shall they be deemed incorporated by reference in any filing under the Securities Act of 1933, as amended, except as shall be expressly set forth by specific reference in such filing.
 
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Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
PROSHARES TRUST II
/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: November 18, 2024
/s/ Edward J. Karpowicz
By: Edward J. Karpowicz
Principal Financial and Accounting Officer
Date: November 18, 2024
 
 
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