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市值在適用的一級上市交易所收盤時確定,這可能晚於計算基金資產淨值時。見本財務報表附註1。婚姻按年計算。請參閱財務報表附註的注釋8。截至2023年6月30日止期間,貸款並未按年化。如果不包括非經常性費用和開支、經紀佣金和期貨賬戶費用,費用比率將分別為0.95%、0.95%、0.95%、0.95%、0.95%和0.95%。由於創設和贖回單位的時間與期間資產淨值的波動有關,因此在整個期間顯示的已發行股份的金額可能與期間損益合計的變化不一致。請參閱財務報表附註的注1和注8。如果不包括非經常性費用和支出、經紀佣金和期貨賬戶費用,費用比率將分別為0.95%、0.95%、0.85%和0.85%。截至2024年6月30日止期間,貸款並未按年化。如果剔除行紀佣金和期貨帳戶費用,費用率分別為0.95%、0.95%、0.95%、0.95%、0.95%和0.95%。如果不包括經紀佣金和期貨賬戶手續費,費用比率將分別為0.95%、0.95%、0.85%和0.85%。 0001415311 2024-01-01 2024-06-30 0001415311 2023-01-01 2023-06-30 0001415311 2024-04-01 2024-06-30 0001415311 2023-04-01 2023-06-30 0001415311 2023-12-31 0001415311 2024-06-30 0001415311 2024-08-04 0001415311 2024-03-31 0001415311 2023-03-31 0001415311 2022-12-31 0001415311 2023-06-30 0001415311 us-gaap:美國政府業務短期債務證券成員 2024-06-30 0001415311 ck 0001415311:ProsaresUltraShortBloombergNaturalGasMember us-gaap:美國政府業務短期債務證券成員 2024-06-30 0001415311 ck 0001415311:ProsaresUltraShortBloombergCradeOilMember us-gaap:美國政府業務短期債務證券成員 2024-06-30 0001415311 ck 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Table of Contents
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
 
FORM
10-Q/A
 
 
 
Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended June 30, 2024.
or
 
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from
    
to
.
Commission file number:
001-34200
 
 
PROSHARES TRUST II
(Exact name of registrant as specified in its charter)
 
 
 
Delaware
 
87-6284802
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. Employer
Identification No.)
c/o ProShare Capital Management LLC
7272 Wisconsin Avenue, 21
st
Floor
Bethesda, Maryland 20814
(Address of principal executive offices) (Zip Code)
(240)
497-6400
(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act:
 
Title of each class
 
Trading
Symbol(s)
 
Name of each exchange on
which registered
ProShares Short VIX Short-Term Futures ETF
 
SVXY
 
Cboe BZX Exchange
ProShares Ultra Bloomberg Crude Oil
 
UCO
 
NYSE Arca
ProShares Ultra Bloomberg Natural Gas
 
BOIL
 
NYSE Arca
ProShares Ultra Euro
 
ULE
 
NYSE Arca
ProShares Ultra Gold
 
UGL
 
NYSE Arca
ProShares Ultra Silver
 
AGQ
 
NYSE Arca
ProShares Ultra VIX Short-Term Futures ETF
 
UVXY
 
Cboe BZX Exchange
ProShares Ultra Yen
 
YCL
 
NYSE Arca
ProShares UltraShort Bloomberg Crude Oil
 
SCO
 
NYSE Arca
ProShares UltraShort Bloomberg Natural Gas
 
KOLD
 
NYSE Arca
ProShares UltraShort Euro
 
EUO
 
NYSE Arca
ProShares UltraShort Gold
 
GLL
 
NYSE Arca
ProShares UltraShort Silver
 
ZSL
 
NYSE Arca
ProShares UltraShort Yen
 
YCS
 
NYSE Arca
ProShares VIX
Mid-Term
Futures ETF
 
VIXM
 
Cboe BZX Exchange
ProShares VIX Short-Term Futures ETF
 
VIXY
 
Cboe BZX Exchange
Securities registered pursuant to Section 12(g) of the Act: None
 
 
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation
S-T
(§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).  ☒ Yes  ☐ No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a
non-accelerated
filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule
12b-2
of the Exchange Act.
 
Large Accelerated Filer      Accelerated Filer  
Non-Accelerated Filer      Smaller Reporting Company  
Emerging Growth Company       
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule
12b-2
of the Exchange Act.). ☐ Yes  No
Indicate by check mark whether the registrant has filed all documents and reports required to be filed by Sections 12, 13 or 15(d) of the Securities Exchange Act of 1934 subsequent to the distribution of securities under a plan confirmed by a court. 
Yes  ☐ No
As of August 4, 2024, the registrant had
 147,109,561
shares of common stock, $0 par value per share, outstanding.
 
 
 

Table of Contents
EXPLANATORY NOTE
This Amendment No. 1 on Form
10-Q
( the “Form
10-Q/A”)
amends and restates certain items noted below in the Quarterly Report on
Form 10-Q
of ProShares Trust II (the “Registrant”) for the quarterly period ended June 30, 2024, as originally filed with the Securities and Exchange Commission (“SEC”) on August 8, 2024 (the “Original Form
10-Q”).
Background and Effect of the Restatement
As previously disclosed in the Registrant’s Current Reports on Form
8-K
dated November 18, 2024, management of the Registrant (“Management”), concluded that the financial statements of the Registrant in the following reports should no longer be relied upon:
 
 
 
the previously filed Annual Report on Form
10-K
for the fiscal year ended December 31, 2023;
 
 
 
the previously filed Quarterly Report on Form
10-Q
for the quarterly period ended March 31, 2024; and
 
 
 
the previously filed Quarterly Report on Form
10-Q
for the quarterly period ended June 30, 2024.
The determinations made by Management resulted from the following errors in the relevant prior financial statements identified by the Registrant during preparation of its financial statements as of and for the three months ended September 30, 2024:
 
 
 
In the Statements of Financial Condition, an understatement of “Segregated cash balances with brokers for futures contracts” and overstatement or understatement of “Receivable (Payable) on open futures contracts”.
 
 
 
In the Statements of Cash Flows, incorrect balances within the “Decrease (Increase) in receivable/payable on open futures contracts”, “Net cash provided by (used in) operating activities”, “Cash, beginning of period” and “Cash, end of period”.
Management determined that the misclassifications described above did not have any impact on the Registrant’s performance, investment results, net asset values, income and distributions. These errors were classification errors related to Futures Commission Merchant accounts of one broker and there is no impact on the net futures exposure to the Registrant.
This Amendment reflects the correction of the classification errors described above, which were identified subsequent to the filing of the Original Form
10-Q.

Table of Contents
Restatement of Other Financial Statements
In addition to this Quarterly Report on
Form 10-Q/A,
the Registrant is concurrently filing amendments to its Annual Report on
Form 10-K/A
for the year ended December 31, 2023, (the “Form
10-K/A”)
and Quarterly Report on
Form 10-Q/A
for the quarter ended March 31, 2024, (the
“Form10-Q/A”).
The Registrant is filing the
Form 10-K/A
and the Form
10-Q/A
to restate its financial statements and related financial information for the periods contained in those reports in relation to the errors described above.
Internal Control Considerations
As a result of the errors described above and the restatement of the Original Form 10-Q, the Registrant’s management has
 
re-evaluated
 
the effectiveness of the Registrant’s disclosure controls and procedures and internal control over financial reporting as of June 30, 2024. Management has concluded that the Registrant’s disclosure controls and procedures with respect to controls related to the classification of the account balances with futures commission merchants (“FCMs”) described above were not effective as of June 30, 2024, and its internal control over financial reporting with respect to such account balances was not effective as of June 30, 2024, due to the following material weakness in internal control over financial reporting with respect to such account balances. Specifically, there was a material weakness in the design of a control activity with respect to the presentation of the FCM accounts indicated above within the Statements of Financial Condition and Statements of Cash Flows. See additional discussion included in Part I, Item 4. “Controls and Procedures” of this Quarterly Report on Form 10-Q/A.
Items Amended in this Annual Report on
Form 10-Q/A
For the convenience of the reader, this Quarterly Report on
Form 10-Q/A
presents the Original Form
10-Q
in its entirety.
In accordance with Rule
12b-15
under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), the following sections in the Original Form
10-Q
have been revised in this Amendment:
 
 
 
Part I, Item 2. “Management’s Discussion and Analysis of Financial Condition and Results of Operations”;
 
 
 
Part I, Item 1. “Financial Statements (unaudited)”;
 
 
 
Part I, Item 4. “Controls and Procedures”; and
 
 
 
Part II, Item 6. “Exhibits.”
The Registrant is also including with this Quarterly Report on Form
10-Q/A
currently dated certifications of the Registrant’s principal executive officer and principal financial officer (included in Part II, Item 6. “Exhibits” and attached as Exhibits 31.1, 31.2, 32.1 and 32.2).
Additionally, as required and discussed in Note 8 to our financial statements, the Registrant presents the share amounts and per share calculations throughout this Quarterly Report on Form
10-Q/A
on a retrospective basis to reflect reverse stock splits and forward stock splits which have occurred subsequent to the filing of the Original
Form 10-Q.

Table of Contents
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 June 30, 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
 
    
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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  
     7  
     12  
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     22  
     27  
     32  
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     72  
     77  
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     86  
 
1

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
 
  
June 30, 2024
(unaudited)
 
  
December 31,
2023
 
 
  
(As Restated)
 
  
(As Restated)
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $169,045,239 and $109,391,681, respectively)
   $ 169,047,283      $ 109,410,342  
Cash
     33,687,181        54,492,235  
Segregated cash balances with brokers for futures contracts
     94,220,318        107,839,052  
Receivable on open futures contracts
     3,623,578        11,214,160  
Interest receivable
     496,309        456,930  
  
 
 
    
 
 
 
Total assets
     301,074,669        283,412,719  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
            15,522,316  
Payable on open futures contracts
     2,131,041        447,611  
Brokerage commissions and futures account fees payable
            9,571  
Payable to Sponsor
     231,113        248,862  
  
 
 
    
 
 
 
Total liabilities
     2,362,154        16,228,360  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     298,712,515        267,184,359  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 301,074,669      $ 283,412,719  
  
 
 
    
 
 
 
Shares outstanding (Note 1)
     4,868,614        5,168,614  
  
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 61.35      $ 51.69  
  
 
 
    
 
 
 
Market value per share (Note 1) (Note 2)
   $ 61.39      $ 51.70  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
2

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2024
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(57% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.288% due 07/09/24
   $ 80,000,000      $ 79,906,936  
5.321% due 09/05/24
     90,000,000        89,140,347  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $169,045,239)
      $ 169,047,283  
     
 
 
 
 
Futures Contracts Sold
        
    
Number of
Contracts
    
Notional
Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2024
     5,997      $ 84,094,732      $ 2,965,349  
VIX Futures - Cboe, expires August 2024
     4,360        65,139,272        869,850  
        
 
 
 
         $ 3,835,199  
        
 
 
 
 
^^
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
June 30,
   
Six Months Ended
June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 3,457,223     $ 2,437,210     $ 6,766,508     $ 4,546,332  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     702,645       617,036       1,443,041       1,182,813  
Brokerage commissions
     170,317       123,422       341,916       249,925  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     872,962       740,458       1,784,957       1,432,738  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     2,584,261       1,696,752       4,981,551       3,113,594  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     26,761,918       65,228,142       55,258,866       94,832,290  
Short-term U.S. government and agency obligations
           (25,811     17,669       (25,811
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     26,761,918       65,202,331       55,276,535       94,806,479  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (4,177,838     9,658,017       (8,805,425     12,836,824  
Short-term U.S. government and agency obligations
     10,617       15,084       (16,617     (8,546
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (4,167,221     9,673,101       (8,822,042     12,828,278  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     22,594,697       74,875,432       46,454,493       107,634,757  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 25,178,958     $ 76,572,184     $ 51,436,044     $ 110,748,351  
  
 
 
   
 
 
   
 
 
   
 
 
 
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
June 30,
   
Six Months Ended
June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 313,978,799     $ 295,340,393     $ 267,184,359     $ 339,591,638  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 350,000, 1,100,000, 2,750,000 and 6,000,000 shares, respectively (Note 1)
     18,814,510       38,020,154       147,244,261       185,319,488  
Redemption of 1,050,000, 3,700,000, 3,050,000 and 10,900,000 shares, respectively (Note 1)
     (59,259,752     (127,579,464     (167,152,149     (353,306,210
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (700,000), (2,600,000), (300,000) and (4,900,000) shares, respectively (Note 1)
     (40,445,242     (89,559,310     (19,907,888     (167,986,722
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     2,584,261       1,696,752       4,981,551       3,113,594  
Net realized gain (loss)
     26,761,918       65,202,331       55,276,535       94,806,479  
Change in net unrealized appreciation (depreciation)
     (4,167,221     9,673,101       (8,822,042     12,828,278  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     25,178,958       76,572,184       51,436,044       110,748,351  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 298,712,515     $ 282,353,267     $ 298,712,515     $ 282,353,267  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
5

Table of Contents
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
 
  
Six Months Ended
June 30,
 
  
2024
 
 
2023
 
 
  
(As Restated)
 
 
(As Restated)
 
Cash flow from operating activities
    
Net income (loss)
   $ 51,436,044     $ 110,748,351  
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
     (316,469,775     (278,358,687
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     260,017,669       334,826,194  
Net amortization and accretion on short-term U.S. government and agency obligations
     (3,183,783     (1,921,222
Net realized (gain) loss on investments
     (17,669     25,811  
Change in unrealized (appreciation) depreciation on investments
     16,617       8,546  
Decrease (Increase) in receivable on open futures contracts
     7,590,582       32,523,950  
Decrease (Increase) in interest receivable
     (39,379     43,386  
Increase (Decrease) in payable to Sponsor
     (17,749     (131,814
Increase (Decrease) in brokerage commissions and futures account fees payable
     (9,571     (12,820
Increase (Decrease) in payable on open futures contracts
     1,683,430        
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     1,006,416       197,751,695  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     147,244,261       185,319,488  
Payment on shares redeemed
     (182,674,465 )     (359,168,024 )
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (35,430,204 )     (173,848,536 )
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (34,423,788 )     23,903,159  
Cash, beginning of period
     162,331,287       160,907,259  
  
 
 
   
 
 
 
Cash, end of period
   $ 127,907,499     $ 184,810,418  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
6

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2024
(unaudited)
    
December 31,
2023
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $387,837,316 and $233,435,026, respectively)
   $ 387,833,913      $ 233,476,941  
Cash
     12,820,186        123,662,313  
Segregated cash balances with brokers for futures contracts
     26,299,037        70,781,753  
Segregated cash balances with brokers for swap agreements
     44,908,000        203,734,760  
Unrealized appreciation on swap agreements
     55,947,592        17,954,935  
Receivable from capital shares sold
            5,255,022  
Receivable on open futures contracts
     201,572         
Interest receivable
     314,624        568,017  
  
 
 
    
 
 
 
Total assets
     528,324,924        655,433,741  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     409,282        2,099,944  
Brokerage commissions and futures account fees payable
            5,682  
Payable to Sponsor
     429,547        534,678  
  
 
 
    
 
 
 
Total liabilities
     838,829        2,640,304  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     527,486,095        652,793,437  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 528,324,924      $ 655,433,741  
  
 
 
    
 
 
 
Shares outstanding
     15,743,096        24,843,096  
  
 
 
    
 
 
 
Net asset value per share
   $ 33.51      $ 26.28  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 33.50      $ 26.10  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
7

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(74% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.349% due 07/09/24
   $ 90,000,000      $ 89,895,303  
5.311% due 08/08/24
     200,000,000        198,893,780  
5.310% due 09/05/24
     100,000,000        99,044,830  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $387,837,316)
      $ 387,833,913  
     
 
 
 
 
Futures Contracts Purchased
        
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires September 2024
     713      $ 57,496,320      $ 5,520,380  
WTI Crude Oil - NYMEX, expires December 2024
     757        59,303,380        4,061,570  
WTI Crude Oil - NYMEX, expires June 2025
     783        58,928,580        3,300,495  
        
 
 
 
         $ 12,882,445  
        
 
 
 
 
Total Return Swap Agreements
^
          
    
Rate Paid
(Received)
*
   
Termination
Date
    
Notional Amount
at Value
**
    
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.35     07/08/24      $ 188,892,450      $ 12,016,665  
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.35     07/08/24        259,202,833        16,489,562  
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.35     07/08/24        78,742,345        5,009,308  
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.25     07/08/24        196,752,460        12,527,793  
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index
     0.30     07/08/24        155,618,166        9,904,264  
          
 
 
 
          Total Unrealized
Appreciation

 
   $ 55,947,592  
          
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 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 June 30, 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
June 30,
   
Six Months Ended
June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 6,506,199     $ 5,878,092     $ 11,516,649     $ 11,886,000  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     1,344,787       1,744,998       2,821,804       3,619,616  
Brokerage commissions
     42,976       94,303       104,780       188,647  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     1,387,763       1,839,301       2,926,584       3,808,263  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     5,118,436       4,038,791       8,590,065       8,077,737  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     11,985,445       29,371,809       28,452,282       40,205,833  
Swap agreements
     (5,028,524     (105,727,226     71,623,239       (30,780,823
Short-term U.S. government and agency obligations
     696       (59,378     13,201       (59,378
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     6,957,617       (76,414,795     100,088,722       9,365,632  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (9,029,300     (20,075,857     16,397,677       (16,873,410
Swap agreements
     8,281,227       65,510,145       37,992,657       (75,851,818
Short-term U.S. government and agency obligations
     9,247       104,869       (45,318     53,943  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (738,826     45,539,157       54,345,016       (92,671,285
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     6,218,791       (30,875,638     154,433,738       (83,305,653
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 11,337,227     $ (26,836,847   $ 163,023,803     $ (75,227,916
  
 
 
   
 
 
   
 
 
   
 
 
 
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
June 30,
   
Six Months Ended
June 30,
 
    
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 597,176,895     $ 811,668,456     $ 652,793,437     $ 859,094,274  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 5,050,000, 15,550,000, 9,100,000 and 34,650,000 shares, respectively
     156,948,695       353,363,209       265,988,522       812,713,784  
Redemption of 7,300,000, 15,050,000, 18,200,000 and 31,950,000 shares, respectively
     (237,976,722     (400,000,450     (554,319,667     (858,385,774
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (2,250,000), 500,000, (9,100,000) and 2,700,000 shares, respectively
     (81,028,027     (46,637,241     (288,331,145     (45,671,990
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     5,118,436       4,038,791       8,590,065       8,077,737  
Net realized gain (loss)
     6,957,617       (76,414,795     100,088,722       9,365,632  
Change in net unrealized appreciation (depreciation)
     (738,826     45,539,157       54,345,016       (92,671,285
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     11,337,227       (26,836,847     163,023,803       (75,227,916
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 527,486,095     $ 738,194,368     $ 527,486,095     $ 738,194,368  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
10

Table of Contents
PROSHARES ULTRA BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
    
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 163,023,803     $ (75,227,916
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
     (750,343,317     (8,286,191,814
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     604,658,733       8,193,611,806  
Net amortization and accretion on short-term U.S. government and agency obligations
     (8,704,505     (7,958,372
Net realized (gain) loss on investments
     (13,201     59,378  
Change in unrealized (appreciation) depreciation on investments
     (37,947,339     75,797,875  
Decrease (Increase) in receivable on open futures contracts
     (201,572     5,619,393  
Decrease (Increase) in interest receivable
     253,393       168,779  
Increase (Decrease) in payable to Sponsor
     (105,131     (81,887
Increase (Decrease) in brokerage commissions and futures account fees payable
     (5,682     492  
Increase (Decrease) in payable on open futures contracts
     (1,690,662     1,541,204  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (31,075,480     (92,661,062
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     271,243,544       812,713,784  
Payment on shares redeemed
     (554,319,667     (870,743,885
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (283,076,123     (58,030,101
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (314,151,603     (150,691,163
Cash, beginning of period
     398,178,826       476,600,261  
  
 
 
   
 
 
 
Cash, end of period
   $ 84,027,223     $ 325,909,098  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
11

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PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
 
 
  
June 30, 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
     335,101,326        326,252,692  
Segregated cash balances with brokers for futures contracts
     170,641,492        374,861,689  
Receivable from capital shares sold
     78,742,578        4,281,925  
Receivable on open futures contracts
             
Interest receivable
     836,761        1,925,643  
  
 
 
    
 
 
 
Total assets
     585,322,157        771,781,066  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
            19,366,361  
Payable on open futures contracts
     44,230,752        21,843,883  
Brokerage commissions and futures account fees payable
     12,372        52,349  
Payable to Sponsor
     435,212        625,665  
  
 
 
    
 
 
 
Total liabilities
     44,678,336        41,888,258  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     540,643,821        729,892,808  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 585,322,157      $ 771,781,066  
  
 
 
    
 
 
 
Shares outstanding
 (Note 8)
     6,933,709        5,113,709  
  
 
 
    
 
 
 
Net asset value per share
 (Note 8)
   $ 77.97      $ 142.73  
  
 
 
    
 
 
 
Market value per share (Note 2)
 (Note 8)
   $ 78.35      $ 142.20  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
12

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2024
(unaudited)
 
Futures Contracts Purchased
        
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires September 2024
     41,612      $ 1,081,079,760      $ (153,035,669
See accompanying notes to financial statements.
 
13

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
    
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 6,418,687     $ 8,866,705     $ 12,870,827     $ 17,825,228  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     1,323,880       2,588,571       2,773,307       4,916,981  
Brokerage commissions
     785,377       1,145,371       1,488,469       2,098,150  
Futures account fees
     53,176       211,785       142,161       399,478  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     2,162,433       3,945,727       4,403,937       7,414,609  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     4,256,254       4,920,978       8,466,890       10,410,619  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     211,772,181       (539,203,219     (30,408,733     (1,639,994,302
Swap agreements
           (77,680,050           (38,520,261
Short-term U.S. government and agency obligations
           (3,646           (7,216
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     211,772,181       (616,886,915     (30,408,733     (1,678,521,779
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (60,263,391     572,850,724       (196,642,739     558,949,406  
Swap agreements
           85,176,576             46,088,257  
Short-term U.S. government and agency obligations
           29,724       (13,607     9,671  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (60,263,391     658,057,024       (196,656,346     605,047,334  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     151,508,790       41,170,109       (227,065,079     (1,073,474,445
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 155,765,044     $ 46,091,087     $ (218,598,189 )   $ (1,063,063,826
  
 
 
   
 
 
   
 
 
   
 
 
 
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
June 30,
   
Six Months Ended
June 30,
 
    
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 580,741,377     $ 1,139,983,773     $ 729,892,808     $ 586,151,113  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 4,870,000, 2,758,500, 12,890,000 and 6,553,000 shares, respectively (Note 8)
     387,753,452       814,876,179       1,118,271,219       3,160,825,013  
Redemption of 6,780,000, 2,565,000, 11,070,000 and 3,591,500 shares, respectively (Note 8)
     (583,616,052     (859,929,761     (1,088,922,017     (1,542,891,022
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (1,910,000), 193,500, 1,820,000 and 2,961,500 shares, respectively (Note 8)
     (195,862,600     (45,053,582     29,349,202       1,617,933,991  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     4,256,254       4,920,978       8,466,890       10,410,619  
Net realized gain (loss)
     211,772,181       (616,886,915     (30,408,733     (1,678,521,779
Change in net unrealized appreciation (depreciation)
     (60,263,391     658,057,024       (196,656,346     605,047,334  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     155,765,044       46,091,087       (218,598,189 )     (1,063,063,826
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 540,643,821     $ 1,141,021,278     $ 540,643,821     $ 1,141,021,278  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
15

Table of Contents
PROSHARES ULTRA BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
 
 
  
Six Months Ended
June 30,
 
  
2024
 
 
2023
 
 
  
(As Restated)
 
 
(As Restated)
 
Cash flow from operating activities
    
Net income (loss)
   $ (218,598,189   $ (1,063,063,826
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
           (10,025,950,123
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     65,000,000       9,997,363,885  
Net amortization and accretion on short-term U.S. government and agency obligations
     (554,490     (6,934,539
Net realized (gain) loss on investments
           7,216  
Change in unrealized (appreciation) depreciation on investments
     13,607       (46,097,928
Decrease (Increase) in receivable on open futures contracts
           (51,507,351 )
Decrease (Increase) in interest receivable
     1,088,882       (1,040,354 )
Increase (Decrease) in payable to Sponsor
     (190,453 )     396,149  
Increase (Decrease) in brokerage commissions and futures account fees payable
     (39,977 )     34,147  
Increase (Decrease) in payable on open futures contracts
     22,386,869       8,464,653  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (130,893,751 )     (1,188,328,071 )
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     1,043,810,566       3,160,825,013  
Payment on shares redeemed
     (1,108,288,378 )     (1,541,243,728 )
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (64,477,812 )     1,619,581,285  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (195,371,563 )     431,253,214  
Cash, beginning of period
     701,114,381       327,716,484  
  
 
 
   
 
 
 
Cash, end of period
   $ 505,742,818     $ 758,969,698  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
16

Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2024
(unaudited)
    
December 31,
2023
 
Assets
     
Cash
   $ 5,173,809      $ 6,162,459  
Segregated cash balances with brokers for foreign currency forward contracts
     544,321        623,000  
Unrealized appreciation on foreign currency forward contracts
            308,424  
Interest receivable
     22,202        27,219  
  
 
 
    
 
 
 
Total assets
     5,740,332        7,121,102  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable to Sponsor
     4,401        5,612  
Unrealized depreciation on foreign currency forward contracts
     140,398        1,475  
  
 
 
    
 
 
 
Total liabilities
     144,799        7,087  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     5,595,533        7,114,015  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 5,740,332      $ 7,121,102  
  
 
 
    
 
 
 
Shares outstanding
     500,000        600,000  
  
 
 
    
 
 
 
Net asset value per share
   $ 11.19      $ 11.86  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 11.17      $ 11.84  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
17

Table of Contents
PROSHARES ULTRA EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 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
     07/12/24        4,686,921     $ 5,022,389     $ (61,066
Euro with UBS AG
     07/12/24        5,951,502       6,377,482       (79,283
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (140,349
         
 
 
 
Contracts to Sell
         
Euro with UBS AG
     07/12/24        (193,000   $ (206,813   $ (49
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (49
         
 
 
 
 
^
The positions and counterparties herein are as of June 30, 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
June 30,
   
Six Months Ended
June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 70,817     $ 88,182     $ 149,303     $ 185,419  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     13,944       19,851       29,879       44,097  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     13,944       19,851       29,879       44,097  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     56,873       68,331       119,424       141,322  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Foreign currency forward contracts
     (219,350     78,291       (74,776     358,570  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (219,350     78,291       (74,776     358,570  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Foreign currency forward contracts
     62,167       (79,023     (447,347     (175,968
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     62,167       (79,023     (447,347     (175,968
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (157,183     (732     (522,123     182,602  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (100,310   $ 67,599     $ (402,699   $ 323,924  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
19

Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 6,804,048     $ 8,616,433     $ 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, 100,000, 200,000 and 500,000 shares, respectively
     (1,108,205     (1,148,597     (2,256,140     (5,789,588
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (100,000), (100,000), (100,000) and (300,000) shares, respectively
     (1,108,205     (1,148,597     (1,115,783     (3,493,151
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     56,873       68,331       119,424       141,322  
Net realized gain (loss)
     (219,350     78,291       (74,776     358,570  
Change in net unrealized appreciation (depreciation)
     62,167       (79,023     (447,347     (175,968
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (100,310     67,599       (402,699     323,924  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 5,595,533     $ 7,535,435     $ 5,595,533     $ 7,535,435  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
20

Table of Contents
PROSHARES ULTRA EURO
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (402,699   $ 323,924  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Change in unrealized (appreciation) depreciation on investments
     447,347       175,968  
Decrease (Increase) in interest receivable
     5,017       12,213  
Increase (Decrease) in payable to Sponsor
     (1,211     (4,645
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     48,454       507,460  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     1,140,357       2,296,437  
Payment on shares redeemed
     (2,256,140     (5,789,588
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (1,115,783     (3,493,151
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (1,067,329     (2,985,691
Cash, beginning of period
     6,785,459       10,259,418  
  
 
 
   
 
 
 
Cash, end of period
   $ 5,718,130     $ 7,273,727  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
21

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2024
(unaudited)
    
December 31,
2023
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $194,011,855 and $59,496,177, respectively)
   $ 194,012,992      $ 59,507,594  
Cash
     22,156,996        92,898,206  
Segregated cash balances with brokers for futures contracts
     5,910,000        4,523,500  
Segregated cash balances with brokers for swap agreements
     742,000        31,930,271  
Unrealized appreciation on swap agreements
            3,078,593  
Receivable on open futures contracts
     143,688         
Interest receivable
     213,762        276,736  
  
 
 
    
 
 
 
Total assets
     223,179,438        192,214,900  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
            564,042  
Payable to Sponsor
     170,756        148,835  
Unrealized depreciation on swap agreements
     6,552,657         
  
 
 
    
 
 
 
Total liabilities
     6,723,413        712,877  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     216,456,025        191,502,023  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 223,179,438      $ 192,214,900  
  
 
 
    
 
 
 
Shares outstanding
     2,800,000        3,000,000  
  
 
 
    
 
 
 
Net asset value per share
   $ 77.31      $ 63.83  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 77.04      $ 63.87  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
22

Table of Contents
PROSHARES ULTRA GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2024
(unaudited)
 
    
Principal
Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(90% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.309% due 07/09/24
   $ 90,000,000      $ 89,895,303  
5.311% due 08/08/24
     30,000,000        29,834,067  
5.315% due 09/05/24
     75,000,000        74,283,622  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $194,011,855)
      $ 194,012,992  
     
 
 
 
Futures Contracts Purchased
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires August 2024
     582      $ 136,164,720      $ (767,692
Total Return Swap Agreements
^
 
    
Rate Paid
(Received)
*
   
Termination
Date
    
Notional Amount
at Value
**
    
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
     0.25     07/08/24      $ 127,422,794      $ (2,813,616
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
     0.25     07/08/24        60,521,797        (1,336,379
Swap agreement with UBS AG based on Bloomberg Gold Subindex
     0.25     07/08/24        108,811,563        (2,402,662
          
 
 
 
          Total Unrealized
Depreciation

 
   $ (6,552,657
          
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 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 June 30, 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
June 30,
   
Six Months Ended
June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 2,819,359     $ 1,983,196     $ 4,833,274     $ 3,632,210  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     546,388       474,261       982,991       901,375  
Brokerage commissions
     8,123       6,925       17,996       15,540  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     554,511       481,186       1,000,987       916,915  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     2,264,848       1,502,010       3,832,287       2,715,295  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     7,565,606       5,160,588       14,530,658       7,921,167  
Swap agreements
     24,002,215       12,035,981       35,508,434       20,075,298  
Short-term U.S. government and agency obligations
           (28,462     3,011       (28,462
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     31,567,821       17,168,107       50,042,103       27,968,003  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (3,144,847     (10,482,142     (4,863,967     (8,627,819
Swap agreements
     (14,087,684     (22,406,342     (9,631,250     (13,549,549
Short-term U.S. government and agency obligations
     5,842       33,642       (10,280     10,905  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (17,226,689     (32,854,842     (14,505,497     (22,166,463
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     14,341,132       (15,686,735     35,536,606       5,801,540  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 16,605,980     $ (14,184,725   $ 39,368,893     $ 8,516,835  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
24

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 215,970,841     $ 201,161,529     $ 191,502,023     $ 173,524,136  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 350,000, 50,000, 800,000 and 450,000 shares, respectively
     27,209,437       3,236,120       56,539,425       28,209,474  
Redemption of 550,000, 150,000, 1,000,000 and 500,000 shares, respectively
     (43,330,233     (9,296,393     (70,954,316     (29,333,914
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (200,000), (100,000), (200,000) and (50,000) shares, respectively
     (16,120,796     (6,060,273     (14,414,891     (1,124,440
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     2,264,848       1,502,010       3,832,287       2,715,295  
Net realized gain (loss)
     31,567,821       17,168,107       50,042,103       27,968,003  
Change in net unrealized appreciation (depreciation)
     (17,226,689     (32,854,842     (14,505,497     (22,166,463
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     16,605,980       (14,184,725     39,368,893       8,516,835  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 216,456,025     $ 180,916,531     $ 216,456,025     $ 180,916,531  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
25

Table of Contents
PROSHARES ULTRA GOLD
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 39,368,893     $ 8,516,835  
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Purchases of short-term U.S. government and agency obligations
     (306,151,213     (492,848,662
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     175,003,011       489,813,291  
Net amortization and accretion on short-term U.S. government and agency obligations
     (3,364,465     (2,573,420
Net realized (gain) loss on investments
     (3,011     28,462  
Change in unrealized (appreciation) depreciation on investments
     9,641,530       13,538,644  
Decrease (Increase) in receivable on open futures contracts
     (143,688     (487,898
Decrease (Increase) in interest receivable
     62,974       19,574  
Increase (Decrease) in payable to Sponsor
     21,921       7,411  
Increase (Decrease) in payable on open futures contracts
     (564,042      
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (86,128,090     16,014,237  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     56,539,425       28,209,474  
Payment on shares redeemed
     (70,954,316     (29,333,914
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (14,414,891     (1,124,440
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (100,542,981     14,889,797  
Cash, beginning of period
     129,351,977       37,909,767  
  
 
 
   
 
 
 
Cash, end of period
   $ 28,808,996     $ 52,799,564  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
26

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2024
(unaudited)
    
December 31,
2023
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $457,266,168 and $114,255,151, respectively)
   $ 457,266,538      $ 114,276,025  
Cash
     103,479,324        160,468,637  
Segregated cash balances with brokers for futures contracts
     36,455,000        23,499,000  
Segregated cash balances with brokers for swap agreements
     18,848,700        95,226,292  
Receivable from capital shares sold
            2,728,828  
Receivable on open futures contracts
     3,689,701         
Interest receivable
     931,733        598,623  
  
 
 
    
 
 
 
Total assets
     620,670,996        396,797,405  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
            3,503,958  
Payable to Sponsor
     439,142        319,853  
Unrealized depreciation on swap agreements
     49,402,333        2,827,221  
  
 
 
    
 
 
 
Total liabilities
     49,841,475        6,651,032  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     570,829,521        390,146,373  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 620,670,996      $ 396,797,405  
  
 
 
    
 
 
 
Shares outstanding
     15,246,526        14,296,526  
  
 
 
    
 
 
 
Net asset value per share
   $ 37.44      $ 27.29  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 37.09      $ 27.17  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
27

Table of Contents
PROSHARES ULTRA SILVER
SCHEDULE OF INVESTMENTS
JUNE 30, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(80% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.290% due 07/09/24
   $ 150,000,000      $ 149,825,505  
5.311% due 08/08/24
     100,000,000        99,446,890  
5.326% due 09/05/24
     210,000,000        207,994,143  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $457,266,168)
      $ 457,266,538  
     
 
 
 
 
Futures Contracts Purchased
        
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires September 2024
     3,130      $ 462,614,000      $ (6,674,294
 
Total Return Swap Agreements
^
          
    
Rate Paid
(Received)
*
   
Termination
Date
    
Notional Amount
at Value
**
    
Unrealized
Appreciation
(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
     0.25     07/08/24      $ 302,102,674      $ (21,980,835
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
     0.30       07/08/24        26,589,962        (1,935,532
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
     0.30       07/08/24        180,402,617        (13,131,835
Swap agreement with UBS AG based on Bloomberg Silver Subindex
     0.25       07/08/24        169,794,092        (12,354,131
          
 
 
 
          Total Unrealized
Depreciation
 
 
   $ (49,402,333
          
 
 
 
 
All or partial amount pledged as collateral for swap agreements.
^
The positions and counterparties herein are as of June 30, 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 June 30, 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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 6,245,723     $ 3,701,182     $ 9,880,580     $ 7,075,578  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     1,244,817       976,505       2,118,718       1,848,064  
Brokerage commissions
     56,180       47,075       84,222       73,637  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     1,300,997       1,023,580       2,202,940       1,921,701  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     4,944,726       2,677,602       7,677,640       5,153,877  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     81,641,058       17,097,790       76,002,276       20,739,536  
Swap agreements
     139,039,383       47,564,510       140,207,453       15,178,900  
Short-term U.S. government and agency obligations
           (46,857     4,797       (46,857
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     220,680,441       64,615,443       216,214,526       35,871,579  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (29,355,888     (38,652,527     (19,075,042     (39,404,490
Swap agreements
     (57,934,788     (80,409,195     (46,575,112     (57,269,574
Short-term U.S. government and agency obligations
     11,419       44,380       (20,504     8,842  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (87,279,257     (119,017,342     (65,670,658     (96,665,222
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     133,401,184       (54,401,899     150,543,868       (60,793,643
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 138,345,910     $ (51,724,297   $ 158,221,508     $ (55,639,766
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
29

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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 403,584,744     $ 429,115,334     $ 390,146,373     $ 414,285,878  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 5,150,000, 700,000, 7,450,000 and 2,600,000 shares, respectively
     186,406,170       20,692,563       244,780,900       71,924,842  
Redemption of 4,050,000, 1,300,000, 6,500,000 and 2,450,000 shares, respectively
     (157,507,303     (41,291,941     (222,319,260     (73,779,295
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 1,100,000, (600,000), 950,000 and 150,000 shares, respectively
     28,898,867       (20,599,378     22,461,640       (1,854,453
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     4,944,726       2,677,602       7,677,640       5,153,877  
Net realized gain (loss)
     220,680,441       64,615,443       216,214,526       35,871,579  
Change in net unrealized appreciation (depreciation)
     (87,279,257     (119,017,342     (65,670,658     (96,665,222
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     138,345,910       (51,724,297     158,221,508       (55,639,766
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 570,829,521     $ 356,791,659     $ 570,829,521     $ 356,791,659  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
30

Table of Contents
PROSHARES ULTRA SILVER
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended

June 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 158,221,508     $ (55,639,766
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
     (669,157,487     (2,203,304,232
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     332,004,797       2,212,588,221  
Net amortization and accretion on short-term U.S. government and agency obligations
     (5,853,530     (5,008,810
Net realized (gain) loss on investments
     (4,797     46,857  
Change in unrealized (appreciation) depreciation on investments
     46,595,616       57,260,732  
Decrease (Increase) in receivable on open futures contracts
     (3,689,701     (1,635,164
Decrease (Increase) in interest receivable
     (333,110     29,902  
Increase (Decrease) in payable to Sponsor
     119,289       (45,532
Increase (Decrease) in payable on open futures contracts
     (3,503,958     (1,948,902
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (145,601,373     2,343,306  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     247,509,728       71,924,842  
Payment on shares redeemed
     (222,319,260     (75,394,677
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     25,190,468       (3,469,835
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (120,410,905     (1,126,529
Cash, beginning of period
     279,193,929       150,012,071  
  
 
 
   
 
 
 
Cash, end of period
   $ 158,783,024     $ 148,885,542  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
31

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
 
  
June 30, 2024

(unaudited)
 
  
December 31, 2023
 
 
  
(As Restated)
 
  
(As Restated)
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $49,941,817 and $, respectively)
   $ 49,941,835      $  
Cash
     34,940,702        86,615,956  
Segregated cash balances with brokers for futures contracts
     137,403,639        250,795,661  
Receivable on open futures contracts
     9,596,074        10,559,699  
Interest receivable
     454,279        924,148  
  
 
 
    
 
 
 
Total assets
     232,336,529        348,895,464  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Brokerage commissions and futures account fees payable
     16,333        36,088  
Payable to Sponsor
     184,998        303,633  
  
 
 
    
 
 
 
Total liabilities
     201,331        339,721  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     232,135,198        348,555,743  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 232,336,529      $ 348,895,464  
  
 
 
    
 
 
 
Shares outstanding (Note 1)
     9,843,643        8,264,892  
  
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 23.58      $ 42.17  
  
 
 
    
 
 
 
Market value per share (Note 1) (Note 2)
   $ 23.54      $ 42.20  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
32

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(22% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.304% due 07/09/24
   $ 50,000,000      $ 49,941,835  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $49,941,817)
      $ 49,941,835  
     
 
 
 
 
Futures Contracts Purchased
        
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2024
     13,989      $ 196,164,949      $ (3,927,708
VIX Futures - Cboe, expires August 2024
     10,175        152,016,535        (2,277,212
        
 
 
 
         $ (6,204,920
        
 
 
 
 
^^
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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 2,335,823     $ 4,750,595     $ 5,094,065     $ 9,167,250  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     553,814       1,330,081       1,221,345       2,703,851  
Brokerage commissions
     454,606       712,511       941,152       1,490,212  
Futures account fees
     63,964       126,999       150,134       250,360  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     1,072,384       2,169,591       2,312,631       4,444,423  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     1,263,439       2,581,004       2,781,434       4,722,827  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (57,413,186     (426,304,544     (148,416,415     (608,537,974
Short-term U.S. government and agency obligations
     500       4,188       11,137       (3,590
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (57,412,686     (426,300,356     (148,405,278     (608,541,564
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     11,693,863       (45,320,517     24,978,991       (43,274,267
Short-term U.S. government and agency obligations
     4,577       5,340       18       (3,383
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     11,698,440       (45,315,177     24,979,009       (43,277,650
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (45,714,246     (471,615,533     (123,426,269     (651,819,214
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (44,450,807   $ (469,034,529   $ (120,644,835   $ (647,096,387
  
 
 
   
 
 
   
 
 
   
 
 
 
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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 278,240,649     $ 535,980,236     $ 348,555,743     $ 639,318,362  
Addition of 7,030,000, 2,588,000, 9,850,000 and 4,262,000 shares, respectively (Note 1)
     196,405,861       455,030,425       291,112,693       891,490,874  
Redemption of 6,031,248, 710,000, 8,271,248 and 1,928,000 shares, respectively (Note 1)
     (198,060,505     (134,212,073     (286,888,403     (495,948,790
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 998,752, 1,878,000, 1,578,752 and 2,334,000 shares, respectively (Note 1)
     (1,654,644     320,818,352       4,224,290       395,542,084  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     1,263,439       2,581,004       2,781,434       4,722,827  
Net realized gain (loss)
     (57,412,686     (426,300,356     (148,405,278     (608,541,564
Change in net unrealized appreciation (depreciation)
     11,698,440       (45,315,177     24,979,009       (43,277,650
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (44,450,807     (469,034,529     (120,644,835     (647,096,387
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 232,135,198     $ 387,764,059     $ 232,135,198     $ 387,764,059  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
35

Table of Contents
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
 
  
Six Months Ended

June 30,
 
  
2024
 
 
2023
 
 
  
(As Restated)
 
 
(As Restated)
 
Cash flow from operating activities
    
Net income (loss)
   $ (120,644,835   $ (647,096,387
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
     (145,539,355     (1,156,102,958
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     96,889,241       1,192,359,088  
Net amortization and accretion on short-term U.S. government and agency obligations
     (1,280,566     (1,530,731
Net realized (gain) loss on investments
     (11,137     3,590  
Change in unrealized (appreciation) depreciation on investments
     (18     3,383  
Decrease (Increase) in receivable on open futures contracts
     963,625       20,607,263  
Decrease (Increase) in interest receivable
     469,869       293,885  
Increase (Decrease) in payable to Sponsor
     (118,635 )     (209,095 )
Increase (Decrease) in brokerage commissions and futures account fees payable
     (19,755 )     (14,116 )
Increase (Decrease) in payable on open futures contracts
           2,285,649  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (169,291,566 )     (589,400,429 )
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     291,112,693       891,490,874  
Payment on shares redeemed
     (286,888,403 )     (495,948,790 )
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     4,224,290       395,542,084  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (165,067,276 )     (193,858,345 )
Cash, beginning of period
     337,411,617       583,213,839  
  
 
 
   
 
 
 
Cash, end of period
   $ 172,344,341     $ 389,355,494  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
36

Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 37,116,158      $ 27,001,312  
Segregated cash balances with brokers for foreign currency forward contracts
     7,132,036        2,976,399  
Unrealized appreciation on foreign currency forward contracts
     29,111        1,534,924  
Receivable from capital shares sold
     3,034,885         
Interest receivable
     162,688        104,541  
  
 
 
    
 
 
 
Total assets
     47,474,878        31,617,176  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
            1,373,167  
Payable to Sponsor
     33,571        22,600  
Unrealized depreciation on foreign currency forward contracts
     2,931,169        15,639  
  
 
 
    
 
 
 
Total liabilities
     2,964,740        1,411,406  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     44,510,138        30,205,770  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 47,474,878      $ 31,617,176  
  
 
 
    
 
 
 
Shares outstanding
     2,199,970        1,099,970  
  
 
 
    
 
 
 
Net asset value per share
   $ 20.23      $ 27.46  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 20.30      $ 27.49  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
37

Table of Contents
PROSHARES ULTRA YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 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
     07/12/24        6,727,184,056     $ 41,891,312     $ (1,433,088
Yen with UBS AG
     07/12/24        7,961,290,856       49,576,304       (1,498,081
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (2,931,169
         
 
 
 
Contracts to Sell
         
Yen with UBS AG
     07/12/24        (384,862,000   $ (2,396,601   $ 29,111  
         
 
 
 
         
Total Unrealized
Appreciation
 
 
  $ 29,111  
         
 
 
 
 
^
The positions and counterparties herein are as of June 30, 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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 483,557     $ 114,980     $ 853,811     $ 235,098  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     99,372       25,330       176,608       55,890  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     99,372       25,330       176,608       55,890  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     384,185       89,650       677,203       179,208  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Foreign currency forward contracts
     (5,365,623     (770,142     (7,397,198     (1,068,950
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (5,365,623     (770,142     (7,397,198     (1,068,950
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Foreign currency forward contracts
     (842,412     (1,348,109     (4,421,343     (1,842,176
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (842,412     (1,348,109     (4,421,343     (1,842,176
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (6,208,035     (2,118,251     (11,818,541     (2,911,126
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (5,823,850   $ (2,028,601   $ (11,141,338   $ (2,731,918
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
39

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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 41,994,545     $ 9,915,083     $ 30,205,770     $ 13,814,796  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 500,000, 150,000, 1,300,000 and 200,000 shares, respectively
     10,608,951       4,444,492       30,205,576       6,257,118  
Redemption of 100,000, , 200,000 and 150,000 shares, respectively
     (2,269,508           (4,759,870     (5,009,022
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 400,000, 150,000, 1,100,000 and 50,000 shares, respectively
     8,339,443       4,444,492       25,445,706       1,248,096  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     384,185       89,650       677,203       179,208  
Net realized gain (loss)
     (5,365,623     (770,142     (7,397,198     (1,068,950
Change in net unrealized appreciation (depreciation)
     (842,412     (1,348,109     (4,421,343     (1,842,176
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (5,823,850     (2,028,601     (11,141,338     (2,731,918
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 44,510,138     $ 12,330,974     $ 44,510,138     $ 12,330,974  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
40

Table of Contents
PROSHARES ULTRA YEN
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended

June 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (11,141,338   $ (2,731,918
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Change in unrealized (appreciation) depreciation on investments
     4,421,343       1,842,176  
Decrease (Increase) in interest receivable
     (58,147     (48
Increase (Decrease) in payable to Sponsor
     10,971       (2,410
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (6,767,171     (892,200
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     27,170,691       6,257,118  
Payment on shares redeemed
     (6,133,037     (5,009,022
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     21,037,654       1,248,096  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     14,270,483       355,896  
Cash, beginning of period
     29,977,711       12,801,958  
  
 
 
   
 
 
 
Cash, end of period
   $ 44,248,194     $ 13,157,854  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
41

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $104,415,710 and $49,673,923, respectively)
   $ 104,416,492      $ 49,683,885  
Cash
     26,671,542        91,925,442  
Segregated cash balances with brokers for futures contracts
     45,576,696        49,648,726  
Receivable on open futures contracts
     970,109        654,887  
Interest receivable
     273,758        285,610  
  
 
 
    
 
 
 
Total assets
     177,908,597        192,198,550  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
            3,096,091  
Payable on open futures contracts
     152,793         
Brokerage commissions and futures account fees payable
            3,509  
Payable to Sponsor
     135,766        135,358  
  
 
 
    
 
 
 
Total liabilities
     288,559        3,234,958  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     177,620,038        188,963,592  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 177,908,597      $ 192,198,550  
  
 
 
    
 
 
 
Shares outstanding
     11,405,220        9,105,220  
  
 
 
    
 
 
 
Net asset value per share
   $ 15.57      $ 20.75  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 15.57      $ 20.89  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
42

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
SCHEDULE OF INVESTMENTS
JUNE 30, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(59% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.304% due 07/09/24
   $ 50,000,000      $ 49,941,835  
5.327% due 09/05/24
     55,000,000        54,474,657  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $104,415,710)
      $ 104,416,492  
     
 
 
 
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
WTI Crude Oil - NYMEX, expires September 2024
     1,443      $ 116,363,520      $ (9,530,240
WTI Crude Oil - NYMEX, expires December 2024
     1,526        119,546,840        (28,150
WTI Crude Oil - NYMEX, expires June 2025
     1,585        119,287,100        (3,997,339
        
 
 
 
         $ (13,555,729
        
 
 
 
 
^^
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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 2,290,280     $ 1,560,028     $ 4,533,047     $ 3,563,237  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     440,755       359,177       892,340       844,057  
Brokerage commissions
     43,839       60,079       97,800       125,836  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     484,594       419,256       990,140       969,893  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     1,805,686       1,140,772       3,542,907       2,593,344  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (143,424     28,046,795       (12,659,025     55,661,074  
Short-term U.S. government and agency obligations
           (12,271     6,779       (11,783
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (143,424     28,034,524       (12,652,246     55,649,291  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (1,560,618     (8,229,852     (35,992,048     2,741,263  
Short-term U.S. government and agency obligations
     8,523       13,244       (9,180     (1,641
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (1,552,095     (8,216,608     (36,001,228     2,739,622  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (1,695,519     19,817,916       (48,653,474     58,388,913  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 110,167     $ 20,958,688     $ (45,110,567   $ 60,982,257  
  
 
 
   
 
 
   
 
 
   
 
 
 
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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 197,512,295     $ 144,762,563     $ 188,963,592     $ 222,697,337  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 4,200,000, 6,250,000, 12,650,000 and 11,550,000 shares, respectively
     65,709,408       149,281,563       216,439,065       277,187,438  
Redemption of 5,200,000, 7,600,000, 10,350,000 and 16,450,000 shares, respectively
     (85,711,832     (202,147,862     (182,672,052     (448,012,080
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (1,000,000), (1,350,000), 2,300,000 and (4,900,000) shares, respectively
     (20,002,424     (52,866,299     33,767,013       (170,824,642
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     1,805,686       1,140,772       3,542,907       2,593,344  
Net realized gain (loss)
     (143,424     28,034,524       (12,652,246     55,649,291  
Change in net unrealized appreciation (depreciation)
     (1,552,095     (8,216,608     (36,001,228     2,739,622  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     110,167       20,958,688       (45,110,567     60,982,257  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 177,620,038     $ 112,854,952     $ 177,620,038     $ 112,854,952  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
45

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended

June 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (45,110,567   $ 60,982,257  
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
     (242,128,850     (378,541,825
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     190,006,779       394,924,819  
Net amortization and accretion on short-term U.S. government and agency obligations
     (2,612,937     (1,821,563
Net realized (gain) loss on investments
     (6,779     11,783  
Change in unrealized (appreciation) depreciation on investments
     9,180       1,641  
Decrease (Increase) in receivable on open futures contracts
     (315,222     1,604,847  
Decrease (Increase) in interest receivable
     11,852       265,587  
Increase (Decrease) in payable to Sponsor
     408       (111,014
Increase (Decrease) in brokerage commissions and futures account fees payable
     (3,509     (220
Increase (Decrease) in payable on open futures contracts
     152,793       (5,802,618
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (99,996,852     71,513,694  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     216,439,065       274,667,692  
Payment on shares redeemed
     (185,768,143     (444,081,787
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     30,670,922       (169,414,095
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (69,325,930     (97,900,401
Cash, beginning of period
     141,574,168       139,811,511  
  
 
 
   
 
 
 
Cash, end of period
   $ 72,248,238     $ 41,911,110  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
46

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF FINANCIAL CONDITION
 
 
  
June 30, 2024

(unaudited)
 
  
December 31,
2023
 
 
  
(As Restated)
 
  
(As Restated)
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $89,476,486 and $, respectively)
   $ 89,475,883      $  
Cash
     9,179,026        73,282,564  
Segregated cash balances with brokers for futures contracts
     45,237,761        62,890,001  
Receivable from capital shares sold
            9,611,378  
Receivable on open futures contracts
     8,141,559        4,446,202  
Interest receivable
     337,766        447,861  
  
 
 
    
 
 
 
Total assets
     152,371,995        150,678,006  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
     4,937,033         
Payable on open futures contracts
     26,716        9,596,045  
Brokerage commissions and futures account fees payable
     3,273        10,461  
Payable to Sponsor
     112,546        108,408  
  
 
 
    
 
 
 
Total liabilities
     5,079,568        9,714,914  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     147,292,427        140,963,092  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 152,371,995      $ 150,678,006  
  
 
 
    
 
 
 
Shares outstanding (Note 1)
     2,983,712        2,933,712  
  
 
 
    
 
 
 
Net asset value per share (Note 1)
   $ 49.37      $ 48.05  
  
 
 
    
 
 
 
Market value per share (Note 1) (Note 2)
   $ 49.19      $ 48.21  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
47

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
SCHEDULE OF INVESTMENTS
JUNE 30, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(61% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.260% due 07/09/24
   $ 40,000,000      $ 39,953,468  
5.354% due 09/05/24
     50,000,000        49,522,415  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $89,476,486)
      $ 89,475,883  
     
 
 
 
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Natural Gas - NYMEX, expires September 2024
     11,339      $ 294,587,220      $ 40,824,143  
 
^^
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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 1,577,496     $ 1,344,889     $ 2,924,574     $ 2,531,641  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     310,060       302,274       572,504       599,136  
Brokerage commissions
     304,998       233,647       566,252       443,288  
Futures account fees
     10,978       26,758       27,011       56,367  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     626,036       562,679       1,165,767       1,098,791  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     951,460       782,210       1,758,807       1,432,850  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (44,563,292     48,736,428       91,065       232,145,072  
Short-term U.S. government and agency obligations
           1,415       (1,743     (1,263
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (44,563,292     48,737,843       89,322       232,143,809  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     20,547,016       (61,246,927     44,377,650       (106,199,730
Short-term U.S. government and agency obligations
     3,543       (3,173     (603     (10,168
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     20,550,559       (61,250,100     44,377,047       (106,209,898
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (24,012,733     (12,512,257     44,466,369       125,933,911  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (23,061,273   $ (11,730,047   $ 46,225,176     $ 127,366,761  
  
 
 
   
 
 
   
 
 
   
 
 
 
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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 94,345,355     $ 146,981,760     $ 140,963,092     $ 134,109,520  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 7,400,000, 13,200,000, 14,000,000 and 27,700,000 shares, respectively (Note 1)
     367,052,728       457,417,060       697,107,902       833,426,697  
Redemption of 5,650,000, 12,200,000, 13,950,000 and 32,500,000 shares, respectively (Note 1)
     (291,044,383     (451,343,810     (737,003,743     (953,578,015
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 1,750,000, 1,000,000, 50,000 and (4,800,000) shares, respectively (Note 1)
     76,008,345       6,073,250       (39,895,841     (120,151,318
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     951,460       782,210       1,758,807       1,432,850  
Net realized gain (loss)
     (44,563,292     48,737,843       89,322       232,143,809  
Change in net unrealized appreciation (depreciation)
     20,550,559       (61,250,100     44,377,047       (106,209,898
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (23,061,273     (11,730,047     46,225,176       127,366,761  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 147,292,427     $ 141,324,963     $ 147,292,427     $ 141,324,963  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
50

Table of Contents
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
STATEMENTS OF CASH FLOWS
(unaudited)
 
 
  
Six Months Ended

June 30,
 
  
2024
 
 
2023
 
 
  
(As Restated)
 
 
(As Restated)
 
Cash flow from operating activities
    
Net income (loss)
   $ 46,225,176     $ 127,366,761  
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
     (188,049,532     (119,017,542
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     99,796,807       146,569,111  
Net amortization and accretion on short-term U.S. government and agency obligations
     (1,225,504     (910,302
Net realized (gain) loss on investments
     1,743       1,263  
Change in unrealized (appreciation) depreciation on investments
     603       10,168  
Decrease (Increase) in receivable on open futures contracts
     (3,695,357 )     (4,797,173 )
Decrease (Increase) in interest receivable
     110,095       46,314  
Increase (Decrease) in payable to Sponsor
     4,138       (37,995 )
Increase (Decrease) in brokerage commissions and futures account fees payable
     (7,188 )     951  
Increase (Decrease) in payable on open futures contracts
     (9,569,329 )     6,151,798  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (56,408,348 )     155,383,354  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     706,719,280       830,673,700  
Payment on shares redeemed
     (732,066,710 )     (944,455,593 )
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (25,347,430 )     (113,781,893 )
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (81,755,778 )     41,601,461  
Cash, beginning of period
     136,172,565       77,441,180  
  
 
 
   
 
 
 
Cash, end of period
   $ 54,416,787     $ 119,042,641  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
51

Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 32,786,134      $ 34,758,230  
Segregated cash balances with brokers for foreign currency forward contracts
     4,412,112        6,332,112  
Unrealized appreciation on foreign currency forward contracts
     937,816        38,029  
Interest receivable
     138,184        159,359  
  
 
 
    
 
 
 
Total assets
     38,274,246        41,287,730  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable to Sponsor
     29,396        33,372  
Unrealized depreciation on foreign currency forward contracts
     17,867        1,886,808  
  
 
 
    
 
 
 
Total liabilities
     47,263        1,920,180  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     38,226,983        39,367,550  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 38,274,246      $ 41,287,730  
  
 
 
    
 
 
 
Shares outstanding
     1,200,000        1,350,000  
  
 
 
    
 
 
 
Net asset value per share
   $ 31.86      $ 29.16  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 31.83      $ 29.15  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
52

Table of Contents
PROSHARES ULTRASHORT EURO
SCHEDULE OF INVESTMENTS
JUNE 30, 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
     07/12/24        828,000     $ 887,265     $ (2,363
Euro with UBS AG
     07/12/24        2,335,000       2,502,128       (15,504
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (17,867
         
 
 
 
Contracts to Sell
         
Euro with Goldman Sachs International
     07/12/24        (38,212,263   $ (40,947,317   $ 501,639  
Euro with UBS AG
     07/12/24        (36,370,199     (38,973,407     436,177  
         
 
 
 
         
Total Unrealized
Appreciation
 
 
  $ 937,816  
         
 
 
 
 
^
The positions and counterparties herein are as of June 30, 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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 429,872     $ 593,746     $ 888,189     $ 1,240,866  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     90,978       131,101       186,228       292,669  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     90,978       131,101       186,228       292,669  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     338,894       462,645       701,961       948,197  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Foreign currency forward contracts
     900,760       (1,045,942     (43,101     (2,453,253
Short-term U.S. government and agency obligations
                 4,641        
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     900,760       (1,045,942     (38,460     (2,453,253
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Foreign currency forward contracts
     (199,005     556,469       2,768,728       702,482  
Short-term U.S. government and agency obligations
                       (4,802
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (199,005     556,469       2,768,728       697,680  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     701,755       (489,473     2,730,268       (1,755,573
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 1,040,649     $ (26,828   $ 3,432,229     $ (807,376
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
54

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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 38,712,882     $ 59,537,260     $ 39,367,550     $ 75,113,179  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 50,000, , 50,000 and 100,000 shares, respectively
     1,591,183             1,591,183       3,051,886  
Redemption of 100,000, 300,000, 200,000 and 900,000 shares, respectively
     (3,117,731     (8,579,131     (6,163,979     (26,426,388
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (50,000), (300,000), (150,000) and (800,000) shares, respectively
     (1,526,548     (8,579,131     (4,572,796     (23,374,502
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     338,894       462,645       701,961       948,197  
Net realized gain (loss)
     900,760       (1,045,942     (38,460     (2,453,253
Change in net unrealized appreciation (depreciation)
     (199,005     556,469       2,768,728       697,680  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     1,040,649       (26,828     3,432,229       (807,376
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 38,226,983     $ 50,931,301     $ 38,226,983     $ 50,931,301  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
55

Table of Contents
PROSHARES ULTRASHORT EURO
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended

June 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 3,432,229     $ (807,376
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
     (2,768,728     (697,680
Decrease (Increase) in interest receivable
     21,175       (83,135
Increase (Decrease) in payable to Sponsor
     (3,976     (21,220
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     680,700       38,382,411  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     1,591,183       3,051,886  
Payment on shares redeemed
     (6,163,979     (26,426,388
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (4,572,796     (23,374,502
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (3,892,096     15,007,909  
Cash, beginning of period
     41,090,342       37,531,356  
  
 
 
   
 
 
 
Cash, end of period
   $ 37,198,246     $ 52,539,265  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
56

Table of Contents
PROSHARES ULTRASHORT GOLD
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 12,481,663      $ 9,309,908  
Segregated cash balances with brokers for futures contracts
     595,000        261,450  
Segregated cash balances with brokers for swap agreements
     2,621,079        2,375,125  
Unrealized appreciation on swap agreements
     408,700         
Receivable on open futures contracts
            17,324  
Interest receivable
     55,422        41,501  
  
 
 
    
 
 
 
Total assets
     16,161,864        12,005,308  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     17,400         
Payable to Sponsor
     12,673        9,708  
Unrealized depreciation on swap agreements
            199,821  
  
 
 
    
 
 
 
Total liabilities
     30,073        209,529  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     16,131,791        11,795,779  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 16,161,864      $ 12,005,308  
  
 
 
    
 
 
 
Shares outstanding
     746,977        446,977  
  
 
 
    
 
 
 
Net asset value per share
   $ 21.60      $ 26.39  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 21.67      $ 26.37  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
57

Table of Contents
PROSHARES ULTRASHORT GOLD
SCHEDULE OF INVESTMENTS
JUNE 30, 2024
(unaudited)
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Gold Futures - COMEX, expires August 2024
     58      $ 13,569,680      $ 167,105  
Total Return Swap Agreements
^
 
    
Rate Paid

(Received)
*
   
Termination

Date
    
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex
     0.25     07/08/24      $ (4,325,519   $ 94,178  
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex
     0.20     07/08/24        (5,669,086     123,607  
Swap agreement with UBS AG based on Bloomberg Gold Subindex
     0.25     07/08/24        (8,768,527     190,915  
         
 
 
 
         
Total Unrealized
Appreciation
 
 
  $ 408,700  
         
 
 
 
 
^
The positions and counterparties herein are as of June 30, 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 June 30, 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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 176,727     $ 184,052     $ 319,930     $ 316,614  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     39,309       42,869       71,710       79,242  
Brokerage commissions
     1,283       1,605       2,218       2,966  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     40,592       44,474       73,928       82,208  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     136,135       139,578       246,002       234,406  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (976,285     (562,109     (1,626,248     (676,159
Swap agreements
     (1,540,189     (991,042     (2,288,039     (1,907,873
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (2,516,474     (1,553,151     (3,914,287     (2,584,032
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     374,155       1,132,962       311,336       1,069,691  
Swap agreements
     890,281       1,625,959       608,521       1,033,528  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     1,264,436       2,758,921       919,857       2,103,219  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (1,252,038     1,205,770       (2,994,430     (480,813
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (1,115,903   $ 1,345,348     $ (2,748,428   $ (246,407
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
59

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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 15,170,884     $ 16,049,273     $ 11,795,779     $ 15,456,037  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 450,000, 300,000, 650,000 and 600,000 shares, respectively
     9,524,925       7,934,073       14,532,555       16,298,343  
Redemption of 350,000, 350,000, 350,000 and 550,000 shares, respectively
     (7,448,115     (9,519,316     (7,448,115     (15,698,595
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 100,000, (50,000), 300,000 and 50,000 shares, respectively
     2,076,810       (1,585,243     7,084,440       599,748  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     136,135       139,578       246,002       234,406  
Net realized gain (loss)
     (2,516,474     (1,553,151     (3,914,287     (2,584,032
Change in net unrealized appreciation (depreciation)
     1,264,436       2,758,921       919,857       2,103,219  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (1,115,903     1,345,348       (2,748,428     (246,407
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 16,131,791     $ 15,809,378     $ 16,131,791     $ 15,809,378  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
60

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

June 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (2,748,428   $ (246,407
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Change in unrealized (appreciation) depreciation on investments
     (608,521     (1,033,528
Decrease (Increase) in receivable on open futures contracts
     17,324       (40,101
Decrease (Increase) in interest receivable
     (13,921     (19,366
Increase (Decrease) in payable to Sponsor
     2,965       1,307  
Increase (Decrease) in payable on open futures contracts
     17,400       1,600  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (3,333,181     (1,336,495
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     14,532,555       16,298,343  
Payment on shares redeemed
     (7,448,115     (14,253,435
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     7,084,440       2,044,908  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     3,751,259       708,413  
Cash, beginning of period
     11,946,483       16,020,413  
  
 
 
   
 
 
 
Cash, end of period
   $ 15,697,742     $ 16,728,826  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
61

Table of Contents
PROSHARES ULTRASHORT SILVER
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 54,325,214      $ 46,444,776  
Segregated cash balances with brokers for futures contracts
     8,211,000        5,494,500  
Segregated cash balances with brokers for swap agreements
     10,255,068        12,657,595  
Unrealized appreciation on swap agreements
     3,476,663         
Receivable from capital shares sold
     561,001        907,025  
Receivable on open futures contracts
            329,629  
Interest receivable
     252,520        173,799  
  
 
 
    
 
 
 
Total assets
     77,081,466        66,007,324  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
     823,698         
Payable to Sponsor
     59,025        43,464  
Unrealized depreciation on swap agreements
            814,174  
  
 
 
    
 
 
 
Total liabilities
     882,723        857,638  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     76,198,743        65,149,686  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 77,081,466      $ 66,007,324  
  
 
 
    
 
 
 
Shares outstanding
 (Note 8)
     1,697,832        897,832  
  
 
 
    
 
 
 
Net asset value per share
 (Note 8)
   $ 44.88      $ 72.56  
  
 
 
    
 
 
 
Market value per share (Note 2)
 (Note 8)
   $ 45.32      $ 72.96  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
62

Table of Contents
PROSHARES ULTRASHORT SILVER
SCHEDULE OF INVESTMENTS
JUNE 30, 2024
(unaudited)
Futures Contracts Sold
 
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
Silver Futures - COMEX, expires September 2024
     706      $ 104,346,800      $ 882,431  
Total Return Swap Agreements
^
 
    
Rate Paid

(Received)
*
   
Termination

Date
    
Notional Amount

at Value
**
   
Unrealized

Appreciation

(Depreciation)/Value
 
Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex
     0.25     07/08/24      $ (21,477,041   $ 1,555,716  
Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex
     0.25     07/08/24        (11,791,490     854,131  
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex
     0.30     07/08/24        (1,626,512     117,766  
Swap agreement with UBS AG based on Bloomberg Silver Subindex
     0.25     07/08/24        (13,101,894     949,050  
         
 
 
 
         
Total Unrealized
Appreciation
 
 
  $ 3,476,663  
         
 
 
 
 
^
The positions and counterparties herein are as of June 30, 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 June 30, 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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 597,421     $ 323,734     $ 978,854     $ 523,812  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     139,041       82,417       230,179       142,585  
Brokerage commissions
     13,863       8,958       19,887       14,661  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     152,904       91,375       250,066       157,246  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     444,517       232,359       728,788       366,566  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (7,210,938     3,460,638       (2,337,230     4,792,636  
Swap agreements
     (8,859,200     (2,347,042     (7,952,888     (965,417
Short-term U.S. government and agency obligations
           (906           (906
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (16,070,138     1,112,690       (10,290,118     3,826,313  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     943,651       1,782,960       (806,615     1,899,423  
Swap agreements
     3,959,173       3,867,334       4,290,837       2,567,635  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     4,902,824       5,650,294       3,484,222       4,467,058  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (11,167,314     6,762,984       (6,805,896     8,293,371  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (10,722,797   $ 6,995,343     $ (6,077,108   $ 8,659,937  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
64

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

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 24,245,029     $ 20,335,691     $ 65,149,686     $ 31,932,799  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 1,900,000, 612,500, 2,250,000 and 775,000 shares, respectively
 
(Note

8)
     90,286,838       41,523,335       116,105,726       55,312,875  
Redemption of 562,500, 650,000, 1,450,000 and 950,000 shares,
respectively
(Note 8)
     (27,610,327     (49,563,896     (98,979,561     (76,615,138
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 1,337,500, (37,500), 800,000 and (175,000) shares, respectively (Note 8)
     62,676,511       (8,040,561     17,126,165       (21,302,263
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     444,517       232,359       728,788       366,566  
Net realized gain (loss)
     (16,070,138     1,112,690       (10,290,118     3,826,313  
Change in net unrealized appreciation (depreciation)
     4,902,824       5,650,294       3,484,222       4,467,058  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (10,722,797     6,995,343       (6,077,108     8,659,937  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 76,198,743     $ 19,290,473     $ 76,198,743     $ 19,290,473  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
65

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

June 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (6,077,108   $ 8,659,937  
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
     —        (14,880,254
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     —        14,937,156  
Net amortization and accretion on short-term U.S. government and agency obligations
     —        (57,808
Net realized (gain) loss on investments
     —        906  
Change in unrealized (appreciation) depreciation on investments
     (4,290,837     (2,567,635
Decrease (Increase) in receivable on open futures contracts
     329,629       (185,697
Decrease (Increase) in interest receivable
     (78,721     (1,333
Increase (Decrease) in payable to Sponsor
     15,561       (1,521
Increase (Decrease) in payable on open futures contracts
     823,698       5,550  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (9,277,778     5,909,301  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     116,451,750       56,285,664  
Payment on shares redeemed
     (98,979,561     (74,565,831
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     17,472,189       (18,280,167
  
 
 
   
 
 
 
Net increase (decrease) in cash
     8,194,411       (12,370,866
Cash, beginning of period
     64,596,871       32,583,283  
  
 
 
   
 
 
 
Cash, end of period
   $ 72,791,282     $ 20,212,417  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
66

Table of Contents
PROSHARES ULTRASHORT YEN
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Cash
   $ 39,249,087      $ 21,807,595  
Segregated cash balances with brokers for foreign currency forward contracts
     4,958,787        3,434,732  
Unrealized appreciation on foreign currency forward contracts
     3,371,091        129,697  
Interest receivable
     166,744        100,284  
  
 
 
    
 
 
 
Total assets
     47,745,709        25,472,308  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable to Sponsor
     35,680        20,676  
Unrealized depreciation on foreign currency forward contracts
     214,997        1,441,622  
  
 
 
    
 
 
 
Total liabilities
     250,677        1,462,298  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     47,495,032        24,010,010  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 47,745,709      $ 25,472,308  
  
 
 
    
 
 
 
Shares outstanding
 (Note 8)
     997,160        697,160  
  
 
 
    
 
 
 
Net asset value per share
 (Note 8)
   $ 47.63      $ 34.44  
  
 
 
    
 
 
 
Market value per share (Note 2)
 (Note 8)
   $ 47.56      $ 34.47  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
67

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PROSHARES ULTRASHORT YEN
SCHEDULE OF INVESTMENTS
JUNE 30, 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
     07/12/24        1,368,727,000     $ 8,523,295     $ (214,997
         
 
 
 
          Total Unrealized
Depreciation
 
 
  $ (214,997
         
 
 
 
Contracts to Sell
         
Yen with Goldman Sachs International
     07/12/24        (8,022,884,165   $ (49,959,856   $ 1,709,110  
Yen with UBS AG
     07/12/24        (8,533,259,574     (53,138,049     1,661,981  
         
 
 
 
          Total Unrealized
Appreciation
 
 
  $ 3,371,091  
         
 
 
 
 
^
The positions and counterparties herein are as of June 30, 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

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

June 30,
    
Six Months Ended

June 30,
 
  
2024
    
2023
    
2024
    
2023
 
Investment Income
           
Interest
   $ 456,243      $ 255,354      $ 771,660      $ 459,554  
  
 
 
    
 
 
    
 
 
    
 
 
 
Expenses
           
Management fee
     96,949        58,179        163,082        108,991  
  
 
 
    
 
 
    
 
 
    
 
 
 
Total expenses
     96,949        58,179        163,082        108,991  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net investment income (loss)
     359,294        197,175        608,578        350,563  
  
 
 
    
 
 
    
 
 
    
 
 
 
Realized and unrealized gain (loss) on investment activity
           
Net realized gain (loss) on
           
Foreign currency forward contracts
     4,417,569        1,370,771        6,122,840        342,795  
Short-term U.S. government and agency obligations
                   3,541         
  
 
 
    
 
 
    
 
 
    
 
 
 
Net realized gain (loss)
     4,417,569        1,370,771        6,126,381        342,795  
  
 
 
    
 
 
    
 
 
    
 
 
 
Change in net unrealized appreciation (depreciation) on
           
Foreign currency forward contracts
     1,529,867        3,145,023        4,468,019        5,007,285  
Short-term U.S. government and agency obligations
                          (2,761
  
 
 
    
 
 
    
 
 
    
 
 
 
Change in net unrealized appreciation (depreciation)
     1,529,867        3,145,023        4,468,019        5,004,524  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net realized and unrealized gain (loss)
     5,947,436        4,515,794        10,594,400        5,347,319  
  
 
 
    
 
 
    
 
 
    
 
 
 
Net income (loss)
   $ 6,306,730      $ 4,712,969      $ 11,202,978      $ 5,697,882  
  
 
 
    
 
 
    
 
 
    
 
 
 
See accompanying notes to financial statements.
 
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PROSHARES ULTRASHORT YEN
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 32,662,223     $ 25,111,818     $ 24,010,010     $ 21,397,736  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 400,000, 500,000, 600,000 and 900,000 shares, respectively
 
(Note 8)
     17,441,510       14,899,838       25,021,470       26,056,375  
Redemption of 200,000, 600,000, 300,000 and 900,000 shares, respectively
 
(Note 8)
     (8,915,431     (17,646,969     (12,739,426     (26,074,337
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of 200,000, (100,000), 300,000 and shares, respectively
 
(Note 8)
     8,526,079       (2,747,131     12,282,044       (17,962
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     359,294       197,175       608,578       350,563  
Net realized gain (loss)
     4,417,569       1,370,771       6,126,381       342,795  
Change in net unrealized appreciation (depreciation)
     1,529,867       3,145,023       4,468,019       5,004,524  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     6,306,730       4,712,969       11,202,978       5,697,882  
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 47,495,032     $ 27,077,656     $ 47,495,032     $ 27,077,656  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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PROSHARES ULTRASHORT YEN
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended

June 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ 11,202,978     $ 5,697,882  
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
     (4,468,019     (5,004,524
Decrease (Increase) in interest receivable
     (66,460     (50,809
Increase (Decrease) in payable to Sponsor
     15,004       (9,641
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     6,683,503       23,628,206  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     25,021,470       26,056,375  
Payment on shares redeemed
     (12,739,426     (28,757,792
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     12,282,044       (2,701,417
  
 
 
   
 
 
 
Net increase (decrease) in cash
     18,965,547       20,926,789  
Cash, beginning of period
     25,242,327       4,104,127  
  
 
 
   
 
 
 
Cash, end of period
   $ 44,207,874     $ 25,030,916  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
71

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PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION
 
    
June 30, 2024

(unaudited)
    
December 31, 2023
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $49,519,896 and $, respectively)
   $ 49,522,415      $  
Cash
     41,038,726        31,674,194  
Segregated cash balances with brokers for futures contracts
     4,704,894        5,936,995  
Receivable on open futures contracts
     10,823,502        137,945  
Interest receivable
     220,924        141,818  
  
 
 
    
 
 
 
Total assets
     106,310,461        37,890,952  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
     72,839,263         
Brokerage commissions and futures account fees payable
     3,084        1,876  
Payable to Sponsor
     66,662        22,933  
  
 
 
    
 
 
 
Total liabilities
     72,909,009        24,809  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     33,401,452        37,866,143  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 106,310,461      $ 37,890,952  
  
 
 
    
 
 
 
Shares outstanding
     2,337,403        2,262,403  
  
 
 
    
 
 
 
Net asset value per share
   $ 14.29      $ 16.74  
  
 
 
    
 
 
 
Market value per share (Note 2)
   $ 14.33      $ 16.75  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
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PROSHARES VIX
MID-TERM
FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(148% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.295% due 09/05/24
   $ 50,000,000      $ 49,522,415  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $49,519,896)
      $ 49,522,415  
     
 
 
 
Futures Contracts Purchased
 
        
    
Number of

Contracts
    
Notional Amount

at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires October 2024
     367      $ 6,671,142      $ (285,377
VIX Futures - Cboe, expires November 2024
     633        10,966,725        211,863  
VIX Futures - Cboe, expires December 2024
     633        10,951,280        210,194  
VIX Futures - Cboe, expires January 2025
     267        4,792,650        295  
        
 
 
 
         $ 136,975  
        
 
 
 
 
^^
Rates shown represent discount rate at the time of purchase.
See accompanying notes to financial statements.
 
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PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 1,106,849     $ 650,585     $ 1,622,013     $ 1,298,505  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     191,320       134,066       288,207       284,189  
Brokerage commissions
     66,049       12,200       86,212       21,369  
Futures account fees
     10,537       11,856       16,541       23,296  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     267,906       158,122       390,960       328,854  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     838,943       492,463       1,231,053       969,651  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (8,949,418     (6,943,333     (15,057,887     (22,764,053
Short-term U.S. government and agency obligations
                 3,278        
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (8,949,418     (6,943,333     (15,054,609     (22,764,053
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     1,092,860       (9,677,526     3,882,651       (5,086,991
Short-term U.S. government and agency obligations
     2,519       2,424       2,519       (5,651
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     1,095,379       (9,675,102     3,885,170       (5,092,642
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (7,854,039     (16,618,435     (11,169,439     (27,856,695
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (7,015,096   $ (16,125,972   $ (9,938,386   $ (26,887,044
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended

June 30,
   
Six Months Ended

June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 84,603,064     $ 67,306,087     $ 37,866,143     $ 84,014,959  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 5,250,000, 575,000, 8,625,000 and 850,000 shares, respectively
     80,762,930       14,067,422       135,188,877       21,818,758  
Redemption of 8,250,000, 675,000, 8,550,000 and 1,200,000 shares, respectively
     (124,949,446     (15,826,124     (129,715,182     (29,525,260
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (3,000,000), (100,000), 75,000 and (350,000) shares, respectively
     (44,186,516     (1,758,702     5,473,695       (7,706,502
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     838,943       492,463       1,231,053       969,651  
Net realized gain (loss)
     (8,949,418     (6,943,333     (15,054,609     (22,764,053
Change in net unrealized appreciation (depreciation)
     1,095,379       (9,675,102     3,885,170       (5,092,642
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (7,015,096     (16,125,972     (9,938,386     (26,887,044
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 33,401,452     $ 49,421,413     $ 33,401,452     $ 49,421,413  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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Table of Contents
PROSHARES VIX
MID-TERM
FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
    
Six Months Ended
June 30,
 
  
2024
   
2023
 
Cash flow from operating activities
    
Net income (loss)
   $ (9,938,386   $ (26,887,044
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
    
Purchases of short-term U.S. government and agency obligations
     (49,330,764     (254,817,825
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     3,278       305,000,000  
Net amortization and accretion on short-term U.S. government and agency obligations
     (189,132     (305,478
Net realized (gain) loss on investments
     (3,278      
Change in unrealized (appreciation) depreciation on investments
     (2,519     5,651  
Decrease (Increase) in receivable on open futures contracts
     (10,685,557     142,794  
Decrease (Increase) in interest receivable
     (79,106     (101,568
Increase (Decrease) in payable to Sponsor
     43,729       (19,128
Increase (Decrease) in brokerage commissions and futures account fees payable
     1,208       995  
Increase (Decrease) in payable on open futures contracts
           962,275  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (70,180,527     23,980,672  
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     135,188,877       21,818,758  
Payment on shares redeemed
     (56,875,919     (29,525,260
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     78,312,958       (7,706,502
  
 
 
   
 
 
 
Net increase (decrease) in cash
     8,132,431       16,274,170  
Cash, beginning of period
     37,611,189       33,959,989  
  
 
 
   
 
 
 
Cash, end of period
   $ 45,743,620     $ 50,234,159  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF FINANCIAL CONDITION 
 
 
  
June 30, 2024
(unaudited)
 
  
December 31, 2023
 
 
  
(As Restated)
 
  
(As Restated)
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $64,756,905 and $59,648,776, respectively)
   $ 64,756,617      $ 59,660,373  
Cash
     21,351,037        22,277,582  
Segregated cash balances with brokers for futures contracts
     57,448,807        72,849,393  
Receivable on open futures contracts
     4,672,943        2,362,837  
Interest receivable
     249,142        254,671  
  
 
 
    
 
 
 
Total assets
     148,478,546        157,404,856  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable on open futures contracts
            580  
Brokerage commissions and futures account fees payable
     11,302        11,961  
Payable to Sponsor
     47,216        70,569  
  
 
 
    
 
 
 
Total liabilities
     58,518        83,110  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     148,420,028        157,321,746  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 148,478,546      $ 157,404,856  
  
 
 
    
 
 
 
Shares outstanding
 (Note 8)
     3,425,237        2,537,737  
  
 
 
    
 
 
 
Net asset value per share
 (Note 8)
   $ 43.33      $ 61.99  
  
 
 
    
 
 
 
Market value per share (Note 2)
 (Note 8)
   $ 43.40      $ 62.04  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
77

Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
SCHEDULE OF INVESTMENTS
JUNE 30, 2024
(unaudited)
 
    
Principal Amount
    
Value
 
Short-term U.S. government and agency obligations
     
(44% of shareholders’ equity)
     
U.S. Treasury Bills
^^
:
     
5.300% due 07/09/24
   $ 45,000,000      $ 44,947,651  
5.354% due 09/05/24
     20,000,000        19,808,966  
     
 
 
 
Total short-term U.S. government and agency obligations
(cost $64,756,905)
      $ 64,756,617  
     
 
 
 
Futures Contracts Purchased
 
    
Number of
Contracts
    
Notional Amount
at Value
    
Unrealized
Appreciation
(Depreciation)/Value
 
VIX Futures - Cboe, expires July 2024
     5,961      $ 83,589,911      $ (1,712,575
VIX Futures - Cboe, expires August 2024
     4,335        64,765,767        (948,245
        
 
 
 
         $ (2,660,820
        
 
 
 
 
^^
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
June 30,
   
Six Months Ended
June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 1,619,921     $ 2,440,291     $ 3,378,183     $ 4,560,852  
  
 
 
   
 
 
   
 
 
   
 
 
 
Expenses
        
Management fee
     310,061       530,826       646,437       1,048,314  
Brokerage commissions
     39,404       95,391       79,663       191,888  
Futures account fees
     31,267       48,732       64,538       99,391  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     380,732       674,949       790,638       1,339,593  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     1,239,189       1,765,342       2,587,545       3,221,259  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     (27,512,354     (127,229,299     (59,271,318     (173,326,001
Short-term U.S. government and agency obligations
           (10,613     4,830       (10,605
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (27,512,354     (127,239,912     (59,266,488     (173,336,606
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     4,018,755       (21,324,056     7,003,274       (20,176,064
Short-term U.S. government and agency obligations
     3,454       20,803       (11,885     2,837  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     4,022,209       (21,303,253     6,991,389       (20,173,227
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     (23,490,145     (148,543,165     (52,275,099     (193,509,833
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ (22,250,956   $ (146,777,823   $ (49,687,554   $ (190,288,574
  
 
 
   
 
 
   
 
 
   
 
 
 
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
June 30,
   
Six Months Ended
June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 162,936,051     $ 226,765,204     $ 157,321,746     $ 266,580,320  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 925,000, 1,115,000, 1,875,000 and 1,690,000 shares, respectively
 

(Note 8)
     42,851,982       159,301,302       95,632,291       267,768,654  
Redemption of 650,000, 63,750, 987,500 and 552,500 shares, respectively
 

(Note 8)
     (35,117,049     (9,060,853     (54,846,455     (113,832,570
Net addition (redemption) of 275,000, 1,051,250, 887,500 and 1,137,500 shares, respectively (Note 8)
     7,734,933       150,240,449       40,785,836       153,936,084  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     1,239,189       1,765,342       2,587,545       3,221,259  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     (27,512,354     (127,239,912     (59,266,488     (173,336,606
Change in net unrealized appreciation (depreciation)
     4,022,209       (21,303,253     6,991,389       (20,173,227
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     (22,250,956     (146,777,823     (49,687,554     (190,288,574
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 148,420,028     $ 230,227,830     $ 148,420,028     $ 230,227,830  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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Table of Contents
PROSHARES VIX SHORT-TERM FUTURES ETF
STATEMENTS OF CASH FLOWS
(unaudited)
 
 
  
Six Months Ended
June 30,
 
  
2024
 
 
2023
 
 
  
(As Restated)
 
 
(As Restated)
 
Cash flow from operating activities
    
Net income (loss)
   $ (49,687,554   $ (190,288,574
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
     (153,292,911     (318,231,573
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     149,944,134       334,754,108  
Net amortization and accretion on short-term U.S. government and agency obligations
     (1,754,522     (1,966,043
Net realized (gain) loss on investments
     (4,830     10,605  
Change in unrealized (appreciation) depreciation on investments
     11,885       (2,837
Decrease (Increase) in receivable on open futures contracts
     (2,310,106 )     2,384,188  
Decrease (Increase) in interest receivable
     5,529       18,196  
Increase (Decrease) in payable to Sponsor
     (23,353 )     (36,534 )
Increase (Decrease) in brokerage commissions and futures account fees payable
     (659 )     (7,961 )
Increase (Decrease) in payable on open futures contracts
     (580 )     2,179,767  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (57,112,967 )     (171,186,658 )
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     95,632,291       267,768,654  
Payment on shares redeemed
     (54,846,455 )     (114,403,043 )
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     40,785,836       153,365,611  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (16,327,131 )     (17,821,047 )
Cash, beginning of period
     95,126,975       175,279,856  
  
 
 
   
 
 
 
Cash, end of period
   $ 78,799,844     $ 157,458,809  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF FINANCIAL CONDITION
 
 
  
June 30, 2024
(unaudited)
 
  
December 31, 2023
 
 
  
(As Restated)
 
  
(As Restated)
 
Assets
     
Short-term U.S. government and agency obligations (Note 3) (cost $1,566,271,392 and $690,346,244, respectively)
   $ 1,566,273,968      $ 690,474,277  
Cash
     821,558,111        1,209,034,101  
Segregated cash balances with brokers for futures contracts
     632,703,644        1,029,381,720  
Segregated cash balances with brokers for foreign currency forward contracts
     17,047,256        13,366,243  
Segregated cash balances with brokers for swap agreements
     77,374,847        345,924,043  
Unrealized appreciation on swap agreements
     59,832,955        21,033,528  
Unrealized appreciation on foreign currency forward contracts
     4,338,018        2,011,074  
Receivable from capital shares sold
     82,338,464        22,784,178  
Receivable on open futures contracts
     41,862,726        29,722,683  
Interest receivable
     5,126,818        6,486,760  
  
 
 
    
 
 
 
Total assets
     3,308,456,807        3,370,218,607  
  
 
 
    
 
 
 
Liabilities and shareholders’ equity
     
Liabilities
     
Payable for capital shares redeemed
     77,776,296        39,357,935  
Payable on open futures contracts
     47,791,682        38,056,063  
Brokerage commissions and futures account fees payable
     46,364        131,497  
Payable to Sponsor
     2,427,704        2,654,226  
Unrealized depreciation on swap agreements
     55,954,990        3,841,216  
Unrealized depreciation on foreign currency forward contracts
     3,304,431        3,345,544  
  
 
 
    
 
 
 
Total liabilities
     187,301,467        87,386,481  
  
 
 
    
 
 
 
Commitments and Contingencies (Note 2)
     
Shareholders’ equity
     
Shareholders’ equity
     3,121,155,340        3,282,832,126  
  
 
 
    
 
 
 
Total liabilities and shareholders’ equity
   $ 3,308,456,807      $ 3,370,218,607  
  
 
 
    
 
 
 
Shares outstanding (Note 1)
 (Note 8)
     82,929,099        82,617,848  
  
 
 
    
 
 
 
See accompanying notes to financial statements.
 
82

Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF OPERATIONS
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Investment Income
        
Interest
   $ 36,592,197     $ 35,172,821     $ 67,381,467     $ 69,048,196  
Expenses
        
Management fee
     7,448,120       9,417,542       14,618,380       18,671,870  
Brokerage commissions
     1,987,015       2,541,487       3,830,567       4,916,119  
Futures account fees
     169,922       426,130       400,385       828,892  
  
 
 
   
 
 
   
 
 
   
 
 
 
Total expenses
     9,605,057       12,385,159       18,849,332       24,416,881  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     26,987,140       22,787,662       48,532,135       44,631,315  
  
 
 
   
 
 
   
 
 
   
 
 
 
Realized and unrealized gain (loss) on investment activity
        
Net realized gain (loss) on
        
Futures contracts
     192,957,311       (903,140,314     (95,441,709     (1,989,000,881
Swap agreements
     147,613,685       (127,144,869     237,098,199       (36,920,176
Foreign currency forward contracts
     (266,644     (367,022     (1,392,235     (2,820,838
Short-term U.S. government and agency obligations
     1,196       (182,341     71,141       (195,871
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized gain (loss)
     340,305,548       (1,030,834,546     140,335,396       (2,028,937,766
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation) on
        
Futures contracts
     (68,861,582     370,415,259       (169,234,257     337,853,836  
Swap agreements
     (58,891,791     53,364,477       (13,314,347     (96,981,521
Foreign currency forward contracts
     550,617       2,274,360       2,368,057       3,691,623  
Short-term U.S. government and agency obligations
     59,741       266,337       (125,457     49,246  
  
 
 
   
 
 
   
 
 
   
 
 
 
Change in net unrealized appreciation (depreciation)
     (127,143,015     426,320,433       (180,306,004     244,613,184  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net realized and unrealized gain (loss)
     213,162,533       (604,514,113     (39,970,608     (1,784,324,582
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
   $ 240,149,673     $ (581,726,451   $ 8,561,527     $ (1,739,693,267
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
83

Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY
(unaudited)
 
    
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
  
2024
   
2023
   
2024
   
2023
 
Shareholders’ equity, beginning of period
   $ 3,088,679,681     $ 4,138,630,893     $ 3,282,832,126     $ 3,887,786,746  
  
 
 
   
 
 
   
 
 
   
 
 
 
Addition of 43,875,000, 45,449,00084,940,000 and 99,080,000 shares, respectively (Note 1)
 
(Note 8)
     1,659,368,580       2,534,087,735       3,456,902,022       6,659,958,056  
Redemption of 46,923,748, 46,013,75084,628,748 and 105,972,000 shares, respectively (Note 1)
 
(Note 8)
     (1,867,042,594     (2,337,146,640     (3,627,140,335     (5,054,205,998
  
 
 
   
 
 
   
 
 
   
 
 
 
Net addition (redemption) of (3,048,748), (564,750
)
,
 
311,252 and (6,892,000
)
 
shares, respectively (Note 1)
 
(Note 8)
     (207,674,014     196,941,095       (170,238,313     1,605,752,058  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net investment income (loss)
     26,987,140       22,787,662       48,532,135       44,631,315  
Net realized gain (loss)
     340,305,548       (1,030,834,546     140,335,396       (2,028,937,766
Change in net unrealized appreciation (depreciation)
     (127,143,015     426,320,433       (180,306,004     244,613,184  
  
 
 
   
 
 
   
 
 
   
 
 
 
Net income (loss)
     240,149,673       (581,726,451     8,561,527       (1,739,693,267
  
 
 
   
 
 
   
 
 
   
 
 
 
Shareholders’ equity, end of period
   $ 3,121,155,340     $ 3,753,845,537     $ 3,121,155,340     $ 3,753,845,537  
  
 
 
   
 
 
   
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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Table of Contents
PROSHARES TRUST II
COMBINED STATEMENTS OF CASH FLOWS
(unaudited)
 
 
  
Six Months Ended
June 30,
 
  
2024
 
 
2023
 
 
  
(As Restated)
 
 
(As Restated)
 
Cash flow from operating activities
    
Net income (loss)
   $ 8,561,527     $ (1,739,693,267
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
     (2,820,463,204     (23,583,170,670
Proceeds from sales or maturities of short-term U.S. government and agency obligations
     1,973,332,631       23,734,747,679  
Net amortization and accretion on short-term U.S. government and agency obligations
     (28,723,434     (31,075,993
Net realized (gain) loss on investments
     (71,141     195,871  
Change in unrealized (appreciation) depreciation on investments
     11,071,747       93,240,652  
Decrease (Increase) in receivable on futures contracts
     (12,140,043 )     4,229,051  
Decrease (Increase) in interest receivable
     1,359,942       (398,777 )
Increase (Decrease) in payable to Sponsor
     (226,522 )     (307,569 )
Increase (Decrease) in brokerage commissions and futures account fees payable
     (85,133 )     1,468  
Increase (Decrease) in payable on futures contracts
     9,735,619       13,840,976  
  
 
 
   
 
 
 
Net cash provided by (used in) operating activities
     (857,648,011 )     (1,508,390,579 )
  
 
 
   
 
 
 
Cash flow from financing activities
    
Proceeds from addition of shares
     3,397,347,736       6,655,658,102  
Payment on shares redeemed
     (3,588,721,974 )     (5,059,100,757 )
  
 
 
   
 
 
 
Net cash provided by (used in) financing activities
     (191,374,238 )     1,596,557,345  
  
 
 
   
 
 
 
Net increase (decrease) in cash
     (1,049,022,249 )     88,166,766  
Cash, beginning of period
     2,597,706,107       2,276,152,772  
  
 
 
   
 
 
 
Cash, end of period
   $ 1,548,683,858     $ 2,364,319,538  
  
 
 
   
 
 
 
See accompanying notes to financial statements.
 
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Table of Contents
PROSHARES TRUST II
NOTES TO FINANCIAL STATEMENTS
June 30, 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 June 30, 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 and Reverse Share Splits
The table below includes forward and reverse Share splits for the Funds during the six months June 30, 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.
 
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
ProShares Short VIX Short-Term Futures    April 10, 2024    2-for-1 forward Share split    April 11, 2024
ProShares UltraShort Bloomberg Natural Gas    April 10, 2024    2-for-1 forward Share split    April 11, 2024
ProShares Ultra VIX Short-Term Futures    April 10, 2024    1-for-5 reverse Share split    April 11, 2024
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.
 
86

The forward splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund. Therefore, the forward splits did not change the aggregate net asset value of a shareholder’s investment at the time of the forward split.
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.
Statements of Financial Condition
PROSHARES SHORT VIX SHORT-TERM FUTURES ETF
 
 
  
June 30, 2024 (unaudited)
 
 
 
 
  
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
 
 
 
  
As Previously
Reported
 
  
Adjustment
 
 
As Restated
 
Assets
  
 
 
 
  
  
 
Segregated cash balances withbrokers for futures contracts
  
 
90,095,318
 
 
 
4,125,000
 
 
 
94,220,318
 
 
  
 
88,647,616
 
  
 
19,191,436
 
 
 
107,839,052
 
Receivable on open futures contracts
  
 
7,748,578
 
 
 
(4,125,000
 
 
3,623,578
 
 
  
 
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
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
  
 
 
 
 
 
 
 
Statements of Cash Flows
  
June 30, 2024 (unaudited)
 
 
 
 
  
June 30, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
   
 
    
As Previously
Reported
    
Adjustment
   
As Restated
 
Decrease (Increase) in receivable on open futures contracts
  
 
22,582,087
 
 
 
(14,991,505
 
 
7,590,582
 
 
  
 
48,261,408
 
  
 
(15,737,458
 
 
32,523,950
 
Increase (Decrease) in payable on futures contracts
  
 
1,758,361
 
 
 
(74,931
)  
 
 
1,683,430
 
 
  
 
NR
 
  
 
NR
 
 
 
NR
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
  
 
 
 
 
 
 
 
Net Cash provided by (used in) operating activities
  
 
16,072,852
 
 
 
(15,066,436
)  
 
 
1,006,416
 
 
  
 
213,489,153
 
  
 
(15,737,458
)  
 
 
197,751,695
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
  
 
 
 
 
 
 
 
Net Increase (decrease) in cash
  
 
(19,357,352
 
 
(15,066,436
 
 
(34,423,788
 
  
 
39,640,617
 
  
 
(15,737,458
 
 
23,903,159
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
  
 
 
 
 
 
 
 
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
  
 
123,782,499
 
 
 
4,125,000
 
 
 
127,907,499
 
 
  
 
173,587,558
 
  
 
11,222,860
 
 
 
184,810,418
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
  
 
 
 
 
 
 
 
 
87

Statements of Financial Condition
PROSHARES ULTRA BLOOMBERG NATURAL GAS
 
 
  
June 30, 2024 (unaudited)
 
 
 
 
  
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
 
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
Assets
  
 
 
 
  
 
 
Segregated cash balances withbrokers for futures contracts
  
 
131,374,481
 
 
 
39,267,011
 
 
 
170,641,492
 
 
  
 
256,589,331
 
 
 
118,272,358
 
 
 
374,861,689
 
Receivable on open futures contracts
  
 
34,615,849
 
 
 
(34,615,849
 
 
 
 
  
 
117,168,017
 
 
 
(117,168,017
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Total Assets
  
 
580,670,995
 
 
 
4,651,162
 
 
 
585,322,157
 
 
  
 
770,676,725
 
 
 
1,104,341
 
 
 
771,781,066
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Liabilities and shareholders’ equity
  
 
 
 
  
 
 
Payble on open futures contracts
  
 
39,579,590
 
 
 
4,651,162
 
 
 
44,230,752
 
 
  
 
20,739,542
 
 
 
1,104,341
 
 
 
21,843,883
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Total Liabilities
  
 
40,027,174
 
 
 
4,651,162
 
 
 
44,678,336
 
 
  
 
40,783,917
 
 
 
1,104,341
 
 
 
41,888,258
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Total liabilities and shareholders’ equity
  
 
580,670,995
 
 
 
4,651,162
 
 
 
585,322,157
 
 
  
 
770,676,725
 
 
 
1,104,341
 
 
 
771,781,066
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Statements of Cash Flows
  
June 30, 2024 (unaudited)
 
 
 
 
  
June 30, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
   
 
    
As Previously
Reported
   
Adjustment
   
As Restated
 
Decrease (Increase) in receivable on open futures contracts
  
 
82,552,168
 
 
 
(82,552,168
 
 
 
 
  
 
32,093,445
 
 
 
(83,600,796
 
 
(51,507,351
Increase (Decrease) in payable on futures contracts
  
 
18,840,048
 
 
 
3,546,821
 
 
 
22,386,869
 
 
  
 
(1,835,443
)  
 
 
10,300,096
 
 
 
8,464,653
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Net Cash provided by (used in) operating activities
  
 
(51,888,404
)  
 
 
(79,005,347
)  
 
 
(130,893,751
 
  
 
(1,115,027,371
)  
 
 
(73,300,700
)  
 
 
(1,188,328,071
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Net Increase (decrease) in cash
  
 
(116,366,216
 
 
(79,005,347
 
 
(195,371,563
 
  
 
504,553,914
 
 
 
(73,300,700
 
 
431,253,214
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
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
  
 
466,475,807
 
 
 
39,267,011
 
 
 
505,742,818
 
 
  
 
681,288,578
 
 
 
77,681,120
 
 
 
758,969,698
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Statements of Financial Condition
PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF
 

 
  
June 30, 2024 (unaudited)
 
 
 
 
  
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
 
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
Assets
  
 
 
 
  
 
 
Segregated cash balances withbrokers for futures
contracts
  
 
120,823,595
 
 
 
16,580,044
 
 
 
137,403,639
 
 
  
 
210,845,154
 
 
 
39,950,507
 
 
 
250,795,661
 
Receivable on open futures contracts
  
 
26,176,118
 
 
 
(16,580,044
 
 
9,596,074
 
 
  
 
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
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Statements of Cash Flows
  
June 30, 2024 (unaudited)
 
 
 
 
  
June 30, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
   
 
    
As Previously
Reported
   
Adjustment
   
As Restated
 
Decrease (Increase) in receivable on open futures
contracts
  
 
24,334,088
 
 
 
(23,370,463
 
 
963,625
 
 
  
 
159,024,755
 
 
 
(138,417,492
 
 
20,607,263
 
Increase (Decrease) in payable on futures
contracts
  
 
NR
 
 
 
NR
 
 
 
NR
 
 
  
 
1,707,397
 
 
 
578,252
 
 
 
2,285,649
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Net Cash provided by (used in) operating
activities
  
 
(145,921,103
)  
 
 
(23,370,463
)  
 
 
(169,291,566
 
  
 
(451,561,189
)  
 
 
(137,839,240
)  
 
 
(589,400,429
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Net Increase (decrease) in cash
  
 
(141,696,813
 
 
(23,370,463
 
 
(165,067,276
 
  
 
(56,019,105
 
 
(137,839,240
 
 
(193,858,345
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
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
  
 
155,764,297
 
 
 
16,580,044
 
 
 
172,344,341
 
 
  
 
338,828,402
 
 
 
50,527,092
 
 
 
389,355,494
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
88

Statements of Financial Condition
PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS
 

 
  
June 30, 2024 (unaudited)
 
 
 
 
  
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
 
 
 
  
As Previously
Reported
 
  
Adjustment
 
 
As Restated
 
Assets
  
 
 
 
  
  
 
Segregated cash balances withbrokers for futures contracts
  
 
27,590,142
 
 
 
17,647,619
 
 
 
45,237,761
 
 
  
 
35,326,076
 
  
 
27,563,925
 
 
 
62,890,001
 
Receivable on open futures contracts
  
 
25,789,178
 
 
 
(17,647,619
 
 
8,141,559
 
 
  
 
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
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
  
 
 
 
 
 
 
 
Statements of Cash Flows
  
June 30, 2024 (unaudited)
 
 
 
 
  
June 30, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
   
 
    
As Previously
Reported
    
Adjustment
   
As Restated
 
Decrease (Increase) in receivable on open futures contracts
  
 
(3,375,096
 
 
(320,261
 
 
(3,695,357
 
  
 
7,788,147
 
  
 
(12,585,320
 
 
(4,797,173
Increase (Decrease) in payable on futures contracts
  
 
26,716
 
 
 
(9,596,045
)   
 
 
(9,569,329
 
  
 
6,151,798
 
  
 
 
 
 
6,151,798
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
  
 
 
 
 
 
 
 
Net Cash provided by (used in) operating activities
  
 
(46,492,042
 
 
(9,916,306
 
 
(56,408,348
 
  
 
167,968,674
 
  
 
(12,585,320
 
 
155,383,354
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
  
 
 
 
 
 
 
 
Net Increase (decrease) in cash
  
 
(71,839,472
 
 
(9,916,306
 
 
(81,755,778
 
  
 
54,186,781
 
  
 
(12,585,320
 
 
41,601,461
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
  
 
 
 
 
 
 
 
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
  
 
36,769,168
 
 
 
17,647,619
 
 
 
54,416,787
 
 
  
 
98,669,321
 
  
 
20,373,320
 
 
 
119,042,641
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
  
 
 
 
 
 
 
 
Statements of Financial Condition
PROSHARES VIX SHORT-TERM FUTURES ETF
 

 
  
June 30, 2024 (unaudited)
 
 
 
 
  
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
 
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
Assets
  
 
 
 
  
 
 
Segregated cash balances withbrokers for futures contracts
  
 
47,977,287
 
 
 
9,471,520
 
 
 
57,448,807
 
 
  
 
59,164,337
 
 
 
13,685,056
 
 
 
72,849,393
 
Receivable on open futures contracts
  
 
14,144,463
 
 
 
(9,471,520
 
 
4,672,943
 
 
  
 
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
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Statements of Cash Flows
  
June 30, 2024 (unaudited)
 
 
 
 
  
June 30, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
   
 
    
As Previously
Reported
   
Adjustment
   
As Restated
 
Decrease (Increase) in receivable on open futures contracts
  
 
1,903,430
 
 
 
(4,213,536
 
 
(2,310,106
 
  
 
34,137,415
 
 
 
(31,753,227
 
 
2,384,188
 
Increase (Decrease) in payable on futures contracts
  
 
(580
)  
 
 
 
 
 
(580
 
  
 
1,907,775
 
 
 
271,992
 
 
 
2,179,767
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Net Cash provided by (used in) operating activities
  
 
(52,899,431
)  
 
 
(4,213,536
)  
 
 
(57,112,967
 
  
 
(139,705,423
)  
 
 
(31,481,235
)  
 
 
(171,186,658
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Net Increase (decrease) in cash
  
 
(12,113,595
 
 
(4,213,536
 
 
(16,327,131
 
  
 
13,660,188
 
 
 
(31,481,235
 
 
(17,821,047
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
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
  
 
69,328,324
 
 
 
9,471,520
 
 
 
78,799,844
 
 
  
 
138,821,998
 
 
 
18,636,811
 
 
 
157,458,809
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
89

Statements of Financial Condition
PROSHARES TRUST II
 
 
  
June 30, 2024 (unaudited)
 
 
 
 
  
December 31, 2023
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
 
 
 
  
As Previously
Reported
 
 
Adjustment
 
 
As Restated
 
Assets
  
 
 
 
  
 
 
Segregated cash balances withbrokers for futures contracts
  
 
545,612,450
 
 
 
87,091,194
 
 
 
632,703,644
 
 
  
 
810,718,438
 
 
 
218,663,282
 
 
 
1,029,381,720
 
Receivable on open futures contracts
  
 
124,302,758
 
 
 
(82,440,032
 
 
41,862,726
 
 
  
 
237,610,648
 
 
 
(207,887,965
 
 
29,722,683
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Total Assets
  
 
3,303,805,645
 
 
 
4,651,162
 
 
 
3,308,456,807
 
 
  
 
3,359,443,290
 
 
 
10,775,317
 
 
 
3,370,218,607
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Liabilities and shareholders’ equity
  
 
 
 
  
 
 
Payble on open futures contracts
  
 
43,140,520
 
 
 
4,651,162
 
 
 
47,791,682
 
 
  
 
27,280,746
 
 
 
10,775,317
 
 
 
38,056,063
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Total Liabilities
  
 
182,650,305
 
 
 
4,651,162
 
 
 
187,301,467
 
 
  
 
76,611,164
 
 
 
10,775,317
 
 
 
87,386,481
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Total liabilities and shareholders’ equity
  
 
3,303,805,645
 
 
 
4,651,162
 
 
 
3,308,456,807
 
 
  
 
3,359,443,290
 
 
 
10,775,317
 
 
 
3,370,218,607
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Statements of Cash Flows
  
June 30, 2024 (unaudited)
 
 
 
 
  
June 30, 2023 (unaudited)
 
    
As Previously
Reported
   
Adjustment
   
As Restated
   
 
    
As Previously
Reported
   
Adjustment
   
As Restated
 
Decrease (Increase) in receivable on open futures contracts
  
 
113,307,890
 
 
 
(125,447,933
 
 
(12,140,043
 
  
 
286,323,344
 
 
 
(282,094,293
 
 
4,229,051
 
Increase (Decrease) in payable on futures contracts
  
 
15,859,774
 
 
 
(6,124,155
)  
 
 
9,735,619
 
 
  
 
2,690,636
 
 
 
11,150,340
 
 
 
13,840,976
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Net Cash provided by (used in) operating activities
  
 
(726,075,923
 
 
(131,572,088
 
 
(857,648,011
 
  
 
(1,237,446,626
 
 
(270,943,953
 
 
(1,508,390,579
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
Net Increase (decrease) in cash
  
 
(917,450,161
 
 
(131,572,088
 
 
(1,049,022,249
 
  
 
359,110,719
 
 
 
(270,943,953
 
 
88,166,766
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
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
  
 
1,461,592,664
 
 
 
87,091,194
 
 
 
1,548,683,858
 
 
  
 
2,185,878,335
 
 
 
178,441,203
 
 
 
2,364,319,538
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
 
 
 
 
 
 
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 28, 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.
 
90

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 June 30, 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.
 
91

Final Net Asset Value for Fiscal Period
The
cut-off
times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the six months ended June 30, 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.    June 28, 2024
Ultra Gold and UltraShort Gold    1:00 p.m.    1:30 p.m.    June 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.    June 28, 2024
Ultra Euro,         
Ultra Yen,         
UltraShort Euro and         
UltraShort Yen    3:00 p.m.    4:00 p.m.    June 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.    June 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 six months ended June 30, 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 six months ended June 30, 2024.
Investment Valuation
Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.
Repurchase agreements are generally valued at amortized cost, provided such amounts approximate fair value. These instruments are classified as Level II in the fair value hierarchy.
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.
 
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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 June 30, 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
   $ 169,047,283      $ 3,835,199     $ —      $ —      $ 172,882,482  
ProShares Ultra Bloomberg Crude Oil
     387,833,913        12,882,445       —        55,947,592       456,663,950  
ProShares Ultra Bloomberg Natural Gas
     —         (153,035,669     —        —        (153,035,669
ProShares Ultra Euro
     —         —        (140,398     —        (140,398
ProShares Ultra Gold
     194,012,992        (767,692     —        (6,552,657     186,692,643  
ProShares Ultra Silver
  
457,266,538     
(6,674,294  
—     
(49,402,333  
401,189,911  
ProShares Ultra VIX Short-Term Futures ETF
     49,941,835        (6,204,920     —        —        43,736,915  
ProShares Ultra Yen
     —         —        (2,902,058     —        (2,902,058
ProShares UltraShort Bloomberg Crude Oil
     104,416,492        (13,555,729     —        —        90,860,763  
ProShares UltraShort Bloomberg Natural Gas
     89,475,883        40,824,143       —        —        130,300,026  
ProShares UltraShort Euro
     —         —        919,949       —        919,949  
ProShares UltraShort Gold
     —         167,105       —        408,700       575,805  
ProShares UltraShort Silver
     —         882,431       —        3,476,663       4,359,094  
ProShares UltraShort Yen
     —         —        3,156,094       —        3,156,094  
ProShares VIX
Mid-Term
Futures ETF
     49,522,415        136,975       —        —        49,659,390  
ProShares VIX Short-Term Futures ETF
     64,756,617        (2,660,820     —        —        62,095,797  
  
 
 
    
 
 
   
 
 
   
 
 
   
 
 
 
Combined Trust:
  
$
1,566,273,968
 
  
$
(124,170,826
 
$
1,033,587
 
 
$
3,877,965
 
 
$
1,447,014,694
 
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
 
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The 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 June 30, 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.
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.
 
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4

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.
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 June 30, 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.
 
9
5

All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objectives during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.
Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
The Funds may enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying Index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.
Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.
Futures contracts involve, to varying degrees, elements of market risk (specifically exchange rate sensitivity, commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying Index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the credit risk resides with the Funds’ clearing broker or clearinghouse itself. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.
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).
 
96

When a Fund purchases an option, the Fund pays a premium which is included as an asset on the Statement of Financial Condition and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed.
Certain options transactions may subject the writer (seller) to unlimited risk of loss in the event of an increase in the price of the contract to be purchased or delivered. The value of a Fund’s options transactions, if any, will be affected by, among other things, changes in the value of a Fund’s underlying benchmark relative to the strike price, changes in interest rates, changes in the actual and implied volatility of the Fund’s underlying benchmark, and the remaining time until the options expire, or any combination thereof. The value of the options should not be expected to increase or decrease at the same rate as the level of the Fund’s underlying benchmark, which may contribute to tracking error. Options may be less liquid than certain other securities. A Fund’s ability to trade options will be dependent on the willingness of counterparties to trade such options with the Fund. In a less liquid market for options, a Fund may have difficulty closing out certain option positions at desired times and prices. A Fund may experience substantial downside from specific option positions and certain option positions may expire worthless.
Over-the-counter
options generally are not assignable except by agreement between the parties concerned, and no party or purchaser has any obligation to permit such assignments. The
over-the-counter
market for options is relatively illiquid, particularly for relatively small transactions. The use of options transactions exposes a Fund to liquidity risk and counterparty credit risk, and in certain circumstances may expose the Fund to unlimited risk of loss. The Funds may buy and sell options on futures contracts, which may present even greater volatility and risk of loss.
Each Oil Fund (ProShares UltraShort Bloomberg Crude Oil and ProShares Ultra Bloomberg Crude Oil) may, but is not required to, seek to use swap agreements or options strategies that limit losses (i.e., have “floors”) or are otherwise designed to prevent the Fund’s net asset value from going to zero. These investment strategies will not prevent an Oil Fund from losing value, and their use may not prevent a Fund’s NAV from going to zero. Rather, they are intended to allow an Oil Fund to preserve a small portion of its value in the event of significant movements in its benchmark or Financial Instruments based on its benchmark. There can be no guarantee that an Oil Fund will be able to implement such strategies, continue to use such strategies, or that such strategies will be successful. Each Oil Fund will incur additional costs as a result of using such strategies. Use of strategies designed to limit losses may also place “caps” or “ceilings” on performance and could significantly limit Fund gains, could cause a Fund to perform in a manner not consistent with its investment objective and could otherwise have a significant impact on Fund performance.
Swap Agreements
Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying Index, currency or commodity, or to create an economic hedge against a position. Swap agreements are
two-party
contracts that have traditionally been entered into primarily with institutional investors in
over-the-counter
(“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or Index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments.
 
97

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 June 30, 2024
contractually terminate within one month but may be terminated without penalty by either party at any time. Upon termination, the Fund is obligated to pay or receive the “unrealized appreciation or depreciation” amount.
The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with OTC derivative transactions is held for the benefit of the counterparty in a segregated
tri-party
account at the Custodian to protect the counterparty against
non-payment
by the Funds. The collateral held in this account is restricted as to its use. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.
The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with OTC swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of a bankruptcy of a counterparty, such Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of June 30, 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.
 
98

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 June 30, 2024, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.
Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.
A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.
The counterparty/credit risk for cleared derivative transactions is generally lower than for OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily
marking-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries.
 
99

The following tables indicate the location of derivative related items on the Statements of Financial Condition as well as the effect of derivative instruments on the Statements of Operations during the reporting period.
 
Fair Value of Derivative Instruments as of June 30, 2024
 
 
  
 
 
  
Asset Derivatives
 
 
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
  
Fund
 
  
Statements of
Financial Condition
Location
 
  
Unrealized
Appreciation
 
 
Statements of
Financial Condition
Location
 
  
Unrealized
Depreciation
 
VIX Futures Contracts
       
Receivable on open
futures contracts
 
 
      
Payable on open
futures contracts
 
 
  
     ProShares Short VIX
Short-Term Futures ETF
 
 
      $ 3,835,199
*
 
     $ —   
     ProShares Ultra VIX
Short-Term Futures ETF
 
 
        —           6,204,920
*
 
     ProShares VIX
Mid-Term
Futures ETF
 
 
        422,352
*
 
       285,377
*
 
     ProShares VIX Short-
Term Futures ETF

 
        —           2,660,820
*
 
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
 
 
        68,830,037
*
 
       —   
     ProShares Ultra
Bloomberg Natural Gas
 
 
        —           153,035,669
*
 
     ProShares Ultra Gold           —           7,320,349
*
 
     ProShares Ultra Silver           —           56,076,627
*
 
     ProShares UltraShort
Bloomberg Crude Oil
 
 
        —           13,555,729
*
 
     ProShares UltraShort
Bloomberg Natural Gas
 
 
        40,824,143
*
 
       —   
     ProShares UltraShort
Gold
 
 
        575,805
*
 
       —   
     ProShares UltraShort
Silver
 
 
        4,359,094
*
 
       —   
Foreign Exchange Contracts
       


Unrealized
appreciation on
foreign currency
forward contracts
 
 
 
 
      


Unrealized
depreciation on
foreign currency
forward contracts
 
 
 
 
  
     ProShares Ultra Euro           —           140,398  
     ProShares Ultra Yen           29,111          2,931,169  
     ProShares UltraShort
Euro
 
 
        937,816          17,867  
     ProShares UltraShort
Yen
 
 
        3,371,091          214,997  
        
 
 
      
 
 
 
     
 
Combined Trust:
 
  
$
123,184,648
*
 
    
$
242,443,922
*
 
 
*
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.
 
100

Fair Value of Derivative Instruments as of December 31, 2023
 
 
  
 
 
  
Asset Derivatives
 
 
Liability Derivatives
 
Derivatives Not
Accounted for as
Hedging Instruments
  
Fund
 
  
Statements of
Financial Condition
Location
 
  
Unrealized
Appreciation
 
 
Statements of
Financial
Condition
Location
 
  
Unrealized
Depreciation
 
VIX Futures Contracts
       

Receivable on
open futures
contracts
 
 
 
      


Payable on
open
futures
contracts
 
 
 
 
  
     ProShares Short VIX
Short-Term Futures ETF
 
 
      $ 12,640,624
*
 
     $ —   
     ProShares Ultra VIX
Short-Term Futures ETF
 
 
                 31,183,911
*
 
     ProShares VIX
Mid-Term
Futures ETF
 
 
                 3,745,676
*
 
     ProShares VIX Short-
Term Futures ETF

 
                 9,664,094
*
 
Commodities Contracts
       




Receivables on
open futures
contracts and/or
unrealized
appreciation on
swap agreements
 
 
 
 
 
 
      







Payable on
open
futures
contracts
and/or
unrealized
depreciation
on swap
agreements
 
 
 
 
 
 
 
 
 
  
     ProShares Ultra
Bloomberg Crude Oil
 
 
        20,191,987
*
 
       5,752,284
*
 
     ProShares Ultra
Bloomberg Natural Gas
 
 
        43,607,070
*
 
       —   
     ProShares Ultra Gold           7,174,868
*
 
       —   
     ProShares Ultra Silver           12,400,748
*
 
       2,827,221
*
 
     ProShares UltraShort
Bloomberg Crude Oil
 
 
        22,436,319
*
 
       —   
     ProShares UltraShort
Bloomberg Natural Gas
 
 
        —           3,553,507
*
 
     ProShares UltraShort
Gold
 
 
        —           344,052
*
 
     ProShares UltraShort
Silver
 
 
        1,879,957
*
 
       1,005,085
*
 
Foreign Exchange Contracts
       


Unrealized
appreciation on
foreign currency
forward contracts
 
 
 
 
      




Unrealized
depreciation
on foreign
currency
forward
contracts
 
 
 
 
 
 
  
     ProShares Ultra Euro           308,424          1,475  
     ProShares Ultra Yen           1,534,924          15,639  
     ProShares UltraShort
Euro
 
 
        38,029          1,886,808  
     ProShares UltraShort
Yen
 
 
        129,697          1,441,622  
        
 
 
      
 
 
 
     
 
Combined Trust:
 
  
$
122,342,647
*
 
    
$
61,421,374
*
 
 
*
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.
 
101

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended June 30, 2024
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
 
 
Change in
Unrealized
Appreciation
(Depreciation) on
Derivatives
Recognized in
Income
 
VIX Futures Contracts
  
Net realized gain (loss) on futures contracts changes in unrealized appreciation (depreciation) on futures contracts
       
     
ProShares Short VIX Short-Term Futures ETF
   $ 26,761,918     $ (4,177,838
     
ProShares Ultra VIX Short-Term Futures ETF
     (57,413,186     11,693,863  
     
ProShares VIX
Mid-Term
Futures ETF
     (8,949,418     1,092,860  
     
ProShares VIX Short-Term Futures ETF
     (27,512,354     4,018,755  
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
     6,956,921       (748,073
     
ProShares Ultra Bloomberg Natural Gas
     211,772,181       (60,263,391
     
ProShares Ultra Gold
     31,567,821       (17,232,531
     
ProShares Ultra Silver
     220,680,441       (87,290,676
     
ProShares UltraShort Bloomberg Crude Oil
     (143,424     (1,560,618
     
ProShares UltraShort Bloomberg Natural Gas
     (44,563,292     20,547,016  
     
ProShares UltraShort Gold
     (2,516,474     1,264,436  
     
ProShares UltraShort Silver
     (16,070,138     4,902,824  
Foreign Exchange Contracts
  
Net realized gain (loss) on foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on foreign currency forward contracts
       
     
ProShares Ultra Euro
     (219,350     62,167  
     
ProShares Ultra Yen
     (5,365,623     (842,412
     
ProShares UltraShort Euro
     900,760       (199,005
     
ProShares UltraShort Yen
     4,417,569       1,529,867  
        
 
 
   
 
 
 
     
Combined Trust
  
$
340,304,352
 
 
$
(127,202,756
 
102

The Effect of Derivative Instruments on the Statement of Operations
For the six months ended June 30, 2024
 
Derivatives Not Accounted
for as Hedging Instruments
  
Location of Gain
(Loss) on Derivatives
Recognized in Income
  
Fund
  
Realized Gain
(Loss) on
Derivatives
Recognized in
Income
 
 
Change in
Unrealized
Appreciation
(Depreciation)
on
Derivatives
Recognized in
Income
 
VIX Futures Contracts
  
Net realized gain (loss) on futures contracts changes in unrealized appreciation (depreciation) on
futures contracts
       
     
ProShares Short VIX Short-Term Futures ETF
   $ 55,258,866     $ (8,805,425
     
ProShares Ultra VIX Short-Term Futures ETF
     (148,416,415     24,978,991  
     
ProShares VIX
Mid-Term
Futures ETF
     (15,057,887     3,882,651  
     
ProShares VIX Short-Term Futures ETF
     (59,271,318     7,003,274  
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
     100,075,521       54,390,334  
     
ProShares Ultra Bloomberg Natural Gas
     (30,408,733     (196,642,739
     
ProShares Ultra Gold
     50,039,092       (14,495,217
     
ProShares Ultra Silver
     216,209,729       (65,650,154
     
ProShares UltraShort Bloomberg Crude Oil
     (12,659,025     (35,992,048
     
ProShares UltraShort Bloomberg Natural Gas
     91,065       44,377,650  
     
ProShares UltraShort Gold
     (3,914,287     919,857  
     
ProShares UltraShort Silver
     (10,290,118     3,484,222  
Foreign Exchange Contracts
  
Net realized gain (loss) on foreign currency forward contracts/ changes in unrealized appreciation (depreciation) on foreign
currency
forward contracts
       
     
ProShares Ultra Euro
     (74,776     (447,347
     
ProShares Ultra Yen
     (7,397,198     (4,421,343
     
ProShares UltraShort Euro
     (43,101     2,768,728  
     
ProShares UltraShort Yen
     6,122,840       4,468,019  
        
 
 
   
 
 
 
     
Combined Trust:
  
$
140,264,255
 
 
$
(180,180,547
 
103

The Effect of Derivative Instruments on the Statement of Operations
For the three months ended June 30, 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
   $ 65,228,142     $ 9,658,017  
     
ProShares Ultra VIX Short-Term Futures ETF
     (426,304,544     (45,320,517
     
ProShares VIX
Mid-Term
Futures ETF
     (6,943,333     (9,677,526
     
ProShares VIX Short-Term Futures ETF
     (127,229,299     (21,324,056
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
     (76,355,417     45,434,288  
     
ProShares Ultra Bloomberg Natural Gas
     (616,883,269     658,027,300  
     
ProShares Ultra Gold
     17,196,569       (32,888,484
     
ProShares Ultra Silver
     64,662,300       (119,061,722
     
ProShares UltraShort Bloomberg Crude Oil
     28,046,795       (8,229,852
     
ProShares UltraShort Bloomberg Natural Gas
     48,736,428       (61,246,927
     
ProShares UltraShort Gold
     (1,553,151     2,758,921  
     
ProShares UltraShort Silver
     1,113,596       5,650,294  
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
     78,291       (79,023
     
ProShares Ultra Yen
     (770,142     (1,348,109
     
ProShares UltraShort Euro
     (1,045,942     556,469  
     
ProShares UltraShort Yen
     1,370,771       3,145,023  
        
 
 
   
 
 
 
     
Combined Trust
  
$
(1,030,652,205
 
$
426,054,096
 
 
10
4

The Effect of Derivative Instruments on the Statement of Operations
For the six months ended June 30, 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
   $ 94,832,290     $ 12,836,824  
     
ProShares Ultra VIX Short-Term Futures ETF
     (608,537,974     (43,274,267
     
ProShares VIX
Mid-Term
Futures ETF
     (22,764,053     (5,086,991
     
ProShares VIX Short-Term Futures ETF
     (173,326,001     (20,176,064
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
     9,425,010       (92,725,228
     
ProShares Ultra Bloomberg Natural Gas
     (1,678,514,563     605,037,663  
     
ProShares Ultra Gold
     27,996,465       (22,177,368
     
ProShares Ultra Silver
     35,918,436       (96,674,064
     
ProShares UltraShort Bloomberg Crude Oil
     55,661,074       2,741,263  
     
ProShares UltraShort Bloomberg Natural Gas
     232,145,072       (106,199,730
     
ProShares UltraShort Gold
     (2,584,032     2,103,219  
     
ProShares UltraShort Silver
     3,827,219       4,467,058  
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
     358,570       (175,968
     
ProShares Ultra Yen
     (1,068,950     (1,842,176
     
ProShares UltraShort Euro
     (2,453,253     702,482  
     
ProShares UltraShort Yen
     342,795       5,007,285  
        
 
 
   
 
 
 
     
Combined Trust:
  
$
(2,028,741,895
 
$
244,563,938
 
 
10
5

Offsetting Assets and Liabilities
Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of June 30, 2024.
 
Fair Values of Derivative Instruments as of June 30, 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
   $ 55,947,592      $      $ 55,947,592      $      $      $  
ProShares Ultra Euro
                 
Foreign currency forward contracts
                          140,398               140,398  
ProShares Ultra Gold
                 
Swap agreements
                          6,552,657               6,552,657  
ProShares Ultra Silver
                 
Swap agreements
                          49,402,333               49,402,333  
ProShares Ultra Yen
                 
Foreign currency forward contracts
     29,111               29,111        2,931,169               2,931,169  
ProShares UltraShort Euro
                 
Foreign currency forward contracts
     937,816               937,816        17,867               17,867  
ProShares UltraShort Gold
                 
Swap agreements
     408,700               408,700                       
ProShares UltraShort Silver
                 
Swap agreements
     3,476,663               3,476,663                       
ProShares UltraShort Yen
                 
Foreign currency forward contracts
     3,371,091               3,371,091        214,997               214,997  
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 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”.
 
10
6

Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 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.
   $ 12,016,665     $ (12,016,665   $      $  
Goldman Sachs International
     16,489,562       (16,489,562             
Morgan Stanley & Co. International PLC
     5,009,308       (5,009,308             
Societe Generale
     12,527,793       (12,527,793             
UBS AG
     9,904,264       (9,904,264             
ProShares Ultra Euro
             
Goldman Sachs International
     (61,066           61,066         
UBS AG
     (79,332           79,332         
ProShares Ultra Gold
         
Citibank, N.A.
     (2,813,616     2,071,616       742,000         
Goldman Sachs International
     (1,336,379     1,336,379               
UBS AG
     (2,402,662     2,402,662               
ProShares Ultra Silver
         
Citibank, N.A.
     (21,980,835     3,132,135       18,848,700         
Goldman Sachs International
     (1,935,532     1,935,532               
Morgan Stanley & Co. International PLC
     (13,131,835     13,131,835               
UBS AG
     (12,354,131     12,354,131               
ProShares Ultra Yen
         
Goldman Sachs International
     (1,433,088           1,433,088         
UBS AG
     (1,468,970           1,468,970         
ProShares UltraShort Euro
         
Goldman Sachs International
     499,276       (430,882            68,394  
UBS AG
     420,673       (356,181            64,492  
ProShares UltraShort Gold
         
Citibank, N.A.
     94,178                    94,178  
Goldman Sachs International
     123,607                    123,607  
UBS AG
     190,915       (190,915             
ProShares UltraShort Silver
             
Citibank, N.A.
     1,555,716       (1,555,716             
Goldman Sachs International
     854,131       (854,131             
Morgan Stanley & Co. International PLC
     117,766                    117,766  
UBS AG
     949,050       (949,050             
ProShares UltraShort Yen
             
Goldman Sachs International
     1,709,110       (1,662,941            46,169  
UBS AG
     1,446,984       (1,432,711            14,273  
 
10
7

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2023:
 
Fair Values of Derivative Instruments as of December 31, 2023
 
    
Assets
    
Liabilities
 
Fund
  
Gross
Amounts

of Recognized

Assets
presented

in the
Statements of

Financial

Condition
    
Gross
Amounts

Offset in the

Statements of

Financial

Condition
    
Net Amounts
of Assets
presented

in the

Statements of
Financial

Condition
    
Gross Amounts

of Recognized
Liabilities

presented

in the

Statements of
Financial

Condition
    
Gross Amounts

Offset in the

Statements of

Financial

Condition
    
Net Amounts of
Liabilities

presented in
the

Statements of

Financial

Condition
 
ProShares Ultra Bloomberg Crude Oil
                 
Swap agreements
   $ 17,954,935      $      $ 17,954,935      $      $      $  
ProShares Ultra Euro
                 
Foreign currency forward contracts
     308,424               308,424        1,475               1,475  
ProShares Ultra Gold
                 
Swap agreements
     3,078,593               3,078,593                       
ProShares Ultra Silver
                 
Swap agreements
                          2,827,221               2,827,221  
ProShares Ultra Yen
                 
Foreign currency forward contracts
     1,534,924               1,534,924        15,639               15,639  
ProShares UltraShort Euro
                 
Foreign currency forward contracts
     38,029               38,029        1,886,808               1,886,808  
ProShares UltraShort Gold
                 
Swap agreements
                          199,821               199,821  
ProShares UltraShort Silver
                 
Swap agreements
                          814,174               814,174  
ProShares UltraShort Yen
                 
Foreign currency forward contracts
     129,697               129,697        1,441,622               1,441,622  
Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2023. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be
un-collateralized
due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”
 
10
8

Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2023
 
Fund
  
Amounts of Recognized
Assets / (Liabilities)
presented in the
Statements of Financial
Condition
   
Financial
Instruments
for the Benefit of (the
Funds) / the
Counterparties
   
Cash Collateral for the
Benefit of (the Funds) /
the Counterparties
    
Net Amount
 
ProShares Ultra Bloomberg Crude Oil
         
Citibank, N.A.
   $ 3,938,035     $ (3,938,035   $      $  
Goldman Sachs International
     4,896,240       (4,896,240             
Morgan Stanley & Co. International PLC
     2,449,576       (2,449,576             
Societe Generale
     3,727,284       (3,727,284             
UBS AG
     2,943,800       (2,943,800             
ProShares Ultra Euro
         
Goldman Sachs International
     162,672                    162,672  
UBS AG
     144,277                    144,277  
ProShares Ultra Gold
         
Citibank, N.A.
     1,321,903       (1,321,903             
Goldman Sachs International
     627,862       (627,862             
UBS AG
     1,128,828       (1,128,828             
ProShares Ultra Silver
         
Citibank, N.A.
     (906,324           906,324         
Goldman Sachs International
     (135,877           135,877         
Morgan Stanley & Co. International PLC
     (921,875           921,875         
UBS AG
     (863,145           863,145         
ProShares Ultra Yen
         
Goldman Sachs International
     646,861       (465,767            181,094  
UBS AG
     872,424       (618,104            254,320  
ProShares UltraShort Euro
         
Goldman Sachs International
     (964,142           964,142         
UBS AG
     (884,637           884,637         
ProShares UltraShort Gold
         
Citibank, N.A.
     (46,103           46,103         
Goldman Sachs International
     (60,261           60,261         
UBS AG
     (93,457           93,457         
ProShares UltraShort Silver
         
Citibank, N.A.
     126,314                    126,314  
Goldman Sachs International
     56,804                    56,804  
Morgan Stanley & Co. International PLC
     7,793                    7,793  
UBS AG
     (1,005,085           1,005,085         
ProShares UltraShort Yen
         
Goldman Sachs International
     (701,077           701,077         
UBS AG
     (610,848           610,848         
 
10
9

Table of Contents
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.
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.
 
1
1
0

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.
 
1
11

Transaction fees three and six months ended June 30, 2024 which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:
 
    
Three Months Ended
    
Six Months Ended
 
Fund
  
June 30, 2024
    
June 30, 2024
 
ProShares Short VIX Short-Term Futures ETF
   $ 23,362      $ 94,603  
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
     209,421        306,951  
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
     61,547        79,431  
ProShares VIX Short-Term Futures ETF
     32,107        64,452  
  
 
 
    
 
 
 
Combined Trust:
   $ 326,437      $ 545,437  
 
1
12

Table of Contents
NOTE 6 – FINANCIAL HIGHLIGHTS
Selected data for a Share outstanding throughout the three months ended June 30, 2024
For the Three Months Ended June 30, 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 March 31, 2024
   $ 56.38     $ 33.19     $ 65.67     $ 11.34     $ 71.99     $ 28.53  
Net investment income (loss)
     0.50       0.29       0.62       0.11       0.77       0.35  
Net realized and unrealized gain (loss)#
     4.47       0.03       11.68       (0.26     4.55       8.56  
Change in net asset value from operations
     4.97       0.32       12.30       (0.15     5.32       8.91  
Net asset value, at June 30, 2024
   $ 61.35     $ 33.51     $ 77.97     $ 11.19     $ 77.31     $ 37.44  
Market value per share, at March 31, 2024
   $ 56.37     $ 33.00     $ 64.30     $ 11.32     $ 72.26     $ 28.74  
Market value per share, at June 30, 2024
   $ 61.39     $ 33.50     $ 78.35     $ 11.17     $ 77.04     $ 37.09  
Total Return, at net asset value^
     8.8     1.0     18.7     (1.3 )%      7.4     31.2
Total Return, at market value^
     8.9     1.5     21.9     (1.3 )%      6.6     29.1
Ratios to Average Net Assets**
*
            
Expense ratio^^
     1.18     0.98     1.54     0.95     0.96     0.99
Net investment income gain (loss)
     3.49     3.62     3.04     3.87     3.94     3.77
 
*
See Note 1 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 June 30, 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.
 
1
13

For the Three Months Ended June 30, 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 March 31, 2024
   $ 31.46     $ 23.33     $ 15.92     $ 76.47     $ 30.97     $ 23.45  
Net investment income (loss)
     0.15       0.20       0.16       0.38       0.28       0.17  
Net realized and unrealized gain (loss)#
     (8.03 )     (3.30 )     (0.51     (27.48     0.61       (2.02 )
Change in net asset value from operations
     (7.88 )     (3.10 )     (0.35     (27.10     0.89       (1.85 )
Net asset value, at June 30, 2024
   $ 23.58     $ 20.23     $ 15.57     $ 49.37     $ 31.86     $ 21.60  
Market value per share, at March 31, 2024
   $ 31.60     $ 23.35     $ 16.02     $ 78.35     $ 30.96     $ 23.38  
Market value per share, at June 30, 2024
   $ 23.54     $ 20.30     $ 15.57     $ 49.19     $ 31.83     $ 21.67  
Total Return, at net asset value^
     (25.0 )%
 
    (13.3 )%
 
    (2.2 )%      (35.4 )%      2.9     (7.9 )%
 
Total Return, at market value^
     (25.5 )%     (13.1 )%     (2.8 )%      (37.2 )%      2.8     (7.3 )%
Ratios to Average Net Assets**
            
Expense ratio^^
     1.84     0.95     1.04     1.92     0.95     0.98
Net investment income gain (loss)
     2.17     3.67     3.89     2.92     3.54     3.29
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2024.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
11
4

For the Three Months Ended June 30, 2024 (unaudited)
 
Per Share Operating Performance
  
UltraShort
Silver
*
   
UltraShort
Yen
*
   
VIX Mid-Term

Futures
ETF
   
VIX Short-
Term Futures
ETF
*
 
Net asset value, at March 31, 2024
   $ 67.29     $ 40.97     $ 15.85     $ 51.72  
Net investment income (loss)
     0.36       0.39       0.13       0.41  
Net realized and unrealized gain (loss)#
     (22.77 )     6.27     (1.69     (8.80 )
Change in net asset value from operations
     (22.41 )     6.66     (1.56     (8.39 )
Net asset value, at June 30, 2024
   $ 44.88     $ 47.63     $ 14.29     $ 43.33  
Market value per share, at March 31, 2024
   $ 66.84     $ 40.92     $ 15.85     $ 51.84  
Market value per share, at June 30, 2024
   $ 45.32     $ 47.56     $ 14.33     $ 43.40  
Total Return, at net asset value^
     (33.3 )%
 
    16.3 %     (9.9 )%      (16.2 )%
 
Total Return, at market value^
     (32.2 )%     16.2 %     (9.6 )%      (16.3 )%
Ratios to Average Net Assets**
        
Expense ratio^^
     1.04     0.95     1.19     1.04
Net investment income gain (loss)
     3.04     3.52     3.73     3.40
 
*
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 June 30, 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.
 
11
5

Selected data for a Share outstanding throughout the three months ended June 30, 2023
For the Three Months Ended June 30, 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 March 31, 2023
   $ 31.86     $ 26.53     $ 368.82     $ 11.49     $ 62.86     $ 31.10  
Net investment income (loss)
     0.23       0.14       1.40       0.09       0.47       0.20  
Net realized and unrealized gain (loss)#
     10.25       (2.93     (22.81 )     0.01       (4.97     (4.26
Change in net asset value from operations
     10.48       (2.79     (21.41 )     0.10       (4.50     (4.06
Net asset value, at June 30, 2023
   $ 42.34     $ 23.74     $ 347.41     $ 11.59     $ 58.36     $ 27.04  
Market value per share, at March 31, 2023
   $ 31.88     $ 26.47     $ 361.00     $ 11.49     $ 63.02     $ 31.23  
Market value per share, at June 30, 2023
   $ 42.34     $ 23.65     $ 344.95     $ 11.61     $ 58.24     $ 26.95  
Total Return, at net asset value^
     32.9     (10.5 )%      (5.8 )%
 
    0.9     (7.2 )%      (13.1 )% 
Total Return, at market value^
     32.8     (10.7 )%      (4.5 )%     1.0     (7.6 )%      (13.7 )% 
Ratios to Average Net Assets**
*
            
Expense ratio^^
     1.14     1.00     1.45     0.95     0.96     1.00
Net investment income gain (loss)
     2.61     2.20     1.81     3.27     3.01     2.61
 
*
See Note 1 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 June 30, 2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
11
6

For the Three Months Ended June 30, 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 March 31, 2023
   $ 231.27     $ 33.05     $ 25.15     $ 35.56     $ 29.04     $ 26.88  
Net investment income (loss)
     0.73       0.26       0.19       0.22       0.24       0.22  
Net realized and unrealized gain (loss)#
     (139.58     (5.91     0.28       (8.25     (0.18     1.80  
Change in net asset value from operations
     (138.85     (5.65     0.47       (8.03     0.06       2.02  
Net asset value, at June 30, 2023
   $ 92.42     $ 27.40     $ 25.62     $ 27.53     $ 29.10     $ 28.90  
Market value per share, at March 31, 2023
   $ 232.50     $ 33.02     $ 25.22     $ 36.21     $ 29.04     $ 26.84  
Market value per share, at June 30, 2023
   $ 92.45     $ 27.42     $ 25.70     $ 27.73     $ 29.11     $ 28.96  
Total Return, at net asset value^
     (60.0 )%      (17.1 )%      1.9     (22.6 )%      0.2     7.5
Total Return, at market value^
     (60.2 )%      (17.0 )%      1.9     (23.4 )%      0.2     7.9
Ratios to Average Net Assets**
            
Expense ratio^^
     1.55     0.95     1.11     1.77     0.95     0.98
Net investment income gain (loss)
     1.84     3.36     3.01     2.47     3.36     3.09
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
11
7

For the Three Months Ended June 30, 2023 (unaudited)
 
Per Share Operating Performance
  
UltraShort
Silver**
 
 
UltraShort
Yen**
 
 
VIX Mid-Term

Futures ETF
 
 
VIX Short-
Term Futures
ETF
*
 
Net asset value, at March 31, 2023
   $ 74.54     $ 27.99     $ 26.79     $ 180.63  
Net investment income (loss)
     0.49       0.24       0.20       0.98  
Net realized and unrealized gain (loss)#
     6.94       5.74       (6.50     (81.80 )
Change in net asset value from operations
     7.43       5.98       (6.30     (80.82 )
Net asset value, at June 30, 2023
   $ 81.97     $ 33.97     $ 20.49     $ 99.81  
Market value per share, at March 31, 2023
   $ 74.24     $ 28.00     $ 26.82     $ 181.00  
Market value per share, at June 30, 2023
   $ 82.32     $ 33.98     $ 20.48     $ 99.84  
Total Return, at net asset value^
     10.0     21.4     (23.5 )%      (44.8 )%
 
Total Return, at market value^
     10.9     21.3     (23.6 )%      (44.8 )%
Ratios to Average Net Assets**
*
        
Expense ratio^^
     1.05     0.95     1.00     1.08
Net investment income gain (loss)
     2.68     3.22     3.13     2.82
 
*
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 June 30, 2023.
^^
The expense ratio would be 0.95%, 0.95%, 0.85% and 0.85%, respectively, if brokerage commissions and futures account fees were excluded.
 
11
8

S
elected Data for a Share Outstanding Throughout the six months Ended June
 30, 2024
For the Six Months Ended June 30, 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)
     0.91       0.44       1.28       0.21       1.31       0.54  
Net realized and unrealized gain (loss)#
     8.75       6.79       (66.04 )     (0.88     12.17       9.61  
Change in net asset value from operations
     9.66       7.23       (64.76 )     (0.67     13.48       10.15  
Net asset value, at June 30, 2024
   $ 61.35     $ 33.51     $ 77.97     $ 11.19     $ 77.31     $ 37.44  
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 June 30, 2024
   $ 61.39     $ 33.50     $ 78.35     $ 11.17     $ 77.04     $ 37.09  
Total Return, at net asset value^
     18.7     27.5     (45.4 )%
 
    (5.6 )%      21.1     37.2
Total Return, at market value^
     18.7     28.4     (44.9 )%     (5.7 )%      20.6     36.5
Ratios to Average Net Assets**
*
            
Expense ratio^^
     1.18     0.99     1.51     0.95     0.97     0.99
Net investment income gain (loss)
     3.28     2.89     2.89     3.80     3.70     3.44
 
*
See Note 1 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 June 30, 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.
 
11
9

For the Six Months Ended June 30, 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)
     0.35       0.41       0.32       0.78       0.55       0.38  
Net realized and unrealized gain (loss)#
     (18.94     (7.64     (5.50     0.54       2.15       (5.17
Change in net asset value from operations
     (18.59     (7.23     (5.18     1.32       2.70       (4.79
Net asset value, at June 30, 2024
   $ 23.58     $ 20.23     $ 15.57     $ 49.37     $ 31.86     $ 21.60  
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 June 30, 2024
   $ 23.54     $ 20.30     $ 15.57     $ 49.19     $ 31.83     $ 21.67  
Total Return, at net asset value^
     (44.1 )%      (26.3 )%      (25.0 )%      2.8     9.2     (18.2 )% 
Total Return, at market value^
     (44.2 )%      (26.2 )%      (25.5 )%      2.0     9.2     (17.8 )% 
Ratios to Average Net Assets**
            
Expense ratio^^
     1.80     0.95     1.05     1.93     0.95     0.98
Net investment income gain (loss)
     2.16     3.64     3.77     2.92     3.58     3.26
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 2024.
^^
The expense ratio would be 0.95%, 0.95%, 0.95%, 0.95%, 0.95% and 0.95%, respectively, if brokerage commissions and futures account fees were excluded.
 
1
20

For the Six Months Ended June 30, 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)
     0.83       0.74       0.27       0.89  
Net realized and unrealized gain (loss)#
     (28.51 )     12.45       (2.72     (19.55 )
Change in net asset value from operations
     (27.68 )     13.19       (2.45     (18.66 )
Net asset value, at June 30, 2024
   $ 44.88     $ 47.63     $ 14.29     $ 43.33  
Market value per share, at December 31, 2023
   $ 72.96     $ 34.47     $ 16.75     $ 62.04  
Market value per share, at June 30, 2024
   $ 45.32     $ 47.56     $ 14.33     $ 43.40  
Total Return, at net asset value^
     (38.2 )%
 
    38.3     (14.6 )%      (30.1 )%
 
Total Return, at market value^
     (37.9 )%     38.0     (14.5 )%      (30.0 )%
Ratios to Average Net Assets**
        
Expense ratio^^
     1.03     0.95     1.15     1.04
Net investment income gain (loss)
     3.01     3.55     3.63     3.40
 
*
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 June 30, 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.
 
1
21

Selected Data for a Share Outstanding Throughout the six months Ended June 30, 2023
For the Six Months Ended June 30, 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     $ 1815.41     $ 11.27     $ 55.09     $ 31.75  
Net investment income (loss)
     0.41       0.27       4.04       0.17       0.86       0.39  
Net realized and unrealized gain (loss)#
     12.58       (6.79     (1,472.04 )     0.15       2.41       (5.10
Change in net asset value from operations
     12.99       (6.52     (1,468.00 )     0.32       3.27       (4.71
Net asset value, at June 30, 2023
   $ 42.34     $ 23.74     $ 347.41     $ 11.59     $ 58.36     $ 27.04  
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 June 30, 2023
   $ 42.34     $ 23.65     $ 344.95     $ 11.61     $ 58.24     $ 26.95  
Total Return, at net asset value^
     44.2     (21.5 )%      (80.9 )%
 
    2.9     5.9     (14.8 )% 
Total Return, at market value^
     44.3     (22.0 )%      (80.6 )%     3.1     5.4     (15.8 )% 
Ratios to Average Net Assets**
*
            
Expense ratio^^
     1.15     1.00     1.43     0.95     0.97     0.99
Net investment income gain (loss)
     2.50     2.12     2.01     3.04     2.86     2.65
 
*
See Note 1 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 June 30, 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.
 
1
22

For the Six Months Ended June 30, 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)
     1.64       0.49       0.36       0.33       0.45       0.39  
Net realized and unrealized gain (loss)#
     (252.65     (7.63     1.33       13.70       (0.81     (2.59
Change in net asset value from operations
     (251.01     (7.14     1.69       14.03       (0.36     (2.20
Net asset value, at June 30, 2023
   $ 92.42     $ 27.40     $ 25.62     $ 27.53     $ 29.10     $ 28.90  
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 June 30, 2023
   $ 92.45     $ 27.42     $ 25.70     $ 27.73     $ 29.11     $ 28.96  
Total Return, at net asset value^
     (73.1 )%      (20.7 )%      7.1     103.9     (1.2 )%      (7.1 )% 
Total Return, at market value^
     (73.1 )%      (20.7 )%      7.8     101.2     (1.2 )%      (6.6 )% 
Ratios to Average Net Assets**
            
Expense ratio^^
     1.56     0.95     1.09     1.74     0.95     0.99
Net investment income gain (loss)
     1.66     3.05     2.92     2.27     3.08     2.81
 
*
See Note 1 of these Notes to Financial Statements.
**
Percentages are annualized.
#
The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.
Market values are determined at the close of the applicable primary listing exchange, which may be later than when the Funds’ net asset value is calculated.
^
Percentages are not annualized for the period ended June 30, 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.
 
1
23

For the Six Months Ended June 30, 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)
     0.94       0.44       0.38       2.10  
Net realized and unrealized gain (loss)#
     3.21       6.69       (10.30     (130.30 )
Change in net asset value from operations
     4.15       7.13       (9.92     (128.20 )
Net asset value, at June 30, 2023
   $ 81.97     $ 33.97     $ 20.49     $ 99.81  
Market value per share, at December 31, 2022
   $ 77.20     $ 26.79     $ 30.36     $ 227.60  
Market value per share, at June 30, 2023
   $ 82.32     $ 33.98     $ 20.48     $ 99.84  
Total Return, at net asset value^
     5.3     26.6     (32.6 )%      (56.2 )%
 
Total Return, at market value^
     6.6     26.8     (32.5 )%      (56.1 )%
Ratios to Average Net Assets**
*
        
Expense ratio^^
     1.05     0.95     0.98     1.09
Net investment income gain (loss)
     2.44     3.06     2.90     2.61
 
*
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 June 30, 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.
 
12
4

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.
 
12
5

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; (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, over weighting or under weighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark; (12) large movements of assets into and/or out of a Fund, particularly late in the day; (13) significant and/or rapid increases in the size of the Fund as a result of an increase in creation activity that cause the Fund to approach or reach position or accountability limits or other portfolio limits; and (14) events such as natural disasters (including disease, epidemics and pandemics) that can be highly disruptive to economies, markets and companies including, but not limited to, the Sponsor and third party service providers.
A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions, extreme market volatility, and other factors will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. The target amount of portfolio exposure is impacted dynamically by a benchmark’s movements, including intraday movements. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e.,
-0.5x,
-2x,
1.5x, or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.
Each Geared Fund seeks to rebalance its portfolio on a daily basis. The time and manner in which a Geared Fund rebalances its portfolio may vary from day to day depending upon market conditions and other circumstances at the discretion of the Sponsor. If for any reason a Fund is unable to rebalance all or a portion of its portfolio, or if all or a portion of the portfolio is rebalanced incorrectly, the Fund’s investment exposure may not be consistent with the Fund’s investment objective. In these instances, the Fund may have investment exposure to its benchmark that is significantly greater or less than its stated multiple. As a result, the Fund may be more or less exposed to leverage risk than if it had been properly rebalanced and may not achieve its investment objective. Unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.
Counterparty Risk
Each Fund may use derivatives such as swap agreements and forward contracts (collectively referred to in this Counterparty Risk section as “derivatives”) in the manner described herein as a means to achieve their respective investment objectives. The use of derivatives by a Fund exposes the Fund to counterparty risks.
Regulatory Treatment
Derivatives are generally traded in OTC markets and are subject to comprehensive regulation in the United States. Cash-settled forwards are generally regulated as “swaps”, whereas physically settled forwards are generally not subject to regulation (in the case of commodities other than currencies) or subject to the federal securities laws (in the case of securities).
Title VII of the Dodd-Frank Act (“Title VII”) created a regulatory regime for derivatives, with the CFTC responsible for the regulation of swaps and the SEC responsible for the regulation of “security-based swaps.” Although some of the SEC requirements have not yet been made effective, the CFTC requirements are largely in place. The CFTC requirements include rules for some of the types of derivatives transactions in which the Funds engages, including mandatory clearing and exchange trading, reporting, and margin for OTC swaps. Title VII also created new categories of regulated market participants, such as “swap dealers,” “security-based swap dealers,” “major swap participants,” and “major security-based swap participants” who are, or will be, subject to significant new capital, registration, recordkeeping, reporting, disclosure, business conduct and other regulatory requirements. The regulatory requirements under Title VII continue to be developed and there may be further modifications that could materially and adversely impact the Funds, the markets in which a Fund trades and the counterparties with which the Fund engages in transactions.
As noted, all of the relevant CFTC rules may not apply to all of the swap agreements and forward contracts entered into by the Funds. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.
 
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Counterparty Credit Risk
The Funds will be subject to the credit risk of the counterparties to the derivatives. In the case of cleared derivatives, the Funds will have credit risk to the clearing corporation in a similar manner as the Funds would for futures contracts. In the case of uncleared OTC derivatives, the Funds will be subject to the credit risk of the counterparty to the transaction – typically a single bank or financial institution. As a result, a Fund is subject to increased credit risk with respect to the amount it expects to receive from counterparties to uncleared OTC derivatives entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties or otherwise, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.
The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds. However, there are no limitations on the percentage of assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.
OTC derivatives of the type that may be utilized by the Funds are generally less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed to the party under the agreement. For example, if the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day.
In addition, cleared derivatives benefit from daily
mark-to-market
and settlement, and segregation and minimum capital requirements applicable to intermediaries. To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with a futures commission merchant in cleared swaps customer accounts, which are required by CFTC regulations to be separate from the futures commission merchant’s proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds for futures transactions but provide certain additional protections to cleared swaps collateral in the event of a clearing broker or clearing broker customer default. For example, in the event of a default of both the clearing broker and a customer of the clearing broker, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally comingled) account of the defaulting cleared swap customer of the clearing broker, as opposed to the treatment of futures customer segregated funds, under which the clearing house may access all of the commingled futures customer segregated funds of a defaulting clearing broker. Derivatives entered into directly between two counterparties do not necessarily benefit from such protections, particularly if entered into with an entity that is not registered as a “swap dealer” with the CFTC. Bilateral OTC derivatives expose the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.
The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties and the counterparties used by a Fund may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior Business Day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.ProShares.com.
Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law.
The counterparty risk for cleared derivatives transactions is generally lower than for OTC derivatives. Once a transaction is cleared, the clearing organization is substituted and is a Fund’s counterparty on the derivative. The clearing organization guarantees the performance of the other side of the derivative. Nevertheless, some risk remains, as there is no assurance that the clearing organization, or its members, will satisfy its obligations to a Fund.
 
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Leverage Risk
The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions increases the risk of total loss of an investor’s investment, even over periods as short as a single day.
For example, because the UltraShort Funds and Ultra Funds (except for the Ultra VIX Short-Term Futures ETF which includes a one and
one-half
times (1.5x) multiplier) include a two times the inverse
(-2x),
or a two times (2x) multiplier, a
single-day
movement in the relevant benchmark approaching 50% at any point in the day could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward
single-day
or intraday movements in the underlying benchmark of an Ultra Fund or upward
single-day
or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.
Liquidity Risk
Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.
“Contango” and “Backwardation” Risk
In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2022 may specify a January 2023 expiration. As that contract nears expiration, it may be replaced by selling the January 2023 contract and purchasing the contract expiring in March 2023. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2023 contract would take place at a price that is higher than the price at which the March 2023 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Fund and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.
Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.
Gold and silver have historically exhibited persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly.
There have been times where WTI crude oil futures contracts experience “extraordinary contango or extraordinary backwardation”. For example, in April 2020, the market for crude oil futures contracts experienced a period of “extraordinary contango” that resulted in a negative price in the May 2020 WTI crude oil futures contract. In the summer of 2022, the market for crude oil futures contracts experienced a period of extreme backwardation, but normalized towards the end of the year. The futures contracts held by the Funds may experience a period of extraordinary contango or backwardation in the future. If all or a significant portion of the futures contracts held by
 
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8

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 exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, civil unrest, periods of high unemployment, shortages in and disruptions to the medical care and consumer goods and services industries, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause extreme market volatility, illiquidity, exchange trading suspensions and market closures. For example, market factors may adversely affect the price and liquidity of the Funds’ investments and potentially increase margins and collateral requirements in ways that have a significant negative impact on Fund performance or make it difficult, or impossible, for a Fund to achieve its investment objective. Under these circumstances, a Fund could have difficulty finding counterparties to transactions, entering or exiting positions at favorable prices and could incur significant losses. Further, Fund counterparties may close out positions with the Funds without notice, at unfavorable times or unfavorable prices, or may choose to transaction on a more limited basis (or not at all). In such cases, it may be difficult or impossible for a Fund to achieve the desired investment exposure with its investment objective. These conditions also can impact the ability of the Funds to complete creation and redemption transactions and disrupt Fund trading in the secondary market.
Additionally, geopolitical conflict, including, war and armed conflicts (such as Russia’s continued military actions against Ukraine that started in February 2022, the Israel-Hamas conflict, the Houthi movement’s attacks on marine vessels in the Red Sea, and the expansion of such conflicts in surrounding areas), sanctions, acts of terrorism, sustained elevated inflation, supply chain issues or other events could have a significant negative impact on global financial markets and economies. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, and the value of an investment in the Fund may decline significantly.
NOTE 8 – SUBSEQUENT EVENTS
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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Table of Contents
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 June 30, 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.
 
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Table of Contents
Each Matching VIX Fund seeks investment results, before fees and expenses, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX
Mid-Term
Futures Index (the
“Mid-Term
VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results, before fees and expenses, that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by taking positions in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“Cboe”) Volatility Index (the “VIX”).
ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural Gas are benchmarked to indexes designed to track the performance of commodity futures contracts, as applicable. The daily performance of these Indexes and the corresponding Funds will likely be very different in amount and possibly even direction from the daily performance of the price of the related physical commodities.
Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a
per-Share
market price that varies depending on, among other factors, the trading price of the Shares of each Fund on its applicable listing exchange, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.
The Sponsor maintains a website at www.ProShares.com, through which monthly account statements and the Trust’s Annual Report on Form
10-K,
Quarterly Reports on Form
10-Q,
Current Reports on Form
8-K
and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the “1934 Act”), can be accessed free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the U.S. Securities and Exchange Commission (the “SEC”). Additional information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.
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 begin 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 began 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.
 
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Liquidity and Capital Resources
In order to collateralize derivatives positions in indices, commodities or currencies, a portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements, futures, and/or forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and six months ended June 30, 2024 and 2023, each of the Funds earned interest income as follows:
 
Fund
  
Interest Income
Three Months
Ended
June 30, 2024
    
Interest Income
Three Months
Ended
June 30, 2023
    
Interest Income
Six Months
Ended
June 30, 2024
    
Interest Income
Six Months
Ended
June 30, 2023
 
ProShares Short VIX Short-Term Futures ETF
   $ 3,457,223      $ 2,437,210      $ 6,766,508      $ 4,546,332  
ProShares Ultra Bloomberg Crude Oil
     6,506,199        5,878,092        11,516,649        11,886,000  
ProShares Ultra Bloomberg Natural Gas
     6,418,687        8,866,705        12,870,827        17,825,228  
ProShares Ultra Euro
     70,817        88,182        149,303        185,419  
ProShares Ultra Gold
     2,819,359        1,983,196        4,833,274        3,632,210  
ProShares Ultra Silver
     6,245,723        3,701,182        9,880,580        7,075,578  
ProShares Ultra VIX Short-Term Futures ETF
     2,335,823        4,750,595        5,094,065        9,167,250  
ProShares Ultra Yen
     483,557        114,980        853,811        235,098  
ProShares UltraShort Bloomberg Crude Oil
     2,290,280        1,560,028        4,533,047        3,563,237  
ProShares UltraShort Bloomberg Natural Gas
     1,577,496        1,344,889        2,924,574        2,531,641  
ProShares UltraShort Euro
     429,872        593,746        888,189        1,240,866  
ProShares UltraShort Gold
     176,727        184,052        319,930        316,614  
ProShares UltraShort Silver
     597,421        323,734        978,854        523,812  
ProShares UltraShort Yen
     456,243        255,354        771,660        459,554  
ProShares VIX
Mid-Term
Futures ETF
     1,106,849        650,585        1,622,013        1,298,505  
ProShares VIX Short-Term Futures ETF
     1,619,921        2,440,291        3,378,183        4,560,852  
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).
 
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Market Risk
Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying such Fund’s benchmark at a specified date and price, should it hold such derivative contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.
For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on
Form 10-Q.
Credit Risk
When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.
Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.
Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an OTC swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with the recovery of collateral posted in segregated
tri-party
accounts at the Fund’s custodian bank.
Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.
The Sponsor attempts to minimize certain of these market and credit risks by normally:
 
   
executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;
 
   
limiting the outstanding amounts due from counterparties to the Funds;
 
   
not posting margin directly with a counterparty;
 
   
requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;
 
   
limiting the amount of margin or premium posted at a FCM; and
 
   
ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.
Off-Balance
Sheet Arrangements and Contractual Obligations
As of August 2, 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.
 
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Critical Accounting Policies
Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.
Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.
The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).
For financial reporting purposes, the Funds value investments based upon the closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the period ended June 30, 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.
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 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 June 30, 2024 Compared to the Three Months Ended June 30, 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 June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 313,978,799     $ 295,340,393  
NAV end of period
   $ 298,712,515     $ 282,353,267  
Percentage change in NAV
     (4.9 )%      (4.4 )% 
Shares outstanding beginning of period
     5,568,614       9,268,614  
Shares outstanding end of period
     4,868,614       6,668,614  
Percentage change in shares outstanding
     (12.6 )%      (28.1 )% 
Shares created
     350,000       1,100,000  
Shares redeemed
     1,050,000       3,700,000  
Per share NAV beginning of period
   $ 56.38     $ 31.86  
Per share NAV end of period
   $ 61.35     $ 42.34  
Percentage change in per share NAV
     8.8     32.9
Percentage change in benchmark
     (15.8 )%      (44.4 )% 
Benchmark annualized volatility
     41.2     45.8
During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,568,614 outstanding Shares at March 31, 2024 to 4,868,614 outstanding Shares at June 30, 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
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,268,614 outstanding Shares at March 31, 2023 to 6,668,614 outstanding Shares at June 30, 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 June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to
one-half
the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.8% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 32.9% for the three months ended June 30, 2023, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
The benchmark’s decline of 15.8% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 44.4% for the three months ended June 30, 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 June 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 2,584,261      $ 1,696,752  
Management fee
     702,645        617,036  
Brokerage commission
     170,317        123,422  
Net realized gain (loss)
     26,761,918        65,202,331  
Change in net unrealized appreciation (depreciation)
     (4,167,221      9,673,101  
Net Income (loss)
   $ 25,178,958      $ 76,572,184  
The Fund’s net income decreased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a lesser decrease in the value of futures prices during the three months ended June 30, 2024.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the forward Share split for ProShares 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 June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 597,176,895     $ 811,668,456  
NAV end of period
   $ 527,486,095     $ 738,194,368  
Percentage change in NAV
     (11.7 )%      (9.1 )% 
Shares outstanding beginning of period
     17,993,096       30,593,096  
Shares outstanding end of period
     15,743,096       31,093,096  
Percentage change in shares outstanding
     (12.5 )%      1.6
Shares created
     5,050,000       15,550,000  
Shares redeemed
     7,300,000       15,050,000  
Per share NAV beginning of period
   $ 33.19     $ 26.53  
Per share NAV end of period
   $ 33.51     $ 23.74  
Percentage change in per share NAV
     1.0     (10.5 )% 
Percentage change in benchmark
     0.5     (4.4 )% 
Benchmark annualized volatility
     17.4     32.8
During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 17,993,096 outstanding Shares at March 31, 2024 to 15,743,096 outstanding Shares at June 30, 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 June 30, 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 30,593,096 outstanding Shares at March 31, 2023 to 31,093,096 outstanding Shares at June 30, 2023.
For the three months ended June 30, 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 1.0% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 10.5% for the three months ended June 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
 
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The benchmark’s rise of 0.5% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 4.4% for the three months ended June 30, 2023, can be attributed to an increase in the value of WTI Crude Oil during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 5,118,436      $ 4,038,791  
Management fee
     1,344,787        1,744,998  
Brokerage commission
     42,976        94,303  
Net realized gain (loss)
     6,957,617        (76,414,795
Change in net unrealized appreciation (depreciation)
     (738,826      45,539,157  
Net Income (loss)
   $ 11,337,227      $ (26,836,847
The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to an increase in the value of WTI Crude Oil during the three months ended June 30, 2024.
ProShares Ultra Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 580,741,377     $ 1,139,983,773  
NAV end of period
   $ 540,643,821     $ 1,141,021,278  
Percentage change in NAV
     (6.9 )%      0.1
Shares outstanding beginning of period
     8,843,709       3,090,875  
Shares outstanding end of period
     6,933,709       3,284,375  
Percentage change in shares outstanding
     (21.6 )%      6.3
Shares created
     4,870,000       2,758,500  
Shares redeemed
     6,780,000       2,565,000  
Per share NAV beginning of period
   $ 65.67     $ 368.82  
Per share NAV end of period
   $ 77.97     $ 347.41  
Percentage change in per share NAV
     18.7     (5.8 )% 
Percentage change in benchmark
     13.9     2.2
Benchmark annualized volatility
     53.0     57.7
During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,843,709 outstanding Shares at March 31, 2024 to 6,933,709 outstanding Shares at June 30, 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 Natural Gas Subindex
SM
. By comparison, during the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 3,090,875 outstanding Shares at March 31, 2023 to 3,284,375 outstanding Shares at June 30, 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
.
 
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For the three months ended June 30, 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 18.7% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 5.8% for the three months ended June 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
The benchmark’s rise of 13.9% for the three months ended June 30, 2024, as compared to the benchmark’s rise of 2.2% for the three months ended June 30, 2023, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 4,256,254      $ 4,920,978  
Management fee
     1,323,880        2,588,571  
Brokerage commission
     785,377        1,145,371  
Futures account fees
     53,176        211,785  
Net realized gain (loss)
     211,772,181        (616,886,915
Change in net unrealized appreciation (depreciation)
     (60,263,391      658,057,024  
Net Income (loss)
   $ 155,765,044      $ 46,091,087  
The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a greater increase in the value of Henry Hub Natural Gas during the three months ended June 30, 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 splits for ProShares Ultra Bloomberg Natural Gas.
 
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ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 6,804,048     $ 8,616,433  
NAV end of period
   $ 5,595,533     $ 7,535,435  
Percentage change in NAV
     (17.8 )%      (12.5 )% 
Shares outstanding beginning of period
     600,000       750,000  
Shares outstanding end of period
     500,000       650,000  
Percentage change in shares outstanding
     (16.7 )%      (13.3 )% 
Shares created
     —        —   
Shares redeemed
     100,000       100,000  
Per share NAV beginning of period
   $ 11.34     $ 11.49  
Per share NAV end of period
   $ 11.19     $ 11.59  
Percentage change in per share NAV
     (1.3 )%      0.9
Percentage change in benchmark
     (0.7 )%      0.6
Benchmark annualized volatility
     5.5     6.8
During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 600,000 outstanding Shares at March 31, 2024 to 500,000 outstanding Shares at June 30, 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 (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 750,000 outstanding Shares at March 31, 2023 to 650,000 outstanding Shares at June 30, 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 June 30, 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 1.3% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 0.9% for the three months ended June 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
The benchmark’s decline of 0.7% for the three months ended June 30, 2024, as compared to the benchmark’s rise of 0.6% for the three months ended June 30, 2023, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 56,873      $ 68,331  
Management fee
     13,944        19,851  
Net realized gain (loss)
     (219,350      78,291  
Change in net unrealized appreciation (depreciation)
     62,167        (79,023
Net Income (loss)
   $ (100,310    $ 67,599  
The Fund’s net income decreased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended June 30, 2024.
 
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ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 215,970,841     $ 201,161,529  
NAV end of period
   $ 216,456,025     $ 180,916,531  
Percentage change in NAV
     0.2     (10.1 )% 
Shares outstanding beginning of period
     3,000,000       3,200,000  
Shares outstanding end of period
     2,800,000       3,100,000  
Percentage change in shares outstanding
     (6.7 )%      (3.1 )% 
Shares created
     350,000       50,000  
Shares redeemed
     550,000       150,000  
Per share NAV beginning of period
   $ 71.99     $ 62.86  
Per share NAV end of period
   $ 77.31     $ 58.36  
Percentage change in per share NAV
     7.4     (7.2 )% 
Percentage change in benchmark
     4.9     (2.5 )% 
Benchmark annualized volatility
     16.8     12.7
During the three months ended June 30, 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
. The increase in the Fund’s NAV was offset by a decrease from 3,000,000 outstanding Shares at March 31, 2024 to 2,800,000 outstanding Shares at June 30, 2024. By comparison, during the three months ended June 30, 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 Gold Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from a decrease from 3,200,000 outstanding Shares at March 31, 2023 to 3,100,000 outstanding Shares at June 30, 2023.
For the three months ended June 30, 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 7.4% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 7.2% for the three months ended June 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
The benchmark’s rise of 4.9% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 2.5% for the three months ended June 30, 2023, can be attributed to an increase in the value of gold futures contracts during the period ended June 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 2,264,848      $ 1,502,010  
Management fee
     546,388        474,261  
Brokerage commission
     8,123        6,925  
Net realized gain (loss)
     31,567,821        17,168,107  
Change in net unrealized appreciation (depreciation)
     (17,226,689      (32,854,842
Net Income (loss)
   $ 16,605,980      $ (14,184,725
The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to an increase in the value of futures prices during the three months ended June 30, 2024.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 403,584,744     $ 429,115,334  
NAV end of period
   $ 570,829,521     $ 356,791,659  
Percentage change in NAV
     41.4     (16.9 )% 
Shares outstanding beginning of period
     14,146,526       13,796,526  
Shares outstanding end of period
     15,246,526       13,196,526  
Percentage change in shares outstanding
     7.8     (4.3 )% 
Shares created
     5,150,000       700,000  
Shares redeemed
     4,050,000       1,300,000  
Per share NAV beginning of period
   $ 28.53     $ 31.10  
Per share NAV end of period
   $ 37.44     $ 27.04  
Percentage change in per share NAV
     31.2     (13.1 )% 
Percentage change in benchmark
     17.8     (5.1 )% 
Benchmark annualized volatility
     38.5     24.1
During the three months ended June 30, 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 also resulted in part from an increase from 14,146,526 outstanding Shares at March 31, 2024 to 15,246,526 outstanding Shares at June 30, 2024. By comparison, during the three months ended June 30, 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 Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part form a decrease from 13,796,526 outstanding Shares at March 31, 2023 to 13,196,526 outstanding Shares at June 30, 2023.
For the three months ended June 30, 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 31.2% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 13.1% for the three months ended June 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
 
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The benchmark’s rise of 17.8% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 5.1% for the three months ended June 30, 2023, can be attributed to an increase in the value of silver futures contracts during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 4,944,726      $ 2,677,602  
Management fee
     1,244,817        976,505  
Brokerage commission
     56,180        47,075  
Net realized gain (loss)
     220,680,441        64,615,443  
Change in net unrealized appreciation (depreciation)
     (87,279,257      (119,017,342
Net Income (loss)
   $ 138,345,910      $ (51,724,297
The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to an increase in the value of futures prices during the three months ended June 30, 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 June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 278,240,649     $ 535,980,236  
NAV end of period
   $ 232,135,198     $ 387,764,059  
Percentage change in NAV
     (16.6 )%      (27.7 )% 
Shares outstanding beginning of period
     8,844,891       2,317,568  
Shares outstanding end of period
     9,843,643       4,195,568  
Percentage change in shares outstanding
     11.3     81.0
Shares created
     7,030,000       2,588,000  
Shares redeemed
     6,031,248       710,000  
Per share NAV beginning of period
   $ 31.46     $ 231.27  
Per share NAV end of period
   $ 23.58     $ 92.42  
Percentage change in per share NAV
     (25.0 )%      (60.0 )% 
Percentage change in benchmark
     (15.8 )%      (44.4 )% 
Benchmark annualized volatility
     41.2     45.8
During the three months ended June 30, 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 8,844,891 outstanding Shares at March 31, 2024 to 9,843,643 outstanding Shares at June 30, 2024. By comparison, during the three months ended June 30, 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 2,317,568 outstanding Shares at March 31, 2023 to 4,195,568 outstanding Shares at June 30, 2023.
For the three months ended June 30, 2024 and 2023, the Fund’s daily performance had a statistical correlation over 0.99 to 1.5x the daily performance of its benchmark. The Fund’s per Share NAV decrease of 25.0% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 60.0% for the three months ended June 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
The benchmark’s decline of 15.8% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 44.4% for the three months ended June 30, 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 June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 1,263,439      $ 2,581,004  
Management fee
     553,814        1,330,081  
Brokerage commission
     454,606        712,511  
Futures account fees
     63,964        126,999  
Net realized gain (loss)
     (57,412,686      (426,300,356
Change in net unrealized appreciation (depreciation)
     11,698,440        (45,315,177
Net Income (loss)
   $ (44,450,807    $ (469,034,529
The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a lesser decrease in the value of futures prices, during the three months ended June 30, 2024.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra VIX Short Term Futures ETF.
 
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ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 41,994,545     $ 9,915,083  
NAV end of period
   $ 44,510,138     $ 12,330,974  
Percentage change in NAV
     6.0     24.4
Shares outstanding beginning of period
     1,799,970       299,970  
Shares outstanding end of period
     2,199,970       449,970  
Percentage change in shares outstanding
     22.2     50.0
Shares created
     500,000       150,000  
Shares redeemed
     100,000       —   
Per share NAV beginning of period
   $ 23.33     $ 33.05  
Per share NAV end of period
   $ 20.23     $ 27.40  
Percentage change in per share NAV
     (13.3 )%      (17.1 )% 
Percentage change in benchmark
     (5.9 )%      (8.0 )% 
Benchmark annualized volatility
     9.0     8.9
During the three months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 1,799,970 outstanding Shares at March 31, 2024 to 2,199,970 outstanding Shares at June 30, 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 June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 299,970 outstanding Shares at March 31, 2023 to 449,970 outstanding Shares at June 30, 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 spot price of the Japanese yen versus the U.S. dollar.
For the three months ended June 30, 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 13.3% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 17.1% for the three months ended June 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
The benchmark’s decline of 5.9% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 8.0% for the three months ended June 30, 2023, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $     384,185      $       89,650  
Management fee
     99,372        25,330  
Net realized gain (loss)
     (5,365,623      (770,142
Change in net unrealized appreciation (depreciation)
     (842,412      (1,348,109
Net Income (loss)
   $ (5,823,850    $ (2,028,601
The Fund’s net income decreased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar in conjunction with an increase in average net assets, during the three months ended June 30, 2024.
ProShares UltraShort Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 197,512,295     $ 144,762,563  
NAV end of period
   $ 177,620,038     $ 112,854,952  
Percentage change in NAV
     (10.1 )%      (22.0 )% 
Shares outstanding beginning of period
     12,405,220       5,755,220  
Shares outstanding end of period
     11,405,220       4,405,220  
Percentage change in shares outstanding
     (8.1 )%      (23.5 )% 
Shares created
     4,200,000       6,250,000  
Shares redeemed
     5,200,000       7,600,000  
Per share NAV beginning of period
   $ 15.92     $ 25.15  
Per share NAV end of period
   $ 15.57     $ 25.62  
Percentage change in per share NAV
     (2.2 )%      1.9
Percentage change in benchmark
     0.5     (4.4 )% 
Benchmark annualized volatility
     17.4     32.8
During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 12,405,220 outstanding Shares at March 31, 2024 to 11,405,220 outstanding Shares at June 30, 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 Commodity Balanced WTI Crude Oil Index
SM
. By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,755,220 outstanding Shares at March 31, 2023 to 4,405,220 outstanding Shares at June 30, 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 June 30, 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 2.2% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 1.9% for the three months ended June 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
The benchmark’s rise of 0.5% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 4.4% for the three months ended June 30, 2023, can be attributed to an increase in the value of WTI Crude Oil during the period ended June 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 1,805,686      $ 1,140,772  
Management fee
     440,755        359,177  
Brokerage commission
     43,839        60,079  
Net realized gain (loss)
     (143,424      28,034,524  
Change in net unrealized appreciation (depreciation)
     (1,552,095      (8,216,608
Net Income (loss)
   $ 110,167      $ 20,958,688  
The Fund’s net income decreased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to an increase in the value of WTI Crude Oil during the three months ended June 30, 2024.
ProShares UltraShort Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 94,345,355     $ 146,981,760  
NAV end of period
   $ 147,292,427     $ 141,324,963  
Percentage change in NAV
     56.1     (3.8 )% 
Shares outstanding beginning of period
     1,233,712       4,133,712  
Shares outstanding end of period
     2,983,712       5,133,712  
Percentage change in shares outstanding
     141.8     24.2
Shares created
     7,400,000       13,200,000  
Shares redeemed
     5,650,000       12,200,000  
Per share NAV beginning of period
   $ 76.47     $ 35.56  
Per share NAV end of period
   $ 49.37     $ 27.53  
Percentage change in per share NAV
     (35.4 )%      (22.6 )% 
Percentage change in benchmark
     13.9     2.2
Benchmark annualized volatility
     53.0     57.7
 
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During the three months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 1,233,712 outstanding Shares at March 31, 2024 to 2,983,712 outstanding Shares at June 30, 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 Natural Gas Subindex
SM
. By comparison, during the three months ended June 30, 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 the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 4,133,712 outstanding Shares at March 31, 2023 to 5,133,712 outstanding Shares at June 30, 2023.
For the three months ended June 30, 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 35.4% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 22.6% for the three months ended June 30, 2023, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
The benchmark’s rise of 13.9% for the three months ended June 30, 2024, as compared to the benchmark’s rise of 2.2% for the three months ended June 30, 2023, can be attributed to a greater increase in the value of Henry Hub Natural Gas during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 951,460      $ 782,210  
Management fee
     310,060        302,274  
Brokerage commission
     304,998        233,647  
Futures account fees
     10,978        26,758  
Net realized gain (loss)
     (44,563,292      48,737,843  
Change in net unrealized appreciation (depreciation)
     20,550,559        (61,250,100
Net Income (loss)
   $ (23,061,273    $ (11,730,047
The Fund’s net income decreased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a greater increase in the value of Henry Hub Natural Gas, in conjunction with the timing of shareholder activity, during the three months ended June 30, 2024.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the forward Share split for ProShares UltraShort 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 June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 38,712,882     $ 59,537,260  
NAV end of period
   $ 38,226,983     $ 50,931,301  
Percentage change in NAV
     (1.3 )%      (14.5 )% 
Shares outstanding beginning of period
     1,250,000       2,050,000  
Shares outstanding end of period
     1,200,000       1,750,000  
Percentage change in shares outstanding
     (4.0 )%      (14.6 )% 
Shares created
     50,000       —   
Shares redeemed
     100,000       300,000  
Per share NAV beginning of period
   $ 30.97     $ 29.04  
Per share NAV end of period
   $ 31.86     $ 29.10  
Percentage change in per share NAV
     2.9     0.2
Percentage change in benchmark
     (0.7 )%      0.6
Benchmark annualized volatility
     5.5     6.8
During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,250,000 outstanding Shares at March 31, 2024 to 1,200,000 outstanding Shares at June 30, 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 June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,050,000 outstanding Shares at March 31, 2023 to 1,750,000 outstanding Shares at June 30, 2023. The decrease in the Fund’s NAV also resulted in part from the timing of the shareholder activity, which was offset by the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the three months ended June 30, 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 2.9% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 0.2% for the three months ended June 30, 2023, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
The benchmark’s decline of 0.7% for the three months ended June 30, 2024, as compared to the benchmark’s rise of 0.6% for the three months ended June 30, 2023, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 338,894      $ 462,645  
Management fee
     90,978        131,101  
Net realized gain (loss)
     900,760        (1,045,942
Change in net unrealized appreciation (depreciation)
     (199,005      556,469  
Net Income (loss)
   $ 1,040,649      $ (26,828
The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended June 30, 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 June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 15,170,884     $ 16,049,273  
NAV end of period
   $ 16,131,791     $ 15,809,378  
Percentage change in NAV
     6.3     (1.5 )% 
Shares outstanding beginning of period
     646,977       596,977  
Shares outstanding end of period
     746,977       546,977  
Percentage change in shares outstanding
     15.5     (8.4 )% 
Shares created
     450,000       300,000  
Shares redeemed
     350,000       350,000  
Per share NAV beginning of period
   $ 23.45     $ 26.88  
Per share NAV end of period
   $ 21.60     $ 28.90  
Percentage change in per share NAV
     (7.9 )%      7.5
Percentage change in benchmark
     4.9     (2.5 )% 
Benchmark annualized volatility
     16.8     12.7
During the three months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 646,977 outstanding Shares at March 31, 2024 to 746,977 outstanding Shares at June 30, 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 June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 596,977 outstanding Shares at March 31, 2023 to 546,977 outstanding Shares at June 30, 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 Gold Subindex
SM
.
 
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For the three months ended June 30, 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 7.9% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 7.5% for the three months ended June 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
The benchmark’s rise of 4.9% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 2.5% for the three months ended June 30, 2023, can be attributed to an increase in the value of gold futures contracts during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 136,135      $ 139,578  
Management fee
     39,309        42,869  
Brokerage commission
     1,283        1,605  
Net realized gain (loss)
     (2,516,474      (1,553,151
Change in net unrealized appreciation (depreciation)
     1,264,436        2,758,921  
Net Income (loss)
   $ (1,115,903    $ 1,345,348  
The Fund’s net income decreased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to an increase in the value of the futures prices during the three months ended June 30, 2024.
ProShares UltraShort Silver*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 24,245,029     $ 20,335,691  
NAV end of period
   $ 76,198,743     $ 19,290,473  
Percentage change in NAV
     214.3     (5.1 )% 
Shares outstanding beginning of period
     360,332       272,832  
Shares outstanding end of period
     1,697,832       235,332  
Percentage change in shares outstanding
     371.2     (13.7 )% 
Shares created
     1,900,000       612,500  
Shares redeemed
     562,500       650,000  
Per share NAV beginning of period
   $ 67.29     $ 74.54  
Per share NAV end of period
   $ 44.88     $ 81.97  
Percentage change in per share NAV
     (33.3 )%      10.0
Percentage change in benchmark
     17.8     (5.1 )% 
Benchmark annualized volatility
     38.5     24.1
 
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During the three months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 360,332 outstanding Shares at March 31, 2024 to 1,697,832 outstanding Shares at June 30, 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 Silver Subindex
SM
. By comparison, during the three months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 272,832 outstanding Shares at March 31, 2023 to 235,332 outstanding Shares at June 30, 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 Silver Subindex
SM
.
For the three months ended June 30, 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 33.3% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 10.0% for the three months ended June 30, 2023, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
The benchmark’s rise of 17.8% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 5.1% for the three months ended June 30, 2023, can be attributed to an increase in the value of the silver futures contracts during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 444,517      $ 232,359  
Management fee
     139,041        82,417  
Brokerage commission
     13,863        8,958  
Net realized gain (loss)
     (16,070,138      1,112,690  
Change in net unrealized appreciation (depreciation)
     4,902,824        5,650,294  
Net Income (loss)
   $ (10,722,797    $ 6,995,343  
The Fund’s net income decreased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to an increase in the value of futures prices during the three months ended June 30, 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 June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 32,662,223     $ 25,111,818  
NAV end of period
   $ 47,495,032     $ 27,077,656  
Percentage change in NAV
     45.4     7.8
Shares outstanding beginning of period
     797,160       897,160  
Shares outstanding end of period
     997,160       797,160  
Percentage change in shares outstanding
     25.1     (11.1 )% 
Shares created
     400,000       500,000  
Shares redeemed
     200,000       600,000  
Per share NAV beginning of period
   $ 40.97     $ 27.99  
Per share NAV end of period
   $ 47.63     $ 33.97  
Percentage change in per share NAV
     16.3     21.4
Percentage change in benchmark
     (5.9 )%      (8.0 )% 
Benchmark annualized volatility
     9.0     8.9
During the three months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 797,160 outstanding Shares at March 31, 2024 to 997,160 outstanding Shares at June 30, 2024. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended June 30, 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 spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 897,160 outstanding Shares at March 31, 2023 to 797,160 outstanding Shares at June 30, 2023.
For the three months ended June 30, 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 16.3% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 21.4% for the three months ended June 30, 2023, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
The benchmark’s decline of 5.9% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 8.0% for the three months ended June 30, 2023, can be attributed to a lesser decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 359,294      $ 197,175  
Management fee
     96,949        58,179  
Net realized gain (loss)
     4,417,569        1,370,771  
Change in net unrealized appreciation (depreciation)
     1,529,867        3,145,023  
Net Income (loss)
   $ 6,306,730      $ 4,712,969  
The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a decrease in the value of the Japanese yen versus the U.S. dollar, during the three months ended June 30, 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 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 June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 84,603,064     $ 67,306,087  
NAV end of period
   $ 33,401,452     $ 49,421,413  
Percentage change in NAV
     (60.5 )%      (26.6 )% 
Shares outstanding beginning of period
     5,337,403       2,512,403  
Shares outstanding end of period
     2,337,403       2,412,403  
Percentage change in shares outstanding
     (56.2 )%      (4.0 )% 
Shares created
     5,250,000       575,000  
Shares redeemed
     8,250,000       675,000  
Per share NAV beginning of period
   $ 15.85     $ 26.79  
Per share NAV end of period
   $ 14.29     $ 20.49  
Percentage change in per share NAV
     (9.9 )%      (23.5 )% 
Percentage change in benchmark
     (9.5 )%      (23.1 )% 
Benchmark annualized volatility
     19.6     22.6
During the three months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,337,403 outstanding Shares at March 31, 2024 to 2,337,403 outstanding Shares at June 30, 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 the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. By comparison, during the three months ended June 30, 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 2,512,403 outstanding Shares at March 31, 2023 to 2,412,403 outstanding Shares at June 30, 2023.
For the three months ended June 30, 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 9.9% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 23.5% for the three months ended June 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
 
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The benchmark’s decline of 9.5% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 23.1% for the three months ended June 30, 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 June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 838,943      $ 492,463  
Management fee
     191,320        134,066  
Brokerage commission
     66,049        12,200  
Futures account fees
     10,537        11,856  
Net realized gain (loss)
     (8,949,418      (6,943,333
Change in net unrealized appreciation (depreciation)
     1,095,379        (9,675,102
Net Income (loss)
   $ (7,015,096    $ (16,125,972
The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a lesser decrease in the value of the futures prices during the three months ended June 30, 2024.
ProShares VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
   
Three Months Ended
June 30, 2023
 
NAV beginning of period
   $ 162,936,051     $ 226,765,204  
NAV end of period
   $ 148,420,028     $ 230,227,830  
Percentage change in NAV
     (8.9 )%      1.5
Shares outstanding beginning of period
     3,150,237       1,255,391  
Shares outstanding end of period
     3,425,237       2,306,641  
Percentage change in shares outstanding
     8.7     83.7
Shares created
     925,000       1,115,000  
Shares redeemed
     650,000       63,750  
Per share NAV beginning of period
   $ 51.72     $ 180.63  
Per share NAV end of period
   $ 43.33     $ 99.81  
Percentage change in per share NAV
     (16.2 )%      (44.8 )% 
Percentage change in benchmark
     (15.8 )%      (44.4 )% 
Benchmark annualized volatility
     41.2     45.8
During the three months ended June 30, 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 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 3,150,237 outstanding Shares at March 31, 2024 to 3,425,237 outstanding Shares at June 30, 2024. By comparison, during the three months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 1,255,391 outstanding Shares at March 31, 2023 to 2,306,641 outstanding Shares at June 30, 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 the daily performance of the S&P 500 VIX Short-Term Futures Index.
 
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For the three months ended June 30, 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 16.2% for the three months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 44.8% for the three months ended June 30, 2023, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended June 30, 2024.
The benchmark’s decline of 15.8% for the three months ended June 30, 2024, as compared to the benchmark’s decline of 44.4% for the three months ended June 30, 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 June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the three months ended June 30, 2024 and 2023:
 
    
Three Months Ended
June 30, 2024
    
Three Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 1,239,189      $ 1,765,342  
Management fee
     310,061        530,826  
Brokerage commission
     39,404        95,391  
Futures account fees
     31,267        48,732  
Net realized gain (loss)
     (27,512,354      (127,239,912
Change in net unrealized appreciation (depreciation)
     4,022,209        (21,303,253
Net Income (loss)
   $ (22,250,956    $ (146,777,823
The Fund’s net income increased for the three months ended June 30, 2024 as compared to the three months ended June 30, 2023, primarily due to a lesser decrease in the value of the futures prices, during the three months ended June 30, 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 splits for ProShares VIX Short-Term Futures ETF.
 
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Results of Operations for the Six Months Ended June 30, 2024 Compared to the Six Months Ended June 30, 2023
ProShares Short VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended
June 30, 2024
   
Six Months Ended
June 30, 2023
 
NAV beginning of period
   $ 267,184,359     $ 339,591,638  
NAV end of period
   $ 298,712,515     $ 282,353,267  
Percentage change in NAV
     11.8     (16.9 )% 
Shares outstanding beginning of period
     5,168,614       11,568,614  
Shares outstanding end of period
     4,868,614       6,668,614  
Percentage change in shares outstanding
     (5.8 )%      (42.4 )% 
Shares created
     2,750,000       6,000,000  
Shares redeemed
     3,050,000       10,900,000  
Per share NAV beginning of period
   $ 51.69     $ 29.35  
Per share NAV end of period
   $ 61.35     $ 42.34  
Percentage change in per share NAV
     18.7     44.2
Percentage change in benchmark
     (29.4 )%      (55.7 )% 
Benchmark annualized volatility
     40.3     58.0
During the six months ended June 30, 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 was offset by a decrease from 5,168,614 outstanding Shares at December 31, 2023 to 4,868,614 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 11,568,614 outstanding Shares at December 31, 2022 to 6,668,614 outstanding Shares at June 30, 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 six months ended June 30, 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 18.7% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 44.2% for the six months ended June 30, 2023, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
The benchmark’s decline of 29.4% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 55.7% for the six months ended June 30, 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 June 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended
June 30, 2024
    
Six Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 4,981,551      $ 3,113,594  
Management fee
     1,443,041        1,182,813  
Brokerage commission
     341,916        249,925  
Net realized gain (loss)
     55,276,535        94,806,479  
Change in net unrealized appreciation (depreciation)
     (8,822,042      12,828,278  
Net Income (loss)
   $ 51,436,044      $ 110,748,351  
The Fund’s net income decreased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a lesser decrease in the value of futures prices during the six months ended June 30, 2024.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the forward Share split for ProShares Short VIX Short-Term Futures.
ProShares Ultra Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended
June 30, 2024
   
Six Months Ended
June 30, 2023
 
NAV beginning of period
   $ 652,793,437     $ 859,094,274  
NAV end of period
   $ 527,486,095     $ 738,194,368  
Percentage change in NAV
     (19.2 )%      (14.1 )% 
Shares outstanding beginning of period
     24,843,096       28,393,096  
Shares outstanding end of period
     15,743,096       31,093,096  
Percentage change in shares outstanding
     (36.6 )%      9.5
Shares created
     9,100,000       34,650,000  
Shares redeemed
     18,200,000       31,950,000  
Per share NAV beginning of period
   $ 26.28     $ 30.26  
Per share NAV end of period
   $ 33.51     $ 23.74  
Percentage change in per share NAV
     27.5     (21.5 )% 
Percentage change in benchmark
     13.3     (9.5 )% 
Benchmark annualized volatility
     19.5     31.7
During the six months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 24,843,096 outstanding Shares at December 31, 2023 to 15,743,096 outstanding Shares at June 30, 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 six months ended June 30, 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 31,093,096 outstanding Shares at June 30, 2023.
For the six months ended June 30, 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 27.5% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 21.5% for the six months ended June 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
 
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The benchmark’s rise of 13.3% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 9.5% for the six months ended June 30, 2023, can be attributed to an increase in the value of WTI Crude Oil during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended
June 30, 2024
    
Six Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 8,590,065      $ 8,077,737  
Management fee
     2,821,804        3,619,616  
Brokerage commission
     104,780        188,647  
Net realized gain (loss)
     100,088,722        9,365,632  
Change in net unrealized appreciation (depreciation)
     54,345,016        (92,671,285
Net Income (loss)
   $ 163,023,803      $ (75,227,916
The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to an increase in the value of WTI Crude Oil during the six months ended June 30, 2024.
 
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ProShares Ultra Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended
June 30, 2024
   
Six Months Ended
June 30, 2023
 
NAV beginning of period
   $ 729,892,808     $ 586,151,113  
NAV end of period
   $ 540,643,821     $ 1,141,021,278  
Percentage change in NAV
     (25.9 )%      94.7
Shares outstanding beginning of period
     5,113,709       322,875  
Shares outstanding end of period
     6,933,709       3,284,375  
Percentage change in shares outstanding
     35.6     917.2
Shares created
     12,890,000       6,553,000  
Shares redeemed
     11,070,000       3,591,500  
Per share NAV beginning of period
   $ 142.73     $ 1,815.41  
Per share NAV end of period
   $ 77.97     $ 347.41  
Percentage change in per share NAV
     (45.4 )%      (80.9 )% 
Percentage change in benchmark
     (18.8 )%      (49.3 )% 
Benchmark annualized volatility
     55.3     69.2
During the six months ended June 30, 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 6,933,709 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 322,875 outstanding Shares at December 31, 2022 to 3,284,375 outstanding Shares at June 30, 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
.
For the six months ended June 30, 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 45.4% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 80.9% for the six months ended June 30, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
The benchmark’s decline of 18.8% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 49.3% for the six months ended June 30, 2023, can be attributed to a lesser decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended
June 30, 2024
    
Six Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 8,466,890      $ 10,410,619  
Management fee
     2,773,307        4,916,981  
Brokerage commission
     1,488,469        2,098,150  
Futures account fees
     142,161        399,478  
Net realized gain (loss)
     (30,408,733      (1,678,521,779
Change in net unrealized appreciation (depreciation)
     (196,656,346      605,047,334  
Net Income (loss)
   $ (218,598,189    $ (1,063,063,826
The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a lesser decrease in the value of Henry Hub Natural Gas during the six months ended June 30, 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 splits for ProShares Ultra Bloomberg Natural Gas.
 
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ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended
June 30, 2024
   
Six Months Ended
June 30, 2023
 
NAV beginning of period
   $ 7,114,015     $ 10,704,662  
NAV end of period
   $ 5,595,533     $ 7,535,435  
Percentage change in NAV
     (21.3 )%      (29.6 )% 
Shares outstanding beginning of period
     600,000       950,000  
Shares outstanding end of period
     500,000       650,000  
Percentage change in shares outstanding
     (16.7 )%      (31.6 )% 
Shares created
     100,000       200,000  
Shares redeemed
     200,000       500,000  
Per share NAV beginning of period
   $ 11.86     $ 11.27  
Per share NAV end of period
   $ 11.19     $ 11.59  
Percentage change in per share NAV
     (5.6 )%      2.9
Percentage change in benchmark
     (3.0 )%      1.9
Benchmark annualized volatility
     5.2     8.0
During the six months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 600,000 outstanding Shares at December 31, 2023 to 500,000 outstanding Shares at June 30, 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 (2x) the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 950,000 outstanding Shares at December 31, 2022 to 650,000 outstanding Shares at June 30, 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 six months ended June 30, 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 5.6% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 2.9% for the six months ended June 30, 2023, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
The benchmark’s decline of 3.0% for the six months ended June 30, 2024, as compared to the benchmark’s rise of 1.9% for the six months ended June 30, 2023, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended
June 30, 2024
    
Six Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 119,424      $ 141,322  
Management fee
     29,879        44,097  
Net realized gain (loss)
     (74,776      358,570  
Change in net unrealized appreciation (depreciation)
     (447,347      (175,968
Net Income (loss)
   $ (402,699    $ 323,924  
The Fund’s net income decreased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a decrease in the value of the euro versus the U.S. dollar during the six months ended June 30, 2024.
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended
June 30, 2024
   
Six Months Ended
June 30, 2023
 
NAV beginning of period
   $ 191,502,023     $ 173,524,136  
NAV end of period
   $ 216,456,025     $ 180,916,531  
Percentage change in NAV
     13.0     4.3
Shares outstanding beginning of period
     3,000,000       3,150,000  
Shares outstanding end of period
     2,800,000       3,100,000  
Percentage change in shares outstanding
     (6.7 )%      (1.6 )% 
Shares created
     800,000       450,000  
Shares redeemed
     1,000,000       500,000  
Per share NAV beginning of period
   $ 63.83     $ 55.09  
Per share NAV end of period
   $ 77.31     $ 58.36  
Percentage change in per share NAV
     21.1     5.9
Percentage change in benchmark
     12.7     5.4
Benchmark annualized volatility
     14.3     14.3
During the six months ended June 30, 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
. The increase in the Fund’s NAV was offset by a decrease from 3,000,000 outstanding Shares at December 31, 2023 to 2,800,000 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 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 was offset by a decrease from 3,150,000 outstanding Shares at December 31, 2022 to 3,100,000 outstanding Shares at June 30, 2023.
For the six months ended June 30, 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 21.1% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 5.9% for the six months ended June 30, 2023, was primarily due to greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
The benchmark’s rise of 12.7% for the six months ended June 30, 2024, as compared to the benchmark’s rise of 5.4% for the six months ended June 30, 2023, can be attributed to a greater increase in the value of gold futures contracts during the period ended June 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended
June 30, 2024
    
Six Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 3,832,287      $ 2,715,295  
Management fee
     982,991        901,375  
Brokerage commission
     17,996        15,540  
Net realized gain (loss)
     50,042,103        27,968,003  
Change in net unrealized appreciation (depreciation)
     (14,505,497      (22,166,463
Net Income (loss)
   $ 39,368,893      $ 8,516,835  
The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a greater increase in the value of gold futures contracts during the six months ended June 30, 2024.
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended
June 30, 2024
   
Six Months Ended
June 30, 2023
 
NAV beginning of period
   $ 390,146,373     $ 414,285,878  
NAV end of period
   $ 570,829,521     $ 356,791,659  
Percentage change in NAV
     46.3     (13.9 )% 
Shares outstanding beginning of period
     14,296,526       13,046,526  
Shares outstanding end of period
     15,246,526       13,196,526  
Percentage change in shares outstanding
     6.6     1.1
Shares created
     7,450,000       2,600,000  
Shares redeemed
     6,500,000       2,450,000  
Per share NAV beginning of period
   $ 27.29     $ 31.75  
Per share NAV end of period
   $ 37.44     $ 27.04  
Percentage change in per share NAV
     37.2     (14.8 )% 
Percentage change in benchmark
     22.3     (4.4 )% 
Benchmark annualized volatility
     31.2     25.8
 
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During the six months ended June 30, 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 also resulted in part from an increase from 14,296,526 outstanding Shares at December 31, 2023 to 15,246,526 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 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 Silver Subindex
SM
. The decrease in the Fund’s NAV also resulted in part from the timing of shareholder activity, which was offset by an increase from 13,046,526 outstanding Shares at December 31, 2022 to 13,196,526 outstanding Shares at June 30, 2023.
For the six months ended June 30, 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 37.2% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 14.8% for the six months ended June 30, 2023, was primarily due to appreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
The benchmark’s rise of 22.3% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 4.4% for the six months ended June 30, 2023, can be attributed to an increase in the value of silver futures contracts during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended
June 30, 2024
    
Six Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 7,677,640      $ 5,153,877  
Management fee
     2,118,718        1,848,064  
Brokerage commission
     84,222        73,637  
Net realized gain (loss)
     216,214,526        35,871,579  
Change in net unrealized appreciation (depreciation)
     (65,670,658      (96,665,222
Net Income (loss)
   $ 158,221,508      $ (55,639,766
The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to an increase in the value of futures prices during the six months ended June 30, 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 six months ended June 30, 2024 and 2023:
 
    
Six Months Ended
June 30, 2024
   
Six Months Ended
June 30, 2023
 
NAV beginning of period
   $ 348,555,743     $ 639,318,362  
NAV end of period
   $ 232,135,198     $ 387,764,059  
Percentage change in NAV
     (33.4 )%      (39.3 )% 
Shares outstanding beginning of period
     8,264,892       1,861,568  
Shares outstanding end of period
     9,843,643       4,195,568  
Percentage change in shares outstanding
     19.1     125.4
Shares created
     9,850,000       4,262,000  
Shares redeemed
     8,271,248       1,928,000  
Per share NAV beginning of period
   $ 42.17     $ 343.43  
Per share NAV end of period
   $ 23.58     $ 92.42  
Percentage change in per share NAV
     (44.1 )%      (73.1 )% 
Percentage change in benchmark
     (29.4 )%      (55.7 )% 
Benchmark annualized volatility
     40.3     58.0
During the six months ended June 30, 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 9,843,643 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 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 4,195,568 outstanding Shares at June 30, 2023.
For the six months ended June 30, 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 44.1% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 73.1% for the six months ended June 30, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
The benchmark’s decline of 29.4% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 55.7% for the six months ended June 30, 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 June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended
June 30, 2024
    
Six Months Ended
June 30, 2023
 
Net investment income (loss)
   $ 2,781,434      $ 4,722,827  
Management fee
     1,221,345        2,703,851  
Brokerage commission
     941,152        1,490,212  
Futures account fees
     150,134        250,360  
Net realized gain (loss)
     (148,405,278      (608,541,564
Change in net unrealized appreciation (depreciation)
     24,979,009        (43,277,650
Net Income (loss)
   $ (120,644,835    $ (647,096,387
The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a lesser decrease in the value of futures prices during the six months ended June 30, 2024.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the reverse Share split for ProShares Ultra VIX Short Term Futures ETF.
 
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ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
   
Six Months Ended

June 30, 2023
 
NAV beginning of period
   $ 30,205,770     $ 13,814,796  
NAV end of period
   $ 44,510,138     $ 12,330,974  
Percentage change in NAV
     47.4     (10.7 )% 
Shares outstanding beginning of period
     1,099,970       399,970  
Shares outstanding end of period
     2,199,970       449,970  
Percentage change in shares outstanding
     100.0     12.5
Shares created
     1,300,000       200,000  
Shares redeemed
     200,000       150,000  
Per share NAV beginning of period
   $ 27.46     $ 34.54  
Per share NAV end of period
   $ 20.23     $ 27.40  
Percentage change in per share NAV
     (26.3 )%      (20.7 )% 
Percentage change in benchmark
     (12.4 )%      (9.0 )% 
Benchmark annualized volatility
     8.4     10.8
 
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During the six months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 1,099,970 outstanding Shares at December 31, 2023 to 2,199,970 outstanding Shares at June 30, 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 six months ended June 30, 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 spot price of the Japanese yen versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 399,970 outstanding Shares at December 31, 2022 to 449,970 outstanding.
For the six months ended June 30, 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 26.3% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 20.7% for the six months ended June 30, 2023, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
The benchmark’s decline of 12.4% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 9.0% for the six months ended June 30, 2023, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
    
Six Months Ended

June 30, 2023
 
Net investment income (loss)
   $ 677,203      $ 179,208  
Management fee
     176,608        55,890  
Net realized gain (loss)
     (7,397,198      (1,068,950
Change in net unrealized appreciation (depreciation)
     (4,421,343      (1,842,176
Net Income (loss)
   $ (11,141,338    $ (2,731,918
The Fund’s net income decreased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar, in conjunction with a significant increase in average shares outstanding during the six months ended June 30, 2024.
 
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ProShares UltraShort Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
   
Six Months Ended

June 30, 2023
 
NAV beginning of period
   $ 188,963,592     $ 222,697,337  
NAV end of period
   $ 177,620,038     $ 112,854,952  
Percentage change in NAV
     (6.0 )%      (49.3 )% 
Shares outstanding beginning of period
     9,105,220       9,305,220  
Shares outstanding end of period
     11,405,220       4,405,220  
Percentage change in shares outstanding
     25.3     (52.7 )% 
Shares created
     12,650,000       11,550,000  
Shares redeemed
     10,350,000       16,450,000  
Per share NAV beginning of period
   $ 20.75     $ 23.93  
Per share NAV end of period
   $ 15.57     $ 25.62  
Percentage change in per share NAV
     (25.0 )%      7.1
Percentage change in benchmark
     13.3     (9.5 )% 
Benchmark annualized volatility
     19.5     31.7
During the six months ended June 30, 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 the inverse
(-2x)
of 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 9,105,220 outstanding Shares at December 31, 2023 to 11,405,220 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,305,220 outstanding Shares at December 31, 2022 to 4,405,220 outstanding Shares at June 30, 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 six months ended June 30, 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 25.0% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 7.1% for the six months ended June 30, 2023, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
The benchmark’s rise of 13.3% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 9.5% for the six months ended June 30, 2023, can be attributed to an increase in the value of WTI Crude Oil during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
    
Six Months Ended

June 30, 2023
 
Net investment income (loss)
   $ 3,542,907      $ 2,593,344  
Management fee
     892,340        844,057  
Brokerage commission
     97,800        125,836  
Net realized gain (loss)
     (12,652,246      55,649,291  
Change in net unrealized appreciation (depreciation)
     (36,001,228      2,739,622  
Net Income (loss)
   $ (45,110,567    $ 60,982,257  
The Fund’s net income decreased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to an increase in the value of WTI Crude Oil, during the six months ended June 30, 2024.
 
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ProShares UltraShort Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
   
Six Months Ended

June 30, 2023
 
NAV beginning of period
   $ 140,963,092     $ 134,109,520  
NAV end of period
   $ 147,292,427     $ 141,324,963  
Percentage change in NAV
     4.5     5.4
Shares outstanding beginning of period
     2,933,712       9,933,712  
Shares outstanding end of period
     2,983,712       5,133,712  
Percentage change in shares outstanding
     1.7     (48.3 )% 
Shares created
     14,000,000       27,700,000  
Shares redeemed
     13,950,000       32,500,000  
Per share NAV beginning of period
   $ 48.05     $ 13.50  
Per share NAV end of period
   $ 49.37     $ 27.53  
Percentage change in per share NAV
     2.8     103.9
Percentage change in benchmark
     (18.8 )%      (49.3 )% 
Benchmark annualized volatility
     55.3     69.2
During the six months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 2,933,712 outstanding Shares at December 31, 2023 to 2,983,712 outstanding Shares at June 30, 2024. 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 Bloomberg Natural Gas Subindex
SM
. By comparison, during the six months ended June 30, 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 5,133,712 outstanding Shares at June 30, 2023.
For the six months ended June 30, 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 2.8% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 103.9% for the six months ended June 30, 2023, was primarily due to lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
The benchmark’s decline of 18.8% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 49.3% for the six months ended June 30, 2023, can be attributed to a lesser decrease in the value of Henry Hub Natural Gas during the period ended June 30, 2024.
 
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Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
    
Six Months Ended

June 30, 2023
 
Net investment income (loss)
   $ 1,758,807      $ 1,432,850  
Management fee
     572,504        599,136  
Brokerage commission
     566,252        443,288  
Futures account fees
     27,011        56,367  
Net realized gain (loss)
     89,322        232,143,809  
Change in net unrealized appreciation (depreciation)
     44,377,047        (106,209,898
Net Income (loss)
   $ 46,225,176      $ 127,366,761  
The Fund’s net income decreased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a lesser decrease in the value of Henry Hub Natural Gas during the six months ended June 30, 2024.
 
*
See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form
10-Q
regarding the forward Share split for ProShares UltraShort Bloomberg Natural Gas.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
   
Six Months Ended

June 30, 2023
 
NAV beginning of period
   $ 39,367,550     $ 75,113,179  
NAV end of period
   $ 38,226,983     $ 50,931,301  
Percentage change in NAV
     (2.9 )%      (32.2 )% 
Shares outstanding beginning of period
     1,350,000       2,550,000  
Shares outstanding end of period
     1,200,000       1,750,000  
Percentage change in shares outstanding
     (11.1 )%      (31.4 )% 
Shares created
     50,000       100,000  
Shares redeemed
     200,000       900,000  
Per share NAV beginning of period
   $ 29.16     $ 29.46  
Per share NAV end of period
   $ 31.86     $ 29.10  
Percentage change in per share NAV
     9.2     (1.2 )% 
Percentage change in benchmark
     (3.0 )%      1.9
Benchmark annualized volatility
     5.2     8.0
During the six months ended June 30, 2024, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,350,000 outstanding Shares at December 31, 2023 to 1,200,000 outstanding Shares at June 30, 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 six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at December 31, 2022 to 1,750,000 outstanding Shares at June 30, 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.
 
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For the six months ended June 30, 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 9.2% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 1.2% for the six months ended June 30, 2023, was primarily due to an appreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
The benchmark’s decline of 3.0% for the six months ended June 30, 2024, as compared to the benchmark’s rise of 1.9% for the six months ended June 30, 2023, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
    
Six Months Ended

June 30, 2023
 
Net investment income (loss)
   $ 701,961      $ 948,197  
Management fee
     186,228        292,669  
Net realized gain (loss)
     (38,460      (2,453,253
Change in net unrealized appreciation (depreciation)
     2,768,728        697,680  
Net Income (loss)
   $ 3,432,229      $ (807,376
The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a decrease in the value of the euro versus the U.S. dollar during the six months ended June 30, 2024.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
   
Six Months Ended

June 30, 2023
 
NAV beginning of period
   $ 11,795,779     $ 15,456,037  
NAV end of period
   $ 16,131,791     $ 15,809,378  
Percentage change in NAV
     36.8     2.3
Shares outstanding beginning of period
     446,977       496,977  
Shares outstanding end of period
     746,977       546,977  
Percentage change in shares outstanding
     67.1     10.1
Shares created
     650,000       600,000  
Shares redeemed
     350,000       550,000  
Per share NAV beginning of period
   $ 26.39     $ 31.10  
Per share NAV end of period
   $ 21.60     $ 28.90  
Percentage change in per share NAV
     (18.2 )%      (7.1 )% 
Percentage change in benchmark
     12.7     5.4
Benchmark annualized volatility
     14.3     14.3
 
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During the six months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 446,977 outstanding Shares at December 31, 2023 to 746,977 outstanding Shares at June 30, 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 six months ended June 30, 2023, the increase in the Fund’s NAV resulted primarily from an increase from 496,977 outstanding Shares at December 31, 2022 to 546,977 outstanding Shares at June 30, 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 six months ended June 30, 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 18.2% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 7.1% for the six months ended June 30, 2023, was primarily due to greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
The benchmark’s rise of 12.7% for the six months ended June 30, 2024, as compared to the benchmark’s rise of 5.4% for the six months ended June 30, 2023, can be attributed to a greater increase in the value of gold futures contracts during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
    
Six Months Ended

June 30, 2023
 
Net investment income (loss)
   $ 246,002      $ 234,406  
Management fee
     71,710        79,242  
Brokerage commission
     2,218        2,966  
Net realized gain (loss)
     (3,914,287      (2,584,032
Change in net unrealized appreciation (depreciation)
     919,857        2,103,219  
Net Income (loss)
   $ (2,748,428    $ (246,407
The Fund’s net income decreased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a greater increase in the value of the futures prices during the six months ended June 30, 2024.
 
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ProShares UltraShort Silver*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
   
Six Months Ended

June 30, 2023
 
NAV beginning of period
   $ 65,149,686     $ 31,932,799  
NAV end of period
   $ 76,198,743     $ 19,290,473  
Percentage change in NAV
     17.0     (39.6 )% 
Shares outstanding beginning of period
     897,832       410,332  
Shares outstanding end of period
     1,697,832       235,332  
Percentage change in shares outstanding
     89.1     (42.6 )% 
Shares created
     2,250,000       775,000  
Shares redeemed
     1,450,000       950,000  
Per share NAV beginning of period
   $ 72.56     $ 77.82  
Per share NAV end of period
   $ 44.88     $ 81.97  
Percentage change in per share NAV
     (38.2 )%      5.3
Percentage change in benchmark
     22.3     (4.4 )% 
Benchmark annualized volatility
     31.2     25.8
During the six months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 897,832 outstanding Shares at December 31, 2023 to 1,697,832 outstanding Shares at June 30, 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 Silver Subindex
SM
. By comparison, during the six months ended June 30, 2023, the decrease in the Fund’s NAV resulted primarily from a decrease from 410,332 outstanding Shares at December 31, 2022 to 235,332 outstanding Shares at June 30, 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 Silver Subindex
SM
.
For the six months ended June 30, 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 38.2% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 5.3% for the six months ended June 30, 2023, was primarily due to depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
The benchmark’s rise of 22.3% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 4.4% for the six months ended June 30, 2023, can be attributed to an increase in the value of the silver futures contracts during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
    
Six Months Ended

June 30, 2023
 
Net investment income (loss)
   $ 728,788      $ 366,566  
Management fee
     230,179        142,585  
Brokerage commission
     19,887        14,661  
Net realized gain (loss)
     (10,290,118      3,826,313  
Change in net unrealized appreciation (depreciation)
     3,484,222        4,467,058  
Net Income (loss)
   $ (6,077,108    $ 8,659,937  
The Fund’s net income decreased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to an increase in the value of futures prices during the six months ended June 30, 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 six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
   
Six Months Ended

June 30, 2023
 
NAV beginning of period
   $ 24,010,010     $ 21,397,736  
NAV end of period
   $ 47,495,032     $ 27,077,656  
Percentage change in NAV
     97.8     26.5
Shares outstanding beginning of period
     697,160       797,160  
Shares outstanding end of period
     997,160       797,160  
Percentage change in shares outstanding
     43.0    
Shares created
     600,000       900,000  
Shares redeemed
     300,000       900,000  
Per share NAV beginning of period
   $ 34.44     $ 26.84  
Per share NAV end of period
   $ 47.63     $ 33.97  
Percentage change in per share NAV
     38.3     26.6
Percentage change in benchmark
     (12.4 )%      (9.0 )% 
Benchmark annualized volatility
     8.4     10.8
During the six months ended June 30, 2024, the increase in the Fund’s NAV resulted primarily from an increase from 697,160 outstanding Shares at December 31, 2023 to 997,160 outstanding Shares at June 30, 2024. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the six months ended June 30, 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 spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31,2022 to June 30, 2023.
For the six months ended June 30, 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 38.3% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV increase of 26.6% for the six months ended June 30, 2023, was primarily due to greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
 
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The benchmark’s decline of 12.4% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 9.0% for the six months ended June 30, 2023, can be attributed to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the period ended June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
    
Six Months Ended

June 30, 2023
 
Net investment income (loss)
   $ 608,578      $ 350,563  
Management fee
     163,082        108,991  
Net realized gain (loss)
     6,126,381        342,795  
Change in net unrealized appreciation (depreciation)
     4,468,019        5,004,524  
Net Income (loss)
   $ 11,202,978      $ 5,697,882  
The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a greater decrease in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 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 Yen.
ProShares VIX
Mid-Term
Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
   
Six Months Ended

June 30, 2023
 
NAV beginning of period
   $ 37,866,143     $ 84,014,959  
NAV end of period
   $ 33,401,452     $ 49,421,413  
Percentage change in NAV
     (11.8 )%      (41.2 )% 
Shares outstanding beginning of period
     2,262,403       2,762,403  
Shares outstanding end of period
     2,337,403       2,412,403  
Percentage change in shares outstanding
     3.3     (12.7 )% 
Shares created
     8,625,000       850,000  
Shares redeemed
     8,550,000       1,200,000  
Per share NAV beginning of period
   $ 16.74     $ 30.41  
Per share NAV end of period
   $ 14.29     $ 20.49  
Percentage change in per share NAV
     (14.6 )%      (32.6 )% 
Percentage change in benchmark
     (13.8 )%      (31.9 )% 
Benchmark annualized volatility
     19.3     30.2
During the six months ended June 30, 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 the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. The decrease in the Fund’s NAV was offset by an increase from 2,262,403 outstanding Shares at December 31, 2023 to 2,337,403 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 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 2,412,403 outstanding Shares at June 30, 2023.
 
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For the six months ended June 30, 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 14.6% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 32.6% for the six months ended June 30, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
The benchmark’s decline of 13.8% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 31.9% for the six months ended June 30, 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 June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
    
Six Months Ended

June 30, 2023
 
Net investment income (loss)
   $ 1,231,053      $ 969,651  
Management fee
     288,207        284,189  
Brokerage commission
     86,212        21,369  
Futures account fees
     16,541        23,296  
Net realized gain (loss)
     (15,054,609      (22,764,053
Change in net unrealized appreciation (depreciation)
     3,885,170        (5,092,642
Net Income (loss)
   $ (9,938,386    $ (26,887,044
The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a lesser decrease in the value of the futures prices during the six months ended June 30, 2024.
ProShares VIX Short-Term Futures ETF
*
Fund Performance
The following table provides summary performance information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
   
Six Months Ended

June 30, 2023
 
NAV beginning of period
   $ 157,321,746     $ 266,580,320  
NAV end of period
   $ 148,420,028     $ 230,227,830  
Percentage change in NAV
     (5.7 )%      (13.6 )% 
Shares outstanding beginning of period
     2,537,737       1,169,141  
Shares outstanding end of period
     3,425,237       2,306,641  
Percentage change in shares outstanding
     35.0     97.3
Shares created
     1,875,000       1,690,000  
Shares redeemed
     987,500       552,500  
Per share NAV beginning of period
   $ 61.99     $ 228.01  
Per share NAV end of period
   $ 43.33     $ 99.81  
Percentage change in per share NAV
     (30.1 )%      (56.2 )% 
Percentage change in benchmark
     (29.4 )%      (55.7 )% 
Benchmark annualized volatility
     40.3     58.0
 
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During the six months ended June 30, 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 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 2,537,737 outstanding Shares at December 31, 2023 to 3,425,237 outstanding Shares at June 30, 2024. By comparison, during the six months ended June 30, 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 2,306,641 outstanding Shares at June 30, 2023
For the six months ended June 30, 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 30.1% for the six months ended June 30, 2024, as compared to the Fund’s per Share NAV decrease of 56.2% for the six months ended June 30, 2023, was primarily due to lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2024.
The benchmark’s decline of 29.4% for the six months ended June 30, 2024, as compared to the benchmark’s decline of 55.7% for the six months ended June 30, 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 June 30, 2024.
Net Income/Loss
The following table provides summary income information for the Fund for the six months ended June 30, 2024 and 2023:
 
    
Six Months Ended

June 30, 2024
    
Six Months Ended

June 30, 2023
 
Net investment income (loss)
   $ 2,587,545      $ 3,221,259  
Management fee
     646,437        1,048,314  
Brokerage commission
     79,663        191,888  
Futures account fees
     64,538        99,391  
Net realized gain (loss)
     (59,266,488      (173,336,606
Change in net unrealized appreciation (depreciation)
     6,991,389        (20,173,227
Net Income (loss)
   $ (49,687,554    $ (190,288,574
The Fund’s net income increased for the six months ended June 30, 2024 as compared to the six months ended June 30, 2023, primarily due to a lesser decrease in the value of the futures prices during the six months ended June 30, 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 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 June 30, 2024 and 2023, each of the Fund’s positions were as follows:
ProShares Short VIX Short-Term Futures ETF
As of June 30, 2024 and 2023, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of June 30, 2024 and 2023, which were sensitive to equity market volatility risk.
 
Futures Positions as of June 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
   Short    July 2024      5,997      $ 14.02        1,000      $ (84,094,732
VIX Futures (Cboe)
   Short    August 2024      4,360        14.94        1,000        (65,139,272
 
Futures Positions as of June 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
   Short    July 2023      5,241      $ 15.01        1,000      $ (78,672,651
VIX Futures (Cboe)
   Short    August 2023      3,810        16.40        1,000        (62,485,143
The June 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its position in Financial Instruments each day to have $0.50 of short exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative
one-half.
See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
 
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ProShares Ultra Bloomberg Crude Oil:
As of June 30, 2024 and 2023, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and swap agreements linked to the Bloomberg Commodity Balanced WTI Crude Oil Index
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2024 and 2023, which were sensitive to commodity price risk.
 
Futures Positions as of June 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   Long    September 2024      713      $ 80.64        1,000      $ 57,496,320  
WTI Crude Oil (NYMEX)
   Long    December 2024      757        78.34        1,000        59,303,380  
WTI Crude Oil (NYMEX)
   Long    June 2025      783        75.26        1,000        58,928,580  
 
Swap Agreements as of June 30, 2024
 
Reference Index
  
Counterparty
  
Long or
Short
    
Index
Close
    
Notional Amount

at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
   Citibank, N.A.      Long      $ 92.4892      $ 188,892,450  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Goldman Sachs International      Long        92.4892        259,202,833  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Morgan Stanley & Co. International PLC      Long        92.4892        78,742,345  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Societe Generale      Long        92.4892        196,752,460  
Bloomberg Commodity Balanced WTI Crude Oil Index
   UBS AG      Long        92.4892        155,618,166  
 
Futures Positions as of June 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   Long    September 2023      2,315      $ 70.78        1,000      $ 163,855,700  
WTI Crude Oil (NYMEX)
   Long    December 2023      2,393        70.40        1,000        168,467,200  
WTI Crude Oil (NYMEX)
   Long    June 2024      2,478        69.02        1,000        171,031,560  
 
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Swap Agreements as of June 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index
Close
    
Notional Amount

at Value
 
Bloomberg Commodity Balanced WTI Crude Oil Index
   Citibank, N.A.    Long    $ 76.6109      $ 172,685,565  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Goldman Sachs International    Long      76.6109        214,703,580  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Morgan Stanley & Co.
International PLC
   Long      76.6109        179,707,950  
Bloomberg Commodity Balanced WTI Crude Oil Index
   Societe Generale    Long      76.6109        162,974,521  
Bloomberg Commodity Balanced WTI Crude Oil Index
   UBS AG    Long      76.6109        242,623,120  
The June 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2024 and 2023 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Bloomberg Natural Gas:
As of June 30, 2024 and 2023, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts linked to the Bloomberg Natural Gas Subindex. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2024 and 2023, which were sensitive to commodity price risk.
 
Futures Positions as of June 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Natural Gas (NYMEX)
   Long    September 2024      41,612      $ 2.60        10,000      $ 1,081,079,760  
 
Futures Positions as of June 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Natural Gas (NYMEX)
   Long    September 2023      71,349      $ 2.77        10,000      $ 1,979,221,260  
The June 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, 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.
 
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ProShares Ultra Euro:
As of June 30, 2024 and 2023, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of EUR/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2024 and 2023, which were sensitive to exchange rate price risk.
 
Foreign Currency Forward Contracts as of June 30, 2024
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local Currency
   
Forward Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International    Long      07/12/24        4,686,921       1.0846      $ 5,083,455  
Euro
   UBS AG    Long      07/12/24        5,951,502       1.0849        6,456,765  
Euro
   UBS AG    Short      07/12/24        (193,000     1.0713        (206,764
 
Foreign Currency Forward Contracts as of June 30, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local Currency
   
Forward Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International    Long      07/14/23        7,784,921       1.0754      $ 8,372,037  
Euro
   UBS AG    Long      07/14/23        7,204,502       1.0765        7,755,419  
Euro
   Goldman Sachs International    Short      07/14/23        (93,000     1.0899        (101,361
Euro
   UBS AG    Short      07/14/23        (1,152,000     1.0907        (1,256,509
The June 30, 2024 and 2023 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Gold:
As of June 30, 2024 and 2023 the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2024 and 2023, which were sensitive to commodity price risk.
 
Futures Positions as of June 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Gold Futures (COMEX)
   Long    August 2024      582      $ 2,339.60        100      $ 136,164,720  
 
Swap Agreements as of June 30, 2024
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.    Long    $ 230.1139      $ 127,422,794  
Bloomberg Gold Subindex
   Goldman Sachs International    Long      230.1139        60,521,797  
Bloomberg Gold Subindex
   UBS AG    Long      230.1139        108,811,563  
 
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Table of Contents
Futures Positions as of June 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Gold Futures (COMEX)
   Long    August 2023      530      $ 1,929.40        100      $ 102,258,200  
 
Swap Agreements as of June 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.    Long    $ 201.2774      $ 111,454,930  
Bloomberg Gold Subindex
   Goldman Sachs International    Long      201.2774        52,937,566  
Bloomberg Gold Subindex
   UBS AG    Long      201.2774        95,175,948  
The June 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2024 and 2023 swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra Silver:
As of June 30, 2024 and 2023 the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2024 and 2023, which were sensitive to commodity price risk.
 
Futures Positions as of June 30, 2024
 
Contract
  
Long or

Short
  
Expiration
    
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional
Amount

at Value
 
Silver Futures (COMEX)
   Long      September 2024        3,130      $ 29.56        5,000      $ 462,614,000  
 
Swap Agreements as of June 30, 2024
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.    Long    $ 240.0401      $ 302,102,674  
Bloomberg Silver Subindex
   Goldman Sachs International    Long      240.0401        26,589,962  
Bloomberg Silver Subindex
   Morgan Stanley & Co.
International PLC
   Long      240.0401        180,402,617  
Bloomberg Silver Subindex
   UBS AG    Long      240.0401        169,794,092  
 
Futures Positions as of June 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Silver Futures (COMEX)
   Long    September 2023      2,047      $ 23.02        5,000      $ 235,609,700  
 
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Swap Agreements as of June 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.    Long    $ 198.4659      $ 166,412,438  
Bloomberg Silver Subindex
   Goldman Sachs International    Long      198.4659        21,984,663  
Bloomberg Silver Subindex
   Morgan Stanley & Co.
International PLC
   Long      198.4659        149,157,444  
Bloomberg Silver Subindex
   UBS AG    Long      198.4659        140,386,283  
The June 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2024 and 2023 and swap notional values equal units multiplied by the swap price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares Ultra VIX Short-Term Futures ETF
As of June 30, 2024 and 2023, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2024 and 2023, which were sensitive to equity market volatility risk.
 
 
Futures Positions as of June 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
   Long    July 2024      13,989      $ 14.02        1,000      $ 196,164,949  
VIX Futures (Cboe)
   Long    August 2024      10,175        14.94        1,000        152,016,535  
 
Futures Positions as of June 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
VIX Futures (Cboe)
   Long    July 2023      21,591      $ 15.01        1,000      $ 324,102,501  
VIX Futures (Cboe)
   Long    August 2023      15,704        16.40        1,000        257,550,311  
The June 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.50 of exposure to the Index for every $1.00 of net assets. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by one and
one-half.
See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
 
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ProShares Ultra Yen:
As of June 30, 2024 and 2023, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2024 and 2023, which were sensitive to exchange rate price risk.
 
Foreign Currency Forward Contracts as of June 30, 2024
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local Currency
   
Forward Rate
    
Market Value
USD
 
Yen
   Goldman Sachs International    Long      07/12/24        6,727,184,056       0.006440      $ 43,324,400  
Yen
   UBS AG    Long      07/12/24        7,961,290,856       0.006415        51,074,385  
Yen
   UBS AG    Short      07/12/24        (384,862,000     0.006303        (2,425,712
 
Foreign Currency Forward Contracts as of June 30, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local Currency
   
Forward Rate
    
Market Value
USD
 
Yen
   Goldman Sachs International    Long      07/14/23        1,507,359,517       0.007217      $ 10,877,886  
Yen
   UBS AG    Long      07/14/23        2,188,352,856       0.007161        15,670,467  
Yen
   Goldman Sachs International    Short      07/14/23        (1,461     0.006844        (10
Yen
   UBS AG    Short      07/14/23        (158,537,000     0.007066        (1,120,148
The June 30, 2024 and 2023 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Bloomberg Crude Oil:
As of June 30, 2024 and 2023, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2024 and 2023, which were sensitive to commodity price risk.
 
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Table of Contents
Futures Positions as of June 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   Short    September 2024      1,443      $ 80.64        1,000      $ (116,363,520
WTI Crude Oil (NYMEX)
   Short    December 2024      1,526        78.34        1,000        (119,546,840
WTI Crude Oil (NYMEX)
   Short    June 2025      1,585        75.26        1,000        (119,287,100
 
Futures Positions as of June 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
WTI Crude Oil (NYMEX)
   Short    September 2023      1,038      $ 70.78        1,000      $ (73,469,640
WTI Crude Oil (NYMEX)
   Short    December 2023      1,073        70.40        1,000        (75,539,200
WTI Crude Oil (NYMEX)
   Short    June 2024      1,111        69.02        1,000        (76,681,220
The June 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Bloomberg Natural Gas:
As of June 30, 2024 and 2023, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2024 and 2023, which were sensitive to commodity price risk.
 
Futures Positions as of June 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Natural Gas (NYMEX)
   Short    September 2024      11,339      $ 2.60        10,000      $ (294,587,220
 
Futures Positions as of June 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Natural Gas (NYMEX)
   Short    September 2023      10,189      $ 2.77        10,000      $ (282,642,860
 
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Table of Contents
The June 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of Contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares UltraShort Euro:
As of June 30, 2024 and 2023, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2024 and 2023, which were sensitive to exchange rate price risk.
 
Foreign Currency Forward Contracts as of June 30, 2024
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local Currency
   
Forward Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International    Long      07/12/24        828,000       1.0744      $ 889,628  
Euro
   UBS AG    Long      07/12/24        2,335,000       1.0782        2,517,632  
Euro
   Goldman Sachs International    Short      07/12/24        (38,212,263     1.0847        (41,448,956
Euro
   UBS AG    Short      07/12/24        (36,370,199     1.0836        (39,409,584
 
Foreign Currency Forward Contracts as of June 30, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local Currency
   
Forward Rate
    
Market Value
USD
 
Euro
   Goldman Sachs International    Long      07/14/23        4,446,000       1.1002      $ 4,891,387  
Euro
   UBS AG    Long      07/14/23        12,460,000       1.0897        13,577,549  
Euro
   Goldman Sachs International    Short      07/14/23        (51,941,263     1.0759        (55,884,697
Euro
   UBS AG    Short      07/14/23        (58,308,199     1.0763        (62,758,994
The June 30, 2024 and 2023 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the euro for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Gold:
As of June 30, 2024 and 2023 the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and swap agreements linked to the Bloomberg Gold Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2024 and 2023, which were sensitive to commodity price risk.
 
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Futures Positions as of June 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Gold Futures (COMEX)
   Short    August 2024      58      $ 2,339.60        100      $ (13,569,680
Swap Agreements as of June 30, 2024
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.    Short    $ 230.1139      $ (4,325,519
Bloomberg Gold Subindex
   Goldman Sachs International    Short      230.1139        (5,669,086
Bloomberg Gold Subindex
   UBS AG    Short      230.1139        (8,768,527
Futures Positions as of June 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Gold Futures (COMEX)
   Short    August 2023      79      $ 1,929.40        100      $ (15,242,260
Swap Agreements as of June 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Gold Subindex
   Citibank, N.A.    Short    $ 201.2774      $ (3,783,471
Bloomberg Gold Subindex
   Goldman Sachs International    Short      201.2774        (4,958,670
Bloomberg Gold Subindex
   UBS AG    Short      201.2774        (7,669,707
The June 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2024 and 2023 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Silver:
As of June 30, 2024 and 2023 the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and swap agreements linked to the Bloomberg Silver Subindex
SM
. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2024 and 2023, which were sensitive to commodity price risk.
 
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Futures Positions as of June 30, 2024
 
                      
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Silver Futures (COMEX)
   Short    September 2024      706      $ 29.56        5,000      $ (104,346,800
Swap Agreements as of June 30, 2024
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.    Short    $ 240.0401      $ (21,477,041
Bloomberg Silver Subindex
   Goldman Sachs International    Short      240.0401        (11,791,490
Bloomberg Silver Subindex
   Morgan Stanley & Co.
International PLC
   Short      240.0401        (1,626,512
Bloomberg Silver Subindex
   UBS AG    Short      240.0401        (13,101,894
Futures Positions as of June 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional Amount

at Value
 
Silver Futures (COMEX)
   Short    September 2023      139      $ 23.02        5,000      $ (15,998,900
Swap Agreements as of June 30, 2023
 
Reference Index
  
Counterparty
  
Long or
Short
  
Index Close
    
Notional Amount

at Value
 
Bloomberg Silver Subindex
   Citibank, N.A.    Short    $ 198.4659      $ (2,676,258
Bloomberg Silver Subindex
   Goldman Sachs International    Short      198.4659        (9,749,240
Bloomberg Silver Subindex
   Morgan Stanley & Co.
International PLC
   Short      198.4659        (7,708,614
Bloomberg Silver Subindex
   UBS AG    Short      198.4659        (2,464,968
The June 30, 2024 and 2023 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2024 and 2023 swap notional values equal units multiplied by the swap price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or swap price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the Index for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Swap counterparty risk generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares UltraShort Yen:
As of June 30, 2024 and 2023, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2024 and 2023, which were sensitive to exchange rate price risk.
 
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Foreign Currency Forward Contracts as of June 30, 2024
 
Reference
Currency
  
Counterparty
  
Long
or
Short
  
Settlement
Date
    
Local Currency
   
Forward
Rate
    
Market Value
USD
 
Yen
   UBS AG    Long      07/12/24        1,368,727,000       0.006384      $ 8,738,292  
Yen
   Goldman Sachs International    Short      07/12/24        (8,022,884,165     0.006440        (51,668,966
Yen
   UBS AG    Short      07/12/24        (8,533,259,574     0.006422        (54,800,030
Foreign Currency Forward Contracts as of June 30, 2023
 
Reference
Currency
  
Counterparty
  
Long or
Short
  
Settlement
Date
    
Local Currency
   
Forward
Rate
    
Market Value
USD
 
Yen
   UBS AG    Long      07/14/23        1,228,677,000       0.007157      $ 8,793,482  
Yen
   Goldman Sachs International    Short      07/14/23        (3,428,392,165     0.007206        (24,704,991
Yen
   UBS AG    Short      07/14/23        (5,596,567,574     0.007187        (40,224,318
The June 30, 2024 and 2023 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to have $2.00 of short exposure to the yen for every $1.00 of net assets. Future
period
returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated
tri-party
accounts at the Fund’s third-party custodian.
ProShares VIX
Mid-Term
Futures ETF
As of June 30, 2024 and 2023, the ProShares VIX
Mid-Term
Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of June 30, 2024 and 2023, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2024
 
Contract
  
Long or

Short
  
Expiration
    
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional
Amount

at Value
 
VIX Futures (Cboe)
   Long      October 2024        367      $ 18.18        1,000      $ 6,671,142  
VIX Futures (Cboe)
   Long      November 2024        633        17.33        1,000        10,966,725  
VIX Futures (Cboe)
   Long      December 2024        633        17.30        1,000        10,951,280  
VIX Futures (Cboe)
   Long      January 2025        267        17.95        1,000        4,792,650  
Futures Positions as of June 30, 2023
 
Contract
  
Long or

Short
  
Expiration
    
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional
Amount

at Value
 
VIX Futures (Cboe)
   Long      October 2023        501      $ 18.35        1,000      $ 9,192,799  
VIX Futures (Cboe)
   Long      November 2023        865        18.85        1,000        16,305,250  
VIX Futures (Cboe)
   Long      December 2023        865        19.15        1,000        16,564,750  
VIX Futures (Cboe)
   Long      January 2024        364        20.20        1,000        7,352,800  
 
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The June 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
ProShares VIX Short-Term Futures ETF
As of June 30, 2024 and 2023, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in VIX futures contracts as of June 30, 2024 and 2023, which were sensitive to equity market volatility risk.
Futures Positions as of June 30, 2024
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional
Amount

at Value
 
VIX Futures (Cboe)
   Long    July 2024      5,961      $ 14.02        1,000      $ 83,589,911  
VIX Futures (Cboe)
   Long    August 2024      4,335        14.94        1,000        64,765,767  
Futures Positions as of June 30, 2023
 
Contract
  
Long or

Short
  
Expiration
  
Contracts
    
Valuation

Price
    
Contract

Multiplier
    
Notional
Amount

at Value
 
VIX Futures (Cboe)
   Long    July 2023      8,545      $ 15.01        1,000      $ 128,268,995  
VIX Futures (Cboe)
   Long    August 2023      6,216        16.40        1,000        101,944,265  
The June 30, 2024 and 2023 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments
each day
to match the performance of the Index. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Annual Report on Form
10-K
for additional information regarding performance for periods longer than a single day.
 
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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 collateralized by government securities).
Item 4. Controls and Procedures.
Disclosure Controls and Procedures
Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were not effective due to a material weakness with respect to controls related to the classification of the Future Commission Merchant (“FCM”) accounts, as of June 30, 2024. As a result, additional analysis was performed as deemed necessary to ensure that our financial statements were prepared in accordance with U.S. generally accepted accounting principles. Accordingly, management believes that the financial statements included in the Quarterly Report present fairly, in all material respects, our financial position, results of operations and cash flows for the periods presented.
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 developed and begun implementing a remediation 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.
 
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Table of Contents
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 during the quarter ended June 30, 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 June 30, 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.
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
 
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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 r 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 six months ended June 30, 2024:
 
                                                                                                     
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
        
  
 
04/01/24 to 04/30/24
 
  
 
550,000
 
  
$
54.77
 
  
 
05/01/24 to 05/31/24
 
  
 
450,000
 
  
$
57.87
 
  
 
06/01/24 to 06/30/24
 
  
 
50,000
 
  
$
60.70
 
ProShares Ultra Bloomberg Crude Oil
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
2,100,000
 
  
$
34.10
 
  
 
05/01/24 to 05/31/24
 
  
 
1,250,000
 
  
$
31.99
 
  
 
06/01/24 to 06/30/24
 
  
 
3,950,000
 
  
$
31.98
 
ProShares Ultra Bloomberg Natural Gas***
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
2,250,000
 
  
$
71.40
 
  
 
05/01/24 to 05/31/24
 
  
 
2,910,000
 
  
$
92.70
 
  
 
06/01/24 to 06/30/24
 
  
 
1,620,000
 
  
$
100.75
 
ProShares Ultra Euro
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
100,000
 
  
$
11.08
 
  
 
05/01/24 to 05/31/24
 
  
 
— 
 
  
$
— 
 
  
 
06/01/24 to 06/30/24
 
  
 
— 
 
  
$
— 
 
 
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Table of Contents
                                                                                                     
ProShares Ultra Gold
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
150,000
 
  
$
78.96
 
  
 
05/01/24 to 05/31/24
 
  
 
150,000
 
  
$
80.15
 
  
 
06/01/24 to 06/30/24
 
  
 
250,000
 
  
$
77.88
 
ProShares Ultra Silver
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
2,000,000
 
  
$
35.69
 
  
 
05/01/24 to 05/31/24
 
  
 
1,300,000
 
  
$
43.37
 
  
 
06/01/24 to 06/30/24
 
  
 
750,000
 
  
$
38.17
 
ProShares Ultra VIX Short-Term Futures ETF**
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
3,931,248
 
  
$
36.38
 
  
 
05/01/24 to 05/31/24
 
  
 
650,000
 
  
$
26.36
 
  
 
06/01/24 to 06/30/24
 
  
 
1,450,000
 
  
$
24.40
 
ProShares Ultra Yen
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
— 
 
  
$
— 
 
  
 
05/01/24 to 05/31/24
 
  
 
100,000
 
  
$
22.70
 
  
 
06/01/24 to 06/30/24
 
  
 
— 
 
  
$
— 
 
ProShares UltraShort Bloomberg Crude Oil
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
2,350,000
 
  
$
15.53
 
  
 
05/01/24 to 05/31/24
 
  
 
1,600,000
 
  
$
16.71
 
  
 
06/01/24 to 06/30/24
 
  
 
1,250,000
 
  
$
17.74
 
ProShares UltraShort Bloomberg Natural Gas**
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
750,000
 
  
$
72.68
 
  
 
05/01/24 to 05/31/24
 
  
 
2,900,000
 
  
$
53.29
 
  
 
06/01/24 to 06/30/24
 
  
 
2,000,000
 
  
$
42.56
 
ProShares UltraShort Euro
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
50,000
 
  
$
31.58
 
  
 
05/01/24 to 05/31/24
 
  
 
50,000
 
  
$
30.78
 
  
 
06/01/24 to 06/30/24
 
  
 
— 
 
  
$
— 
 
ProShares UltraShort Gold
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
200,000
 
  
$
20.99
 
  
 
05/01/24 to 05/31/24
 
  
 
50,000
 
  
$
21.65
 
  
 
06/01/24 to 06/30/24
 
  
 
100,000
 
  
$
21.68
 
ProShares UltraShort Silver***
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
212,500
 
  
$
55.88
 
  
 
05/01/24 to 05/31/24
 
  
 
100,000
 
  
$
48.80
 
  
 
06/01/24 to 06/30/24
 
  
 
250,000
 
  
$
43.76
 
ProShares UltraShort Yen***
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
— 
 
  
$
— 
 
  
 
05/01/24 to 05/31/24
 
  
 
100,000
 
  
$
43.90
 
  
 
06/01/24 to 06/30/24
 
  
 
100,000
 
  
$
45.26
 
ProShares VIX
Mid-Term
Futures ETF
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
3,050,000
 
  
$
16.61
 
  
 
05/01/24 to 05/31/24
 
  
 
100,000
 
  
$
14.74
 
  
 
06/01/24 to 06/30/24
 
  
 
5,100,000
 
  
$
14.29
 
 
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Table of Contents
                                                                                                     
ProShares VIX Short-Term Futures ETF***
        
Common Units of Beneficial Interest
        
  
 
04/01/24 to 04/30/24
 
  
 
562,500
 
  
$
56.80
 
  
 
05/01/24 to 05/31/24
 
  
 
— 
 
  
$
— 
 
  
 
06/01/24 to 06/30/24
 
  
 
87,500
 
  
$
44.52
 
 
*
The registration statement covers an indeterminate amount of securities to be offered or sold.
**
See Note 1 of these Notes to Financial Statements.
***
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
Jun
e 30, 2024.
 
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Table of Contents
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)
104.1    Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.
 
(1)
Filed herewith.
*
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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Table of Contents
Sign
at
ures
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
 
194