SecProbe.io

May 22, 2024

VIA E-mail

Kristen Freeman, Esq. Senior Director, Counsel ProShares 7272 Wisconsin Avenue Bethesda, MD 20812 KFreeman@proshares.com

 Re: ProShares Trust
  Post-Effective Amendments to the Registration Statement on Form N-1A    File Nos. 333-89822, 811-21114
Dear Ms. Freeman:
 On April 8, 2024, you filed an amendment to Form N-1A pursuant to Rule 485(a) of
the Securities Act of 1933 on behalf of Proshares Trust and its new series, ProShares Ultra Ether ETF and ProShares UltraShort Ether ETF (each, a “Fund,” collectively, the “Funds”).  We have reviewed the registration statement, and to ensure the efficiency of our review process and consistency of disclosure, we are providing a set of comments that generally apply to the Funds and other funds with substantially similar investment objectives and strategies.  Unless otherwise specified, each of the comments applies to all funds pursuing these investment objectives and strategies, including funds taking leveraged “short” positions.
 Some of the comments elicit supplemental information, while others elicit disclosure.
As we are issuing these comments broadly to the Funds and other funds with similar investment objectives and strategies, we recognize that some comments may not be directly applicable to the Funds or that responsive or consistent disclosure may already be included in the registration statement.  Accordingly, where no change will be made in the registration statement in response to a comment, please briefly state the basis for your position and/or identify disclosure in the filing that is responsive to, or consistent with, the comment.
 Please file a supplemental letter that includes your responses to each of these comments
as soon as practicable.
 Comments:
 1. Please supplementally indicate when the Fund expects to launch.
2. Please consider including "Daily" in the Fund's name inasmuch as the Fund seeks daily returns
of 2x or -2x for a single day and not any other period.

Kristen Freeman, Esq.
ProShares Trust
Page 2

3. Please disclose an 80% policy such that the Fund maintains  an 80% exposure to the terms used
in its name.
4. Please supplementally confirm the Fund intends to obtain the targeted 2x or -2x exposure by
investing principally in ether futures contracts traded on an exchange registered with the Commodity Futures Trading Commission through a wholly owned foreign subsidiary.  Also, please provide the name of the exchange on which the futures contracts will trade.
5. Please supplementally explain the circumstances under which the Fund would invest in
derivative instruments other than ether futures contracts traded on the exchange identified in your response.
6. Please supplementally explain, and disclose specifically, what reference assets the Fund will
use for any swap agreements.  Disclose that these swap agreements are cash-settled, uncleared, and non-exchange-traded.
7. If the Fund will invest in shares of investment companies, please supplementally confirm that
those investment companies are investment companies registered under the Investment Company Act of 1940 (the “Act”).
8. Please supplementally explain to the staff whether the Fund will have significant exposure to
another issuer, whether directly or indirectly through derivative instruments.  If so, please identify that issuer.
9. Please supplementally explain and disclose the Fund’s strategy with respect to the “rolling” of
ether futures contracts, including the contract month the Fund plans to invest in and generally how and when the Fund expects to roll the contracts.  If the Fund is unable to provide this disclosure, explain why.
10. Please disclose that there may be differences in returns between ether futures contracts and
ether due to divergence in prices or the costs associated with futures investing.  In this regard, please disclose any unique contango/rolling risks related to ether futures contracts.
11. Please supplementally discuss how the Fund would be expected to perform during significant
daily downturns (where a long-leveraged strategy is used) or upturns (where an inverse-leveraged strategy is used) in the price of ether and ether futures contracts, such as those that occurred on May 18, 2021 to May 25, 2021.
x 11.1 Would such price changes impact the Fund’s operations, including the Fund’s creation
or redemption process and/or its ability to me et its investment objective and execute on its
principal strategies?
12. Please supplementally explain what the Fund would expect in terms of discounts or premiums
in response to significant changes in secondary market demand for Fund shares?  For example, describe the potential impact on the Fund’s premium (or discount) if a large number of investors ( e.g. more than 50% of net assets) were to buy (or sell) shares.

Kristen Freeman, Esq.
ProShares Trust
Page 3

x 12.1 Please supplementally describe any mismatch between the Fund’s holdings and the
construct of the index it tracks that could occur during such extreme price changes.
13. Please supplementally provide simulated performance for a hypothetical $10,000 invested in
the Fund from April 1, 2023 to March 31, 2024.  Please include projected daily, weekly, monthly, and annual performance data for the simulated period.
14. Please supplementally discuss whether the Fund anticipates any capacity constraints in the
ether futures market that would limit the size of the Fund's exposure to ether futures and explain
to us how the Fund will monitor market capacity as new participants enter the market.
15. Please supplementally explain and disclose the impact of high margin requirements
associated with ether futures contracts on the Fund’s ability to obtain the targeted 2x or -2x exposure via investments in ether futures contracts.
x 15.1 Would margin requirements during the months of, for example, October 2021, have
prevented the Fund from carrying out its strategy?
16. Please supplementally explain how the Fund’s 2x or -2x investment objective will be impacted
if Future Commission Merchants (“FCMs”) charge higher than current prevailing margin rates.  Please provide hypothetical estimates for margin levels at 5%, 10%, and 15% higher than current rates ( e.g., if the current rate is 30%, the estimates should be at 35%, 40% and 45%).
17. Please supplementally explain how increases in margin rates for ether futures contracts will
impact the tracking error for the Fund.
18. Please supplementally confirm whether the Fund has lined up an FCM and who that FCM is.
19. Please supplementally discuss how the Fund anticipates classifying the liquidity of ether
futures investments and the rationale for such classification.  See rule 22e-4(b)(1)(ii).
20. Please supplementally discuss the Fund’s plans for liquidity management, including during
both normal and reasonably foreseeable stressed conditions.
21. Please disclose the impact of exceeding certain thresholds, such as FCM-imposed capacity
limits or the CME's position limits for a given contract, and whether these circumstances (or others) may cause the Fund to reduce its leverage to less than 2x or -2x, as applicable.
22. Please supplementally provide an outline of the Fund’s plans for complying with rule 18f-4
under the Act, including a preliminary overview of the key elements of the derivatives risk management program.
23. Please supplementally confirm that the Fund will use a relative VaR test to comply with rule
18f-4 given the Fund’s expected leverage.
24. Please supplementally identify the Fund’s designated index under rule 18f-4.
x 24.1 Please confirm that the designated index is unleveraged given that the Fund’s portfolio
consists of derivatives that include economic leverage.

Kristen Freeman, Esq.
ProShares Trust
Page 4

25. Please supplementally provide VaR calculations as required under rule 18f-4 under the Act for
the simulated portfolio for each day in the months of January 1, 2024 to April 30, 2024.
x 25.1 Also, include the same calculation for the index the Fund tracks.
26. Please supplementally provide information about the Fund’s discussions with potential
authorized participants (“APs”) or market makers, including:
x 26.1 Please explain the ability of APs and market makers to arbitrage the Fund’s holdings
in a manner that is expected to keep the Fund’s market price in line with its NAV.
x 26.2 Please explain what instruments the APs will use to arbitrage and whether there will
be any impact from the inability of broker-dealers to custody “physical” ether.
x 26.3 Please explain if there are any unique considerations/rules from the exchange on
which the Fund plans to list that will impact the Fund’s ability to pursue its investment strategy; interact with APs; or otherwise impact the Fund’s operations.
27. If the Fund will seek to track an index, please describe in the prospectus the index and index
methodology, including:
x 27.1 Component selection criteria, explaining how index components are
included/excluded;
x 27.2 Index weighting methodology, explaining how components of an index are weighted
(e.g., free float-adjusted, capita lization-weighted, price-weighted, equal-weighted or
fundamentally-weighted, among others);
x 27.3 Name of the Index and Index Provider;
x 27.4 Rebalance and reconstitution process, including frequency thereof, explaining how
and when the index changes; and
x 27.5 Number of index components (a range is acceptable).
28. If the Fund seeks to track the price of ether, please supplementally explain how the Fund will
determine the price of ether for purposes of its daily investment objective and revise the disclosure accordingly.
29. Disclose that the subsidiary used by the Fund (the “Subsidiary”) includes entities that engage
in investment activities in securities or other assets, and which are wholly owned by the Fund.
30. Disclose that the Fund complies with the provisions of the Act governing investment policies
(Section 8) on an aggregate basis with the Subsidiary.
31. Disclose that the Fund complies with the provisions of the Act governing capital structure and
leverage (Section 18) on an aggregate basis with the Subsidiary so that the Fund treats the Subsidiary’s debt as its own for purposes of Section 18.

Kristen Freeman, Esq.
ProShares Trust
Page 5

32. Disclose that any investment adviser to the Subsidiary complies with provisions of the Act
relating to investment advisory contracts (Section 15) as if it were an investment adviser to the Fund under Section 2(a)(20) of the Act. Any investment advisory agreement between the Subsidiary and its investment adviser is a material contract that should be included as an exhibit to the registration statement. If the same person is the adviser to both the Fund and the Subsidiary, then, for purposes of complying with Section 15(c), the reviews of the Fund’s and the Subsidiary’s investment advisory agreements may be combined.
33. Disclose that each Subsidiary complies with provisions relating to affiliated transactions and
custody (Section 17). Identify the custodian of the Subsidiary, if any.
34. Disclose any of the Subsidiary’s principal in vestment strategies or principal risks that
constitute principal investment strategies or risks of the Fund. The principal investment strategies and principal risk disclosures of a fund that invests in a Subsidiary should reflect aggregate operations of the fund and the subsidiary.
35. Please supplementally confirm that:
x 35.1 The financial statements of the Subsidiary will be consolidated with those of the Fund
(if not, please explain why not);
x 35.2 The Subsidiary and its board of directors will agree to inspection by the staff of the
Subsidiary’s books and records, which will be maintained in accordance with Section 31
of the Act and the rules thereunder;
x 35.3 The Subsidiary and its board of directors will designate an agent for service of process
in the United States; and
x 35.4 The Subsidiary’s management fee (including any performance fee), if any, will be
included in “Management Fees,” and the Subsidiary’s expenses will be included in “Other Expenses” in the Fund’s fee table.
36. Please provide disclosure that describes the unique features of the Fund on the Cover Page or
prior to Item 2 in the prospectus and summary prospectus, including:
x 36. 1 Identifying the index (as applicable), multiplier and period (and that returns are not
expected to last for a longer period);
x 36.2 Clarifying how the period is measured ( e.g., from one NAV calculation to the next
NAV calculation);
x 36.3 Explaining that over longer periods results may differ in amount and even direction
from the stated multiple; and
x 36.4 Explaining that the Fund presents different risks from other funds; has greater risks
than funds that do not use leverage; may only be suitable for knowledgeable investors who understand how the fund operates; the Fund is not intended to be used by, and is not appropriate for, investors who do not intend to actively monitor and manage their

Kristen Freeman, Esq.
ProShares Trust
Page 6

portfolios; and an investor in the Fund could potentially lose the full principal value of their
investment within a single day.
37. Please disclose in more detail the risks associated w ith ether futures capacity risk.  In particular,
disclose that the Fund may not be able to achieve its investment objective and may experience significant losses if the Fund’s ability to obtain exposure to ether futures contracts is disrupted for any reason including, among other things, limited liquidity in the ether futures market, a disruption to the ether futures market, or as a result of margin requirements, position limits, accountability levels, or other limitations imposed by the Fund’s futures commission merchants, the listing exchanges, or the CFTC.  In your response, please address what action the adviser will take in such circumstances, and the impact of any disruption in the Fund’s ability to obtain leveraged exposure to ether or ether futures contracts.
38. Please disclose whether the ability of the Fund to obtain leveraged exposure to ether or ether
futures contracts is limited by certain tax rules that limit the amount the Fund can invest in its wholly owned Subsidiary as of the end of each tax quarter, and the impact of exceeding that amount.
39. Given the potential volatility of the Fund’s underlying investments/strategy, please disclose as
a principal risk that the Fund’s strategy may result in significant losses.
40. Please disclose the risks associated with concentrating more than 25% of the Fund’s total assets
in investments that provide exposure to ether.
41. Please disclose the risk of volatile trading prices by noting that ether has been prone to rapid
price declines, including significant declines occurring in a single day, throughout its history, and give examples.
42. Please disclose that differences in the prices between ether and ether futures contracts will
expose the Fund to risks different from, and possibly greater than, the risks associated with investing directly in ether, includi ng larger losses or smaller gains.
43. Please disclose the risks associated with index reconstitution, as applicable, including the
impact such reconstitution may have on the Fund’s ability to meet its investment objective.
44. Please disclose as a risk that purchases and redemptions of creation units primarily with cash,
rather than through in-kind delivery of portfolio securities, may cause the Fund to incur certain costs.  Please also disclose that these costs could include brokerage costs or taxable gains or losses that it might not have incurred if it had made redemptions in-kind.  In addition, please disclose that these costs could be imposed on the Fund, and thus decrease the Fund’s net asset value, to the extent that the costs are not offset by a transaction fee payable by an authorized participant.
45. Please disclose the risks related to the fragmentation and lack of regulat