ProShares Trust II - Quarter Report: 2015 June (Form 10-Q)

Large accelerated filer

Accelerated filer

Non-accelerated filer

¨ (Do not check if a smaller reporting company)

Smaller reporting company

Form 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

for the quarterly period ended June 30, 2015.

¨	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

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip code)

(240) 497-6400

(Registrant’s telephone number, including area code)

N/A

(Former name, former address and former fiscal year, if changed since last report)

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. x Yes ¨ No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted 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 and post such files). x Yes ¨ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 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 x No

PROSHARES TRUST II

Table of Contents


	Page
Part I. FINANCIAL INFORMATION
Item 1. Condensed Financial Statements.		1

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.		150

Item 3. Quantitative and Qualitative Disclosures About Market Risk.		202

Item 4. Controls and Procedures.		219

Part II. OTHER INFORMATION
Item 1. Legal Proceedings.		220

Item 1A. Risk Factors.		220

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		220

Item 3. Defaults Upon Senior Securities.		224

Item 4. Mine Safety Disclosures.		224

Item 5. Other Information.		224

Item 6. Exhibits.		225

Part I.

FINANCIAL INFORMATION

Item 1.

Condensed Financial Statements.

Index


Documents	Page
Statements of Financial Condition, Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity and Statements of Cash Flows:
ProShares Managed Futures Strategy		2
ProShares VIX Short-Term Futures ETF		7
ProShares VIX Mid-Term Futures ETF		12
ProShares Short VIX Short-Term Futures ETF		17
ProShares Ultra VIX Short-Term Futures ETF		22
ProShares UltraShort Bloomberg Commodity		27
ProShares UltraShort Bloomberg Crude Oil		32
ProShares UltraShort Bloomberg Natural Gas		37
ProShares UltraShort Gold		42
ProShares UltraShort Silver		47
ProShares Short Euro		52
ProShares UltraShort Australian Dollar		57
ProShares UltraShort Euro		62
ProShares UltraShort Yen		67
ProShares Ultra Bloomberg Commodity		72
ProShares Ultra Bloomberg Crude Oil		77
ProShares Ultra Bloomberg Natural Gas		82
ProShares Ultra Gold		87
ProShares Ultra Silver		92
ProShares Ultra Euro		97
ProShares Ultra Yen		102
ProShares Trust II		107
Notes to Financial Statements		111

PROSHARES MANAGED FUTURES STRATEGY

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	9,055,633	$	6,135,185
Segregated cash balances with brokers for futures contracts		290,351		195,142
Receivable on open futures contracts		—		17,445
Offering costs (Note 5)		16,762		49,384
Limitation by Sponsor		11,498		9,474

Total assets		9,374,244		6,406,630

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		84,166		—
Brokerage commissions and fees payable		164		—
Payable for offering costs		65,785		65,785

Total liabilities		150,115		65,785

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		9,224,129		6,340,845

Total liabilities and shareholders’ equity	$	9,374,244	$	6,406,630

Shares outstanding		450,010		300,010

Net asset value per share	$	20.50	$	21.14

Market value per share (Note 2)	$	20.90	$	21.28

See accompanying notes to financial statements.

PROSHARES MANAGED FUTURES STRATEGY

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)

RBOB Gasoline Futures - NYMEX, expires August 2015		2	$	172,150	$	3,398
British Pound Fx Currency Futures - CME, expires September 2015		6		589,688		15,794
Cocoa Futures - ICE, expires September 2015		15		490,350		21,520
Copper Futures - COMEX, expires September 2015		4		261,500		(10,888	)
Copper Mini Futures - COMEX, expires September 2015		2		65,350		(1,100	)
Swiss Franc Fx Currency Futures - CME, expires September 2015		2		268,050		(238	)
Live Cattle Futures - CME, expires October 2015		7		421,960		—
WTI Crude Oil Futures - NYMEX, expires December 2015		2		121,560		840
NY Harbor ULSD Futures - NYMEX, December 2015		2		164,447		(8,135	)


					$	21,191


Futures Contracts Sold††

Gold 100 OZ Futures - COMEX, expires August 2015		2	$	234,360	$	(30	)
Gold Mini Futures - ICE, expires August 2015		2		75,347		1,436
Lean Hogs Futures - CME, expires August 2015		11		327,250		26,870
Natural Gas Futures - NYMEX, expires August 2015		8		226,560		(11,900	)
Australian Dollar Fx Currency Futures - CME, expires September 2015		6		461,100		(1,810	)
Canadian Dollar Fx Currency Futures - CME, expires September 2015		5		399,900		540
Coffee ‘C’ Futures - ICE, expires September 2015		4		198,600		5,344
Corn Futures - CBT, expires September 2015		14		295,400		(40,088	)
Euro Fx Currency Futures - CME, expires September 2015		3		418,350		4,100
Japanese Yen Fx Currency Futures - CME, expires September 2015		6		613,725		(8,775	)
Silver Futures - COMEX, expires September 2015		1		77,905		2,745
Silver Mini Futures - ICE, expires September 2015		4		62,324		2,890
US 10 YR Note Futures - CBT, expires September 2015		10		1,261,719		(5,844	)
US Treasury Long Bond Futures - CBT, expires September 2015		6		905,063		13,188
Wheat Futures - CBT, expires September 2015		11		338,663		(55,875	)
Sugar #11 Futures - CBT, expires October 2015		18		251,395		(1,512	)
Soybean Futures - CBT, expires November 2015		7		363,037		(41,575	)
Cotton No. 2 Futures - ICE, expires December 2015		10		339,550		(16,015	)


					$	(126,311	)

††	Cash collateral in the amount of $290,351 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

See accompanying notes to financial statements.

PROSHARES MANAGED FUTURES STRATEGY*

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


	Three months ended June 30, 2015			Six months ended June 30, 2015
Investment Income
Interest	$	—		$	—
Expenses
Brokerage commissions and fees		2,184			3,518
Offering costs		16,401			32,622
Limitation by Sponsor		(490	)		(2,024	)

Total expenses		18,095			34,116

Net investment income (loss)		(18,095	)		(34,116	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(200,957	)		(81,705	)

Net realized gain (loss)		(200,957	)		(81,705	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(188,353	)		(209,447	)

Change in net unrealized appreciation/depreciation		(188,353	)		(209,447	)

Net realized and unrealized gain (loss)		(389,310	)		(291,152	)

Net income (loss)	$	(407,405	)	$	(325,268	)

Net income (loss) per weighted-average share	$	(1.00	)	$	(0.84	)

Weighted-average shares outstanding		406,603			388,408

*	Since the Fund commenced investment operations on October 1, 2014, the Statements of Operations for the three and six months ended June 30, 2014 have not been provided.

See accompanying notes to financial statements.

PROSHARES MANAGED FUTURES STRATEGY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	6,340,845

Addition of 250,000 shares		5,348,655
Redemption of 100,000 shares		(2,140,103	)

Net addition (redemption) of 150,000 shares		3,208,552


Net investment income (loss)		(34,116	)
Net realized gain (loss)		(81,705	)
Change in net unrealized appreciation/depreciation		(209,447	)

Net income (loss)		(325,268	)


Shareholders’ equity, at June 30, 2015	$	9,224,129

See accompanying notes to financial statements.

PROSHARES MANAGED FUTURES STRATEGY*

STATEMENT OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


	Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	(325,268	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(95,209	)
Decrease (Increase) in receivable on futures contracts		17,445
Decrease (Increase) in Limitation by Sponsor		(2,024	)
Change in offering cost		32,622
Increase (Decrease) in brokerage commissions and fees payable		164
Increase (Decrease) in payable on futures contracts		84,166

Net cash provided by (used in) operating activities		(288,104	)

Cash flow from financing activities
Proceeds from addition of shares		5,348,655
Payment on shares redeemed		(2,140,103	)

Net cash provided by (used in) financing activities		3,208,552

Net increase (decrease) in cash		2,920,448
Cash, beginning of period		6,135,185

Cash, end of period	$	9,055,633

*	Since the Fund commenced investment operations on October 1, 2014, the Statement of Cash Flows for the six months ended June 30, 2014 has not been provided.

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	3,084,355	$	1,694,791
Segregated cash balances with brokers for futures contracts		29,398,985		18,439,750
Short-term U.S. government and agency obligations (Note 3) (cost $136,682,422 and $82,086,464, respectively)		136,684,757		82,088,299
Receivable on open futures contracts		591,543		9,317,236

Total assets		169,759,640		111,540,076

Liabilities and shareholders’ equity
Liabilities
Management fee payable		104,465		80,751

Total liabilities		104,465		80,751

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		169,655,175		111,459,325

Total liabilities and shareholders’ equity	$	169,759,640	$	111,540,076

Shares outstanding		12,549,812		5,324,812

Net asset value per share	$	13.52	$	20.93

Market value per share (Note 2)	$	13.42	$	20.99

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(81% of shareholders’ equity)
U.S. Treasury Bills:
0.025% due 07/09/15	$	11,774,000	$	11,774,013
0.033% due 07/16/15		9,802,000		9,801,857
0.021% due 07/23/15		25,192,000		25,191,922
0.035% due 07/30/15		907,000		906,985
0.057% due 08/06/15†		7,920,000		7,919,960
0.045% due 08/13/15†		23,649,000		23,648,719
0.015% due 08/20/15		16,187,000		16,186,775
0.010% due 09/03/15†		17,438,000		17,437,845
0.005% due 09/10/15		4,764,000		4,764,094
0.013% due 10/08/15†		6,229,000		6,228,829
0.025% due 11/05/15		4,104,000		4,103,783
0.030% due 11/19/15†		8,721,000		8,719,975

Total short-term U.S. government and agency obligations (cost $136,682,422)			$	136,684,757

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)

VIX Futures - CBOE, expires July 2015		5,705	$	98,839,125	$	8,697,623
VIX Futures - CBOE, expires August 2015		4,075		70,803,125		5,212,834


					$	13,910,457

†	All or partial amount pledged as collateral for futures contracts.

††	Cash collateral in the amount of $29,398,985 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	11,228		$	10,546		$	21,135		$	34,214

Expenses
Management fee		316,922			236,584			560,322			614,049
Brokerage commissions and fees		25,893			—			66,872			—

Total expenses		342,815			236,584			627,194			614,049

Net investment income (loss)		(331,587	)		(226,038	)		(606,059	)		(579,835	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(51,589,586	)		(41,227,047	)		(60,567,916	)		(25,447,340	)
Short-term U.S. government and agency obligations		1,009			4,626			3,163			11,232

Net realized gain (loss)		(51,588,577	)		(41,222,421	)		(60,564,753	)		(25,436,108	)

Change in net unrealized appreciation/depreciation on
Futures contracts		19,016,568			(1,586,521	)		7,645,837			10,039,200
Short-term U.S. government and agency obligations		1,644			(2,529	)		500			(7,113	)

Change in net unrealized appreciation/depreciation		19,018,212			(1,589,050	)		7,646,337			10,032,087

Net realized and unrealized gain (loss)		(32,570,365	)		(42,811,471	)		(52,918,416	)		(15,404,021	)

Net income (loss)	$	(32,901,952	)	$	(43,037,509	)	$	(53,524,475	)	$	(15,983,856	)

Net income (loss) per weighted-average share	$	(2.96	)	$	(9.29	)	$	(6.28	)	$	(2.97	)

Weighted-average shares outstanding		11,128,109			4,630,307			8,517,768			5,378,679

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	111,459,325

Addition of 8,675,000 shares		141,470,934
Redemption of 1,450,000 shares		(29,750,609	)

Net addition (redemption) of 7,225,000 shares		111,720,325


Net investment income (loss)		(606,059	)
Net realized gain (loss)		(60,564,753	)
Change in net unrealized appreciation/depreciation		7,646,337

Net income (loss)		(53,524,475	)


Shareholders’ equity, at June 30, 2015	$	169,655,175

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	(53,524,475	)	$	(15,983,856	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(10,959,235	)		43,238,750
Purchases of short term U.S. government and agency obligations		(295,455,703	)		(327,649,841	)
Proceeds from sales or maturities of short term U.S government and agency obligations		240,883,445			457,739,628
Net amortization and accretion on short-term U.S government and agency obligations		(20,537	)		(33,411	)
Net realized gain (loss) on investments		(3,163	)		(11,232	)
Change in unrealized appreciation/depreciation on investments		(500	)		7,113
Decrease (Increase) in receivable on futures contracts		8,725,693			3,179,017
Increase (Decrease) in management fee payable		23,714			(134,792	)
Increase (Decrease) in payable on futures contracts		—			1,041,667

Net cash provided by (used in) operating activities		(110,330,761	)		161,393,043

Cash flow from financing activities
Proceeds from addition of shares		141,470,934			99,763,141
Payment on shares redeemed		(29,750,609	)		(264,375,274	)

Net cash provided by (used in) financing activities		111,720,325			(164,612,133	)

Net increase (decrease) in cash		1,389,564			(3,219,090	)
Cash, beginning of period		1,694,791			4,333,752

Cash, end of period	$	3,084,355		$	1,114,662

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	460,067	$	1,634,082
Segregated cash balances with brokers for futures contracts		1,212,145		1,906,950
Short-term U.S. government and agency obligations (Note 3) (cost $26,189,361 and $24,104,754, respectively)		26,189,554		24,105,906
Receivable on open futures contracts		307,718		1,783,328

Total assets		28,169,484		29,430,266

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		1,373,065		7,947,955
Management fee payable		18,552		22,736

Total liabilities		1,391,617		7,970,691

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		26,777,867		21,459,575

Total liabilities and shareholders’ equity	$	28,169,484	$	29,430,266

Shares outstanding		487,404		337,404

Net asset value per share	$	54.94	$	63.60

Market value per share (Note 2)	$	54.31	$	63.89

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(98% of shareholders’ equity)
U.S. Treasury Bills:
0.030% due 07/02/15	$	1,020,000	$	1,020,000
0.025% due 07/16/15		10,173,000		10,172,851
0.045% due 08/06/15†		1,103,000		1,102,995
0.013% due 08/20/15†		6,651,000		6,650,907
0.018% due 10/08/15†		7,243,000		7,242,801

Total short-term U.S. government and agency obligations (cost $26,189,361)			$	26,189,554

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)

VIX Futures - CBOE, expires October 2015		286	$	5,126,550	$	(186,400	)
VIX Futures - CBOE, expires November 2015		491		8,899,375		(202,165	)
VIX Futures - CBOE, expires December 2015		491		8,923,925		28,940
VIX Futures - CBOE, expires January 2016		205		3,828,375		59,280


					$	(300,345	)

†	All or partial amount pledged as collateral for futures contracts.

††	Cash collateral in the amount of $1,212,145 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	2,162		$	4,925		$	4,876		$	10,253

Expenses
Management fee		56,030			102,112			114,266			217,448
Brokerage commissions and fees		3,926			—			11,963			—

Total expenses		59,956			102,112			126,229			217,448

Net investment income (loss)		(57,794	)		(97,187	)		(121,353	)		(207,195	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(3,050,039	)		(6,666,419	)		(2,923,368	)		(12,064,321	)
Short-term U.S. government and agency obligations		70			1,234			1,308			1,717

Net realized gain (loss)		(3,049,969	)		(6,665,185	)		(2,922,060	)		(12,062,604	)

Change in net unrealized appreciation/depreciation on
Futures contracts		200,045			(1,487,840	)		(561,010	)		1,401,639
Short-term U.S. government and agency obligations		(392	)		(1,229	)		(959	)		(761	)

Change in net unrealized appreciation/depreciation		199,653			(1,489,069	)		(561,969	)		1,400,878

Net realized and unrealized gain (loss)		(2,850,316	)		(8,154,254	)		(3,484,029	)		(10,661,726	)

Net income (loss)	$	(2,908,110	)	$	(8,251,441	)	$	(3,605,382	)	$	(10,868,921	)

Net income (loss) per weighted-average share (Note 1)	$	(6.19	)	$	(11.88	)	$	(7.94	)	$	(15.39	)

Weighted-average shares outstanding (Note 1)		470,096			694,507			453,979			706,251

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	21,459,575

Addition of 300,000 shares		17,870,189
Redemption of 150,000 shares		(8,946,515	)

Net addition (redemption) of 150,000 shares		8,923,674


Net investment income (loss)		(121,353	)
Net realized gain (loss)		(2,922,060	)
Change in net unrealized appreciation/depreciation		(561,969	)

Net income (loss)		(3,605,382	)


Shareholders’ equity, at June 30, 2015	$	26,777,867

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	(3,605,382	)	$	(10,868,921	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		694,805			2,595,390
Purchases of short term U.S. government and agency obligations		(46,710,598	)		(78,211,081	)
Proceeds from sales or maturities of short term U.S government and agency obligations		44,632,175			89,881,259
Net amortization and accretion on short-term U.S government and agency obligations		(4,876	)		(10,252	)
Net realized gain (loss) on investments		(1,308	)		(1,717	)
Change in unrealized appreciation/depreciation on investments		959			761
Decrease (Increase) in receivable on futures contracts		1,475,610			100,734
Increase (Decrease) in management fee payable		(4,184	)		(14,497	)
Increase (Decrease) in payable on futures contracts		—			522,035

Net cash provided by (used in) operating activities		(3,522,799	)		3,993,711

Cash flow from financing activities
Proceeds from addition of shares		17,870,189			33,853,464
Payment on shares redeemed		(15,521,405	)		(38,904,855	)

Net cash provided by (used in) financing activities		2,348,784			(5,051,391	)

Net increase (decrease) in cash		(1,174,015	)		(1,057,680	)
Cash, beginning of period		1,634,082			1,906,397

Cash, end of period	$	460,067		$	848,717

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	2,149,095	$	9,122,219
Segregated cash balances with brokers for futures contracts		31,321,850		85,244,950
Short-term U.S. government and agency obligations (Note 3) (cost $126,568,523 and $446,972,637, respectively)		126,569,817		446,975,220
Receivable from capital shares sold		39,432,333		—

Total assets		199,473,095		541,342,389

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		3,358,781
Payable on open futures contracts		10,079,091		31,020,019
Management fee payable		143,880		407,465

Total liabilities		10,222,971		34,786,265

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		189,250,124		506,556,124

Total liabilities and shareholders’ equity	$	199,473,095	$	541,342,389

Shares outstanding		2,400,040		8,250,040

Net asset value per share	$	78.85	$	61.40

Market value per share (Note 2)	$	79.06	$	61.16

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(67% of shareholders’ equity)
U.S. Treasury Bills:
0.020% due 07/09/15	$	1,876,000	$	1,876,002
0.017% due 07/16/15		1,610,000		1,609,977
0.026% due 07/23/15		4,373,000		4,372,986
0.030% due 07/30/15		20,999,000		20,998,662
0.044% due 08/06/15		12,191,000		12,190,939
0.011% due 08/13/15†		22,452,000		22,451,733
0.005% due 09/03/15		1,276,000		1,275,988
0.012% due 09/10/15†		17,058,000		17,058,336
0.020% due 10/08/15		13,821,000		13,820,620
0.030% due 11/19/15		2,619,000		2,618,692
0.022% due 11/27/15		15,725,000		15,723,047
0.040% due 12/03/15		12,575,000		12,572,835

Total short-term U.S. government and agency obligations (cost $126,568,523)			$	126,569,817

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)

VIX Futures - CBOE, expires July 2015		6,365	$	110,273,625	$	(10,991,306	)
VIX Futures - CBOE, expires August 2015		4,546		78,986,750		(5,588,355	)


					$	(16,579,661	)

†	All or partial amount pledged as collateral for futures contracts.

††	Cash collateral in the amount of $31,321,850 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	14,724		$	20,024		$	44,653		$	44,229

Expenses
Management fee		544,083			486,704			1,583,663			990,622
Brokerage commissions and fees		310,729			273,431			793,570			564,757

Total expenses		854,812			760,135			2,377,233			1,555,379

Net investment income (loss)		(840,088	)		(740,111	)		(2,332,580	)		(1,511,150	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		86,037,110			73,536,615			109,848,395			76,268,051
Short-term U.S. government and agency obligations		7,368			7,145			30,637			9,959

Net realized gain (loss)		86,044,478			73,543,760			109,879,032			76,278,010

Change in net unrealized appreciation/depreciation on
Futures contracts		(23,571,645	)		837,428			(227,512	)		803,672
Short-term U.S. government and agency obligations		(1,807	)		(5,530	)		(1,289	)		(4,021	)

Change in net unrealized appreciation/depreciation		(23,573,452	)		831,898			(228,801	)		799,651

Net realized and unrealized gain (loss)		62,471,026			74,375,658			109,650,231			77,077,661

Net income (loss)	$	61,630,938		$	73,635,547		$	107,317,651		$	75,566,511

Net income (loss) per weighted-average share	$	22.08		$	25.23		$	20.89		$	23.59

Weighted-average shares outstanding		2,791,249			2,918,721			5,137,885			3,203,355

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	506,556,124

Addition of 4,550,000 shares		319,616,601
Redemption of 10,400,000 shares		(744,240,252	)

Net addition (redemption) of (5,850,000) shares		(424,623,651	)


Net investment income (loss)		(2,332,580	)
Net realized gain (loss)		109,879,032
Change in net unrealized appreciation/depreciation		(228,801	)

Net income (loss)		107,317,651


Shareholders’ equity, at June 30, 2015	$	189,250,124

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	107,317,651		$	75,566,511
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		53,923,100			(4,636,150	)
Purchases of short term U.S. government and agency obligations		(732,814,078	)		(504,365,642	)
Proceeds from sales or maturities of short term U.S government and agency obligations		1,053,293,482			459,680,410
Net amortization and accretion on short-term U.S government and agency obligations		(44,653	)		(44,208	)
Net realized gain (loss) on investments		(30,637	)		(9,959	)
Change in unrealized appreciation/depreciation on investments		1,289			4,021
Decrease (Increase) in receivable on futures contracts		—			603,833
Increase (Decrease) in management fee payable		(263,585	)		51,213
Increase (Decrease) in payable on futures contracts		(20,940,928	)		14,181

Net cash provided by (used in) operating activities		460,441,641			26,864,210

Cash flow from financing activities
Proceeds from addition of shares		280,184,268			238,228,573
Payment on shares redeemed		(747,599,033	)		(265,709,787	)

Net cash provided by (used in) financing activities		(467,414,765	)		(27,481,214	)

Net increase (decrease) in cash		(6,973,124	)		(617,004	)
Cash, beginning of period		9,122,219			2,153,370

Cash, end of period	$	2,149,095		$	1,536,366

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	7,162,315	$	3,737,292
Segregated cash balances with brokers for futures contracts		75,094,015		116,907,700
Short-term U.S. government and agency obligations (Note 3) (cost $426,837,527 and $182,641,263, respectively)		426,846,403		182,639,188
Receivable from capital shares sold		—		12,549,248
Receivable on open futures contracts		128,547,455		42,531,441

Total assets		637,650,188		358,364,869

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		205,392,340		6,272,056
Management fee payable		335,660		302,860

Total liabilities		205,728,000		6,574,916

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		431,922,188		351,789,953

Total liabilities and shareholders’ equity	$	637,650,188	$	358,364,869

Shares outstanding (Note 1)		9,702,448		2,804,020

Net asset value per share (Note 1)	$	44.52	$	125.46

Market value per share (Note 1) (Note 2)	$	43.96	$	125.75

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(99% of shareholders’ equity)
U.S. Treasury Bills:
0.015% due 07/02/15	$	8,100,000	$	8,099,997
0.026% due 07/09/15		29,718,000		29,718,033
0.016% due 07/16/15		4,072,000		4,071,941
0.007% due 07/23/15		4,496,000		4,495,986
0.028% due 07/30/15		54,790,000		54,789,118
0.041% due 08/06/15		72,685,000		72,684,637
0.004% due 08/13/15†		34,917,000		34,916,584
0.012% due 08/20/15†		13,963,000		13,962,806
0.004% due 09/03/15†		49,914,000		49,913,556
0.010% due 09/10/15†		6,212,000		6,212,122
0.019% due 10/08/15†		25,044,000		25,043,311
0.027% due 11/05/15†		121,403,000		121,396,578
0.027% due 12/03/15		1,542,000		1,541,734

Total short-term U.S. government and agency obligations (cost $426,837,527)			$	426,846,403

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)

VIX Futures - CBOE, expires July 2015		29,050	$	503,291,250	$	54,962,209
VIX Futures - CBOE, expires August 2015		20,747		360,479,125		33,540,301


					$	88,502,510

†	All or partial amount pledged as collateral for futures contracts.

††	Cash collateral in the amount of $75,094,015 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	32,035		$	20,656		$	64,494		$	41,932

Expenses
Management fee		1,219,938			789,047			2,398,700			1,375,179
Brokerage commissions and fees		815,208			650,481			1,718,518			1,169,928

Total expenses		2,035,146			1,439,528			4,117,218			2,545,107

Net investment income (loss)		(2,003,111	)		(1,418,872	)		(4,052,724	)		(2,503,175	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(401,789,858	)		(247,176,983	)		(536,883,084	)		(250,723,287	)
Short-term U.S. government and agency obligations		12,427			14,978			16,499			14,064

Net realized gain (loss)		(401,777,431	)		(247,162,005	)		(536,866,585	)		(250,709,223	)

Change in net unrealized appreciation/depreciation on
Futures contracts		137,428,203			(10,831,519	)		48,917,257			(16,523,435	)
Short-term U.S. government and agency obligations		10,939			(6,498	)		10,951			(3,956	)

Change in net unrealized appreciation/depreciation		137,439,142			(10,838,017	)		48,928,208			(16,527,391	)

Net realized and unrealized gain (loss)		(264,338,289	)		(258,000,022	)		(487,938,377	)		(267,236,614	)

Net income (loss)	$	(266,341,400	)	$	(259,418,894	)	$	(491,991,101	)	$	(269,739,789	)

Net income (loss) per weighted-average share (Note 1)	$	(24.06	)	$	(163.10	)	$	(60.91	)	$	(230.73	)

Weighted-average shares outstanding (Note 1)		11,067,822			1,590,503			8,077,147			1,169,053

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	351,789,953

Addition of 23,480,000 shares (Note 1)		1,551,088,803
Redemption of 16,581,572 shares (Note 1)		(978,965,467	)

Net addition (redemption) of 6,898,428 shares (Note 1)		572,123,336


Net investment income (loss)		(4,052,724	)
Net realized gain (loss)		(536,866,585	)
Change in net unrealized appreciation/depreciation		48,928,208

Net income (loss)		(491,991,101	)


Shareholders’ equity, at June 30, 2015	$	431,922,188

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	(491,991,101	)	$	(269,739,789	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		41,813,685			(17,553,050	)
Purchases of short term U.S. government and agency obligations		(1,853,422,707	)		(1,073,238,874	)
Proceeds from sales or maturities of short term U.S government and agency obligations		1,609,307,436			1,004,907,973
Net amortization and accretion on short-term U.S government and agency obligations		(64,494	)		(41,931	)
Net realized gain (loss) on investments		(16,499	)		(14,064	)
Change in unrealized appreciation/depreciation on investments		(10,951	)		3,956
Decrease (Increase) in receivable on futures contracts		(86,016,014	)		—
Increase (Decrease) in management fee payable		32,800			72,107
Increase (Decrease) in payable on futures contracts		—			2,345,879

Net cash provided by (used in) operating activities		(780,367,845	)		(353,257,793	)

Cash flow from financing activities
Proceeds from addition of shares		1,563,638,051			757,101,547
Payment on shares redeemed		(779,845,183	)		(398,639,195	)

Net cash provided by (used in) financing activities		783,792,868			358,462,352

Net increase (decrease) in cash		3,425,023			5,204,559
Cash, beginning of period		3,737,292			2,240,977

Cash, end of period	$	7,162,315		$	7,445,536

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	546,335	$	467,766
Short-term U.S. government and agency obligations (Note 3) (cost $4,911,647 and $4,233,396, respectively)		4,911,681		4,233,548
Unrealized appreciation on swap agreements		—		567,259

Total assets		5,458,016		5,268,573

Liabilities and shareholders’ equity
Liabilities
Management fee payable		4,244		3,867
Unrealized depreciation on swap agreements		237,572		—

Total liabilities		241,816		3,867

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		5,216,200		5,264,706

Total liabilities and shareholders’ equity	$	5,458,016	$	5,268,573

Shares outstanding		59,997		59,997

Net asset value per share	$	86.94	$	87.75

Market value per share (Note 2)	$	88.96	$	87.44

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(94% of shareholders’ equity)
U.S. Treasury Bills:
0.050% due 07/09/15†	$	828,000	$	828,001
0.022% due 07/23/15†		2,268,000		2,267,993
0.040% due 12/03/15		1,816,000		1,815,687

Total short-term U.S. government and agency obligations (cost $4,911,647)			$	4,911,681

Swap Agreements^


	Rate Paid (Received)*			Termination Date		Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index		0.25	%		07/06/15	$	(4,657,215	)	$	(98,160	)
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index		0.25			07/06/15		(4,065,285	)		(104,060	)
Swap agreement with UBS AG based on Bloomberg Commodity Index		0.60			07/06/15		(1,705,006	)		(35,352	)

									$	(237,572	)

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

^	The positions and counterparties herein are as of June 30, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

*	Reflects the floating financing rate, as of June 30, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

**	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.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	468		$	344		$	996		$	652

Expenses
Management fee		12,741			7,611			25,587			15,910

Total expenses		12,741			7,611			25,587			15,910

Net investment income (loss)		(12,273	)		(7,267	)		(24,591	)		(15,258	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		(75,531	)		130,061			781,018			(505,634	)
Short-term U.S. government and agency obligations		16			—			16			—

Net realized gain (loss)		(75,515	)		130,061			781,034			(505,634	)

Change in net unrealized appreciation/depreciation on
Swap agreements		(514,197	)		(151,988	)		(804,831	)		(22,054	)
Short-term U.S. government and agency obligations		(178	)		(120	)		(118	)		(65	)

Change in net unrealized appreciation/depreciation		(514,375	)		(152,108	)		(804,949	)		(22,119	)

Net realized and unrealized gain (loss)		(589,890	)		(22,047	)		(23,915	)		(527,753	)

Net income (loss)	$	(602,163	)	$	(29,314	)	$	(48,506	)	$	(543,011	)

Net income (loss) per weighted-average share	$	(10.04	)	$	(0.49	)	$	(0.81	)	$	(9.05	)

Weighted-average shares outstanding		59,997			59,997			59,997			59,997

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	5,264,706

Net investment income (loss)		(24,591	)
Net realized gain (loss)		781,034
Change in net unrealized appreciation/depreciation		(804,949	)

Net income (loss)		(48,506	)


Shareholders’ equity, at June 30, 2015	$	5,216,200

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	(48,506	)	$	(543,011	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short term U.S. government and agency obligations		(5,839,238	)		(4,837,078	)
Proceeds from sales or maturities of short term U.S government and agency obligations		5,161,999			5,315,928
Net amortization and accretion on short-term U.S government and agency obligations		(996	)		(652	)
Net realized gain (loss) on investments		(16	)		—
Change in unrealized appreciation/depreciation on investments		804,949			22,119
Increase (Decrease) in management fee payable		377			(504	)

Net cash provided by (used in) operating activities		78,569			(43,198	)

Cash flow from financing activities
Net increase (decrease) in cash		78,569			(43,198	)
Cash, beginning of period		467,766			374,245

Cash, end of period	$	546,335		$	331,047

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	1,413,592	$	994,268
Segregated cash balances with brokers for futures contracts		7,966,466		12,292,665
Short-term U.S. government and agency obligations (Note 3) (cost $192,082,217 and $131,592,367, respectively)		192,083,366		131,594,608
Unrealized appreciation on swap agreements		—		27,018,077
Receivable on open futures contracts		—		1,293,531

Total assets		201,463,424		173,193,149

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		11,823,599		3,854,654
Payable on open futures contracts		2,905,734		—
Brokerage commissions and fees payable		7,235		—
Management fee payable		188,255		128,385
Unrealized depreciation on swap agreements		6,446,318		—

Total liabilities		21,371,141		3,983,039

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		180,092,283		169,210,110

Total liabilities and shareholders’ equity	$	201,463,424	$	173,193,149

Shares outstanding		3,169,944		2,169,944

Net asset value per share	$	56.81	$	77.98

Market value per share (Note 2)	$	57.12	$	76.52

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(107% of shareholders’ equity)
U.S. Treasury Bills:
0.025% due 07/02/15	$	5,165,000	$	5,164,998
0.019% due 07/09/15		8,031,000		8,031,009
0.017% due 07/16/15		21,736,000		21,735,683
0.007% due 07/23/15		11,313,000		11,312,965
0.035% due 07/30/15		6,214,000		6,213,900
0.050% due 08/06/15		14,741,000		14,740,926
0.011% due 08/13/15†		32,832,000		32,831,609
0.014% due 08/20/15†		14,759,000		14,758,795
0.005% due 09/03/15†		325,000		324,997
0.014% due 09/10/15†		29,864,000		29,864,588
0.015% due 10/01/15†		24,834,000		24,832,731
0.019% due 10/08/15		6,914,000		6,913,810
0.027% due 12/03/15		15,360,000		15,357,355

Total short-term U.S. government and agency obligations (cost $192,082,217)			$	192,083,366

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil - NYMEX, expires September 2015		2,785	$	166,626,550	$	4,228,226

Swap Agreements^


	Rate Paid (Received)*			Termination Date		Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg WTI Crude Oil Subindex		0.25	%		07/06/15	$	(57,550,283	)	$	(1,757,905	)
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		0.25			07/06/15		(56,799,973	)		(2,081,349	)
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		0.25			07/06/15		(24,458,958	)		(664,936	)
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		0.25			07/06/15		(54,734,615	)		(1,942,128	)

									$	(6,446,318	)

†	All or partial amount pledged as collateral for swap agreements and/or futures contracts.

††	Cash collateral in the amount of $ 7,966,466 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

^	The positions and counterparties herein are as of June 30, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

*	Reflects the floating financing rate, as of June 30, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

**	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.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	15,983		$	39,315		$	36,495		$	76,288

Expenses
Management fee		667,767			841,703			1,271,602			1,465,256
Brokerage commissions and fees		80,858			26,969			125,143			39,662

Total expenses		748,625			868,672			1,396,745			1,504,918

Net investment income (loss)		(732,642	)		(829,357	)		(1,360,250	)		(1,428,630	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(39,231,996	)		(20,355,928	)		(21,125,276	)		(23,267,179	)
Swap agreements		(44,473,232	)		(11,211,080	)		(17,930,080	)		(20,577,830	)
Short-term U.S. government and agency obligations		7,606			5,028			15,490			10,317

Net realized gain (loss)		(83,697,622	)		(31,561,980	)		(39,039,866	)		(43,834,692	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(13,178,035	)		1,095,673			(11,578,377	)		(3,935,868	)
Swap agreements		(33,303,791	)		(15,412,221	)		(33,464,395	)		(13,772,252	)
Short-term U.S. government and agency obligations		5,175			(6,758	)		(1,092	)		(8,636	)

Change in net unrealized appreciation/depreciation		(46,476,651	)		(14,323,306	)		(45,043,864	)		(17,716,756	)

Net realized and unrealized gain (loss)		(130,174,273	)		(45,885,286	)		(84,083,730	)		(61,551,448	)

Net income (loss)	$	(130,906,915	)	$	(46,714,643	)	$	(85,443,980	)	$	(62,980,078	)

Net income (loss) per weighted-average share	$	(27.95	)	$	(3.51	)	$	(21.92	)	$	(5.72	)

Weighted-average shares outstanding		4,684,230			13,303,460			3,898,397			11,008,342

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	169,210,110

Addition of 9,150,000 shares		647,090,294
Redemption of 8,150,000 shares		(550,764,141	)

Net addition (redemption) of 1,000,000 shares		96,326,153


Net investment income (loss)		(1,360,250	)
Net realized gain (loss)		(39,039,866	)
Change in net unrealized appreciation/depreciation		(45,043,864	)

Net income (loss)		(85,443,980	)


Shareholders’ equity, at June 30, 2015	$	180,092,283

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	(85,443,980	)	$	(62,980,078	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		4,326,199			(1,520,805	)
Purchases of short term U.S. government and agency obligations		(834,055,056	)		(621,595,229	)
Proceeds from sales or maturities of short term U.S government and agency obligations		773,617,191			504,823,217
Net amortization and accretion on short-term U.S government and agency obligations		(36,495	)		(76,287	)
Net realized gain (loss) on investments		(15,490	)		(10,317	)
Change in unrealized appreciation/depreciation on investments		33,465,487			13,780,888
Decrease (Increase) in receivable on futures contracts		1,293,531			725,711
Increase (Decrease) in management fee payable		59,870			82,341
Increase (Decrease) in brokerage commissions and fees payable		7,235			—
Increase (Decrease) in payable on futures contracts		2,905,734			—

Net cash provided by (used in) operating activities		(103,875,774	)		(166,770,559	)

Cash flow from financing activities
Proceeds from addition of shares		647,090,294			414,862,542
Payment on shares redeemed		(542,795,196	)		(245,343,028	)

Net cash provided by (used in) financing activities		104,295,098			169,519,514

Net increase (decrease) in cash		419,324			2,748,955
Cash, beginning of period		994,268			1,872,915

Cash, end of period	$	1,413,592		$	4,621,870

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	350,982	$	696,743
Segregated cash balances with brokers for futures contracts		1,294,109		4,405,830
Short-term U.S. government and agency obligations (Note 3) (cost $11,620,682 and $8,672,527, respectively)		11,620,751		8,672,710
Receivable on open futures contracts		—		923,531

Total assets		13,265,842		14,698,814

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		167,820		—
Brokerage commissions and fees payable		1,302		—
Management fee payable		10,869		10,250

Total liabilities		179,991		10,250

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		13,085,851		14,688,564

Total liabilities and shareholders’ equity	$	13,265,842	$	14,698,814

Shares outstanding		174,952		174,952

Net asset value per share	$	74.80	$	83.96

Market value per share (Note 2)	$	75.20	$	82.03

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(89% of shareholders’ equity)
U.S. Treasury Bills:
0.016% due 07/02/15	$	2,730,000	$	2,729,999
0.012% due 08/13/15		1,650,000		1,649,980
0.014% due 08/20/15†		4,567,000		4,566,937
0.010% due 09/10/15		1,086,000		1,086,022
0.030% due 11/19/15†		1,588,000		1,587,813

Total short-term U.S. government and agency obligations (cost $11,620,682)			$	11,620,751

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, expires September 2015		921	$	26,174,820$	$	27,059

†	All or partial amount pledged as collateral for futures contracts.

††	Cash collateral in the amount of $1,294,109 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	595		$	6,257		$	1,580		$	12,940

Expenses
Management fee		29,314			147,249			57,687			279,055
Brokerage commissions and fees		19,343			31,290			33,542			61,752

Total expenses		48,657			178,539			91,229			340,807

Net investment income (loss)		(48,062	)		(172,282	)		(89,649	)		(327,867	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(77,627	)		(1,970,509	)		5,101,641			(11,185,543	)
Short-term U.S. government and agency obligations		141			2,385			589			4,437

Net realized gain (loss)		(77,486	)		(1,968,124	)		5,102,230			(11,181,106	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(832,681	)		(2,011,476	)		(3,914,406	)		1,425,544
Short-term U.S. government and agency obligations		61			(2,780	)		(114	)		(537	)

Change in net unrealized appreciation/depreciation		(832,620	)		(2,014,256	)		(3,914,520	)		1,425,007

Net realized and unrealized gain (loss)		(910,106	)		(3,982,380	)		1,187,710			(9,756,099	)

Net income (loss)	$	(958,168	)	$	(4,154,662	)	$	1,098,061		$	(10,083,966	)

Net income (loss) per weighted-average share	$	(6.24	)	$	(2.64	)	$	7.20		$	(7.08	)

Weighted-average shares outstanding		153,522			1,575,501			152,575			1,423,847

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	14,688,564

Addition of 300,000 shares		22,390,130
Redemption of 300,000 shares		(25,090,904	)

Net addition (redemption) of 0 shares		(2,700,774	)


Net investment income (loss)		(89,649	)
Net realized gain (loss)		5,102,230
Change in net unrealized appreciation/depreciation		(3,914,520	)

Net income (loss)		1,098,061


Shareholders’ equity, at June 30, 2015	$	13,085,851

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	1,098,061		$	(10,083,966	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		3,111,721			(4,015,880	)
Purchases of short term U.S. government and agency obligations		(29,481,843	)		(161,823,598	)
Proceeds from sales or maturities of short term U.S government and agency obligations		26,535,857			135,987,338
Net amortization and accretion on short-term U.S government and agency obligations		(1,580	)		(12,939	)
Net realized gain (loss) on investments		(589	)		(4,437	)
Change in unrealized appreciation/depreciation on investments		114			537
Decrease (Increase) in receivable on futures contracts		923,531			1,520,548
Increase (Decrease) in management fee payable		619			33,021
Increase (Decrease) in brokerage commissions and fees payable		1,302			—
Increase (Decrease) in payable on futures contracts		167,820			730,316

Net cash provided by (used in) operating activities		2,355,013			(37,669,060	)

Cash flow from financing activities
Proceeds from addition of shares		22,390,130			100,908,495
Payment on shares redeemed		(25,090,904	)		(59,773,293	)

Net cash provided by (used in) financing activities		(2,700,774	)		41,135,202

Net increase (decrease) in cash		(345,761	)		3,466,142
Cash, beginning of period		696,743			564,647

Cash, end of period	$	350,982		$	4,030,789

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	147,666	$	162,434
Segregated cash balances with brokers for futures contracts		8,250		8,800
Short-term U.S. government and agency obligations (Note 3) (cost $73,846,771 and $84,038,905, respectively)		73,848,088		84,040,107
Unrealized appreciation on forward agreements		45,873		—
Receivable on open futures contracts		1,440		3,260

Total assets		74,051,317		84,214,601

Liabilities and shareholders’ equity
Liabilities
Management fee payable		56,798		70,061
Unrealized depreciation on forward agreements		42,845		2,282,778

Total liabilities		99,643		2,352,839

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		73,951,674		81,861,762

Total liabilities and shareholders’ equity	$	74,051,317	$	84,214,601

Shares outstanding		746,978		846,978

Net asset value per share	$	99.00	$	96.65

Market value per share (Note 2)	$	98.82	$	100.22

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(100% of shareholders’ equity)
U.S. Treasury Bills:
0.023% due 07/02/15	$	5,189,000	$	5,188,998
0.019% due 07/16/15		4,234,000		4,233,938
0.022% due 07/23/15†		5,151,000		5,150,984
0.020% due 07/30/15		3,015,000		3,014,952
0.045% due 08/06/15		2,915,000		2,914,985
0.043% due 08/13/15†		22,878,000		22,877,728
0.015% due 08/20/15†		26,658,000		26,657,630
0.010% due 09/10/15†		2,340,000		2,340,046
0.030% due 11/19/15		1,469,000		1,468,827

Total short-term U.S. government and agency obligations (cost $73,846,771)			$	73,848,088

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires August 2015		2	$	234,360	$	10,370

Forward Agreements^


	Rate Paid (Received) *			Settlement Date		Commitment to (Deliver)/Receive			Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold		0.03	%		07/06/15	$	(60,800	)	$	(71,199,840	)	$	(26,035	)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		0.22			07/06/15		(27,198	)		(31,849,946	)		(16,810	)
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		0.33			07/06/15		(12,300	)		(14,403,669	)		19,085
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		0.24			07/06/15		(25,850	)		(30,271,126	)		26,788


												$	3,028

†	All or partial amount pledged as collateral for forward agreements and/or futures contracts.

††	Cash collateral in the amount of $8,250 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

^	The positions and counterparties herein are as of June 30, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

*	Reflects the floating financing rate, as of June 30, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

**	For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	6,595		$	12,750		$	14,791		$	27,945

Expenses
Management fee		174,020			231,431			367,896			496,983
Brokerage commissions and fees		9			8			25			24

Total expenses		174,029			231,439			367,921			497,007

Net investment income (loss)		(167,434	)		(218,689	)		(353,130	)		(469,062	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(14,000	)		14,130			(12,000	)		(4,430	)
Forward agreements		(511,529	)		13,861,265			1,405,001			(8,269,862	)
Short-term U.S. government and agency obligations		176			716			(424	)		2,211

Net realized gain (loss)		(525,353	)		13,876,111			1,392,577			(8,272,081	)

Change in net unrealized appreciation/depreciation on
Futures contracts		16,410			(21,700	)		14,890			(19,360	)
Forward agreements		1,585,109			(19,115,270	)		2,285,806			(16,216,561	)
Short-term U.S. government and agency obligations		1,351			(1,186	)		115			2,343

Change in net unrealized appreciation/depreciation		1,602,870			(19,138,156	)		2,300,811			(16,233,578	)

Net realized and unrealized gain (loss)		1,077,517			(5,262,045	)		3,693,388			(24,505,659	)

Net income (loss)	$	910,083		$	(5,480,734	)	$	3,340,258		$	(24,974,721	)

Net income (loss) per weighted-average share	$	1.19		$	(4.94	)	$	4.06		$	(21.04	)

Weighted-average shares outstanding		763,461			1,109,065			822,115			1,186,757

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	81,861,762

Addition of 100,000 shares		8,523,330
Redemption of 200,000 shares		(19,773,676	)

Net addition (redemption) of (100,000) shares		(11,250,346	)


Net investment income (loss)		(353,130	)
Net realized gain (loss)		1,392,577
Change in net unrealized appreciation/depreciation		2,300,811

Net income (loss)		3,340,258


Shareholders’ equity, at June 30, 2015	$	73,951,674

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	3,340,258		$	(24,974,721	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		550			2,750
Purchases of short term U.S. government and agency obligations		(103,783,368	)		(158,975,980	)
Proceeds from sales or maturities of short term U.S government and agency obligations		113,989,869			213,795,555
Net amortization and accretion on short-term U.S government and agency obligations		(14,791	)		(27,915	)
Net realized gain (loss) on investments		424			(2,211	)
Change in unrealized appreciation/depreciation on investments		(2,285,921	)		16,214,218
Decrease (Increase) in receivable on futures contracts		1,820			300
Increase (Decrease) in management fee payable		(13,263	)		(49,576	)
Increase (Decrease) in payable on futures contracts		—			1,000

Net cash provided by (used in) operating activities		11,235,578			45,983,420

Cash flow from financing activities
Proceeds from addition of shares		8,523,330			36,818,943
Payment on shares redeemed		(19,773,676	)		(82,812,701	)

Net cash provided by (used in) financing activities		(11,250,346	)		(45,993,758	)

Net increase (decrease) in cash		(14,768	)		(10,338	)
Cash, beginning of period		162,434			197,647

Cash, end of period	$	147,666		$	187,309

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	933,708	$	207,506
Segregated cash balances with brokers for futures contracts		15,400		14,300
Short-term U.S. government and agency obligations (Note 3) (cost $57,659,474 and $52,225,712, respectively)		57,659,474		52,226,692
Unrealized appreciation on forward agreements		2,554,412		799,523
Receivable on open futures contracts		1,140		6,770

Total assets		61,164,134		53,254,791

Liabilities and shareholders’ equity
Liabilities
Management fee payable		47,898		42,354
Unrealized depreciation on forward agreements		—		204,570

Total liabilities		47,898		246,924

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		61,116,236		53,007,867

Total liabilities and shareholders’ equity	$	61,164,134	$	53,254,791

Shares outstanding		558,489		458,489

Net asset value per share	$	109.43	$	115.61

Market value per share (Note 2)	$	108.54	$	119.39

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(94% of shareholders’ equity)
U.S. Treasury Bills:
0.030% due 07/02/15	$	4,494,000	$	4,493,996
0.017% due 07/09/15		5,208,000		5,207,980
0.023% due 07/16/15†		3,173,000		3,172,970
0.037% due 07/23/15†		2,023,000		2,022,954
0.010% due 07/30/15		2,120,000		2,119,983
0.002% due 08/13/15†		12,883,000		12,882,962
0.013% due 08/20/15†		9,649,000		9,648,820
0.005% due 09/03/15†		15,322,000		15,321,864
0.010% due 09/10/15†		2,788,000		2,787,945

Total short-term U.S. government and agency obligations (cost $57,659,474)			$	57,659,474

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires September 2015		2	$	156,650	$	2,890

Forward Agreements^


	Rate Paid (Received) *			Settlement Date	Commitment to (Deliver)/Receive			Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver		(0.31	)%	07/06/15	$	(3,986,000	)	$	(62,586,578	)	$	1,223,509
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		0.02		07/06/15		(1,406,500	)		(22,083,457	)		546,280
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		0.13		07/06/15		(888,000	)		(13,942,488	)		270,536
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		0.03		07/06/15		(1,494,000	)		(23,457,443	)		514,087


											$	2,554,412

†	All or partial amount pledged as collateral for forward agreements and/or futures contracts.

††	Cash collateral in the amount of $15,400 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

^	The positions and counterparties herein are as of June 30, 2015. The Funds continually evaluate 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, 2015, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.

**	For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	4,035		$	7,838		$	10,178		$	20,795

Expenses
Management fee		134,697			140,948			259,052			345,108
Brokerage commissions and fees		17			16			25			24

Total expenses		134,714			140,964			259,077			345,132

Net investment income (loss)		(130,679	)		(133,126	)		(248,899	)		(324,337	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		11,225			9,900			25			15,250
Forward agreements		(580,371	)		12,445,216			(1,930,876	)		(174,539	)
Short-term U.S. government and agency obligations		792			469			634			2,010

Net realized gain (loss)		(568,354	)		12,455,585			(1,930,217	)		(157,279	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(205	)		(22,240	)		1,330			(31,110	)
Forward agreements		6,290,595			(18,305,793	)		1,959,459			(8,335,356	)
Short-term U.S. government and agency obligations		(1,247	)		(1,386	)		(980	)		(1,904	)

Change in net unrealized appreciation/depreciation		6,289,143			(18,329,419	)		1,959,809			(8,368,370	)

Net realized and unrealized gain (loss)		5,720,789			(5,873,834	)		29,592			(8,525,649	)

Net income (loss)	$	5,590,110		$	(6,006,960	)	$	(219,307	)	$	(8,849,986	)

Net income (loss) per weighted-average share	$	9.98		$	(8.54	)	$	(0.41	)	$	(9.94	)

Weighted-average shares outstanding		560,136			703,544			536,665			889,981

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	53,007,867

Addition of 500,000 shares		49,611,938
Redemption of 400,000 shares		(41,284,262	)

Net addition (redemption) of 100,000 shares		8,327,676


Net investment income (loss)		(248,899	)
Net realized gain (loss)		(1,930,217	)
Change in net unrealized appreciation/depreciation		1,959,809

Net income (loss)		(219,307	)


Shareholders’ equity, at June 30, 2015	$	61,116,236

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	(219,307	)	$	(8,849,986	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(1,100	)		3,850
Purchases of short term U.S. government and agency obligations		(100,907,460	)		(124,924,052	)
Proceeds from sales or maturities of short term U.S government and agency obligations		95,484,510			177,235,895
Net amortization and accretion on short-term U.S government and agency obligations		(10,178	)		(20,795	)
Net realized gain (loss) on investments		(634	)		(2,010	)
Change in unrealized appreciation/depreciation on investments		(1,958,479	)		8,337,260
Decrease (Increase) in receivable on futures contracts		5,630			1,670
Increase (Decrease) in management fee payable		5,544			(52,864	)

Net cash provided by (used in) operating activities		(7,601,474	)		51,728,968

Cash flow from financing activities
Proceeds from addition of shares		49,611,938			54,418,009
Payment on shares redeemed		(41,284,262	)		(106,367,453	)

Net cash provided by (used in) financing activities		8,327,676			(51,949,444	)

Net increase (decrease) in cash		726,202			(220,476	)
Cash, beginning of period		207,506			461,167

Cash, end of period	$	933,708		$	240,691

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	1,804,069	$	1,640,225
Segregated cash balances with brokers for futures contracts		504,570		242,880
Short-term U.S. government and agency obligations (Note 3) (cost $16,891,874 and $12,086,398, respectively)		16,892,063		12,086,577
Receivable on open futures contracts		174,441		63,250

Total assets		19,375,143		14,032,932

Liabilities and shareholders’ equity
Liabilities
Management fee payable		15,021		11,128

Total liabilities		15,021		11,128

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		19,360,122		14,021,804

Total liabilities and shareholders’ equity	$	19,375,143	$	14,032,932

Shares outstanding		450,005		350,005

Net asset value per share	$	43.02	$	40.06

Market value per share (Note 2)	$	43.05	$	40.03

See accompanying notes to financial statements.

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(87% of shareholders’ equity)
U.S. Treasury Bills:
0.050% due 07/09/15	$	206,000	$	206,000
0.035% due 07/16/15		2,388,000		2,387,965
0.023% due 07/23/15		2,475,000		2,474,992
0.013% due 08/06/15		970,000		969,995
0.045% due 08/13/15		679,000		678,992
0.010% due 09/10/15		3,117,000		3,117,062
0.030% due 11/19/15		4,984,000		4,983,414
0.040% due 12/03/15		2,074,000		2,073,643

Total short-term U.S. government and agency obligations (cost $16,891,874)			$	16,892,063

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Euro Fx Currency Futures - CME, expires September 2015		139	$	19,383,550	$	238,288

††	Cash collateral in the amount of $504,570 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	1,283		$	1,359		$	2,663		$	2,405

Expenses
Management fee		46,327			28,155			85,186			45,561
Brokerage commissions and fees		851			459			1,719			698

Total expenses		47,178			28,614			86,905			46,259

Net investment income (loss)		(45,895	)		(27,255	)		(84,242	)		(43,854	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(906,332	)		225,122			1,150,762			158,534
Short-term U.S. government and agency obligations		—			—			—			258

Net realized gain (loss)		(906,332	)		225,122			1,150,762			158,792

Change in net unrealized appreciation/depreciation on
Futures contracts		128,519			(159,059	)		(147,043	)		(77,928	)
Short-term U.S. government and agency obligations		(173	)		(134	)		10			(324	)

Change in net unrealized appreciation/depreciation		128,346			(159,193	)		(147,033	)		(78,252	)

Net realized and unrealized gain (loss)		(777,986	)		65,929			1,003,729			80,540

Net income (loss)	$	(823,881	)	$	38,674		$	919,487		$	36,686

Net income (loss) per weighted-average share	$	(1.83	)	$	0.12		$	2.20		$	0.14

Weighted-average shares outstanding		450,005			333,521			417,961			270,999

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	14,021,804

Addition of 100,000 shares		4,418,831

Net addition (redemption) of 100,000 shares		4,418,831


Net investment income (loss)		(84,242	)
Net realized gain (loss)		1,150,762
Change in net unrealized appreciation/depreciation		(147,033	)

Net income (loss)		919,487


Shareholders’ equity, at June 30, 2015	$	19,360,122

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	919,487		$	36,686
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(261,690	)		(53,900	)
Purchases of short term U.S. government and agency obligations		(24,431,813	)		(14,684,478	)
Proceeds from sales or maturities of short term U.S government and agency obligations		19,629,000			9,798,717
Net amortization and accretion on short-term U.S government and agency obligations		(2,663	)		(2,406	)
Net realized gain (loss) on investments		—			(258	)
Change in unrealized appreciation/depreciation on investments		(10	)		324
Decrease (Increase) in receivable on futures contracts		(111,191	)		9,100
Increase (Decrease) in management fee payable		3,893			3,792
Increase (Decrease) in payable on futures contracts		—			49,240

Net cash provided by (used in) operating activities		(4,254,987	)		(4,843,183	)

Cash flow from financing activities
Proceeds from addition of shares		4,418,831			7,104,479
Payment on shares redeemed		—			(1,792,584	)

Net cash provided by (used in) financing activities		4,418,831			5,311,895

Net increase (decrease) in cash		163,844			468,712
Cash, beginning of period		1,640,225			863,980

Cash, end of period	$	1,804,069		$	1,332,692

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	1,807,891	$	1,788,757
Segregated cash balances with brokers for futures contracts		381,975		1,020,217
Short-term U.S. government and agency obligations (Note 3) (cost $16,970,749 and $20,267,681, respectively)		16,970,843		20,267,679
Receivable on open futures contracts		—		62,534

Total assets		19,160,709		23,139,187

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		52,029		—
Management fee payable		14,975		18,397

Total liabilities		67,004		18,397

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		19,093,705		23,120,790

Total liabilities and shareholders’ equity	$	19,160,709	$	23,139,187

Shares outstanding		350,005		450,005

Net asset value per share	$	54.55	$	51.38

Market value per share (Note 2)	$	55.09	$	51.37

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(89% of shareholders’ equity)
U.S. Treasury Bills:
0.050% due 07/02/15	$	604,000	$	604,000
0.023% due 07/23/15		1,733,000		1,732,994
0.043% due 08/13/15		121,000		120,998
0.013% due 08/20/15†		3,546,000		3,545,951
0.010% due 09/10/15†		1,373,000		1,373,027
0.030% due 11/19/15†		9,595,000		9,593,873

Total short-term U.S. government and agency obligations (cost $16,970,749)			$	16,970,843

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Australian Dollar Fx Currency Futures - CME, expires September 2015		497	$	38,194,450	$	(97,460	)

†	All or partial amount pledged as collateral for futures contracts.

††	Cash collateral in the amount of $381,975 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	749		$	2,127		$	1,856		$	5,991

Expenses
Management fee		45,158			49,105			97,982			108,365
Brokerage commissions and fees		3,603			2,584			7,600			6,366

Total expenses		48,761			51,689			105,582			114,731

Net investment income (loss)		(48,012	)		(49,562	)		(103,726	)		(108,740	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(445,902	)		(1,846,929	)		2,533,768			(1,925,538	)
Short-term U.S. government and agency obligations		7			83			226			487

Net realized gain (loss)		(445,895	)		(1,846,846	)		2,533,994			(1,925,051	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(517,310	)		859,039			(840,941	)		(1,280,445	)
Short-term U.S. government and agency obligations		(13	)		(1,064	)		96			(1,479	)

Change in net unrealized appreciation/depreciation		(517,323	)		857,975			(840,845	)		(1,281,924	)

Net realized and unrealized gain (loss)		(963,218	)		(988,871	)		1,693,149			(3,206,975	)

Net income (loss)	$	(1,011,230	)	$	(1,038,433	)	$	1,589,423		$	(3,315,715	)

Net income (loss) per weighted-average share	$	(2.89	)	$	(2.08	)	$	4.16		$	(6.31	)

Weighted-average shares outstanding		350,005			500,005			381,773			525,696

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	23,120,790

Addition of 50,000 shares		2,764,167
Redemption of 150,000 shares		(8,380,675	)

Net addition (redemption) of (100,000) shares		(5,616,508	)


Net investment income (loss)		(103,726	)
Net realized gain (loss)		2,533,994
Change in net unrealized appreciation/depreciation		(840,845	)

Net income (loss)		1,589,423


Shareholders’ equity, at June 30, 2015	$	19,093,705

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	1,589,423		$	(3,315,715	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		638,242			433,785
Purchases of short term U.S. government and agency obligations		(35,556,408	)		(20,881,391	)
Proceeds from sales or maturities of short term U.S government and agency obligations		38,855,422			27,316,468
Net amortization and accretion on short-term U.S government and agency obligations		(1,856	)		(5,991	)
Net realized gain (loss) on investments		(226	)		(487	)
Change in unrealized appreciation/depreciation on investments		(96	)		1,479
Decrease (Increase) in receivable on futures contracts		62,534			—
Increase (Decrease) in management fee payable		(3,422	)		(6,057	)
Increase (Decrease) in payable on futures contracts		52,029			(69,006	)

Net cash provided by (used in) operating activities		5,635,642			3,473,085

Cash flow from financing activities
Proceeds from addition of shares		2,764,167			—
Payment on shares redeemed		(8,380,675	)		(4,540,263	)

Net cash provided by (used in) financing activities		(5,616,508	)		(4,540,263	)

Net increase (decrease) in cash		19,134			(1,067,178	)
Cash, beginning of period		1,788,757			2,751,320

Cash, end of period	$	1,807,891		$	1,684,142

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	289,885	$	746,454
Short-term U.S. government and agency obligations (Note 3) (cost $578,163,281 and $487,097,789, respectively)		578,168,780		487,111,117
Unrealized appreciation on foreign currency forward contracts		6,888,913		19,019,765
Receivable from capital shares sold		54,429,298		12,956,604

Total assets		639,776,876		519,833,940

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		7,298,448		—
Management fee payable		448,585		385,820
Unrealized depreciation on foreign currency forward contracts		2,412,829		2,256,771

Total liabilities		10,159,862		2,642,591

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		629,617,014		517,191,349

Total liabilities and shareholders’ equity	$	639,776,876	$	519,833,940

Shares outstanding		25,450,014		23,950,014

Net asset value per share	$	24.74	$	21.59

Market value per share (Note 2)	$	24.75	$	21.61

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(92% of shareholders’ equity)
U.S. Treasury Bills:
0.026% due 07/09/15	$	64,785,000	$	64,785,071
0.035% due 07/16/15		21,905,000		21,904,680
0.040% due 07/23/15		44,994,000		44,993,861
0.030% due 07/30/15		16,259,000		16,258,738
0.035% due 08/06/15†		66,940,000		66,939,665
0.003% due 08/13/15†		72,203,000		72,202,141
0.015% due 08/20/15†		77,882,000		77,880,917
0.004% due 09/03/15		158,348,000		158,346,591
0.013% due 09/10/15†		15,779,000		15,779,311
0.025% due 10/08/15†		34,324,000		34,323,056
0.025% due 11/05/15†		4,755,000		4,754,749

Total short-term U.S. government and agency obligations (cost $578,163,281)			$	578,168,780

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International	07/10/15		134,902,100		$	150,417,685		$	(1,792,532	)
Euro with UBS AG	07/10/15		43,009,100			47,955,734			(620,297	)


								$	(2,412,829	)

Contracts to Sell
Euro with Goldman Sachs International	07/10/15		(650,658,325	)	$	(725,492,920	)	$	3,295,449
Euro with UBS AG	07/10/15		(656,926,500	)		(732,482,020	)		3,593,464


								$	6,888,913

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

^	The positions and counterparties herein are as of June 30, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	54,503		$	59,294		$	122,093		$	128,651

Expenses
Management fee		1,350,724			1,007,662			2,607,869			1,978,418

Total expenses		1,350,724			1,007,662			2,607,869			1,978,418

Net investment income (loss)		(1,296,221	)		(948,368	)		(2,485,776	)		(1,849,767	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(29,574,030	)		5,886,956			77,941,788			(6,295,085	)
Short-term U.S. government and agency obligations		3,345			547			15,866			2,485

Net realized gain (loss)		(29,570,685	)		5,887,503			77,957,654			(6,292,600	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(18,914,111	)		(1,863,031	)		(12,286,910	)		8,161,166
Short-term U.S. government and agency obligations		(12,097	)		(4,307	)		(7,829	)		(14,794	)

Change in net unrealized appreciation/depreciation		(18,926,208	)		(1,867,338	)		(12,294,739	)		8,146,372

Net realized and unrealized gain (loss)		(48,496,893	)		4,020,165			65,662,915			1,853,772

Net income (loss)	$	(49,793,114	)	$	3,071,797		$	63,177,139		$	4,005

Net income (loss) per weighted-average share	$	(2.21	)	$	0.12		$	2.85		$	0.00	*

Weighted-average shares outstanding		22,540,124			24,952,761			22,133,716			24,556,920

*	Amount represents less than $0.01.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	517,191,349

Addition of 11,900,000 shares		310,454,722
Redemption of 10,400,000 shares		(261,206,196	)

Net addition (redemption) of 1,500,000 shares		49,248,526


Net investment income (loss)		(2,485,776	)
Net realized gain (loss)		77,957,654
Change in net unrealized appreciation/depreciation		(12,294,739	)

Net income (loss)		63,177,139


Shareholders’ equity, at June 30, 2015	$	629,617,014

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	63,177,139		$	4,005
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		(783,662,041	)		(473,427,190	)
Proceeds from sales or maturities of short term U.S government and agency obligations		692,733,482			465,521,523
Net amortization and accretion on short-term U.S government and agency obligations		(121,067	)		(128,651	)
Net realized gain (loss) on investments		(15,866	)		(2,485	)
Change in unrealized appreciation/depreciation on investments		12,294,739			(8,146,372	)
Increase (Decrease) in management fee payable		62,765			3,694

Net cash provided by (used in) operating activities		(15,530,849	)		(16,175,476	)

Cash flow from financing activities
Proceeds from addition of shares		268,982,028			38,562,082
Payment on shares redeemed		(253,907,748	)		(22,381,391	)

Net cash provided by (used in) financing activities		15,074,280			16,180,691

Net increase (decrease) in cash		(456,569	)		5,215
Cash, beginning of period		746,454			218,940

Cash, end of period	$	289,885		$	224,155

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	431,746	$	532,706
Short-term U.S. government and agency obligations (Note 3) (cost $428,847,738 and $532,944,509, respectively)		428,853,064		532,957,746
Unrealized appreciation on foreign currency forward contracts		656,113		571,149

Total assets		429,940,923		534,061,601

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		9,217,771		—
Management fee payable		338,861		439,804
Unrealized depreciation on foreign currency forward contracts		14,868,239		2,149,924

Total liabilities		24,424,871		2,589,728

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		405,516,052		531,471,873

Total liabilities and shareholders’ equity	$	429,940,923	$	534,061,601

Shares outstanding		4,399,294		5,949,294

Net asset value per share	$	92.18	$	89.33

Market value per share (Note 2)	$	92.19	$	89.30

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(106% of shareholders’ equity)
U.S. Treasury Bills:
0.030% due 07/02/15	$	5,564,000	$	5,563,998
0.017% due 07/16/15		64,938,000		64,937,052
0.040% due 07/23/15		53,478,000		53,477,834
0.034% due 07/30/15†		174,813,000		174,810,185
0.070% due 08/06/15†		8,495,000		8,494,958
0.045% due 08/13/15†		14,892,000		14,891,823
0.015% due 08/20/15†		10,151,000		10,150,859
0.011% due 09/03/15†		37,802,000		37,801,663
0.016% due 09/10/15†		10,203,000		10,203,201
0.015% due 10/01/15†		31,921,000		31,919,369
0.030% due 11/05/15†		16,603,000		16,602,122

Total short-term U.S. government and agency obligations (cost $428,847,738)			$	428,853,064

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International	07/10/15		11,883,194,200		$	97,106,611		$	538,804
Yen with UBS AG	07/10/15		6,627,069,900			54,154,825			117,309


								$	656,113

Contracts to Sell
Yen with Goldman Sachs International	07/10/15		(60,093,609,500	)	$	(491,070,554	)	$	(7,746,969	)
Yen with UBS AG	07/10/15		(57,749,031,500	)		(471,911,226	)		(7,121,270	)


								$	(14,868,239	)

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

^	The positions and counterparties herein are as of June 30, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	39,919		$	56,785		$	84,967		$	135,009

Expenses
Management fee		1,013,305			877,179			2,174,897			1,905,712

Total expenses		1,013,305			877,179			2,174,897			1,905,712

Net investment income (loss)		(973,386	)		(820,394	)		(2,089,930	)		(1,770,703	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		30,642,122			268,536			25,534,388			165,806
Short-term U.S. government and agency obligations		1,865			3,271			4,308			11,617

Net realized gain (loss)		30,643,987			271,807			25,538,696			177,423

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(14,879,883	)		(14,493,994	)		(12,633,351	)		(39,034,294	)
Short-term U.S. government and agency obligations		695			(37,904	)		(7,911	)		(40,017	)

Change in net unrealized appreciation/depreciation		(14,879,188	)		(14,531,898	)		(12,641,262	)		(39,074,311	)

Net realized and unrealized gain (loss)		15,764,799			(14,260,091	)		12,897,434			(38,896,888	)

Net income (loss)	$	14,791,413		$	(15,080,485	)	$	10,807,504		$	(40,667,591	)

Net income (loss) per weighted-average share	$	3.14		$	(2.69	)	$	2.09		$	(6.71	)

Weighted-average shares outstanding		4,708,085			5,606,437			5,166,145			6,057,581

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	531,471,873

Addition of 1,050,000 shares		95,954,298
Redemption of 2,600,000 shares		(232,717,623	)

Net addition (redemption) of (1,550,000) shares		(136,763,325	)


Net investment income (loss)		(2,089,930	)
Net realized gain (loss)		25,538,696
Change in net unrealized appreciation/depreciation		(12,641,262	)

Net income (loss)		10,807,504


Shareholders’ equity, at June 30, 2015	$	405,516,052

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	10,807,504		$	(40,667,591	)
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		(615,858,523	)		(500,767,586	)
Proceeds from sales or maturities of short term U.S government and agency obligations		720,044,569			696,295,094
Net amortization and accretion on short-term U.S government and agency obligations		(84,967	)		(135,008	)
Net realized gain (loss) on investments		(4,308	)		(11,617	)
Change in unrealized appreciation/depreciation on investments		12,641,262			39,074,311
Increase (Decrease) in management fee payable		(100,943	)		(150,490	)

Net cash provided by (used in) operating activities		127,444,594			193,637,113

Cash flow from financing activities
Proceeds from addition of shares		95,954,298			29,737,314
Payment on shares redeemed		(223,499,852	)		(223,574,024	)

Net cash provided by (used in) financing activities		(127,545,554	)		(193,836,710	)

Net increase (decrease) in cash		(100,960	)		(199,597	)
Cash, beginning of period		532,706			575,108

Cash, end of period	$	431,746		$	375,511

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	1,000,182	$	185,684
Short-term U.S. government and agency obligations (Note 3) (cost $1,382,961 and $2,754,883, respectively)		1,382,982		2,754,900
Unrealized appreciation on swap agreements		96,157		—

Total assets		2,479,321		2,940,584

Liabilities and shareholders’ equity
Liabilities
Management fee payable		1,865		2,326
Unrealized depreciation on swap agreements		—		331,338

Total liabilities		1,865		333,664

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		2,477,456		2,606,920

Total liabilities and shareholders’ equity	$	2,479,321	$	2,940,584

Shares outstanding (Note 1)		49,965		50,004

Net asset value per share (Note 1)	$	49.58	$	52.13

Market value per share (Note 1) (Note 2)	$	47.02	$	51.44

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(56% of shareholders’ equity)
U.S. Treasury Bills:
0.036% due 07/16/15†	$	308,000	$	307,996
0.043% due 08/13/15†		549,000		548,993
0.010% due 08/20/15†		526,000		525,993

Total short-term U.S. government and agency obligations (cost $1,382,961)			$	1,382,982

Swap Agreements^


	Rate Paid (Received)*			Termination Date	Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index		0.25	%	07/06/15	$	2,101,872	$	41,883
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index		0.25		07/06/15		2,151,198		40,373
Swap agreement with UBS AG based on Bloomberg Commodity Index		0.60		07/06/15		698,224		13,901

							$	96,157

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

^	The positions and counterparties herein are as of June 30, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

*	Reflects the floating financing rate, as of June 30, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

**	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.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	232		$	387		$	486		$	719

Expenses
Management fee		5,995			8,125			11,768			15,414

Total expenses		5,995			8,125			11,768			15,414

Net investment income (loss)		(5,763	)		(7,738	)		(11,282	)		(14,695	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		7,472			(160,396	)		(512,987	)		376,946
Short-term U.S. government and agency obligations		(21	)		—			(7	)		—

Net realized gain (loss)		7,451			(160,396	)		(512,994	)		376,946

Change in net unrealized appreciation/depreciation on
Swap agreements		225,590			123,172			427,495			(6,034	)
Short-term U.S. government and agency obligations		(43	)		(140	)		4			(49	)

Change in net unrealized appreciation/depreciation		225,547			123,032			427,499			(6,083	)

Net realized and unrealized gain (loss)		232,998			(37,364	)		(85,495	)		370,863

Net income (loss)	$	227,235		$	(45,102	)	$	(96,777	)	$	356,168

Net income (loss) per weighted-average share (Note 1)	$	4.38		$	(1.18	)	$	(1.90	)	$	9.41

Weighted-average shares outstanding (Note 1)		51,915			38,190			50,964			37,849

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	2,606,920

Addition of 25,000 shares (Note 1)		1,200,621
Redemption of 25,039 shares (Note 1)		(1,233,308	)

Net addition (redemption) of (39) shares (Note 1)		(32,687	)


Net investment income (loss)		(11,282	)
Net realized gain (loss)		(512,994	)
Change in net unrealized appreciation/depreciation		427,499

Net income (loss)		(96,777	)


Shareholders’ equity, at June 30, 2015	$	2,477,456

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	(96,777	)	$	356,168
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		(3,628,526	)		(4,699,352	)
Proceeds from sales or maturities of short term U.S government and agency obligations		5,000,927			4,349,981
Net amortization and accretion on short-term U.S government and agency obligations		(486	)		(720	)
Net realized gain (loss) on investments		7			—
Change in unrealized appreciation/depreciation on investments		(427,499	)		6,083
Increase (Decrease) in management fee payable		(461	)		362

Net cash provided by (used in) operating activities		847,185			12,522

Cash flow from financing activities
Proceeds from addition of shares		1,200,621			1,134,916
Payment on shares redeemed		(1,233,308	)		—

Net cash provided by (used in) financing activities		(32,687	)		1,134,916

Net increase (decrease) in cash		814,498			1,147,438
Cash, beginning of period		185,684			85,642

Cash, end of period	$	1,000,182		$	1,233,080

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	4,258,533	$	2,349,384
Segregated cash balances with brokers for futures contracts		15,170,424		34,605,120
Short-term U.S. government and agency obligations (Note 3) (cost $885,203,702 and $467,195,638, respectively)		885,209,189		467,200,736
Unrealized appreciation on swap agreements		18,127,758		—
Receivable from capital shares sold		60,399,187		28,726,173
Receivable on open futures contracts		13,029,983		—

Total assets		996,195,074		532,881,413

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		5,817,266
Brokerage commissions and fees payable		32,509		—
Management fee payable		745,644		320,062
Unrealized depreciation on swap agreements		—		76,181,097

Total liabilities		778,153		82,318,425

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		995,416,921		450,562,988

Total liabilities and shareholders’ equity	$	996,195,074	$	532,881,413

Shares outstanding (Note 1)		21,877,867		8,879,834

Net asset value per share (Note 1)	$	45.50	$	50.74

Market value per share (Note 1) (Note 2)	$	45.20	$	51.85

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(89% of shareholders’ equity)
U.S. Treasury Bills:
0.027% due 07/02/15	$	4,114,000	$	4,113,998
0.017% due 07/09/15		5,201,000		5,201,006
0.036% due 07/16/15		35,250,000		35,249,485
0.021% due 07/23/15		9,702,000		9,701,970
0.022% due 07/30/15†		94,967,000		94,965,471
0.049% due 08/06/15†		97,245,000		97,244,514
0.005% due 08/13/15†		130,920,000		130,918,442
0.014% due 08/20/15†		33,188,000		33,187,539
0.007% due 09/03/15		66,226,000		66,225,411
0.010% due 09/10/15†		86,327,000		86,328,701
0.010% due 09/24/15†		47,210,000		47,209,443
0.025% due 10/08/15		27,552,000		27,551,242
0.027% due 11/05/15		43,209,000		43,206,714
0.024% due 11/27/15†		195,932,000		195,907,665
0.030% due 12/03/15†		8,199,000		8,197,588

Total short-term U.S. government and agency obligations (cost $885,203,702)			$	885,209,189

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil - NYMEX, expires September 2015		11,328	$	677,754,240	$	(8,705,078	)

Swap Agreements^


	Rate Paid (Received)*			Termination Date	Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg WTI Crude Oil Sub-Index		0.25	%	07/06/15	$	381,511,185	$	5,709,314
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Sub-Index		0.25		07/06/15		396,154,173		5,294,770
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Sub-Index		0.25		07/06/15		141,007,327		2,092,023
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Sub-Index		0.25		07/06/15		394,371,392		5,031,651

							$	18,127,758

†	All or partial amount pledged as collateral for swap agreements and/or futures contracts.

††	Cash collateral in the amount of $15,170,424 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

^	The positions and counterparties herein are as of June 30, 2015. The Funds continually evaluate 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, 2015, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

**	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.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	65,327		$	11,287		$	141,569		$	32,988

Expenses
Management fee		2,401,552			228,560			4,245,253			574,502
Brokerage commissions and fees		223,457			7,348			300,710			16,499

Total expenses		2,625,009			235,908			4,545,963			591,001

Net investment income (loss)		(2,559,682	)		(224,621	)		(4,404,394	)		(558,013	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		62,631,818			5,780,822			2,233,204			13,372,250
Swap agreements		143,672,353			4,033,279			30,387,848			17,635,519
Short-term U.S. government and agency obligations		16,676			1,571			60,872			7,958

Net realized gain (loss)		206,320,847			9,815,672			32,681,924			31,015,727

Change in net unrealized appreciation/depreciation on
Futures contracts		55,158,363			(986,210	)		37,769,709			496,443
Swap agreements		96,601,977			3,151,079			94,308,855			2,153,137
Short-term U.S. government and agency obligations		(739	)		(2,098	)		389			(10,662	)

Change in net unrealized appreciation/depreciation		151,759,601			2,162,771			132,078,953			2,638,918

Net realized and unrealized gain (loss)		358,080,448			11,978,443			164,760,877			33,654,645

Net income (loss)	$	355,520,766		$	11,753,822		$	160,356,483		$	33,096,632

Net income (loss) per weighted-average share (Note 1)	$	15.86		$	22.13		$	7.55		$	45.18

Weighted-average shares outstanding (Note 1)		22,419,009			531,153			21,236,270			732,486

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	450,562,988

Addition of 36,680,000 shares (Note 1)		1,438,991,852
Redemption of 23,681,967 shares (Note 1)		(1,054,494,402	)

Net addition (redemption) of 12,998,033 shares (Note 1)		384,497,450


Net investment income (loss)		(4,404,394	)
Net realized gain (loss)		32,681,924
Change in net unrealized appreciation/depreciation		132,078,953

Net income (loss)		160,356,483


Shareholders’ equity, at June 30, 2015	$	995,416,921

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	160,356,483		$	33,096,632
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		19,434,696			1,182,225
Purchases of short term U.S. government and agency obligations		(2,456,271,120	)		(252,821,570	)
Proceeds from sales or maturities of short term U.S government and agency obligations		2,038,462,358			297,327,512
Net amortization and accretion on short-term U.S government and agency obligations		(138,430	)		(32,988	)
Net realized gain (loss) on investments		(60,872	)		(7,958	)
Change in unrealized appreciation/depreciation on investments		(94,309,244	)		(2,142,475	)
Decrease (Increase) in receivable on futures contracts		(13,029,983	)		—
Increase (Decrease) in management fee payable		425,582			(59,350	)
Increase (Decrease) in brokerage commissions and fees payable		32,509			—
Increase (Decrease) in payable on futures contracts		(5,817,266	)		(683,423	)

Net cash provided by (used in) operating activities		(350,915,287	)		75,858,605

Cash flow from financing activities
Proceeds from addition of shares		1,407,318,838			158,474,412
Payment on shares redeemed		(1,054,494,402	)		(232,482,704	)

Net cash provided by (used in) financing activities		352,824,436			(74,008,292	)

Net increase (decrease) in cash		1,909,149			1,850,313
Cash, beginning of period		2,349,384			689,596

Cash, end of period	$	4,258,533		$	2,539,909

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	2,807,366	$	1,653,582
Segregated cash balances with brokers for futures contracts		4,322,527		21,134,080
Short-term U.S. government and agency obligations (Note 3) (cost $59,690,650 and $53,408,848, respectively)		59,691,488		53,410,227
Receivable from capital shares sold		—		3,853,422
Receivable on open futures contracts		944,439		—

Total assets		67,765,820		80,051,311

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		4,469,182		—
Payable on open futures contracts		—		9,552,314
Brokerage commissions and fees payable		5,609		—
Management fee payable		52,087		65,790

Total liabilities		4,526,878		9,618,104

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		63,238,942		70,433,207

Total liabilities and shareholders’ equity	$	67,765,820	$	80,051,311

Shares outstanding (Note 1)		1,392,170		1,142,485

Net asset value per share (Note 1)	$	45.42	$	61.65

Market value per share (Note 1) (Note 2)	$	45.20	$	63.12

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(94% of shareholders’ equity)
U.S. Treasury Bills:
0.029% due 07/02/15	$	4,112,000	$	4,111,998
0.042% due 07/09/15		5,146,000		5,146,006
0.024% due 07/16/15		2,359,000		2,358,966
0.047% due 07/23/15		3,623,000		3,622,989
0.045% due 08/06/15		4,885,000		4,884,976
0.009% due 08/13/15		3,450,000		3,449,959
0.017% due 08/20/15		4,206,000		4,205,942
0.005% due 09/03/15		5,000,000		4,999,955
0.010% due 09/10/15†		12,837,000		12,837,253
0.007% due 10/08/15		4,658,000		4,657,872
0.030% due 11/19/15		3,554,000		3,553,582
0.040% due 12/03/15†		5,863,000		5,861,990

Total short-term U.S. government and agency obligations (cost $59,690,650)			$	59,691,488

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, expires September 2015		4,450	$	126,469,000	$	(849,291	)

†	All or partial amount pledged as collateral for futures contracts.

††	Cash collateral in the amount of $4,322,527 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	5,742		$	1,811		$	11,384		$	8,084

Expenses
Management fee		158,681			44,242			331,489			150,086
Brokerage commissions and fees		69,898			9,286			109,616			27,277

Total expenses		228,579			53,528			441,105			177,363

Net investment income (loss)		(222,837	)		(51,717	)		(429,721	)		(169,279	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(3,971,479	)		162,451			(49,808,443	)		16,965,826
Short-term U.S. government and agency obligations		356			506			4,811			3,213

Net realized gain (loss)		(3,971,123	)		162,957			(49,803,632	)		16,969,039

Change in net unrealized appreciation/depreciation on
Futures contracts		6,588,334			440,646			34,039,992			2,245,774
Short-term U.S. government and agency obligations		148			(459	)		(541	)		(2,861	)

Change in net unrealized appreciation/depreciation		6,588,482			440,187			34,039,451			2,242,913

Net realized and unrealized gain (loss)		2,617,359			603,144			(15,764,181	)		19,211,952

Net income (loss)	$	2,394,522		$	551,427		$	(16,193,902	)	$	19,042,673

Net income (loss) per weighted-average share (Note 1)	$	1.64		$	5.70		$	(11.57	)	$	110.60

Weighted-average shares outstanding (Note 1)		1,460,795			96,744			1,399,066			172,182

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	70,433,207

Addition of 987,500 shares (Note 1)		47,685,027
Redemption of 737,815 shares (Note 1)		(38,685,390	)

Net addition (redemption) of 249,685 shares (Note 1)		8,999,637


Net investment income (loss)		(429,721	)
Net realized gain (loss)		(49,803,632	)
Change in net unrealized appreciation/depreciation		34,039,451

Net income (loss)		(16,193,902	)


Shareholders’ equity, at June 30, 2015	$	63,238,942

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	(16,193,902	)	$	19,042,673
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		16,811,553			3,876,620
Purchases of short term U.S. government and agency obligations		(166,594,683	)		(85,144,812	)
Proceeds from sales or maturities of short term U.S government and agency obligations		160,327,756			128,554,796
Net amortization and accretion on short-term U.S government and agency obligations		(10,064	)		(8,084	)
Net realized gain (loss) on investments		(4,811	)		(3,213	)
Change in unrealized appreciation/depreciation on investments		541			2,861
Decrease (Increase) in receivable on futures contracts		(944,439	)		(111,842	)
Increase (Decrease) in management fee payable		(13,703	)		(66,231	)
Increase (Decrease) in brokerage commissions and fees payable		5,609			—
Increase (Decrease) in payable on futures contracts		(9,552,314	)		(5,628,532	)

Net cash provided by (used in) operating activities		(16,168,457	)		60,514,236

Cash flow from financing activities
Proceeds from addition of shares		51,538,449			16,199,611
Payment on shares redeemed		(34,216,208	)		(79,246,187	)

Net cash provided by (used in) financing activities		17,322,241			(63,046,576	)

Net increase (decrease) in cash		1,153,784			(2,532,340	)
Cash, beginning of period		1,653,582			3,102,827

Cash, end of period	$	2,807,366		$	570,487

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	92,252	$	104,145
Segregated cash balances with brokers for futures contracts		8,250		8,800
Short-term U.S. government and agency obligations (Note 3) (cost $89,235,006 and $101,925,636, respectively)		89,234,894		101,927,857
Unrealized appreciation on forward agreements		—		2,051,154

Total assets		89,335,396		104,091,956

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		1,999,718
Payable on open futures contracts		1,440		3,260
Management fee payable		70,834		85,633
Unrealized depreciation on forward agreements		414,904		—

Total liabilities		487,178		2,088,611

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		88,848,218		102,003,345

Total liabilities and shareholders’ equity	$	89,335,396	$	104,091,956

Shares outstanding		2,400,014		2,550,014

Net asset value per share	$	37.02	$	40.00

Market value per share (Note 2)	$	37.04	$	38.41

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(100% of shareholders’ equity)
U.S. Treasury Bills:
0.037% due 07/02/15	$	8,124,000	$	8,123,997
0.038% due 08/13/15†		13,997,000		13,996,833
0.014% due 08/20/15†		38,713,000		38,712,462
0.005% due 09/03/15†		9,796,000		9,795,913
0.020% due 11/27/15†		18,608,000		18,605,689

Total short-term U.S. government and agency obligations (cost $89,235,006)			$	89,234,894

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires August 2015		2	$	234,360	$	(10,420	)

Forward Agreements^


	Rate Paid (Received) *			Settlement Date	Commitment to (Deliver)/Receive		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold		0.57	%	07/06/15	$	74,200	$	86,891,910	$	(262,178	)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		0.63		07/06/15		31,620		37,028,285		(43,820	)
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		0.67		07/06/15		16,300		19,087,789		(36,974	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		0.56		07/06/15		29,400		34,428,282		(71,932	)


									$	(414,904	)

†	All or partial amount pledged as collateral for forward agreements and/or futures contracts.

††	Cash collateral in the amount of $8,250 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

^	The positions and counterparties herein are as of June 30, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

*	Reflects the floating financing rate, as of June 30, 2015, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.

**	For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 31, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	8,894		$	17,629		$	21,632		$	31,457

Expenses
Management fee		221,273			314,711			461,738			646,062
Brokerage commissions and fees		9			8			25			24

Total expenses		221,282			314,719			461,763			646,086

Net investment income (loss)		(212,388	)		(297,090	)		(440,131	)		(614,629	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		13,900			(14,080	)		11,860			4,440
Forward agreements		(934,076	)		(21,475,056	)		(3,919,792	)		1,940,044
Short-term U.S. government and agency obligations		292			793			2,200			723

Net realized gain (loss)		(919,884	)		(21,488,343	)		(3,905,732	)		1,945,207

Change in net unrealized appreciation/depreciation on
Futures contracts		(16,440	)		21,680			(15,000	)		19,380
Forward agreements		(2,075,872	)		25,237,987			(2,466,058	)		20,040,889
Short-term U.S. government and agency obligations		(2,706	)		(3,219	)		(2,333	)		6,146

Change in net unrealized appreciation/depreciation		(2,095,018	)		25,256,448			(2,483,391	)		20,066,415

Net realized and unrealized gain (loss)		(3,014,902	)		3,768,105			(6,389,123	)		22,011,622

Net income (loss)	$	(3,227,290	)	$	3,471,015		$	(6,829,254	)	$	21,396,993

Net income (loss) per weighted-average share	$	(1.33	)	$	1.22		$	(2.76	)	$	7.32

Weighted-average shares outstanding		2,421,992			2,847,267			2,472,390			2,921,285

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	102,003,345

Addition of 50,000 shares		2,093,762
Redemption of 200,000 shares		(8,419,635	)

Net addition (redemption) of (150,000) shares		(6,325,873	)


Net investment income (loss)		(440,131	)
Net realized gain (loss)		(3,905,732	)
Change in net unrealized appreciation/depreciation		(2,483,391	)

Net income (loss)		(6,829,254	)


Shareholders’ equity, at June 30, 2015	$	88,848,218

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	(6,829,254	)	$	21,396,993
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		550			2,750
Purchases of short term U.S. government and agency obligations		(120,780,305	)		(213,631,327	)
Proceeds from sales or maturities of short term U.S government and agency obligations		133,494,767			232,358,168
Net amortization and accretion on short-term U.S government and agency obligations		(21,632	)		(31,457	)
Net realized gain (loss) on investments		(2,200	)		(723	)
Change in unrealized appreciation/depreciation on investments		2,468,391			(20,047,035	)
Increase (Decrease) in management fee payable		(14,799	)		(12,690	)
Increase (Decrease) in payable on futures contracts		(1,820	)		(180	)

Net cash provided by (used in) operating activities		8,313,698			20,034,499

Cash flow from financing activities
Proceeds from addition of shares		2,093,762			7,049,141
Payment on shares redeemed		(10,419,353	)		(27,102,640	)

Net cash provided by (used in) financing activities		(8,325,591	)		(20,053,499	)

Net increase (decrease) in cash		(11,893	)		(19,000	)
Cash, beginning of period		104,145			142,566

Cash, end of period	$	92,252		$	123,566

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	3,996,414	$	305,004
Segregated cash balances with brokers for futures contracts		23,100		14,300
Short-term U.S. government and agency obligations (Note 3) (cost $299,749,196 and $305,465,636, respectively)		299,754,121		305,474,211

Total assets		303,773,635		305,793,515

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		1,967,832
Payable on open futures contracts		1,710		6,770
Management fee payable		226,049		254,050
Unrealized depreciation on forward agreements		13,858,527		12,395,120
Payable for investments purchased		3,695,661		—

Total liabilities		17,781,947		14,623,772

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		285,991,688		291,169,743

Total liabilities and shareholders’ equity	$	303,773,635	$	305,793,515

Shares outstanding		7,846,533		7,396,533

Net asset value per share	$	36.45	$	39.37

Market value per share (Note 2)	$	36.63	$	38.05

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(105% of shareholders’ equity)
U.S. Treasury Bills:
0.041% due 07/02/15	$	27,153,000	$	27,152,989
0.020% due 07/16/15		2,753,000		2,752,960
0.024% due 07/23/15		20,309,000		20,308,937
0.062% due 08/06/15†		89,010,000		89,009,555
0.039% due 08/13/15†		39,592,000		39,591,529
0.014% due 08/20/15†		16,883,000		16,882,765
0.005% due 09/03/15†		4,022,000		4,021,964
0.015% due 10/01/15†		43,630,000		43,627,770
0.019% due 10/08/15†		11,563,000		11,562,682
0.014% due 11/05/15		7,566,000		7,565,600
0.020% due 11/27/15†		37,282,000		37,277,370

Total short-term U.S. government and agency obligations (cost $299,749,196)			$	299,754,121

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires September 2015		3	$	233,715	$	(4,910	)

Forward Agreements^


	Rate Paid (Received) *			Settlement Date	Commitment to (Deliver)/Receive		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver		0.91	%	07/06/15	$	13,194,000	$	207,166,910	$	(5,222,832	)
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		0.83		07/06/15		9,356,800		146,911,117		(3,532,501	)
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		0.87		07/06/15		3,648,000		57,277,248		(1,435,222	)
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		0.87		07/06/15		10,215,000		160,386,737		(3,667,972	)


									$	(13,858,527	)

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

††	Cash collateral in the amount of $23,100 was pledged to cover margin requirements for open futures contracts as of June 30, 2015.

^	The positions and counterparties herein are as of June 30, 2015. The Funds continually evaluate 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, 2015, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.

**	For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	36,301		$	51,355		$	74,547		$	113,957

Expenses
Management fee		715,430			1,098,533			1,453,507			2,286,437
Brokerage commissions and fees		19			22			27			30

Total expenses		715,449			1,098,555			1,453,534			2,286,467

Net investment income (loss)		(679,148	)		(1,047,200	)		(1,378,987	)		(2,172,510	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(11,449	)		(7,025	)		(299	)		(12,375	)
Forward agreements		1,770,580			(106,232,925	)		(16,009,663	)		(32,272,003	)
Short-term U.S. government and agency obligations		1,371			2,611			6,114			5,680

Net realized gain (loss)		1,760,502			(106,237,339	)		(16,003,848	)		(32,278,698	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(1,590	)		13,785			(3,350	)		22,655
Forward agreements		(36,479,395	)		145,040,572			(1,463,407	)		89,395,091
Short-term U.S. government and agency obligations		(4,557	)		(13,905	)		(3,650	)		(17,833	)

Change in net unrealized appreciation/depreciation		(36,485,542	)		145,040,452			(1,470,407	)		89,399,913

Net realized and unrealized gain (loss)		(34,725,040	)		38,803,113			(17,474,255	)		57,121,215

Net income (loss)	$	(35,404,188	)	$	37,755,913		$	(18,853,242	)	$	54,948,705

Net income (loss) per weighted-average share	$	(4.71	)	$	5.09		$	(2.52	)	$	7.45

Weighted-average shares outstanding		7,511,918			7,424,555			7,485,207			7,378,696

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	291,169,743

Addition of 1,500,000 shares		59,122,228
Redemption of 1,050,000 shares		(45,447,041	)

Net addition (redemption) of 450,000 shares		13,675,187


Net investment income (loss)		(1,378,987	)
Net realized gain (loss)		(16,003,848	)
Change in net unrealized appreciation/depreciation		(1,470,407	)

Net income (loss)		(18,853,242	)


Shareholders’ equity, at June 30, 2015	$	285,991,688

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	(18,853,242	)	$	54,948,705
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(8,800	)		12,925
Purchases of short term U.S. government and agency obligations		(400,537,544	)		(783,099,728	)
Proceeds from sales or maturities of short term U.S government and agency obligations		406,334,646			826,553,137
Net amortization and accretion on short-term U.S government and agency obligations		(74,547	)		(111,986	)
Net realized gain (loss) on investments		(6,114	)		(5,680	)
Change in unrealized appreciation/depreciation on investments		1,467,056			(89,377,258	)
Increase (Decrease) in management fee payable		(28,001	)		(10,512	)
Increase (Decrease) in payable for investments purchased		3,695,661			—
Increase (Decrease) in payable on futures contracts		(5,060	)		(1,875	)

Net cash provided by (used in) operating activities		(8,015,945	)		8,907,728

Cash flow from financing activities
Proceeds from addition of shares		59,122,228			76,672,081
Payment on shares redeemed		(47,414,873	)		(85,619,560	)

Net cash provided by (used in) financing activities		11,707,355			(8,947,479	)

Net increase (decrease) in cash		3,691,410			(39,751	)
Cash, beginning of period		305,004			463,001

Cash, end of period	$	3,996,414		$	423,250

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	267,957	$	671,117
Short-term U.S. government and agency obligations (Note 3) (cost $13,149,479 and $2,415,732, respectively)		13,149,587		2,415,698
Unrealized appreciation on foreign currency forward contracts		49,526		2,921

Total assets		13,467,070		3,089,736

Liabilities and shareholders’ equity
Liabilities
Management fee payable		11,242		2,003
Unrealized depreciation on foreign currency forward contracts		183,008		106,292

Total liabilities		194,250		108,295

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		13,272,820		2,981,441

Total liabilities and shareholders’ equity	$	13,467,070	$	3,089,736

Shares outstanding		800,014		150,014

Net asset value per share	$	16.59	$	19.87

Market value per share (Note 2)	$	16.59	$	19.80

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(99% of shareholders’ equity)
U.S. Treasury Bills:
0.041% due 07/02/15	$	1,136,000	$	1,136,000
0.036% due 07/16/15		1,656,000		1,655,976
0.034% due 07/23/15†		5,036,000		5,035,984
0.014% due 08/20/15†		3,436,000		3,435,952
0.040% due 12/03/15†		1,886,000		1,885,675

Total short-term U.S. government and agency obligations (cost $13,149,479)			$	13,149,587

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International	07/10/15		15,101,725		$	16,838,630		$	(92,838	)
Euro with UBS AG	07/10/15		13,022,500			14,520,266			(90,170	)


								$	(183,008	)

Contracts to Sell
Euro with Goldman Sachs International	07/10/15		(2,464,500	)	$	(2,747,951	)	$	19,671
Euro with UBS AG	07/10/15		(1,854,400	)		(2,067,681	)		29,855


								$	49,526

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

^	The positions and counterparties herein are as of June 30, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	1,028		$	327		$	1,562		$	705

Expenses
Management fee		35,245			6,106			51,477			12,148

Total expenses		35,245			6,106			51,477			12,148

Net investment income (loss)		(34,217	)		(5,779	)		(49,915	)		(11,443	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		436,915			(40,251	)		(628,301	)		44,885
Short-term U.S. government and agency obligations		46			—			60			—

Net realized gain (loss)		436,961			(40,251	)		(628,241	)		44,885

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		645,268			9,743			(30,111	)		(70,235	)
Short-term U.S. government and agency obligations		98			(94	)		142			(133	)

Change in net unrealized appreciation/depreciation		645,366			9,649			(29,969	)		(70,368	)

Net realized and unrealized gain (loss)		1,082,327			(30,602	)		(658,210	)		(25,483	)

Net income (loss)	$	1,048,110		$	(36,381	)	$	(708,125	)	$	(36,926	)

Net income (loss) per weighted-average share	$	1.15		$	(0.36	)	$	(1.07	)	$	(0.37	)

Weighted-average shares outstanding		907,706			100,014			664,655			100,014

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	2,981,441

Addition of 800,000 shares		13,540,570
Redemption of 150,000 shares		(2,541,066	)

Net addition (redemption) of 650,000 shares		10,999,504


Net investment income (loss)		(49,915	)
Net realized gain (loss)		(628,241	)
Change in net unrealized appreciation/depreciation		(29,969	)

Net income (loss)		(708,125	)


Shareholders’ equity, at June 30, 2015	$	13,272,820

See accompanying notes to financial statements.

100

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	(708,125	)	$	(36,926	)
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		(19,582,990	)		(3,276,338	)
Proceeds from sales or maturities of short term U.S government and agency obligations		8,850,865			3,246,000
Net amortization and accretion on short-term U.S government and agency obligations		(1,562	)		(704	)
Net realized gain (loss) on investments		(60	)		—
Change in unrealized appreciation/depreciation on investments		29,969			70,368
Increase (Decrease) in management fee payable		9,239			(743	)

Net cash provided by (used in) operating activities		(11,402,664	)		1,657

Cash flow from financing activities
Proceeds from addition of shares		13,540,570			—
Payment on shares redeemed		(2,541,066	)		—

Net cash provided by (used in) financing activities		10,999,504			—

Net increase (decrease) in cash		(403,160	)		1,657
Cash, beginning of period		671,117			49,723

Cash, end of period	$	267,957		$	51,380

See accompanying notes to financial statements.

101

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	683,125	$	846,919
Short-term U.S. government and agency obligations (Note 3) (cost $4,509,805 and $1,287,844, respectively)		4,509,944		1,287,869
Unrealized appreciation on foreign currency forward contracts		164,531		404

Total assets		5,357,600		2,135,192

Liabilities and shareholders’ equity
Liabilities
Management fee payable		4,088		1,515
Unrealized depreciation on foreign currency forward contracts		4,613		15,649

Total liabilities		8,701		17,164

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		5,348,899		2,118,028

Total liabilities and shareholders’ equity	$	5,357,600	$	2,135,192

Shares outstanding (Note 1)		99,974		37,504

Net asset value per share (Note 1)	$	53.50	$	56.47

Market value per share (Note 1) (Note 2)	$	53.61	$	56.48

See accompanying notes to financial statements.

102

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(84% of shareholders’ equity)
U.S. Treasury Bills:
0.043% due 08/13/15†	$	3,304,000	$	3,303,961
0.015% due 08/20/15†		1,206,000		1,205,983

Total short-term U.S. government and agency obligations (cost $4,509,805)			$	4,509,944

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International	07/10/15		886,001,400		$	7,240,191		$	107,705
Yen with UBS AG	07/10/15		457,541,900			3,738,923			56,826


								$	164,531

Contracts to Sell
Yen with Goldman Sachs International	07/10/15		(30,550,900	)	$	(249,655	)	$	(4,263	)
Yen with UBS AG	07/10/15		(5,434,600	)		(44,410	)		(350	)


								$	(4,613	)

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

^	The positions and counterparties herein are as of June 30, 2015. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

103

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	459		$	386		$	750		$	821

Expenses
Management fee		12,940			6,454			22,321			13,309

Total expenses		12,940			6,454			22,321			13,309

Net investment income (loss)		(12,481	)		(6,068	)		(21,571	)		(12,488	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(438,565	)		(11,079	)		(519,177	)		(21,596	)
Short-term U.S. government and agency obligations		22			2			8			78

Net realized gain (loss)		(438,543	)		(11,077	)		(519,169	)		(21,518	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		201,096			93,948			175,163			212,028
Short-term U.S. government and agency obligations		308			(245	)		114			(347	)

Change in net unrealized appreciation/depreciation		201,404			93,703			175,277			211,681

Net realized and unrealized gain (loss)		(237,139	)		82,626			(343,892	)		190,163

Net income (loss)	$	(249,620	)	$	76,558		$	(365,463	)	$	177,675

Net income (loss) per weighted-average share (Note 1)	$	(2.50	)	$	2.21		$	(4.27	)	$	4.93

Weighted-average shares outstanding (Note 1)		99,994			34,619			85,496			36,053

See accompanying notes to financial statements.

104

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015

(unaudited)


Shareholders’ equity, at December 31, 2014	$	2,118,028

Addition of 75,000 shares (Note 1)		4,285,016
Redemption of 12,530 shares (Note 1)		(688,682	)

Net addition (redemption) of 62,470 shares (Note 1)		3,596,334


Net investment income (loss)		(21,571	)
Net realized gain (loss)		(519,169	)
Change in net unrealized appreciation/depreciation		175,277

Net income (loss)		(365,463	)


Shareholders’ equity, at June 30, 2015	$	5,348,899

See accompanying notes to financial statements.

105

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)


	Six months ended June 30, 2015			Six months ended June 30, 2014
Cash flow from operating activities
Net income (loss)	$	(365,463	)	$	177,675
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short term U.S. government and agency obligations		(6,014,165	)		(2,838,520	)
Proceeds from sales or maturities of short term U.S government and agency obligations		2,792,962			4,287,810
Net amortization and accretion on short-term U.S government and agency obligations		(750	)		(821	)
Net realized gain (loss) on investments		(8	)		(78	)
Change in unrealized appreciation/depreciation on investments		(175,277	)		(211,681	)
Increase (Decrease) in management fee payable		2,573			(570	)

Net cash provided by (used in) operating activities		(3,760,128	)		1,413,815

Cash flow from financing activities
Proceeds from addition of shares		4,285,016			—
Payment on shares redeemed		(688,682	)		(975,650	)

Net cash provided by (used in) financing activities		3,596,334			(975,650	)

Net increase (decrease) in cash		(163,794	)		438,165
Cash, beginning of period		846,919			28,116

Cash, end of period	$	683,125		$	466,281

See accompanying notes to financial statements.

106

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION


	June 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	42,743,168	$	35,899,231
Segregated cash balances with brokers for futures contracts		167,012,417		296,561,615
Short-term U.S. government and agency obligations (Note 3) (cost $3,450,193,065 and $3,005,824,301, respectively)		3,450,230,846		3,005,876,580
Unrealized appreciation on swap agreements		18,223,915		27,585,336
Unrealized appreciation on forward agreements		2,600,285		2,850,677
Unrealized appreciation on foreign currency forward contracts		7,759,083		19,594,239
Receivable from capital shares sold		154,260,818		58,085,447
Receivable on open futures contracts		143,598,159		56,002,326
Offering costs (Note 5)		16,762		49,384
Limitation by Sponsor		11,498		9,474

Total assets		3,986,456,951		3,502,514,309

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		239,574,405		25,400,996
Payable on open futures contracts		13,291,990		46,405,998
Brokerage commissions and fees payable		46,819		—
Management fee payable		2,839,872		2,657,505
Payable for offering costs		65,785		65,785
Unrealized depreciation on swap agreements		6,683,890		76,512,435
Unrealized depreciation on forward agreements		14,316,276		14,882,468
Unrealized depreciation on foreign currency forward contracts		17,468,689		4,528,636
Payable for investments purchased		3,695,661		—

Total liabilities		297,983,387		170,453,823

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		3,688,473,564		3,332,060,486

Total liabilities and shareholders’ equity	$	3,986,456,951	$	3,502,514,309

Shares outstanding		95,415,929		71,732,357

See accompanying notes to financial statements.

107

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2015 AND 2014*

(unaudited)


	Three months ended June 30, 2015			Three months ended June 30, 2014			Six months ended June 30, 2015			Six months ended June 30, 2014
Investment Income
Interest	$	302,360		$	325,930		$	663,031		$	731,121

Expenses
Management fee		9,167,300			6,660,516			18,193,417			13,551,427
Brokerage commissions and fees		1,556,503			1,002,278			3,173,743			1,887,797
Offering costs		16,401			—			32,622			—
Limitation by Sponsor		(490	)		—			(2,024	)		—

Total expenses		10,739,714			7,662,794			21,397,758			15,439,224

Net investment income (loss)		(10,437,354	)		(7,336,864	)		(20,734,727	)		(14,708,103	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(352,520,924	)		(239,250,210	)		(550,824,346	)		(217,587,419	)
Swap agreements		99,131,062			(7,208,136	)		12,725,799			(3,070,999	)
Forward agreements		(255,396	)		(101,401,500	)		(20,455,330	)		(38,776,360	)
Foreign currency forward contracts		1,066,442			6,104,162			102,328,698			(6,105,990	)
Short-term U.S. government and agency obligations		53,602			45,965			162,418			88,446

Net realized gain (loss)		(252,525,214	)		(341,709,719	)		(456,062,761	)		(265,452,322	)

Change in net unrealized appreciation/depreciation on
Futures contracts		180,287,597			(13,967,799	)		110,988,754			(5,232,119	)
Swap agreements		63,009,579			(12,289,958	)		60,467,124			(11,647,203	)
Forward agreements		(30,679,563	)		132,857,496			315,800			84,884,063
Foreign currency forward contracts		(32,947,630	)		(16,253,334	)		(24,775,209	)		(30,731,335	)
Short-term U.S. government and agency obligations		(3,524	)		(91,974	)		(14,498	)		(107,469	)

Change in net unrealized appreciation/depreciation		179,666,459			90,254,431			146,981,971			37,165,937

Net realized and unrealized gain (loss)		(72,858,755	)		(251,455,288	)		(309,080,790	)		(228,286,385	)

Net income (loss)	$	(83,296,109	)	$	(258,792,152	)	$	(329,815,517	)	$	(242,994,488	)

*	The operations include the activity of ProShares Ultra Australian Dollar through June 29, 2015, the date of liquidation. See Note 1.

See accompanying notes to financial statements.

108

PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2015*

(unaudited)


Shareholders’ equity, at December 31, 2014	$	3,332,060,486

Addition of 100,522,500 shares		4,743,521,968
Redemption of 76,838,928 shares		(4,057,293,373	)

Net addition (redemption) of 23,683,572 shares		686,228,595


Net investment income (loss)		(20,734,727	)
Net realized gain (loss)		(456,062,761	)
Change in net unrealized appreciation/depreciation		146,981,971

Net income (loss)		(329,815,517	)


Shareholders’ equity, at June 30, 2015	$	3,688,473,564

*	Amounts include the activity of ProShares Ultra Australian Dollar through June 29, 2015, the date of liquidation. See Note 1.

See accompanying notes to financial statements.

109

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014*

(unaudited)


	Six months ended			Six months ended
	June 30, 2015			June 30, 2014
Cash flow from operating activities
Net income (loss)	$	(329,815,517	)	$	(242,994,488	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		129,549,198			23,571,075
Purchases of short term U.S. government and agency obligations		(8,637,664,102	)		(5,414,223,023	)
Proceeds from sales or maturities of short term U.S government and agency obligations		8,194,114,705			5,747,935,409
Net amortization and accretion on short-term U.S government and agency obligations		(656,948	)		(728,293	)
Net realized gain (loss) on investments		(162,418	)		(88,446	)
Change in unrealized appreciation/depreciation on investments		(35,993,218	)		(42,398,056	)
Decrease (Increase) in receivable on futures contracts		(87,595,833	)		6,036,641
Decrease (Increase) in Limitation by Sponsor		(2,024	)		—
Change in offering cost		32,622			—
Increase (Decrease) in management fee payable		182,367			(312,165	)
Increase (Decrease) in brokerage commissions and fees payable		46,819			—
Increase (Decrease) in payable for investments purchased		3,695,661			—
Increase (Decrease) in payable on futures contracts		(33,114,008	)		(1,678,698	)

Net cash provided by (used in) operating activities		(797,382,696	)		75,119,956

Cash flow from financing activities
Proceeds from addition of shares		4,647,346,597			2,070,888,750
Payment on shares redeemed		(3,843,119,838	)		(2,139,640,589	)

Net cash provided by (used in) financing activities		804,226,759			(68,751,839	)

Net increase (decrease) in cash		6,844,063			6,368,117
Cash, beginning of period		35,899,231			23,390,732

Cash, end of period	$	42,743,294		$	29,758,849

*	Amounts include the activity of ProShares Ultra Australian Dollar through June 29, 2015, the date of liquidation. See Note 1.

See accompanying notes to financial statements.

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

June 30, 2015

(unaudited)

NOTE 1 – ORGANIZATION

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (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, 2015, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares Managed Futures Strategy (the “Managed Futures Fund”); (ii) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (iii) 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 (iv) ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, 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”); and (v) ProShares Short Euro (the “Short Euro Fund”). 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 are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

On May 22, 2015, the Trust announced plans to liquidate ProShares Ultra Australian Dollar (ticker symbol: GDAY). ProShares Ultra Australian Dollar was closed to purchases and redemptions as of the close of regular trading on the NYSE Arca on June 18, 2015. Beginning June 19, 2015, no secondary market for ProShares Ultra Australian Dollar’s Shares remained. Proceeds of the liquidation were distributed to shareholders on June 29, 2015. Any shareholders remaining in the fund on June 29, 2015 automatically had their shares redeemed for cash at ProShares Ultra Australian Dollar’s net asset value per Share as of June 19, 2015. On June 30, 2015, the NYSE Arca filed a Form 25 removing the listing of ProShares Ultra Australian Dollar on the NYSE Arca. On July 10, 2015 a Form 15 was filed with the U.S. Securities and Exchange Commission (“SEC”) terminating the registration of ProShares Ultra Australian Dollar.

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 Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, 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.

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investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund and the Managed Futures Fund seeks investment results (before fees and expenses), both over a single day and over time, that match the performance of its corresponding benchmark. Daily performance is measured from the calculation of one NAV to the next.

The Geared Funds do not seek to achieve their stated investment objective 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., -1x, -2x or 2x) of the period return of the corresponding benchmark and will likely differ significantly.

The Matching VIX Funds and the Managed Futures Fund seek to achieve their stated investment objective both over a single day and over time.

Each of the Funds generally invests in Financial Instruments (i.e., instruments whose value is derived from the value of an underlying asset, rate or index, 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.

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the year ended December 31, 2014 and the six months ended June 30, 2015. The ticker symbols for these Funds did not change and each Fund continues to trade on the NYSE Arca.


Fund	Execution Date (Prior to Opening of Trading)	Type of Split	Date Trading Resumed at Post- Split Price

ProShares VIX Mid-Term Futures ETF	November 6, 2014	1-for-4 reverse Share split	November 6, 2014
ProShares Short VIX Short-Term Futures ETF	January 21, 2014	2-for-1 Share split	January 24, 2014
ProShares Ultra VIX Short-Term Futures ETF	January 21, 2014	1-for-4 reverse Share split	January 24, 2014
ProShares Ultra VIX Short-Term Futures ETF	May 20, 2015	1-for-5 reverse Share split	May 20, 2015
ProShares Ultra Bloomberg Commodity	May 20, 2015	1-for-4 reverse Share split	May 20, 2015
ProShares Ultra Bloomberg Crude Oil	May 20, 2015	1-for-5 reverse Share split	May 20, 2015
ProShares Ultra Bloomberg Natural Gas	May 20, 2015	1-for-4 reverse Share split	May 20, 2015
ProShares Ultra Silver	January 21, 2014	1-for-4 reverse Share split	January 24, 2014
ProShares Ultra Yen	May 20, 2015	1-for-4 reverse Share split	May 20, 2015

The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of ProShares VIX Mid-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Silver and ProShares Ultra Yen, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.

The split was applied retroactively for all periods presented, increasing the number of Shares outstanding for ProShares Short VIX Short-Term Futures ETF, and resulted in a proportionate decrease in the price per Share and per Share information of such Fund. Therefore, the split did not change the aggregate net asset value of a shareholder’s investment at the time of the split.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Each Fund is an investment company, as defined by Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Certain prior year amounts have been reclassified to conform to the current year presentation.

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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 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, 2014, as filed with the SEC on March 2, 2015.

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 and disclosures in these financial statements. Actual results could differ from those estimates.

In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.

Basis of Presentation

Pursuant to rules and regulations of the SEC, 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 one 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.

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated June 30, 2015, and represents non-segregated cash with the custodian and does not include short-term investments.

Final Net Asset Value for Fiscal Period

The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the six months ended June 30, 2015 were as follows. All times are Eastern Standard Time:


	Create/Redeem Cut-off*	NAV Calculation Time	NAV Calculation Date
UltraShort Silver, Ultra Silver	6:30 a.m.	7:00 a.m.	June 30
UltraShort Gold, Ultra Gold	9:30 a.m.	10:00 a.m.	June 30
UltraShort Bloomberg Crude Oil, Ultra Bloomberg Crude Oil	2:00 p.m.	2:30 p.m.	June 30
UltraShort Bloomberg Natural Gas, Ultra Bloomberg Natural Gas	2:00 p.m.	2:30 p.m.	June 30
UltraShort Bloomberg Commodity, Ultra Bloomberg Commodity	10:45 a.m.	2:30 p.m.	June 30
Managed Futures Strategy	10:45 a.m.	3:00 p.m.	June 30
UltraShort Australian Dollar	3:00 p.m.	4:00 p.m.	June 30
Short Euro, UltraShort Euro, Ultra Euro	3:00 p.m.	4:00 p.m.	June 30
UltraShort Yen, Ultra Yen	3:00 p.m.	4:00 p.m.	June 30
VIX Short-Term Futures ETF, Ultra VIX Short-Term Futures ETF, Short VIX Short-Term Futures ETF	2:00 p.m.	4:15 p.m.	June 30
VIX Mid-Term Futures ETF	2:00 p.m.	4:15 p.m.	June 30

*	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, 2015.

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Market value per Share is determined at the close of the NYSE Arca and may be later than 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, 2015.

Investment Valuation

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.

Derivatives (e.g., futures contracts, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at 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. If there was no sale on that day, and for non-exchange-traded derivatives, 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 for such day. 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. When market closing prices are not available, the Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

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

Fair Value of Financial Instruments

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:

Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).

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

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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, 2015 using the fair value hierarchy:


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements			Total
Managed Futures Strategy	$	—	$	(105,120	)	$	—		$	—		$	—		$	(105,120	)
VIX Short-Term Futures ETF		136,684,757		13,910,457			—			—			—			150,595,214
VIX Mid-Term Futures ETF		26,189,554		(300,345	)		—			—			—			25,889,209
Short VIX Short-Term Futures ETF		126,569,817		(16,579,661	)		—			—			—			109,990,156
Ultra VIX Short-Term Futures ETF		426,846,403		88,502,510			—			—			—			515,348,913
UltraShort Bloomberg Commodity		4,911,681		—			—			—			(237,572	)		4,674,109
UltraShort Bloomberg Crude Oil		192,083,366		4,228,226			—			—			(6,446,318	)		189,865,274
UltraShort Bloomberg Natural Gas		11,620,751		27,059			—			—			—			11,647,810
UltraShort Gold		73,848,088		10,370			3,028			—			—			73,861,486
UltraShort Silver		57,659,474		2,890			2,554,412			—			—			60,216,776
Short Euro		16,892,063		238,288			—			—			—			17,130,351
UltraShort Australian Dollar		16,970,843		(97,460	)		—			—			—			16,873,383
UltraShort Euro		578,168,780		—			—			4,476,084			—			582,644,864
UltraShort Yen		428,853,064		—			—			(14,212,126	)		—			414,640,938
Ultra Bloomberg Commodity		1,382,982		—			—			—			96,157			1,479,139
Ultra Bloomberg Crude Oil		885,209,189		(8,705,078	)		—			—			18,127,758			894,631,869
Ultra Bloomberg Natural Gas		59,691,488		(849,291	)		—			—			—			58,842,197
Ultra Gold		89,234,894		(10,420	)		(414,904	)		—			—			88,809,570
Ultra Silver		299,754,121		(4,910	)		(13,858,527	)		—			—			285,890,684
Ultra Euro		13,149,587		—			—			(133,482	)		—			13,016,105
Ultra Yen		4,509,944		—			—			159,918			—			4,669,862

Total Trust	$	3,450,230,846	$	80,267,515		$	(11,715,991	)	$	(9,709,606	)	$	11,540,025		$	3,520,612,789

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

At June 30, 2015, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

The Funds’ policy is to recognize transfers between valuation levels at the end of the reporting period.

At June 30, 2015, there were no significant transfers in or out of Level I and Level II fair value measurements.

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

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The following table summarizes the valuation of investments at December 31, 2014 using the fair value hierarchy:


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements			Total
Managed Futures Strategy	$	—	$	104,327		$	—		$	—		$	—		$	104,327
VIX Short-Term Futures ETF		82,088,299		6,264,620			—			—			—			88,352,919
VIX Mid-Term Futures ETF		24,105,906		260,665			—			—			—			24,366,571
Short VIX Short-Term Futures ETF		446,975,220		(16,352,149	)		—			—			—			430,623,071
Ultra VIX Short-Term Futures ETF		182,639,188		39,585,253			—			—			—			222,224,441
UltraShort Bloomberg Commodity		4,233,548		—			—			—			567,259			4,800,807
UltraShort Bloomberg Crude Oil		131,594,608		15,806,603			—			—			27,018,077			174,419,288
UltraShort Bloomberg Natural Gas		8,672,710		3,941,465			—			—			—			12,614,175
UltraShort Gold		84,040,107		(4,520	)		(2,282,778	)		—			—			81,752,809
UltraShort Silver		52,226,692		1,560			594,953			—			—			52,823,205
Short Euro		12,086,577		385,331			—			—			—			12,471,908
UltraShort Australian Dollar		20,267,679		743,481			—			—			—			21,011,160
UltraShort Euro		487,111,117		—			—			16,762,994			—			503,874,111
UltraShort Yen		532,957,746		—			—			(1,578,775	)		—			531,378,971
Ultra Bloomberg Commodity		2,754,900		—			—			—			(331,338	)		2,423,562
Ultra Bloomberg Crude Oil		467,200,736		(46,474,787	)		—			—			(76,181,097	)		344,544,852
Ultra Bloomberg Natural Gas		53,410,227		(34,889,283	)		—			—			—			18,520,944
Ultra Gold		101,927,857		4,580			2,051,154			—			—			103,983,591
Ultra Silver		305,474,211		(1,560	)		(12,395,120	)		—			—			293,077,531
Ultra Euro		2,415,698		—			—			(103,371	)		—			2,312,327
Ultra Yen		1,287,869		—			—			(15,245	)		—			1,272,624

Total Trust	$	3,003,470,895	$	(30,624,414	)	$	(12,031,791	)	$	15,065,603		$	(48,927,099	)	$	2,926,953,194

Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments as presented in the Form 10-K for the year ended December 31, 2014. Only current day’s variation margin is reported within the Statements of Financial Condition as presented in the Form 10-K for the year ended December 31, 2014 in receivable/payable on open futures.

At December 31, 2014, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

The Funds’ policy is to recognize transfers between valuation levels at the end of the reporting period.

At December 31, 2014, there were no significant transfers in or out of Level I and Level II fair value measurements.

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

Brokerage Commissions and 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 or similar securities 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). From January 1, 2014 through July 30, 2014, the Sponsor paid brokerage

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commissions on VIX futures contracts for the Matching VIX Funds. On July 31, 2014, the Sponsor began paying, and 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., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor 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 and/or used as collateral for a Fund’s trading in futures and forward contracts.

Accounting for Derivative Instruments

In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.

All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objective 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 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.

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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 effected. The initial margin is segregated as cash 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. 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 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 exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default. 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.

Swap Agreements

Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying index, currency or commodity, or to create an economic hedge against a position. Swap agreements are two-party contracts that have traditionally been entered into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments.

Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or an 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 uncleared 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 uncleared 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 the Funds’ 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.

118

The Trust, on behalf of a Fund, may enter into agreements with certain counterparties for derivative transactions. 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 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, 2015 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled 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 uncleared 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. 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 uncleared 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 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 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, 2015, the collateral posted by counterparties consisted of U.S. Treasury securities.

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

Forward Contracts

Certain of the Funds enter into forward contracts for purposes 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 contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

119

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 burdensome reporting requirements.

The Funds may collateralize uncleared 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 the Custodian to protect the counterparty against non-payment by the Funds. 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, 2015, 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.

120

The following tables indicate the location of derivative related items on the Statement of Financial Condition as well as the effect of derivative instruments on the Statement of Operations during the reporting period.

Fair Value of Derivative Instruments

as of June 30, 2015

Asset Derivatives

Liability Derivatives

Derivatives not
accounted for
as hedging
instruments

Statements of Financial
Condition Location

Fund

Unrealized
Appreciation

Statements of Financial
Condition Location

Fund

Unrealized
Depreciation

Managed Futures Contracts

Receivables on open futures contracts

ProShares Managed Futures Strategy

98,665

Payable on open futures contracts

ProShares Managed Futures Strategy

203,785

VIX Futures Contracts

Receivables on open futures contracts

ProShares VIX Short-Term Futures ETF

13,910,457

Payable on open futures contracts

ProShares VIX Mid-Term Futures ETF

388,565

ProShares VIX Mid-Term Futures ETF

88,220

ProShares Short VIX Short-Term Futures ETF

16,579,661

ProShares Ultra VIX Short-Term Futures ETF

88,502,510

Commodities Contracts

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

ProShares UltraShort Bloomberg Crude Oil

4,228,226

Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements

ProShares UltraShort Bloomberg Commodity

237,572

ProShares UltraShort Bloomberg Natural Gas

27,059

ProShares UltraShort Bloomberg Crude Oil

6,446,318

ProShares UltraShort Gold

56,243

ProShares UltraShort Gold

42,845

ProShares UltraShort Silver

2,557,302

ProShares Ultra Bloomberg Crude Oil

8,705,078

ProShares Ultra Bloomberg Commodity

96,157

ProShares Ultra Bloomberg Natural Gas

849,291

ProShares Ultra Bloomberg Crude Oil

ProShares Ultra Gold

425,324

18,127,758

ProShares Ultra Silver

13,863,437

Foreign Exchange Contracts

Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts

ProShares Short Euro

238,288

Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts

ProShares UltraShort Australian Dollar

97,460

ProShares UltraShort Euro

6,888,913

ProShares UltraShort Euro

2,412,829

ProShares UltraShort Yen

656,113

ProShares UltraShort Yen

14,868,239

ProShares Ultra Euro

49,526

ProShares Ultra Euro

183,008

ProShares Ultra Yen

164,531

ProShares Ultra Yen

4,613

Total Trust

135,689,968

Total Trust

65,308,025

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

121

Fair Value of Derivative Instruments

as of December 31, 2014

Asset Derivatives

Liability Derivatives

Derivatives not
accounted for
as hedging
instruments

Statements of Financial
Condition Location

Fund

Unrealized
Appreciation

Statements of Financial
Condition Location

Fund

Unrealized
Depreciation

Managed Futures Contracts

Receivables on open futures contracts

ProShares Managed Futures Strategy

122,831

Payable on open futures contracts

ProShares Managed Futures Strategy

18,504

VIX Futures Contracts

Receivables on open futures contracts

ProShares VIX Short-Term Futures ETF

6,264,620

Payable on open futures contracts

ProShares VIX Mid-Term Futures ETF

222,845

ProShares VIX Mid-Term Futures ETF

483,510

ProShares Short VIX Short-Term ETF

16,352,149

ProShares Ultra VIX Short-Term Futures ETF

39,585,253

Commodities Contracts

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

ProShares UltraShort Bloomberg Commodity

567,259

Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements

ProShares UltraShort Gold

2,287,298

ProShares UltraShort Bloomberg Crude Oil

42,824,680

ProShares UltraShort Silver

204,570

ProShares UltraShort Bloomberg Natural Gas

3,941,465

ProShares Ultra Bloomberg Commodity

331,338

ProShares UltraShort Silver

801,083

ProShares Ultra Bloomberg Crude Oil

122,655,884

ProShares Ultra Gold

2,055,734

ProShares Ultra Bloomberg Natural Gas

34,889,283

ProShares Ultra Silver

12,396,680

Foreign Exchange Contracts

Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts

ProShares Short Euro

385,331

Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts

ProShares UltraShort Euro

2,256,771

ProShares UltraShort Australian Dollar

743,481

ProShares UltraShort Yen

2,149,924

ProShares UltraShort Euro

19,019,765

ProShares Ultra Euro

106,292

ProShares UltraShort Yen

571,149

ProShares Ultra Yen

15,649

ProShares Ultra Euro

2,921

ProShares Ultra Yen

404

Total Trust

117,369,486

Total Trust

193,887,187

122

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended June 30, 2015


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
Managed Futures Contracts	Net realized gain (loss) on futures contracts / changes in unrealized appreciation/depreciation on futures contracts	ProShares Managed Futures Strategy	$	(200,957	)	$	(188,353	)

VIX Futures Contracts	Net realized gain (loss) on futures contracts, changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF		(51,589,586	)		19,016,568
		ProShares VIX Mid-Term Futures ETF		(3,050,039	)		200,045
		ProShares Short VIX Short-Term Futures ETF		86,037,110			(23,571,645	)
		ProShares Ultra VIX Short-Term Futures ETF		(401,789,858	)		137,428,203

Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Commodity		(75,531	)		(514,197	)
		ProShares UltraShort Bloomberg Crude Oil		(83,705,228	)		(46,481,826	)
		ProShares UltraShort Bloomberg Natural Gas		(77,627	)		(832,681	)
		ProShares UltraShort Gold		(525,529	)		1,601,519
		ProShares UltraShort Silver		(569,146	)		6,290,390
		ProShares Ultra Bloomberg Commodity		7,472			225,590
		ProShares Ultra Bloomberg Crude Oil		206,304,171			151,760,340
		ProShares Ultra Bloomberg Natural Gas		(3,971,479	)		6,588,334
		ProShares Ultra Gold		(920,176	)		(2,092,312	)
		ProShares Ultra Silver		1,759,131			(36,480,985	)

Foreign Exchange Contracts	Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts	ProShares Short Euro		(906,332	)		128,519
		ProShares UltraShort Australian Dollar		(445,902	)		(517,310	)
		ProShares UltraShort Euro		(29,574,030	)		(18,914,111	)
		ProShares UltraShort Yen		30,642,122			(14,879,883	)
		ProShares Ultra Euro		436,915			645,268
		ProShares Ultra Yen		(438,565	)		201,096

		Total Trust	$	(252,653,064	)	$	179,612,569

123

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended June 30, 2014


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 VIX Short-Term Futures ETF	$	(41,227,047	)	$	(1,586,521	)
		ProShares VIX Mid-Term Futures ETF		(6,666,419	)		(1,487,840	)
		ProShares Short VIX
		Short-Term Futures ETF		73,536,615			837,428
		ProShares Ultra VIX Short-Term Futures ETF		(247,176,983	)		(10,831,519	)

Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Commodity		130,061			(151,988	)
		ProShares UltraShort Bloomberg Crude Oil		(31,567,008	)		(14,316,548	)
		ProShares UltraShort Bloomberg Natural Gas		(1,970,509	)		(2,011,476	)
		ProShares UltraShort Gold		13,875,395			(19,136,970	)
		ProShares UltraShort Silver		12,455,116			(18,328,033	)
		ProShares Ultra Bloomberg Commodity		(160,396	)		123,172
		ProShares Ultra Bloomberg Crude Oil		9,814,101			2,164,869
		ProShares Ultra Bloomberg Natural Gas		162,451			440,646
		ProShares Ultra Gold		(21,489,136	)		25,259,667
		ProShares Ultra Silver		(106,239,950	)		145,054,357

Foreign Exchange Contracts	Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts	ProShares Short Euro		225,122			(159,059	)
		ProShares UltraShort Australian Dollar		(1,846,929	)		859,039
		ProShares UltraShort Euro		5,886,956			(1,863,031	)
		ProShares UltraShort Yen		268,536			(14,493,994	)
		ProShares Ultra Euro		(40,251	)		9,743
		ProShares Ultra Yen		(11,079	)		93,948

		Total Trust	$	(342,041,354	)	$	90,475,890

124

The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 30, 2015


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
Managed Futures Contracts	Net realized gain (loss) on futures contracts / changes in unrealized appreciation/depreciation on futures contracts	ProShares Managed Futures Strategy	$	(81,705	)	$	(209,447	)

VIX Futures Contracts	Net realized gain (loss) on futures contracts, changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF		(60,567,916	)		7,645,837
		ProShares VIX Mid-Term Futures ETF		(2,923,368	)		(561,010	)
		ProShares Short VIX Short-Term Futures ETF		109,848,395			(227,512	)
		ProShares Ultra VIX Short-Term Futures ETF		(536,883,084	)		48,917,257

Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Commodity		781,018			(804,831	)
		ProShares UltraShort Bloomberg Crude Oil		(39,055,356	)		(45,042,772	)
		ProShares UltraShort Bloomberg Natural Gas		5,101,641			(3,914,406	)
		ProShares UltraShort Gold		1,393,001			2,300,696
		ProShares UltraShort Silver		(1,930,851	)		1,960,789
		ProShares Ultra Bloomberg Commodity		(512,987	)		427,495
		ProShares Ultra Bloomberg Crude Oil		32,621,052			132,078,564
		ProShares Ultra Bloomberg Natural Gas		(49,808,443	)		34,039,992
		ProShares Ultra Gold		(3,907,932	)		(2,481,058	)
		ProShares Ultra Silver		(16,009,962	)		(1,466,757	)

Foreign Exchange Contracts	Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts	ProShares Short Euro		1,150,762			(147,043	)
		ProShares UltraShort Australian Dollar		2,533,768			(840,941	)
		ProShares UltraShort Euro		77,941,788			(12,286,910	)
		ProShares UltraShort Yen		25,534,388			(12,633,351	)
		ProShares Ultra Euro		(628,301	)		(30,111	)
		ProShares Ultra Yen		(519,177	)		175,163

		Total Trust	$	(455,923,269	)	$	146,899,644

125

The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 30, 2014


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 VIX Short-Term Futures ETF	$	(25,447,340	)	$	10,039,200
		ProShares VIX Mid-Term Futures ETF		(12,064,321	)		1,401,639
		ProShares Short VIX Short-Term Futures ETF		76,268,051			803,672
		ProShares Ultra VIX Short-Term Futures ETF		(250,723,287	)		(16,523,435	)

Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Commodity		(505,634	)		(22,054	)
		ProShares UltraShort Bloomberg Crude Oil		(43,845,009	)		(17,708,120	)
		ProShares UltraShort Bloomberg Natural Gas		(11,185,543	)		1,425,544
		ProShares UltraShort Gold		(8,274,292	)		(16,235,921	)
		ProShares UltraShort Silver		(159,289	)		(8,366,466	)
		ProShares Ultra Bloomberg Commodity		376,946			(6,034	)
		ProShares Ultra Bloomberg Crude Oil		31,007,769			2,649,580
		ProShares Ultra Bloomberg Natural Gas		16,965,826			2,245,774
		ProShares Ultra Gold		1,944,484			20,060,269
		ProShares Ultra Silver		(32,284,378	)		89,417,746

Foreign Exchange Contracts	Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts	ProShares Short Euro		158,534			(77,928	)
		ProShares UltraShort Australian Dollar		(1,925,538	)		(1,280,445	)
		ProShares UltraShort Euro		(6,295,085	)		8,161,166
		ProShares UltraShort Yen		165,806			(39,034,294	)
		ProShares Ultra Euro		44,885			(70,235	)
		ProShares Ultra Yen		(21,596	)		212,028

		Total Trust	$	(265,799,011	)	$	37,091,686

126

Offsetting Assets and Liabilities

The Funds are subject to master netting agreements or similar arrangements that allow for amounts owed between the Funds 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, 2015:


Fair Values of Derivative Instruments as of June 30, 2015
	Assets						Liabilities
	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 UltraShort Bloomberg Commodity
Swap agreements	$	—	$	—	$	—	$	237,572	$	—	$	237,572
ProShares UltraShort Bloomberg Crude Oil
Swap agreements		—		—		—		6,446,318		—		6,446,318
ProShares UltraShort Gold
Forward agreements		45,873		—		45,873		42,845		—		42,845
ProShares UltraShort Silver
Forward agreements		2,554,412		—		2,554,412		—		—		—
ProShares UltraShort Euro
Foreign currency forward contracts		6,888,913		—		6,888,913		2,412,829		—		2,412,829
ProShares UltraShort Yen
Foreign currency forward contracts		656,113		—		656,113		14,868,239		—		14,868,239
ProShares Ultra Bloomberg Commodity
Swap agreements		96,157		—		96,157		—		—		—
ProShares Ultra Bloomberg Crude Oil
Swap agreements		18,127,758		—		18,127,758		—		—		—
ProShares Ultra Gold
Forward agreements		—		—		—		414,904		—		414,904
ProShares Ultra Silver
Forward agreements		—		—		—		13,858,527		—		13,858,527
ProShares Ultra Euro
Foreign currency forward contracts		49,526		—		49,526		183,008		—		183,008
ProShares Ultra Yen
Foreign currency forward contracts		164,531		—		164,531		4,613		—		4,613

127

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2015. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.


Gross Amounts Not Offset in the Statements of Financial Condition as of June 30, 2015
	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 UltraShort Bloomberg Commodity
Deutsche Bank AG	$	(98,160	)	$	98,160		$	—		$	—
Goldman Sachs International		(104,060	)		104,060			—			—
UBS AG		(35,352	)		35,352			—			—
ProShares UltraShort Bloomberg Crude Oil
Deutsche Bank AG		(1,757,905	)		1,757,905			—			—
Goldman Sachs International		(2,081,349	)		2,081,349			—			—
Societe Generale S.A.		(664,936	)		664,936			—			—
UBS AG		(1,942,128	)		1,942,128			—			—
ProShares UltraShort Gold
Deutsche Bank AG		(26,035	)		26,035			—			—
Goldman Sachs International		(16,810	)		16,810			—			—
Societe Generale S.A.		19,085			(19,085	)		—			—
UBS AG		26,788			—			—			26,788
ProShares UltraShort Silver
Deutsche Bank AG		1,223,509			—			(750,000	)		473,509
Goldman Sachs International		546,280			(471,748	)		—			74,532
Societe Generale S.A.		270,536			(270,536	)		—			—
UBS AG		514,087			(426,462	)		—			87,625
ProShares UltraShort Euro
Goldman Sachs International		1,502,917			—			—			1,502,917
UBS AG		2,973,167			—			—			2,973,167
ProShares UltraShort Yen
Goldman Sachs International		(7,208,165	)		7,208,165			—			—
UBS AG		(7,003,961	)		7,003,961			—			—
ProShares Ultra Bloomberg Commodity
Deutsche Bank AG		41,883			—			—			41,883
Goldman Sachs International		40,373			—			—			40,373
UBS AG		13,901			—			—			13,901
ProShares Ultra Bloomberg Crude Oil
Deutsche Bank AG		5,709,314			—			—			5,709,314
Goldman Sachs International		5,294,770			—			—			5,294,770
Societe Generale S.A.		2,092,023			(2,092,023	)		—			—
UBS AG		5,031,651			—			—			5,031,651
ProShares Ultra Gold
Deutsche Bank AG		(262,178	)		262,178			—			—
Goldman Sachs International		(43,820	)		43,820			—			—
Societe Generale S.A.		(36,974	)		36,974			—			—
UBS AG		(71,932	)		71,932			—			—
ProShares Ultra Silver
Deutsche Bank AG		(5,222,832	)		5,222,832			—			—
Goldman Sachs International		(3,532,501	)		3,532,501			—			—
Societe Generale S.A.		(1,435,222	)		1,435,222			—			—
UBS AG		(3,667,972	)		3,667,972			—			—
ProShares Ultra Euro
Goldman Sachs International		(73,167	)		73,167			—			—
UBS AG		(60,315	)		60,315			—			—
ProShares Ultra Yen
Goldman Sachs International		103,442			—			—			103,442
UBS AG		56,476			—			—			56,476

128


Fair Values of Derivative Instruments as of December 31, 2014
	Assets						Liabilities
	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 UltraShort Bloomberg Commodity
Swap agreements	$	567,259	$	—	$	567,259	$	—	$	—	$	—
ProShares UltraShort Bloomberg Crude Oil
Swap agreements		27,018,077		—		27,018,077		—		—		—
ProShares UltraShort Gold
Forward agreements		—		—		—		2,282,778		—		2,282,778
ProShares UltraShort Silver
Forward agreements		799,523		—		799,523		204,570		—		204,570
ProShares UltraShort Euro
Foreign currency forward contracts		19,019,765		—		19,019,765		2,256,771		—		2,256,771
ProShares UltraShort Yen
Foreign currency forward contracts		571,149		—		571,149		2,149,924		—		2,149,924
ProShares Ultra Bloomberg Commodity
Swap agreements		—		—		—		331,338		—		331,338
ProShares Ultra Bloomberg Crude Oil
Swap agreements		—		—		—		76,181,097		—		76,181,097
ProShares Ultra Gold
Forward agreements		2,051,154		—		2,051,154		—		—		—
ProShares Ultra Silver
Forward agreements		—		—		—		12,395,120		—		12,395,120
ProShares Ultra Euro
Foreign currency forward contracts		2,921		—		2,921		106,292		—		106,292
ProShares Ultra Yen
Foreign currency forward contracts		404		—		404		15,649		—		15,649

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2014. 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”.

129


Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2014
	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 UltraShort Bloomberg Commodity
Deutsche Bank AG	$	243,474		$	—		$	—		$	243,474
Goldman Sachs International		240,271			—			—			240,271
UBS AG		83,514			—			—			83,514
ProShares UltraShort Bloomberg Crude Oil
Deutsche Bank AG		7,669,493			—			(6,800,000	)		869,493
Goldman Sachs International		8,362,336			(7,598,657	)		—			763,679
Societe Generale S.A.		2,132,657			(2,132,657	)		—			—
UBS AG		8,853,591			(8,281,350	)		—			572,241
ProShares UltraShort Gold
Deutsche Bank AG		(1,422,997	)		1,422,997			—			—
Goldman Sachs International		(354,660	)		354,660			—			—
Societe Generale S.A.		(182,225	)		182,225			—			—
UBS AG		(322,896	)		322,896			—			—
ProShares UltraShort Silver
Deutsche Bank AG		462,619			—			(462,619	)		—
Goldman Sachs International		138,563			(138,563	)		—			—
Societe Generale S.A.		198,341			(198,341	)		—			—
UBS AG		(204,570	)		204,570			—			—
ProShares UltraShort Euro
Goldman Sachs International		8,193,303			(6,008,925	)		—			2,184,378
UBS AG		8,569,691			(6,592,366	)		(11,518	)		1,965,807
ProShares UltraShort Yen
Goldman Sachs International		(1,466,239	)		1,466,239			—			—
UBS AG		(112,536	)		112,536			—			—
ProShares Ultra Bloomberg Commodity
Deutsche Bank AG		(143,751	)		143,751			—			—
Goldman Sachs International		(138,532	)		138,532			—			—
UBS AG		(49,055	)		49,055			—			—
ProShares Ultra Bloomberg Crude Oil
Deutsche Bank AG		(24,223,667	)		24,223,667			—			—
Goldman Sachs International		(24,285,701	)		24,285,701			—			—
Societe Generale S.A.		(5,528,160	)		5,528,160			—			—
UBS AG		(22,143,569	)		22,143,569			—			—
ProShares Ultra Gold
Deutsche Bank AG		1,231,694			—			(1,231,694	)		—
Goldman Sachs International		222,126			—			—			222,126
Societe Generale S.A.		190,591			(190,591	)		—			—
UBS AG		406,743			(406,743	)		—			—
ProShares Ultra Silver
Deutsche Bank AG		(6,220,069	)		6,220,069			—			—
Goldman Sachs International		(2,124,796	)		2,124,796			—			—
Societe Generale S.A.		(1,384,207	)		1,384,207			—			—
UBS AG		(2,666,048	)		2,666,048			—			—
ProShares Ultra Euro
Goldman Sachs International		(38,856	)		38,856			—			—
UBS AG		(64,515	)		64,515			—			—
ProShares Ultra Yen
Goldman Sachs International		(12,255	)		12,255			—			—
UBS AG		(2,990	)		2,990			—			—

130

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund. The Managed Futures Fund will pay the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.75% per annum of its average daily net assets. The Sponsor did not and will not charge the Management Fee in the first year of operation of each Fund in an amount equal to the offering costs. The Sponsor reimbursed each Fund, to the extent that its offering costs exceed the Management Fee, for the first year of operations.

The Management Fee is paid in consideration of the Sponsor’s services as commodity pool operator, and for managing the business and affairs of the Funds. 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 the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, accounting and auditing fees and expenses, any index licensors for the Funds, and the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations, including, but not limited to, 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.

Each Fund incurs and pays 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 which 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

The Sponsor and the Trust, for itself and on behalf of each Fund, has appointed Brown Brothers Harriman & Co. (“BBH&Co.”) as the Administrator of the Funds, and the Sponsor, and the Trust, on its own behalf and on behalf of each Fund, and BBH&Co. have entered into an Administrative Agency Agreement (the “Administration Agreement”) in connection therewith. Pursuant to the terms of the Administration Agreement and under the supervision and direction of the Sponsor and the Trust, BBH&Co. prepares and files certain regulatory filings on behalf of the Funds. BBH&Co. may also perform other services for the Funds pursuant to the Administration Agreement as mutually agreed upon by the Sponsor, the Trust and BBH&Co. from time to time. Pursuant to the terms of the Administration Agreement, BBH&Co. also serves as the Transfer Agent of the Funds. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.

The Custodian

BBH&Co. serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BBH&Co. have entered into a Custodian Agreement in connection therewith. Pursuant to the terms of the Custodian Agreement, BBH&Co. 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 BBH&Co. by the Funds. The Custodian’s 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.

131

Non-Recurring Fees and Expenses

Each Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses which 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. Such fees and expenses are those that are non-recurring, unexpected or unusual in nature.

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor did not and will not charge its Management Fee in the first year of operations of the Managed Futures Fund in an amount equal to the offering costs. The Sponsor will reimburse the Managed Futures Fund to the extent its offering costs exceed 0.75% of its average daily NAV for the first year of operations. Normal and expected expenses incurred in connection with the continuous offering of Shares of the Managed Futures Fund after the commencement of its trading operations will be paid by the Sponsor.

NOTE 6 – 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 the Managed Futures Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements, such as references to the Transaction Fees imposed on purchases and redemptions, is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased or redeemed is dictated by the terms of the Authorized Participant Agreement and Authorized Participant 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 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 of up to $500 in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co., 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.

132

Transaction fees for the three and six months ended June 30, 2015, which are included in the Sale and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:


Fund	Three Months Ended June 30, 2015		Six Months Ended June 30, 2015
Managed Futures Strategy	$	—	$	—
VIX Short-Term Futures ETF		18,423		51,826
VIX Mid-Term Futures ETF		2,955		8,093
Short VIX Short-Term Futures ETF		66,674		127,966
Ultra VIX Short-Term Futures ETF		277,542		614,512
UltraShort Bloomberg Commodity		—		—
UltraShort Bloomberg Crude Oil		136,787		268,446
UltraShort Bloomberg Natural Gas		2,026		4,839
UltraShort Gold		1,033		6,279
UltraShort Silver		10,886		19,886
Short Euro		—		—
UltraShort Australian Dollar		—		—
UltraShort Euro		—		—
UltraShort Yen		—		—
Ultra Bloomberg Commodity		536		536
Ultra Bloomberg Crude Oil		257,034		550,274
Ultra Bloomberg Natural Gas		4,091		8,754
Ultra Gold		864		2,323
Ultra Silver		12,377		22,885
Ultra Euro		—		—
Ultra Yen		—		—

Total Trust	$	791,228	$	1,686,619

133

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended June 30, 2015:

For the Three Months Ended June 30, 2015 (unaudited)


Per Share Operating Performance	Managed Futures Strategy			VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF			Short VIX Short-Term Futures ETF			Ultra VIX Short-Term Futures ETF*			UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil
Net asset value, at March 31, 2015	$	21.4684		$	17.0847		$	61.3728		$	67.6743		$	75.9490		$	96.9776		$	86.7311
Net investment income (loss)		(0.0445	)		(0.0298	)		(0.1229	)		(0.3010	)		(0.1810	)		(0.2046	)		(0.1564	)
Net realized and unrealized gain (loss)#		(0.9263	)		(3.5364	)		(6.3101	)		11.4796			(31.2512	)		(9.8320	)		(29.7623	)
Change in net asset value from operations		(0.9708	)		(3.5662	)		(6.4330	)		11.1786			(31.4322	)		(10.0366	)		(29.9187	)
Net asset value, at June 30, 2015	$	20.4976		$	13.5185		$	54.9398		$	78.8529		$	44.5168		$	86.9410		$	56.8124

Market value per share, at March 31, 2015†	$	21.50		$	17.01		$	61.09		$	68.04		$	75.25		$	98.25		$	87.14
Market value per share, at June 30, 2015†	$	20.90		$	13.42		$	54.31		$	79.06		$	43.96		$	88.96		$	57.12

Total Return, at net asset value^		(4.5	)%		(20.9	)%		(10.5	)%		16.5	%		(41.4	)%		(10.3	)%		(34.5	)%
Total Return, at market value^		(2.8	)%		(21.1	)%		(11.1	)%		16.2	%		(41.6	)%		(9.5	)%		(34.5	)%

Ratios to Average Net Assets**

Expense ratio		(0.85	)%		(0.92	)%		(0.91	)%		(1.49	)%		(1.58	)%		(0.95	)%		(1.07	)%
Expense ratio, excluding brokerage commissions		(0.75	)%		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.85	)%		(0.89	)%		(0.88	)%		(1.47	)%		(1.56	)%		(0.92	)%		(1.04	)%

*	See Note 1 of these Notes to Financial Statements.

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

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2015.

**	Percentages are annualized.

134

For the Three Months Ended June 30, 2015 (unaudited)


Per Share Operating Performance	UltraShort Bloomberg Natural Gas			UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen
Net asset value, at March 31, 2015	$	87.4862		$	97.8203		$	101.1739		$	44.8528		$	57.4419		$	26.9495		$	88.9747
Net investment income (loss)		(0.3131	)		(0.2193	)		(0.2333	)		(0.1020	)		(0.1372	)		(0.0575	)		(0.2067	)
Net realized and unrealized gain (loss)#		(12.3763	)		1.4001			8.4908			(1.7288	)		(2.7520	)		(2.1526	)		3.4095
Change in net asset value from operations		(12.6894	)		1.1808			8.2575			(1.8308	)		(2.8892	)		(2.2101	)		3.2028
Net asset value, at June 30, 2015	$	74.7968		$	99.0011		$	109.4314		$	43.0220		$	54.5527		$	24.7394		$	92.1775

Market value per share, at March 31, 2015†	$	87.54		$	98.18		$	100.85		$	44.87		$	57.34		$	26.95		$	88.91
Market value per share, at June 30, 2015†	$	75.20		$	98.82		$	108.54		$	43.05		$	55.09		$	24.75		$	92.19

Total Return, at net asset value^		(14.5	)%		1.2	%		8.2	%		(4.1	)%		(5.0	)%		(8.2	)%		3.6	%
Total Return, at market value^		(14.1	)%		0.7	%		7.6	%		(4.1	)%		(3.9	)%		(8.2	)%		3.7	%

Ratios to Average Net Assets**

Expense ratio		(1.58	)%		(0.95	)%		(0.95	)%		(0.97	)%		(1.03	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(1.56	)%		(0.91	)%		(0.92	)%		(0.94	)%		(1.01	)%		(0.91	)%		(0.91	)%

#	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 New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2015.

**	Percentages are annualized.

135

For the Three Months Ended June 30, 2015 (unaudited)


Per Share Operating Performance	Ultra Bloomberg Commodity*			Ultra Bloomberg Crude Oil*			Ultra Bloomberg Natural Gas*			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen*
Net asset value, at March 31, 2015	$	45.6545		$	34.1249		$	45.6663		$	38.3796		$	41.4806		$	15.5427		$	55.9986
Net investment income (loss)		(0.1110	)		(0.1142	)		(0.1525	)		(0.0877	)		(0.0904	)		(0.0377	)		(0.1248	)
Net realized and unrealized gain (loss)#		4.0403			11.4881			(0.0891	)		(1.2720	)		(4.9420	)		1.0857			(2.3709	)
Change in net asset value from operations		3.9293			11.3739			(0.2416	)		(1.3597	)		(5.0324	)		1.0480			(2.4957	)
Net asset value, at June 30, 2015	$	49.5838		$	45.4988		$	45.4247		$	37.0199		$	36.4482		$	16.5907		$	53.5029

Market value per share, at March 31, 2015†	$	46.80		$	33.95		$	45.56		$	38.14		$	41.69		$	15.54		$	55.96
Market value per share, at June 30, 2015†	$	47.02		$	45.20		$	45.20		$	37.04		$	36.63		$	16.59		$	53.61

Total Return, at net asset value^		8.6	%		33.3	%		(0.5	)%		(3.5	)%		(12.1	)%		6.7	%		(4.5	)%
Total Return, at market value^		0.5	%		33.1	%		(0.8	)%		(2.9	)%		(12.1	)%		6.8	%		(4.2	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(1.04	)%		(1.37	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.91	)%		(1.01	)%		(1.33	)%		(0.91	)%		(0.90	)%		(0.92	)%		(0.92	)%

*	See Note 1 of these Notes to Financial Statements.

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

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2015.

**	Percentages are annualized.

136

Selected data for a Share outstanding throughout the three months ended June 30, 2014:

For the Three Months Ended June 30, 2014 (unaudited)


Per Share Operating Performance	VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF*			Short VIX Short-Term Futures ETF			Ultra VIX Short-Term Futures ETF*			UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas
Net asset value, at March 31, 2014	$	28.2007		$	73.9747		$	61.8592		$	301.4824		$	54.7316		$	28.4845		$	43.9084
Net investment income (loss)		(0.0488	)		(0.1399	)		(0.2536	)		(0.8921	)		(0.1211	)		(0.0623	)		(0.1094	)
Net realized and unrealized gain (loss)#		(9.1435	)		(12.0658	)		26.8007			(167.8301	)		(0.3675	)		(3.7890	)		(3.2407	)
Change in net asset value from operations		(9.1923	)		(12.2057	)		26.5471			(168.7222	)		(0.4886	)		(3.8513	)		(3.3501	)
Net asset value, at June 30, 2014	$	19.0084		$	61.7690		$	88.4063		$	132.7602		$	54.2430		$	24.6332		$	40.5583

Market value per share, at March 31, 2014†	$	28.10		$	74.00		$	61.97		$	299.55		$	55.25		$	28.54		$	43.71
Market value per share, at June 30, 2014†	$	19.03		$	61.88		$	88.27		$	133.10		$	52.00		$	24.61		$	40.43

Total Return, at net asset value^		(32.6	)%		(16.5	)%		42.9	%		(56.0	)%		(0.9	)%		(13.5	)%		(7.6	)%
Total Return, at market value^		(32.3	)%		(16.4	)%		42.4	%		(55.6	)%		(5.9	)%		(13.8	)%		(7.5	)%

Ratios to Average Net Assets**

Expense ratio		(0.85	)%		(0.85	)%		(1.48	)%		(1.73	)%		(0.95	)%		(0.98	)%		(1.15	)%
Expense ratio, excluding brokerage commissions		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.81	)%		(0.81	)%		(1.44	)%		(1.71	)%		(0.91	)%		(0.94	)%		(1.11	)%

*	See Note 1 of these Notes to Financial Statements.

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

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2014.

**	Percentages are annualized.

137

For the Three Months Ended June 30, 2014 (unaudited)


Per Share Operating Performance	UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen			Ultra Bloomberg Commodity*
Net asset value, at March 31, 2014	$	88.2955		$	82.7317		$	35.5105		$	42.3310		$	16.9264		$	67.6164		$	88.4253
Net investment income (loss)		(0.1972	)		(0.1892	)		(0.0817	)		(0.0991	)		(0.0380	)		(0.1463	)		(0.2026	)
Net realized and unrealized gain (loss)#		(4.1015	)		(8.8783	)		0.1843			(1.9777	)		0.1719			(2.5778	)		(0.1074	)
Change in net asset value from operations		(4.2987	)		(9.0675	)		0.1026			(2.0768	)		0.1339			(2.7241	)		(0.3100	)
Net asset value, at June 30, 2014	$	83.9968		$	73.6642		$	35.6131		$	40.2542		$	17.0603		$	64.8923		$	88.1153

Market value per share, at March 31, 2014†	$	89.45		$	84.24		$	35.58		$	42.27		$	16.93		$	67.62		$	86.04
Market value per share, at June 30, 2014†	$	82.11		$	72.05		$	35.66		$	40.29		$	17.05		$	64.89		$	88.08

Total Return, at net asset value^		(4.9	)%		(11.0	)%		0.3	%		(4.9	)%		0.8	%		(4.0	)%		(0.4	)%
Total Return, at market value^		(8.2	)%		(14.5	)%		0.2	%		(4.7	)%		0.7	%		(4.0	)%		2.4	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.95	)%		(0.97	)%		(1.00	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.90	)%		(0.90	)%		(0.92	)%		(0.96	)%		(0.89	)%		(0.89	)%		(0.90	)%

*	See Note 1 of these Notes to Financial Statements.

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

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2014.

**	Percentages are annualized.

138

For the Three Months Ended June 30, 2014 (unaudited)


Per Share Operating Performance	Ultra Bloomberg Crude Oil*			Ultra Bloomberg Natural Gas*			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen*
Net asset value, at March 31, 2014	$	173.1303		$	180.5494		$	47.0239		$	65.2313		$	26.0292		$	77.2222
Net investment income (loss)		(0.4229	)		(0.5346	)		(0.1043	)		(0.1410	)		(0.0578	)		(0.1753	)
Net realized and unrealized gain (loss)#		23.2450			0.1259			1.4581			5.0140			(0.3060	)		2.8224
Change in net asset value from operations		22.8221			(0.4087	)		1.3538			4.8730			(0.3638	)		2.6471
Net asset value, at June 30, 2014	$	195.9524		$	180.1407		$	48.3777		$	70.1043		$	25.6654		$	79.8693

Market value per share, at March 31, 2014†	$	172.80		$	181.28		$	46.34		$	64.12		$	25.98		$	77.16
Market value per share, at June 30, 2014†	$	195.95		$	180.08		$	49.41		$	71.76		$	25.80		$	80.28

Total Return, at net asset value^		13.2	%		(0.2	)%		2.9	%		7.5	%		(1.4	)%		3.4	%
Total Return, at market value^		13.4	%		(0.7	)%		6.6	%		11.9	%		(0.7	)%		4.0	%

Ratios to Average Net Assets**

Expense ratio		(0.98	)%		(1.15	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.93	)%		(1.11	)%		(0.90	)%		(0.91	)%		(0.90	)%		(0.89	)%

*	See Note 1 of these Notes to Financial Statements.

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

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2014.

**	Percentages are annualized.

139

Selected data for a Share outstanding throughout the six months ended June 30, 2015:

For the Six Months Ended June 30, 2015 (unaudited)


Per Share Operating Performance	Managed Futures Strategy			VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF			Short VIX Short-Term Futures ETF			Ultra VIX Short-Term Futures ETF*			UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil
Net asset value, at December 31, 2014	$	21.1354		$	20.9321		$	63.6020		$	61.4004		$	125.4591		$	87.7495		$	77.9790

Net investment income (loss)		(0.0878	)		(0.0712	)		(0.2673	)		(0.4540	)		(0.5018	)		(0.4099	)		(0.3489	)
Net realized and unrealized gain (loss)#		(0.5500	)		(7.3424	)		(8.3949	)		17.9065			(80.4405	)		(0.3986	)		(20.8177	)
Change in net asset value from operations		(0.6378	)		(7.4136	)		(8.6622	)		17.4525			(80.9423	)		(0.8085	)		(21.1666	)
Net asset value, at June 30, 2015	$	20.4976		$	13.5185		$	54.9398		$	78.8529		$	44.5168		$	86.9410		$	56.8124

Market value per share, at December 31, 2014†	$	21.28		$	20.99		$	63.89		$	61.16		$	125.75		$	87.44		$	76.52
Market value per share, at June 30, 2015†	$	20.90		$	13.42		$	54.31		$	79.06		$	43.96		$	88.96		$	57.12

Total Return, at net asset value^		(3.0	)%		(35.4	)%		(13.6	)%		28.4	%		(64.5	)%		(0.9	)%		(27.1	)%
Total Return, at market value^		(1.8	)%		(36.1	)%		(15.0	)%		29.3	%		(65.0	)%		1.7	%		(25.4	)%

Ratios to Average Net Assets**

Expense ratio		(0.84	)%		(0.95	)%		(0.94	)%		(1.43	)%		(1.63	)%		(0.95	)%		(1.04	)%
Expense ratio, excluding brokerage commissions		(0.75	)%		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.84	)%		(0.92	)%		(0.90	)%		(1.40	)%		(1.61	)%		(0.91	)%		(1.02	)%

*	See Note 1 of these Notes to Financial Statements.

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

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2015.

**	Percentages are annualized.

140

For the Six Months Ended June 30, 2015 (unaudited)


Per Share Operating Performance	UltraShort Bloomberg Natural Gas			UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen
Net asset value, at December 31, 2014	$	83.9577		$	96.6516		$	115.6143		$	40.0617		$	51.3790		$	21.5946		$	89.3336

Net investment income (loss)		(0.5876	)		(0.4295	)		(0.4638	)		(0.2016	)		(0.2717	)		(0.1123	)		(0.4045	)
Net realized and unrealized gain (loss)#		(8.5733	)		2.7790			(5.7191	)		3.1619			3.4454			3.2571			3.2484
Change in net asset value from operations		(9.1609	)		2.3495			(6.1829	)		2.9603			3.1737			3.1448			2.8439
Net asset value, at June 30, 2015	$	74.7968		$	99.0011		$	109.4314		$	43.0220		$	54.5527		$	24.7394		$	92.1775

Market value per share, at December 31, 2014†	$	82.03		$	100.22		$	119.39		$	40.03		$	51.37		$	21.61		$	89.30
Market value per share, at June 30, 2015†	$	75.20		$	98.82		$	108.54		$	43.05		$	55.09		$	24.75		$	92.19

Total Return, at net asset value^		(10.9	)%		2.4	%		(5.3	)%		7.4	%		6.2	%		14.6	%		3.2	%
Total Return, at market value^		(8.3	)%		(1.4	)%		(9.1	)%		7.5	%		7.2	%		14.5	%		3.2	%

Ratios to Average Net Assets**

Expense ratio		(1.50	)%		(0.95	)%		(0.95	)%		(0.97	)%		(1.02	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(1.48	)%		(0.91	)%		(0.91	)%		(0.94	)%		(1.01	)%		(0.91	)%		(0.91	)%

#	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 New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2015.

**	Percentages are annualized.

141

For the Six Months Ended June 30, 2015 (unaudited)


Per Share Operating Performance	Ultra Bloomberg Commodity*			Ultra Bloomberg Crude Oil*			Ultra Bloomberg Natural Gas*			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen*
Net asset value, at December 31, 2014	$	52.1342		$	50.7400		$	61.6491		$	40.0011		$	39.3657		$	19.8744		$	56.4747

Net investment income (loss)		(0.2214	)		(0.2074	)		(0.3071	)		(0.1780	)		(0.1842	)		(0.0751	)		(0.2523	)
Net realized and unrealized gain (loss)#		(2.3290	)		(5.0338	)		(15.9173	)		(2.8032	)		(2.7333	)		(3.2086	)		(2.7195	)
Change in net asset value from operations		(2.5504	)		(5.2412	)		(16.2244	)		(2.9812	)		(2.9175	)		(3.2837	)		(2.9718	)
Net asset value, at June 30, 2015	$	49.5838		$	45.4988		$	45.4247		$	37.0199		$	36.4482		$	16.5907		$	53.5029

Market value per share, at December 31, 2014†	$	51.44		$	51.85		$	63.12		$	38.41		$	38.05		$	19.80		$	56.48
Market value per share, at June 30, 2015†	$	47.02		$	45.20		$	45.20		$	37.04		$	36.63		$	16.59		$	53.61

Total Return, at net asset value^		(4.9	)%		(10.3	)%		(26.3	)%		(7.5	)%		(7.4	)%		(16.5	)%		(5.3	)%
Total Return, at market value^		(8.6	)%		(12.8	)%		(28.4	)%		(3.6	)%		(3.7	)%		(16.2	)%		(5.1	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(1.02	)%		(1.26	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.91	)%		(0.99	)%		(1.23	)%		(0.91	)%		(0.90	)%		(0.92	)%		(0.92	)%

*	See Note 1 of these Notes to Financial Statements.

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

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2015.

**	Percentages are annualized.

142

Selected data for a Share outstanding throughout the six months ended June 30, 2014:

For the Six Months Ended June 30, 2014 (unaudited)


Per Share Operating Performance	VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF*			Short VIX Short-Term Futures ETF			Ultra VIX Short-Term Futures ETF*			UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas
Net asset value, at December 31, 2013	$	28.5387		$	77.1838		$	67.4993		$	335.4203		$	63.2936		$	31.7301		$	69.9635

Net investment income (loss)		(0.1078	)		(0.2934	)		(0.4717	)		(2.1412	)		(0.2543	)		(0.1298	)		(0.2303	)
Net realized and unrealized gain (loss)#		(9.4225	)		(15.1214	)		21.3787			(200.5189	)		(8.7963	)		(6.9671	)		(29.1749	)
Change in net asset value from operations		(9.5303	)		(15.4148	)		20.9070			(202.6601	)		(9.0506	)		(7.0969	)		(29.4052	)
Net asset value, at June 30, 2014	$	19.0084		$	61.7690		$	88.4063		$	132.7602		$	54.2430		$	24.6332		$	40.5583

Market value per share, at December 31, 2013†	$	28.53		$	77.16		$	67.47		$	335.60		$	58.41		$	31.58		$	69.36
Market value per share, at June 30, 2014†	$	19.03		$	61.88		$	88.27		$	133.10		$	52.00		$	24.61		$	40.43

Total Return, at net asset value^		(33.4	)%		(20.0	)%		31.0	%		(60.4	)%		(14.3	)%		(22.4	)%		(42.0	)%
Total Return, at market value^		(33.3	)%		(19.8	)%		30.8	%		(60.3	)%		(11.0	)%		(22.1	)%		(41.7	)%

Ratios to Average Net Assets**

Expense ratio		(0.85	)%		(0.85	)%		(1.49	)%		(1.76	)%		(0.95	)%		(0.98	)%		(1.16	)%
Expense ratio, excluding brokerage commissions		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.80	)%		(0.81	)%		(1.45	)%		(1.73	)%		(0.91	)%		(0.93	)%		(1.12	)%

*	See Note 1 of these Notes to Financial Statements.

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

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2014.

**	Percentages are annualized.

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For the Six Months Ended June 30, 2014 (unaudited)


Per Share Operating Performance	UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen			Ultra Bloomberg Commodity*
Net asset value, at December 31, 2013	$	103.5180		$	89.7820		$	35.5867		$	46.6384		$	17.0613		$	70.8640		$	77.7259

Net investment income (loss)		(0.3952	)		(0.3644	)		(0.1618	)		(0.2068	)		(0.0753	)		(0.2923	)		(0.3883	)
Net realized and unrealized gain (loss)#		(19.1260	)		(15.7534	)		0.1882			(6.1774	)		0.0743			(5.6794	)		10.7777
Change in net asset value from operations		(19.5212	)		(16.1178	)		0.0264			(6.3842	)		(0.0010	)		(5.9717	)		10.3894
Net asset value, at June 30, 2014	$	83.9968		$	73.6642		$	35.6131		$	40.2542		$	17.0603		$	64.8923		$	88.1153

Market value per share, at December 31, 2013†	$	103.53		$	90.19		$	35.66		$	46.66		$	17.06		$	70.91		$	76.52
Market value per share, at June 30, 2014†	$	82.11		$	72.05		$	35.66		$	40.29		$	17.05		$	64.89		$	88.08

Total Return, at net asset value^		(18.9	)%		(18.0	)%		0.1	%		(13.7	)%		0.0	%***		(8.4	)%		13.4	%
Total Return, at market value^		(20.7	)%		(20.1	)%		0.0	%***		(13.7	)%		(0.1	)%		(8.5	)%		15.1	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.95	)%		(0.96	)%		(1.01	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.90	)%		(0.89	)%		(0.91	)%		(0.95	)%		(0.89	)%		(0.88	)%		(0.91	)%

*	See Note 1 of these Notes to Financial Statements.

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

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2014.

**	Percentages are annualized.

***	Amount represents less than 0.01%.

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For the Six Months Ended June 30, 2014 (unaudited)


Per Share Operating Performance	Ultra Bloomberg Crude Oil*			Ultra Bloomberg Natural Gas*			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen*
Net asset value, at December 31, 2013	$	160.4495		$	155.3534		$	41.2553		$	63.3305		$	26.0346		$	74.5261

Net investment income (loss)		(0.7618	)		(0.9831	)		(0.2104	)		(0.2944	)		(0.1144	)		(0.3464	)
Net realized and unrealized gain (loss)#		36.2647			25.7704			7.3328			7.0682			(0.2548	)		5.6896
Change in net asset value from operations		35.5029			24.7873			7.1224			6.7738			(0.3692	)		5.3432
Net asset value, at June 30, 2014	$	195.9524		$	180.1407		$	48.3777		$	70.1043		$	25.6654		$	79.8693

Market value per share, at December 31, 2013†	$	161.10		$	157.12		$	41.26		$	63.04		$	25.98		$	74.44
Market value per share, at June 30, 2014†	$	195.95		$	180.08		$	49.41		$	71.76		$	25.80		$	80.28

Total Return, at net asset value^		22.1	%		16.0	%		17.3	%		10.7	%		(1.4	)%		7.2	%
Total Return, at market value^		21.6	%		14.6	%		19.8	%		13.8	%		(0.7	)%		7.8	%

Ratios to Average Net Assets**

Expense ratio		(0.98	)%		(1.12	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.92	)%		(1.07	)%		(0.90	)%		(0.90	)%		(0.89	)%		(0.89	)%

*	See Note 1 of these Notes to Financial Statements.

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

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2014.

**	Percentages are annualized.

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NOTE 8 – RISK

Correlation and Compounding Risk

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ from the inverse (-1x), two times the inverse (-2x), or two times (2x) of the return of the Geared Fund’s benchmark for the period. A Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short and UltraShort Funds), as a result of daily rebalancing, the benchmark’s volatility and compounding. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Fund’s underlying benchmark. The Matching VIX Funds and the Managed Futures Fund seek to achieve their stated investment objective both over a single day and over time.

Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra Fund with a 2x multiple should be approximately 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 a Short or UltraShort Fund is designed to return the inverse (-1x) or 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 different risks than other 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. Daily objective Geared Funds, if used properly and in conjunction with the investor’s view on the future direction and volatility of the markets, can be useful tools for investors who want to manage their exposure to various markets and market segments and who are willing to monitor and/or periodically rebalance their portfolios. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds expect to meet their investment objectives, several factors may affect their ability to do so. Among these factors are: (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 instruments traded in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, overweighting or underweighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions or extreme market volatility 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. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -1x, -2x 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. In addition, 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.

146

Counterparty Risk

Certain of the Funds will use swap agreements and/or forward contracts as a means to achieve their respective investment objectives. Such Funds will use either swap agreements and/or forward contracts referencing their respective benchmarks. These Funds may also invest in other swap agreements or forward contracts if such instruments tend to exhibit trading prices or returns that correlate with the benchmark or a component of the benchmark and will further the investment objective of the Fund. Certain Funds may invest in swap agreements or forward contracts if position accountability rules or position limits are reached with respect to specific futures contracts or the market for a specific futures contract experiences emergencies (e.g., natural disaster, terrorist attack or an act of God) or disruptions (e.g., a trading halt or a flash crash) that prevent the Funds from obtaining the appropriate amount of investment exposure to the affected futures contract or certain other futures contracts. Although unlikely, those Funds, under these circumstances, could have 100% exposure to swap agreements or forward contracts.

Swap agreements and forward contracts are generally traded in OTC markets and have only recently become subject to regulation by the CFTC. CFTC rules, however, do not cover all types of swap agreements and forward contracts. 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.

The Funds will be subject to credit risk with respect to the counterparties to the derivatives contracts (whether a clearing corporation in the case of cleared instruments or another third party in the case of OTC uncleared instruments). Unlike in futures contracts, the counterparty to uncleared swap agreements or forward contracts is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions. As a result, a Fund is subject to credit risk with respect to the amount it expects to receive from counterparties to uncleared swaps and forward contracts entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.

The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds; however there are no limitations on the percentage of its 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 swaps or forward contracts are 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. 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 agreement 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 derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. Transactions entered into directly between two counterparties generally do not benefit from such protections. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.

Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund.

The counterparty risk for cleared derivative transactions is generally lower than for uncleared 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 house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members, will satisfy its obligations to the 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 could result in the total loss of an investor’s investment.

For example, because the UltraShort Funds and Ultra Funds 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 (for an UltraShort Fund or an UltraShort Fund) 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 2014 may specify a January 2015 expiration. As that contract nears expiration, it may be replaced by selling the January 2015 contract and purchasing the contract expiring in March 2015. 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 2015 contract would take place at a price that is higher than the price at which the March 2015 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, the Managed Futures Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds, the Managed Futures Fund 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 historically exhibit 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. It is generally believed this is because the market needs to build inventories for most of the year in order to have enough storage to make it through a normal winter. Periods of backwardation are typically thought to be caused by demand shocks or supply shortages such as an unusually cold winter or a hurricane.

148

Shareholder Concentration

As of June 30, 2015, ProShares Morningstar Alternatives Solution ETF, an ETF affiliated with the Funds, owned 66% of the outstanding shares of the Managed Futures Fund. Subscription and redemption activity by concentrated shareholders may have a significant effect on the operations of the Fund.

NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.

149

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” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor or the Trustee (as each term is defined below) 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 or the Trustee 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

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (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, 2015, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares Managed Futures Strategy (the “Managed Futures Fund”); (ii) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (iii) 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 (iv) ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, 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”); and (v) ProShares Short Euro (the “Short Euro Fund”). 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 are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form 10-Q. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form 10-Q.

150

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

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

Each of the Funds generally invests in Financial Instruments (i.e., instruments whose value is derived from the value of an underlying asset, rate or index, 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 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.

Each “Short” Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund and the Managed Futures Fund seeks investment results (before fees and expenses), both over a single day and over time, that match the performance of its corresponding benchmark. Daily performance is measured from the calculation of one NAV to the next.

Each Geared Fund seeks investment results for a single day only, not for longer periods. A “single day” is measured from the time a Fund calculates its respective net asset value per Share (“NAV”) to the time of the Fund’s next NAV calculation. 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 from -1x, -2x or 2x of the return of the index to which such Fund is benchmarked for that period. In periods of higher market volatility, the 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 are riskier than similarly benchmarked exchange-traded funds that are not geared. 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 Funds should actively manage and monitor their investments, as frequently as daily. The Geared VIX Funds do not seek to achieve their stated objective over a period greater than a single day. Each Matching VIX Fund seeks results (before fees and expenses), both over a single day and over time, 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 investing primarily in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”). The Managed Futures Fund seeks to provide investment results (before fees and expenses) that correspond to the performance of the S&P Strategic Futures Index (“SFI”). The Managed Futures Fund intends to obtain exposure to the SFI by primarily investing in unleveraged positions in commodity futures contracts as well as currency and U.S. Treasury futures contracts that are deemed to have sufficient liquidity.

ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil and ProShares Ultra Bloomberg Natural Gas each have a benchmark that is an index 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 from the daily performance of the price of the related physical commodities.

151

Until March 19, 2015, the price of gold for each of ProShares UltraShort Gold and ProShares Ultra Gold was the U.S. dollar price of gold bullion as measured by the London afternoon fixing price per troy ounce of unallocated gold bullion for delivery in London through a member of the LBMA, authorized to affect such delivery. On February 19, 2015, the LBMA, the company that ran the London gold fix, announced that, as of March 20, 2015, they would stop running the process. The LBMA selected ICE Benchmark Administration to calculate the price, which was renamed the LBMA Gold Price, based on an electronic, physically settled auction-based methodology effective March 20, 2015. The LBMA Gold Price is determined each trading day at 3:00 p.m. London time, providing a reference gold price for that day’s trading.

Each Geared Fund and the Managed Futures 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 the NYSE Arca, 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.

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the net assets 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 and each Fund’s trading in futures and 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, 2015 and 2014 each of the Funds earned interest income as follows:


Fund	Interest Income Three Months Ended June 30, 2015		Interest Income Three Months Ended June 30, 2014		Interest Income Six Months Ended June 30, 2015		Interest Income Six Months Ended June 30, 2014
ProShares Managed Futures Strategy	$	—	$	—	$	—	$	—
ProShares VIX Short- Term Futures ETF		11,228		10,546		21,135		34,214
ProShares VIX Mid-Term Futures ETF		2,162		4,925		4,876		10,253
ProShares Short VIX Short-Term Futures ETF		14,724		20,024		44,653		44,229
ProShares Ultra VIX Short-Term Futures ETF		32,035		20,656		64,494		41,932
ProShares UltraShort Bloomberg Commodity		468		344		996		652
ProShares UltraShort Bloomberg Crude Oil		15,983		39,315		36,495		76,288
ProShares UltraShort Bloomberg Natural Gas		595		6,257		1,580		12,940
ProShares UltraShort Gold		6,595		12,750		14,791		27,945
ProShares UltraShort Silver		4,035		7,838		10,178		20,795
ProShares Short Euro		1,283		1,359		2,663		2,405
ProShares UltraShort Australian Dollar		749		2,127		1,856		5,991
ProShares UltraShort Euro		54,503		59,294		122,093		128,651
ProShares UltraShort Yen		39,919		56,785		84,967		135,009
ProShares Ultra Bloomberg Commodity		232		387		486		719
ProShares Ultra Bloomberg Crude Oil		65,327		11,287		141,569		32,988
ProShares Ultra Bloomberg Natural Gas		5,742		1,811		11,384		8,084

152


Fund	Interest Income Three Months Ended June 30, 2015		Interest Income Three Months Ended June 30, 2014		Interest Income Six Months Ended June 30, 2015		Interest Income Six Months Ended June 30, 2014
ProShares Ultra Gold		8,894		17,629		21,632		31,457
ProShares Ultra Silver		36,301		51,355		74,547		113,957
ProShares Ultra Euro		1,028		327		1,562		705
ProShares Ultra Yen		459		386		750		821

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

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

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

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

Market Risk

Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying the Fund’s benchmark at a specified date and price, should it hold such derivatives 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.

153

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 uncleared 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 recovery 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 futures commission merchant (“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 6, 2015, 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 amount of payments that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.

Critical Accounting Policies

The Trust’s and the Funds’ critical accounting policies are as follows:

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 Leveraged Funds, the Short Euro Fund and the VIX 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 Leveraged Funds’, the Short Euro Fund’s and VIX Funds’ final creation/redemption NAV for the three and six months ended June 30, 2015.

154

Derivatives (e.g., futures contracts, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. If there was no sale on that day, and for non-exchange-traded derivatives, 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 for such day. 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. When market closing prices are not available, 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 Leveraged and VIX Fund’s policy is intended to result in a calculation of the Leveraged or the VIX Fund’s NAV that fairly reflects investment values as of the time of pricing, the Leveraged and the VIX Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Leveraged or the VIX 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 the Leveraged or the VIX Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. See Note 2 in Item 1 of this Quarterly Report on Form 10-Q for further information.

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

Realized gains (losses) and changes in unrealized gain (loss) on open positions 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 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 regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. For the three months ended June 30, 2014, the Sponsor paid brokerage commissions on VIX futures contracts for the Matching VIX Funds. On July 31, 2014, the Sponsor began paying, and 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.

155

Results of Operations for the Three Months Ended June 30, 2015 Compared to the Three Months Ended June 30, 2014

ProShares Managed Futures Strategy

Since the Fund commenced investment operations on October 1, 2014, comparisons of the Fund’s results of operations for the three months ended June 30, 2014 have not been provided.

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015:


	Three Months Ended June 30, 2015
NAV beginning of period	$	8,587,555
NAV end of period	$	9,224,129
Percentage change in NAV		7.4	%
Shares outstanding beginning of period		400,010
Shares outstanding end of period		450,010
Percentage change in shares outstanding		12.5	%
Shares created		50,000
Shares redeemed		—
Per share NAV beginning of period	$	21.47
Per share NAV end of period	$	20.50
Percentage change in per share NAV		(4.5	)%
Percentage change in benchmark		(4.4)	%
Benchmark annualized volatility		4.5	%

During the three months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 400,010 outstanding Shares at March 31, 2015 to 450,010 outstanding Shares at June 30, 2015. 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 Strategic Futures Index.

For the three months ended June 30, 2015, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on April 9, 2015 at $21.39 per Share and reached its low for the period on June 30, 2015 at $20.50 per Share.

The benchmark’s decline of 4.4% for the three months ended June 30, 2015, can be attributed to a depreciation in value of the futures contracts that make up the S&P Strategic Futures Index during the three months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015:


	Three Months Ended June 30, 2015
Net investment income (loss)	$	(18,095	)
Brokerage commissions		2,184
Offering costs		16,401
Limitation by Sponsor		(490	)
Net realized gain (loss)		(200,957	)
Change in net unrealized appreciation/depreciation		(188,353	)
Net income (loss)	$	(407,405	)

156

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, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	149,487,509		$	117,732,469
NAV end of period	$	169,655,175		$	98,364,760
Percentage change in NAV		13.5	%		(16.5	)%
Shares outstanding beginning of period		8,749,812			4,174,812
Shares outstanding end of period		12,549,812			5,174,812
Percentage change in shares outstanding		43.4	%		24.0	%
Shares created		4,100,000			2,400,000
Shares redeemed		300,000			1,400,000
Per share NAV beginning of period	$	17.08		$	28.20
Per share NAV end of period	$	13.52		$	19.01
Percentage change in per share NAV		(20.8	)%		(32.6	)%
Percentage change in benchmark		(20.8)	%		(32.4	)%
Benchmark annualized volatility		54.7	%		34.1	%

During the three months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 8,749,812 outstanding Shares at March 31, 2015 to 12,549,812 outstanding Shares at June 30, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted 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 4,174,812 outstanding Shares at March 31, 2014 to 5,174,812 outstanding Shares at June 30, 2014.

For the three months ended June 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 20.8% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 32.6% for the three months ended June 30, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on April 1, 2015 at $16.89 per Share and reached its low for the period on June 23, 2015 at $11.26 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 11, 2014 at $29.77 per Share and reached its low for the period on June 30, 2014 at $19.01 per Share.

The benchmark’s decline of 20.8% for the three months ended June 30, 2015, as compared to the benchmark’s decline of 32.4% for the three months ended June 30, 2014, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(331,587	)	$	(226,038	)
Management fee		316,922			236,584
Brokerage commissions		25,893			—
Net realized gain (loss)		(51,588,577	)		(41,222,421	)
Change in net unrealized appreciation/depreciation		19,018,212			(1,589,050	)
Net income (loss)	$	(32,901,952	)	$	(43,037,509	)

157

The Fund’s net income increased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2015.

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, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	28,379,030		$	57,792,817
NAV end of period	$	26,777,867		$	40,535,994
Percentage change in NAV		(5.6	)%		(29.9	)%
Shares outstanding beginning of period		462,404			781,251
Shares outstanding end of period		487,404			656,251
Percentage change in shares outstanding		5.4	%		(16.0	)%
Shares created		100,000			187,500
Shares redeemed		75,000			312,500
Per share NAV beginning of period	$	61.37		$	73.97
Per share NAV end of period	$	54.94		$	61.77
Percentage change in per share NAV		(10.5	)%		(16.5	)%
Percentage change in benchmark		(10.3	)%		(16.2	)%
Benchmark annualized volatility		21.7	%		16.4	%

During the three months ended June 30, 2015, the decrease in the Fund’s NAV resulted 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 462,404 outstanding Shares at March 31, 2015 to 487,404 outstanding Shares at June 30, 2015. By comparison, during the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 781,251 outstanding Shares at March 31, 2014 to 656,251 outstanding Shares at June 30, 2014. 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.

For the three months ended June 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.5% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 16.5% for the three months ended June 30, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on April 1, 2015 at $61.53 per Share and reached its low for the period on June 26, 2015 at $52.16 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 14, 2014 at $74.52 per Share and reached its low for the period on June 30, 2014 at $61.78 per Share.

The benchmark’s decline of 10.3% for the three months ended June 30, 2015, as compared to the benchmark’s decline of 16.2% for the three months ended June 30, 2014, can be attributed to a lesser decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(57,794	)	$	(97,187	)
Management fee		56,030			102,112
Brokerage commissions		3,926			—

158


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net realized gain (loss)		(3,049,969	)		(6,665,185	)
Change in net unrealized appreciation/depreciation		199,653			(1,489,069	)
Net income (loss)	$	(2,908,110	)	$	(8,251,441	)

The Fund’s net income increased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a lesser decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended June 30, 2015.

*	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 Share split for the ProShares VIX Mid-Term Futures ETF.

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, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	280,850,972		$	213,416,566
NAV end of period	$	189,250,124		$	181,236,514
Percentage change in NAV		(32.6	)%		(15.1	)%
Shares outstanding beginning of period		4,150,040			3,450,040
Shares outstanding end of period		2,400,040			2,050,040
Percentage change in shares outstanding		(42.2	)%		(40.6	)%
Shares created		2,400,000			1,100,000
Shares redeemed		4,150,000			2,500,000
Per share NAV beginning of period	$	67.67		$	61.86
Per share NAV end of period	$	78.85		$	88.41
Percentage change in per share NAV		16.5	%		42.9	%
Percentage change in benchmark		(20.8	)%		(32.4	)%
Benchmark annualized volatility		54.7	%		61.3	%

During the three months ended June 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 4,150,040 outstanding Shares at March 31, 2015 to 2,400,040 outstanding Shares at June 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 3,450,040 outstanding Shares at March 31, 2014 to 2,050,040 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended June 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 16.5% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV increase of 42.9% for the three months ended June 30, 2014, was primarily due to a lesser appreciation in the value of the assets of the fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on June 23, 2015 at $97.71 per Share and reached its low for the period on April 1, 2015 at $68.45 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 30, 2014 at $88.41 per Share and reached its low for the period on April 11, 2014 at $58.05 per Share.

The benchmark’s decline of 20.8% for the three months ended June 30, 2015, as compared to the benchmark’s decline of 32.4% for the three months ended June 30, 2014, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX Futures curve during the three months ended June 30, 2015.

159

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(840,088	)	$	(740,111	)
Management fee		544,083			486,704
Brokerage commissions		310,729			273,431
Net realized gain (loss)		86,044,478			73,543,760
Change in net unrealized appreciation/depreciation		(23,573,452	)		831,898
Net income (loss)	$	61,630,938		$	73,635,547

The Fund’s net income decreased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2015.

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, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	693,720,084		$	317,768,440
NAV end of period	$	431,922,188		$	295,261,247
Percentage change in NAV		(37.7	)%		(7.1	)%
Shares outstanding beginning of period		9,134,020			1,054,020
Shares outstanding end of period		9,702,448			2,224,020
Percentage change in shares outstanding		6.2	%		111.0	%
Shares created		13,850,000			1,910,000
Shares redeemed		13,281,572			740,000
Per share NAV beginning of period	$	75.95		$	301.48
Per share NAV end of period	$	44.52		$	132.76
Percentage change in per share NAV		(41.4	)%		(56.0	)%
Percentage change in benchmark		(20.8	)%		(32.4	)%
Benchmark annualized volatility		54.6	%		34.1	%

During the three months ended June 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 9,134,020 outstanding Shares at March 31, 2015 to 9,702,448 outstanding Shares at June 30, 2015. By comparison, during the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of 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 1,054,020 outstanding Shares at March 31, 2014 to 2,224,020 outstanding Shares at June 30, 2014.

For the three months ended June 30, 2015 and 2014, 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 41.4% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 56.0% for the three months ended June 30, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on April 1, 2015 at $74.19 per Share and reached its low for the period on June 23, 2015 at $31.60 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 11, 2014 at $333.65 per Share and reached its low for the period on June 30, 2014 at $132.75 per Share.

160

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(2,003,111	)	$	(1,418,872	)
Management fee		1,219,938			789,047
Brokerage commissions		815,208			650,481
Net realized gain (loss)		(401,777,431	)		(247,162,005	)
Change in net unrealized appreciation/depreciation		137,439,142			(10,838,017	)
Net income (loss)	$	(266,341,400	)	$	(259,418,894	)

The Fund’s net income decreased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a decline in the prices of the near-term futures contracts on the VIX futures curve and a significant increase in shares outstanding during the three months ended June 30, 2015.

*	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 the ProShares Ultra VIX Short-Term Futures ETF.

ProShares UltraShort Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	5,818,363		$	3,283,730
NAV end of period	$	5,216,200		$	3,254,416
Percentage change in NAV		(10.3	)%		(0.9	)%
Shares outstanding beginning of period		59,997			59,997
Shares outstanding end of period		59,997			59,997
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	96.98		$	54.73
Per share NAV end of period	$	86.94		$	54.24
Percentage change in per share NAV		(10.4	)%		(0.9	)%
Percentage change in benchmark		4.7	%		0.1	%
Benchmark annualized volatility		14.0	%		7.1	%

During the three months ended June 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from March 31, 2015 to June 30, 2015. By comparison, during the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from March 31, 2014 to June 30, 2014.

For the three months ended June 30, 2015 and 2014, 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 10.4% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 0.9% for the three months ended June 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

161

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on April 9, 2015 at $95.34 per Share and reached its low for the period on May 14, 2015 at $83.15 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 11, 2014 at $55.82 per Share and reached its low for the period on April 29, 2014 at $51.38 per Share.

The benchmark’s rise of 4.7% for the three months ended June 30, 2015, as compared to the benchmark’s rise of 0.1% for the three months ended June 30, 2014, can be attributed to a greater appreciation of the underlying components of the index during the three months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(12,273	)	$	(7,267	)
Management fee		12,741			7,611
Net realized gain (loss)		(75,515	)		130,061
Change in net unrealized appreciation/depreciation		(514,375	)		(152,108	)
Net income (loss)	$	(602,163	)	$	(29,314	)

The Fund’s net income decreased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a greater rise in the Fund’s benchmark index during the three months ended June 30, 2015.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	370,337,005		$	318,170,803
NAV end of period	$	180,092,283		$	362,599,585
Percentage change in NAV		(51.4	)%		14.0	%
Shares outstanding beginning of period		4,269,944			11,169,944
Shares outstanding end of period		3,169,944			14,719,944
Percentage change in shares outstanding		(25.8	)%		31.8	%
Shares created		4,550,000			6,900,000
Shares redeemed		5,650,000			3,350,000
Per share NAV beginning of period	$	86.73		$	28.48
Per share NAV end of period	$	56.81		$	24.63
Percentage change in per share NAV		(34.5	)%		(13.5	)%
Percentage change in benchmark		17.5	%		6.7	%
Benchmark annualized volatility		35.9	%		12.3	%

During the three months ended June 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,269,944 outstanding Shares at March 31, 2015 to 3,169,944 outstanding Shares at June 30, 2015. 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 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the three months ended June 30, 2014, the increase in the Fund’s NAV resulted from an increase from 11,169,944 outstanding Shares at March 31, 2014 to 14,719,944 outstanding Shares at June 30, 2014. 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 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

162

For the three months ended June 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 34.5% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 13.5% for the three months ended June 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on April 2, 2015 at $80.60 per Share and reached its low for the period on June 10, 2015 at $52.91 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 2, 2014 at $29.58 per Share and reached its low for the period on June 20, 2014 at $24.07 per Share.

The benchmark’s rise of 17.5% for the three months ended June 30, 2015, as compared to the rise of 6.7% for the three months ended June 30, 2014, can be attributed to a greater increase in the price of WTI Crude Oil during the three months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(732,642	)	$	(829,357	)
Management fee		667,767			841,703
Brokerage commissions		80,858			26,969
Net realized gain (loss)		(83,697,622	)		(31,561,980	)
Change in net unrealized appreciation/depreciation		(46,476,651	)		(14,323,306	)
Net income (loss)	$	(130,906,915	)	$	(46,714,643	)

The Fund’s net income decreased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a greater increase in the price of WTI Crude Oil during the three months ended June 30, 2015.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	10,931,570		$	73,544,544
NAV end of period	$	13,085,851		$	49,682,009
Percentage change in NAV		19.7	%		(32.4	)%
Shares outstanding beginning of period		124,952			1,674,952
Shares outstanding end of period		174,952			1,224,952
Percentage change in shares outstanding		40.0	%		(26.9	)%
Shares created		150,000			300,000
Shares redeemed		100,000			750,000
Per share NAV beginning of period	$	87.49		$	43.91
Per share NAV end of period	$	74.80		$	40.56
Percentage change in per share NAV		(14.5	)%		(7.6	)%
Percentage change in benchmark		1.8	%		1.0	%
Benchmark annualized volatility		39.3	%		27.8	%

During the three months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 124,952 outstanding Shares at March 31, 2015 to 174,952 outstanding Shares at June 30, 2015. 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 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM. By comparison, during the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,674,952 outstanding Shares at March 31, 2014 to 1,224,952

163

outstanding Shares at June 30, 2014. 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 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the three months ended June 30, 2015 and 2014, 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 14.5% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 7.6% for the three months ended June 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on April 27, 2015 at $97.17 per Share and reached its low for the period on May 15, 2015 at $65.92 per Share. By comparison, during three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 1, 2014 at $45.81 per Share and reached its low for the period on June 12, 2014 at $35.78 per Share.

The benchmark’s rise of 1.8% for the three months ended June 30, 2015, as compared to the benchmark’s rise of 1.0% for the three months ended June 30, 2014, can be attributed to a greater increase in the price of Henry Hub Natural Gas during the three months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(48,062	)	$	(172,282	)
Management fee		29,314			147,249
Brokerage commissions		19,343			31,290
Net realized gain (loss)		(77,486	)		(1,968,124	)
Change in net unrealized appreciation/depreciation		(832,620	)		(2,014,256	)
Net income (loss)	$	(958,168	)	$	(4,154,662	)

The Fund’s net income increased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to an increase in the price of Henry Hub Natural Gas and a significant decrease in shares outstanding during the three months ended June 30, 2015.

ProShares UltraShort Gold^†

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	77,960,614		$	114,517,274
NAV end of period	$	73,951,674		$	83,742,981
Percentage change in NAV		(5.1	)%		(26.9	)%
Shares outstanding beginning of period		796,978			1,296,978
Shares outstanding end of period		746,978			996,978
Percentage change in shares outstanding		(6.3	)%		(23.1	)%
Shares created		—			100,000
Shares redeemed		50,000			400,000
Per share NAV beginning of period	$	97.82		$	88.30
Per share NAV end of period	$	99.00		$	84.00
Percentage change in per share NAV		1.2	%		(4.9	)%
Percentage change in benchmark		(1.4)	%		1.8	%
Benchmark annualized volatility		12.6	%		11.5	%

164

During the three months ended June 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 796,978 outstanding Shares at March 31, 2015 to 746,978 outstanding Shares at June 30, 2015. 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 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price^†. By comparison, during the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,296,978 outstanding Shares at March 31, 2014 to 996,978 outstanding Shares at June 30, 2014. 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 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London.

For the three months ended June 30, 2015 and 2014, 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 1.2% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 4.9% for the three months ended June 30, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on June 5, 2015 at $100.48 per Share and reached its low for the period on May 14, 2015 at $91.07 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 3, 2014 at $94.39 per Share and reached its low for the period on June 24, 2014 at $83.58 per Share.

The benchmark’s decline of 1.4% for the three months ended June 30, 2015, as compared to the benchmark’s rise of 1.8% for the three months ended June 30, 2014, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(167,434	)	$	(218,689	)
Management fee		174,020			231,431
Brokerage commissions		9			8
Net realized gain (loss)		(525,353	)		13,876,111
Change in net unrealized appreciation/depreciation		1,602,870			(19,138,156	)
Net income (loss)	$	910,083		$	(5,480,734	)

The Fund’s net income increased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2015.

†

On March 19, 2015, the company that ran the London U.S. dollar gold fixing ceased calculating the price of gold for the LBMA. The LBMA selected ICE Benchmark Administration to calculate the price, which was renamed the LBMA Gold Price, and is based on an electronic, physically settled auction-based methodology, beginning on March 20, 2015.

ProShares UltraShort Silver^†

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	56,504,499		$	71,024,281
NAV end of period	$	61,116,236		$	52,190,256
Percentage change in NAV		8.2	%		(26.5	)%
Shares outstanding beginning of period		558,489			858,489
Shares outstanding end of period		558,489			708,489

165


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Percentage change in shares outstanding		0.0	%		(17.5	)%
Shares created		250,000			150,000
Shares redeemed		250,000			300,000
Per share NAV beginning of period	$	101.17		$	82.73
Per share NAV end of period	$	109.43		$	73.66
Percentage change in per share NAV		8.2	%		(11.0	)%
Percentage change in benchmark		(5.4	)%		4.5	%
Benchmark annualized volatility		20.8	%		19.0	%

During the three months ended June 30, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price†. There was no net change in the Fund’s outstanding Shares from March 31, 2015 to June 30, 2015. By comparison, during the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 858,489 outstanding Shares at March 31, 2014 to 708,489 outstanding Shares at June 30, 2014. 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 2x of the inverse of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London.

For the three months ended June 30, 2015 and 2014, 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 8.2% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 11.0% for the three months ended June 30, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on April 24, 2015 at $110.28 per Share and reached its low for the period on May 18, 2015 at $86.92 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 4, 2014 at $91.95 per Share and reached its low for the period on June 24, 2014 at $72.03 per Share.

The benchmark’s decline of 5.4% for the three months ended June 30, 2015, as compared to the benchmark’s rise of 4.5% for the three months ended June 30, 2014, can be attributed to a decrease in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(130,679	)	$	(133,126	)
Management fee		134,697			140,948
Brokerage commissions		17			16
Net realized gain (loss)		(568,354	)		12,455,585
Change in net unrealized appreciation/depreciation		6,289,143			(18,329,419	)
Net income (loss)	$	5,590,110		$	(6,006,960	)

The Fund’s net income increased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a decrease in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2015.

†	On August 14, 2014, the company that ran the London U.S. dollar silver fixing ceased calculating the price of silver for the LBMA. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, beginning August 15, 2014.

166

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	20,184,003		$	7,102,270
NAV end of period	$	19,360,122		$	14,245,423
Percentage change in NAV		(4.1	)%		100.6	%
Shares outstanding beginning of period		450,005			200,005
Shares outstanding end of period		450,005			400,005
Percentage change in shares outstanding		0.0	%		100.0	%
Shares created		—			200,000
Shares redeemed		—			—
Per share NAV beginning of period	$	44.85		$	35.51
Per share NAV end of period	$	43.02		$	35.61
Percentage change in per share NAV		(4.1	)%		0.3	%
Percentage change in benchmark		3.7	%		(0.6	)%
Benchmark annualized volatility		12.3	%		3.9	%

During the three months ended June 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2015 to June 30, 2015. By comparison, during the three months ended June 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 200,005 outstanding Shares at March 31, 2014 to 400,005 outstanding Shares at June 30, 2014. 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 the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended June 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.1% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV increase of 0.3% for the three months ended June 30, 2014, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on April 13, 2015 at $45.52 per Share and reached its low for the period on May 15, 2015 at $41.99 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 11, 2014 at $36.07 per Share and reached its low for the period on May 6, 2014 at $35.07 per Share.

The benchmark’s rise of 3.7% for the three months ended June 30, 2015, as compared to the benchmark’s decline of 0.6% for the three months ended June 30, 2014, can be attributed to a rise in the value of the euro versus the U.S. dollar during the three months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(45,895	)	$	(27,255	)
Management fee		46,327			28,155
Brokerage commissions		851			459
Net realized gain (loss)		(906,332	)		225,122
Change in net unrealized appreciation/depreciation		128,346			(159,193	)
Net income (loss)	$	(823,881	)	$	38,674

167

The Fund’s net income decreased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended June 30, 2015.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	20,104,935		$	21,165,734
NAV end of period	$	19,093,705		$	20,127,301
Percentage change in NAV		(5.0	)%		(4.9	)%
Shares outstanding beginning of period		350,005			500,005
Shares outstanding end of period		350,005			500,005
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	57.44		$	42.33
Per share NAV end of period	$	54.55		$	40.25
Percentage change in per share NAV		(5.0	)%		(4.9	)%
Percentage change in benchmark		1.3	%		1.7	%
Benchmark annualized volatility		12.4	%		6.0	%

During the three months ended June 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2015 to June 30, 2015. By comparison, during the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2014 to June 30, 2014.

For the three months ended June 30, 2015 and 2014, 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 5.0% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 4.9% for the three months ended June 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on April 2, 2015 at $57.92 per Share and reached its low for the period on May 13, 2015 at $50.07 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 3, 2014 at $42.71 per Share and reached its low for the period on June 30, 2014 at $40.25 per Share.

The benchmark’s rise of 1.3% for the three months ended June 30, 2015, as compared to the benchmark’s rise of 1.7% for the three months ended June 30, 2014, can be attributed to a lesser rise in the value of the Australian dollar versus the U.S. dollar during the three months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(48,012	)	$	(49,562	)
Management fee		45,158			49,105
Brokerage commissions		3,603			2,584
Net realized gain (loss)		(445,895	)		(1,846,846	)
Change in net unrealized appreciation/depreciation		(517,323	)		857,975
Net income (loss)	$	(1,011,230	)	$	(1,038,433	)

168

The Fund’s net income increased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a lesser rise in the value of the Australian dollar versus the U.S. dollar during the three months ended June 30, 2015.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	619,839,556		$	410,466,058
NAV end of period	$	629,617,014		$	440,156,895
Percentage change in NAV		1.6	%		7.2	%
Shares outstanding beginning of period		23,000,014			24,250,014
Shares outstanding end of period		25,450,014			25,800,014
Percentage change in shares outstanding		10.7	%		6.4	%
Shares created		6,400,000			2,050,000
Shares redeemed		3,950,000			500,000
Per share NAV beginning of period	$	26.95		$	16.93
Per share NAV end of period	$	24.74		$	17.06
Percentage change in per share NAV		(8.2	)%		0.8	%
Percentage change in benchmark		3.7	%		(0.6	)%
Benchmark annualized volatility		12.3	%		3.9	%

During the three months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 23,000,014 outstanding Shares at March 31, 2015 to 25,450,014 outstanding Shares at June 30, 2015. 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 2x of the inverse 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, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 24,250,014 outstanding Shares at March 31, 2014 to 25,800,014 outstanding Shares at June 30, 2014. 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 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended June 30, 2015 and 2014, 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 8.2% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV increase of 0.8% for the three months ended June 30, 2014, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on April 13, 2015 at $27.77 per Share and reached its low for the period on May 15, 2015 at $23.63 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 11, 2014 at $17.49 per Share and reached its low for the period on May 6, 2014 at $16.52 per Share.

169

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(1,296,221	)	$	(948,368	)
Management fee		1,350,724			1,007,662
Net realized gain (loss)		(29,570,685	)		5,887,503
Change in net unrealized appreciation/depreciation		(18,926,208	)		(1,867,338	)
Net income (loss)	$	(49,793,114	)	$	3,071,797

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	440,362,007		$	405,650,586
NAV end of period	$	405,516,052		$	353,617,215
Percentage change in NAV		(7.9	)%		(12.8	)%
Shares outstanding beginning of period		4,949,294			5,999,294
Shares outstanding end of period		4,399,294			5,449,294
Percentage change in shares outstanding		(11.1	)%		(9.2	)%
Shares created		400,000			300,000
Shares redeemed		950,000			850,000
Per share NAV beginning of period	$	88.97		$	67.62
Per share NAV end of period	$	92.18		$	64.89
Percentage change in per share NAV		3.6	%		(4.0	)%
Percentage change in benchmark		(2.0	)%		1.9	%
Benchmark annualized volatility		7.3	%		4.9	%

During the three months ended June 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,949,294 outstanding Shares at March 31, 2015 to 4,399,294 outstanding Shares at June 30, 2015. 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 2x of the inverse 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, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,999,294 outstanding Shares at March 31, 2014 to 5,449,294 outstanding Shares at June 30, 2014. 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 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended June 30, 2015 and 2014, 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 3.6% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 4.0% for the three months ended June 30, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on June 5, 2015 at $97.30 per Share and reached its low for the period on April 17, 2015 at $87.24 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 3, 2014 at $68.48 per Share and reached its low for the period on June 30, 2014 at $64.89 per Share.

The benchmark’s decline of 2.0% for the three months ended June 30, 2015, as compared to the benchmark’s rise of 1.9% for the three months ended June 30, 2014, can be attributed to a decine in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2015.

170

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(973,386	)	$	(820,394	)
Management fee		1,013,305			877,179
Net realized gain (loss)		30,643,987			271,807
Change in net unrealized appreciation/depreciation		(14,879,188	)		(14,531,898	)
Net income (loss)	$	14,791,413		$	(15,080,485	)

The Fund’s net income increased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar in conjunction with share transactions during the three months ended June 30, 2015.

ProShares Ultra Bloomberg Commodity*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	2,282,908		$	3,316,304
NAV end of period	$	2,477,456		$	4,406,118
Percentage change in NAV		8.5	%		32.9	%
Shares outstanding beginning of period		50,004			37,504
Shares outstanding end of period		49,965			50,004
Percentage change in shares outstanding		(0.1	)%		33.3	%
Shares created		25,000			12,500
Shares redeemed		25,039			—
Per share NAV beginning of period	$	45.65		$	88.43
Per share NAV end of period	$	49.58		$	88.12
Percentage change in per share NAV		8.6	%		(0.4	)%
Percentage change in benchmark		4.7	%		0.1	%
Benchmark annualized volatility		14.0	%		9.6	%

During the three months ended June 30, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index. The increase in the Fund’s NAV was offset by a decrease from 50,004 outstanding Shares at March 31, 2015 to 49,965 outstanding Shares at June 30, 2015. By comparison, during the three months ended June 30, 2014, the increase in the Fund’s NAV resulted from the increase from 37,504 outstanding Shares at March 31, 2014 to 50,004 outstanding Shares at June 30, 2014. 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 2x of the daily performance of the Bloomberg Commodity Index.

For the three months ended June 30, 2015 and 2014, 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 8.6% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 0.4% for the three months ended June 30, 2014, was due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on May 14, 2015 at $52.57 per Share and reached its low for the period on April 9, 2015 at $46.23 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 29, 2014 at $93.80 per Share and reached its low for the period on June 11, 2014 at $85.88 per Share.

171

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(5,763	)	$	(7,738	)
Management fee		5,995			8,125
Net realized gain (loss)		7,451			(160,396	)
Change in net unrealized appreciation/depreciation		225,547			123,032
Net income (loss)	$	227,235		$	(45,102	)

The Fund’s net income increased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a greater rise in the Fund’s benchmark index during the three months ended June 30, 2015.

*	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 Bloomberg Commodity.

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	1,004,631,028		$	102,118,128
NAV end of period	$	995,416,921		$	97,943,693
Percentage change in NAV		(0.9	)%		(4.1	)%
Shares outstanding beginning of period		29,439,834			589,834
Shares outstanding end of period		21,877,867			499,834
Percentage change in shares outstanding		(25.7	)%		(15.3	)%
Shares created		9,430,000			170,000
Shares redeemed		16,991,967			260,000
Per share NAV beginning of period	$	34.12		$	173.13
Per share NAV end of period	$	45.50		$	195.95
Percentage change in per share NAV		33.3	%		13.2	%
Percentage change in benchmark		17.5	%		6.7	%
Benchmark annualized volatility		35.9	%		12.3	%

During the three months ended June 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 29,439,834 outstanding Shares at March 31, 2015 to 21,877,867 outstanding Shares at June 30, 2015. 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 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 589,834 outstanding Shares at March 31, 2014 to 499,834 outstanding Shares at June 30, 2014. 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 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the three months ended June 30, 2015 and 2014, 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 33.3% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV increase of 13.2% for the three months ended June 30, 2014, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

172

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on May 6, 2015 at $50.96 per Share and reached its low for the period on April 2, 2015 at $36.26 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 20, 2014 at $200.70 per Share and reached its low for the period on April 2, 2014 at $166.44 per Share.

The benchmark’s rise of 17.5% for the three months ended June 30, 2015, as compared to the benchmark’s rise of 6.7% for the three months ended June 30, 2014, can be attributed to a greater increase in the price of WTI Crude Oil during the three months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(2,559,682	)	$	(224,621	)
Management fee		2,401,552			228,560
Brokerage commissions		223,457			7,348
Net realized gain (loss)		206,320,847			9,815,672
Change in net unrealized appreciation/depreciation		151,759,601			2,162,771
Net income (loss)	$	355,520,766		$	11,753,822

The Fund’s net income increased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a greater increase in the price of WTI Crude Oil during the three months ended June 30, 2015.

*	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 Bloomberg Crude Oil.

ProShares Ultra Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	61,306,293		$	21,211,850
NAV end of period	$	63,238,942		$	21,163,834
Percentage change in NAV		3.2	%		(0.2	)%
Shares outstanding beginning of period		1,342,485			117,485
Shares outstanding end of period		1,392,170			117,485
Percentage change in shares outstanding		3.7	%		0.0	%
Shares created		475,000			50,000
Shares redeemed		425,315			50,000
Per share NAV beginning of period	$	45.67		$	180.55
Per share NAV end of period	$	45.42		$	180.14
Percentage change in per share NAV		(0.5	)%		(0.2	)%
Percentage change in benchmark		1.8	%		1.0	%
Benchmark annualized volatility		39.3	%		27.8	%

During the three months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 1,342,485 outstanding Shares at March 31, 2015 to 1,392,170 outstanding Shares at June 30, 2015. The increase of 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 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM. By comparison, during the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM. There was no net change in the Fund’s outstanding Shares from March 31, 2014 to June 30, 2014.

173

For the three months ended June 30, 2015 and 2014, 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 0.5% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 0.2% for the three months ended June 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on May 15, 2015 at $55.79 per Share and reached its low for the period on June 5, 2015 at $39.42 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 29, 2014 at $216.24 per Share and reached its low for the period on April 1, 2014 at $172.68 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(222,837	)	$	(51,717	)
Management fee		158,681			44,242
Brokerage commissions		69,898			9,286
Net realized gain (loss)		(3,971,123	)		162,957
Change in net unrealized appreciation/depreciation		6,588,482			440,187
Net income (loss)	$	2,394,522		$	551,427

The Fund’s net income increased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a greater increase in the price of Henry Hub Natural Gas during the three months ended June 30, 2015.

*	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 Bloomberg Natural Gas.

ProShares Ultra Gold^†

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	95,949,460		$	136,370,103
NAV end of period	$	88,848,218		$	135,458,124
Percentage change in NAV		(7.4	)%		(0.7	)%
Shares outstanding beginning of period		2,500,014			2,900,014
Shares outstanding end of period		2,400,014			2,800,014
Percentage change in shares outstanding		(4.0	)%		(3.4	)%
Shares created		—			50,000
Shares redeemed		100,000			150,000
Per share NAV beginning of period	$	38.38		$	47.02
Per share NAV end of period	$	37.02		$	48.38
Percentage change in per share NAV		(3.5	)%		2.9	%
Percentage change in benchmark		(1.4	)%		1.8	%
Benchmark annualized volatility		12.6	%		11.5	%

During the three months ended June 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,500,014 outstanding Shares at March 31, 2015 to 2,400,014 outstanding Shares at June 30, 2015. The decrease in the Fund’s NAV also

174

resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price†. By comparison, during the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 2,900,014 outstanding Shares at March 31, 2014 to 2,800,014 outstanding Shares at June 30, 2014. 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 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London.

For the three months ended June 30, 2015 and 2014, 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 3.5% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV increase of 2.9% for the three months ended June 30, 2014, was primarily due to the depreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on May 14, 2015 at $40.69 per Share and reached its low for the period on June 5, 2015 at $36.70 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 14, 2014 at $49.47 per Share and reached its low for the period on June 3, 2014 at $43.29 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(212,388	)	$	(297,090	)
Management fee		221,273			314,711
Brokerage commissions		9			8
Net realized gain (loss)		(919,884	)		(21,488,343	)
Change in net unrealized appreciation/depreciation		(2,095,018	)		25,256,448
Net income (loss)	$	(3,227,290	)	$	3,471,015

The Fund’s net income decreased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2015.

†

ProShares Ultra Silver^†

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	317,182,857		$	482,485,237
NAV end of period	$	285,991,688		$	501,002,636
Percentage change in NAV		(9.8	)%		3.8	%
Shares outstanding beginning of period		7,646,533			7,396,533
Shares outstanding end of period		7,846,533			7,146,533
Percentage change in shares outstanding		2.6	%		(3.4	)%
Shares created		800,000			400,000
Shares redeemed		600,000			650,000

175


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Per share NAV beginning of period	$	41.48		$	65.23
Per share NAV end of period	$	36.45		$	70.10
Percentage change in per share NAV		(12.1	)%		7.5	%
Percentage change in benchmark		(5.4)	%		4.5	%
Benchmark annualized volatility		20.8	%		19.0	%

During the three months ended June 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the as measured by the London Silver Price^†. The decrease in the Fund’s NAV was offset by an increase from 7,646,533 outstanding Shares at March 31, 2015 to 7,846,533 outstanding Shares at June 30, 2015. By comparison, during the three months ended June 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 7,396,533 outstanding Shares at March 31, 2014 to 7,146,533 outstanding Shares at June 30, 2014.

For the three months ended June 30, 2015 and 2014, 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 12.1% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV increase of 7.5% for the three months ended June 30, 2014, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on May 18, 2015 at $46.64 per Share and reached its low for the period on June 30, 2015 at $36.45 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 24, 2014 at $71.86 per Share and reached its low for the period on June 4, 2014 at $56.91 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(679,148	)	$	(1,047,200	)
Management fee		715,430			1,098,533
Brokerage commissions		19			22
Net realized gain (loss)		1,760,502			(106,237,339	)
Change in net unrealized appreciation/depreciation		(36,485,542	)		145,040,452
Net income (loss)	$	(35,404,188	)	$	37,755,913

The Fund’s net income decreased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a decrease in the price of spot silver in U.S. dollar terms, during the three months ended June 30, 2015.

†	On August 14, 2014, the company that ran the London U.S. dollar silver fixing ceased calculating the price of silver for the LBMA. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, beginning August 15, 2014.

176

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	14,765,776		$	2,603,282
NAV end of period	$	13,272,820		$	2,566,901
Percentage change in NAV		(10.1	)%		(1.4	)%
Shares outstanding beginning of period		950,014			100,014
Shares outstanding end of period		800,014			100,014
Percentage change in shares outstanding		(15.8	)%		0.0	%
Shares created		—			—
Shares redeemed		150,000			—
Per share NAV beginning of period	$	15.54		$	26.03
Per share NAV end of period	$	16.59		$	25.67
Percentage change in per share NAV		6.8	%		(1.4	)%
Percentage change in benchmark		3.7	%		(0.6	)%
Benchmark annualized volatility		12.3	%		3.9	%

During the three months ended June 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 950,014 outstanding Shares at March 31, 2015 to 800,014 outstanding Shares at June 30, 2015. The decrease of the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 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, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in outstanding Shares from March 31, 2014 to June 30, 2014.

For the three months ended June 30, 2015 and 2014, 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 6.8% for the three months ended June 30, 2015, as compared to Fund’s per Share NAV decrease of 1.4% for the three months ended June 30, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on May 15, 2015 at $17.57 per Share and reached its low for the period on April 13, 2015 at $15.04 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on May 6, 2014 at $26.60 per Share and reached its low for the period on June 11, 2014 at $25.06 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(34,217	)	$	(5,779	)
Management fee		35,245			6,106
Net realized gain (loss)		436,961			(40,251	)
Change in net unrealized appreciation/depreciation		645,366			9,649
Net income (loss)	$	1,048,110		$	(36,381	)

177

The Fund’s net income increased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended June 30, 2015.

ProShares Ultra Yen*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
NAV beginning of period	$	5,600,081		$	2,896,143
NAV end of period	$	5,348,899		$	1,997,051
Percentage change in NAV		(4.5	)%		(31.0	)%
Shares outstanding beginning of period		100,004			37,504
Shares outstanding end of period		99,974			25,004
Percentage change in shares outstanding		0.0	%^		(33.3	)%
Shares created		—			—
Shares redeemed		30			12,500
Per share NAV beginning of period	$	56.00		$	77.22
Per share NAV end of period	$	53.50		$	79.87
Percentage change in per share NAV		(4.5	)%		3.4	%
Percentage change in benchmark		(2.0	)%		1.9	%
Benchmark annualized volatility		7.3	%		4.9	%

^	Amount represents less than 0.05%

During the three months ended June 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 100,004 outstanding Shares at March 31, 2015 to 99,974 outstanding Shares at June 30, 2015. 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 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, 2014, the decrease in the Fund’s NAV resulted from a decrease from 37,504 outstanding Shares at March 31, 2014 to 25,004 outstanding Shares at June 30, 2014. 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 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended June 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.5% for the three months ended June 30, 2015, as compared to the Fund’s per Share NAV increase of 3.4% for the three months ended June 30, 2014, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2015.

During the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on April 17, 2015 at $57.03 per Share and reached its low for the period on June 5, 2015 at $50.86 per Share. By comparison, during the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on May 20, 2014 at $80.04 per Share and reached its low for the period on April 3, 2014 at $76.20 per Share.

The benchmark’s decline of 2.0% for the three months ended June 30, 2015, as compared to the benchmark’s rise of 1.9% for the three months ended June 30, 2014, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2015 and 2014:


	Three Months Ended June 30, 2015			Three Months Ended June 30, 2014
Net investment income (loss)	$	(12,481	)	$	(6,068	)
Management fee		12,940			6,454
Net realized gain (loss)		(438,543	)		(11,077	)
Change in net unrealized appreciation/depreciation		201,404			93,703
Net income (loss)	$	(249,620	)	$	76,558

178

The Fund’s net income decreased for the three months ended June 30, 2015, as compared to the three months ended June 30, 2014, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2015.

*	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 Yen.

Results of Operations for the Six Months Ended June 30, 2015 Compared to the Six Months Ended June 30, 2014

ProShares Managed Futures Strategy

Since the Fund commenced investment operations on October 1, 2014, comparisons of the Fund’s results of operations for the six months ended June 30, 2014 have not been provided.

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015:


	Six Months Ended June 30, 2015
NAV beginning of period	$	6,340,845
NAV end of period	$	9,224,129
Percentage change in NAV		45.5	%
Shares outstanding beginning of period		300,010
Shares outstanding end of period		450,010
Percentage change in shares outstanding		50.0	%
Shares created		250,000
Shares redeemed		100,000
Per share NAV beginning of period	$	21.14
Per share NAV end of period	$	20.50
Percentage change in per share NAV		(3.0	)%
Percentage change in benchmark		(2.8	) %
Benchmark annualized volatility		5.5	%

During the six months ended June 30, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 300,010 outstanding Shares at December 31, 2014 to 450,010 outstanding Shares at June 30, 2015. 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 Strategic Futures Index.

For the six months ended June 30, 2015, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on January 29, 2015 at $21.88 per Share and reached its low for the period on June 30, 2015 at $20.50 per Share.

The benchmark’s decline of 2.8% for the six months ended June 30, 2015, can be attributed to a depreciation in value of the futures contracts that make up the S&P Strategic Futures Index during the six months ended June 30, 2015.

179

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015:


	Six Months Ended June 30, 2015

Net investment income (loss)	$	(34,116	)
Management fee		—
Brokerage commission		3,518
Offering costs		32,622
Limitation by Sponsor		(2,024	)
Reduction to Limitation by Sponsor		—
Net realized gain (loss)		(81,705	)
Change in net unrealized appreciation/depreciation		(209,447	)
Net income (loss)	$	(325,268	)

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, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	111,459,325		$	270,398,554
NAV end of period	$	169,655,175		$	98,364,760
Percentage change in NAV		52.2	%		(63.6	)%
Shares outstanding beginning of period		5,324,812			9,474,812
Shares outstanding end of period		12,549,812			5,174,812
Percentage change in shares outstanding		135.7	%		(45.4	)%
Shares created		8,675,000			3,875,000
Shares redeemed		1,450,000			8,175,000
Per share NAV beginning of period	$	20.93		$	28.54
Per share NAV end of period	$	13.52		$	19.01
Percentage change in per share NAV		(35.4	)%		(33.4	)%
Percentage change in benchmark		(35.2	)%		(32.8	)%
Benchmark annualized volatility		59.4	%		49.5	%

During the six months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 5,324,812 outstanding Shares at December 31, 2014 to 12,549,812 outstanding Shares at June 30, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,474,812 outstanding Shares at December 31, 2013 to 5,174,812 outstanding Shares at June 30, 2014. 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 Short-Term Futures Index.

For the six months ended June 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 35.4% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 33.4% for the six months ended June 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $24.15 per Share and reached its low for the period on June, 23, 2015 at $11.26 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $36.25 per Share and reached its low for the period on June 30, 2014 at $19.01 per Share.

The benchmark’s decline of 35.2% for the six months ended June 30, 2015, as compared to the benchmark’s decline of 32.8% for the six months ended June 30, 2014, can be attributed to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the six months ended June 30, 2015.

180

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(606,059	)	$	(579,835	)
Management fee		560,322			614,049
Brokerage commission		66,872			—
Net realized gain (loss)		(60,564,753	)		(25,436,108	)
Change in net unrealized appreciation/depreciation		7,646,337			10,032,087
Net income (loss)	$	(53,524,475	)	$	(15,983,856	)

The Fund’s net income decreased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the six months ended June 30, 2015.

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, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	21,459,575		$	51,134,323
NAV end of period	$	26,777,867		$	40,535,994
Percentage change in NAV		24.8	%		(20.7	)%
Shares outstanding beginning of period		337,404			662,501
Shares outstanding end of period		487,404			656,251
Percentage change in shares outstanding		44.5	%		(0.9	)%
Shares created		300,000			462,500
Shares redeemed		150,000			468,750
Per share NAV beginning of period	$	63.60		$	77.18
Per share NAV end of period	$	54.94		$	61.77
Percentage change in per share NAV		(13.6	)%		(20.0	)%
Percentage change in benchmark		(13.2	)%		(19.5	)%
Benchmark annualized volatility		28.6	%		22.4	%

During the six months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 337,404 outstanding Shares at December 31, 2014 to 487,404 outstanding Shares at June 30, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 662,501 outstanding Shares at December 31, 2013 to 656,251 outstanding Shares at June 30, 2014. 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.

For the six months ended June 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.6% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 20.0% for the six months ended June 30, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on January 28, 2015 at $68.56 per Share and reached its low for the period on June 26, 2015 at $52.16 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $85.56 per Share and reached its low for the period on June 30, 2014 at $61.76 per Share.

181

The benchmark’s decline of 13.2% for the six months ended June 30, 2015, as compared to the benchmark’s decline of 19.5% for the six months ended June 30, 2014, can be attributed to a lesser decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the six months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(121,353	)	$	(207,195	)
Management fee		114,266			217,448
Brokerage commission		11,963			—
Net realized gain (loss)		(2,922,060	)		(12,062,604	)
Change in net unrealized appreciation/depreciation		(561,969	)		1,400,878
Net income (loss)	$	(3,605,382	)	$	(10,868,921	)

The Fund’s net income increased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a lesser decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the six months ended June 30, 2015.

*	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 Share split for the ProShares VIX Mid-Term Futures ETF.

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, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	506,556,124		$	141,751,202
NAV end of period	$	189,250,124		$	181,236,514
Percentage change in NAV		(62.6	)%		27.9	%
Shares outstanding beginning of period		8,250,040			2,100,040
Shares outstanding end of period		2,400,040			2,050,040
Percentage change in shares outstanding		(70.9	)%		(2.4	)%
Shares created		4,550,000			3,950,000
Shares redeemed		10,400,000			4,000,000
Per share NAV beginning of period	$	61.40		$	67.50
Per share NAV end of period	$	78.85		$	88.41
Percentage change in per share NAV		28.4	%		31.0	%
Percentage change in benchmark		(35.2)	%		(32.8	)%
Benchmark annualized volatility		59.4	%		49.5	%

During the six months ended June 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 8,250,040 outstanding Shares at December 31, 2014 to 2,400,040 outstanding Shares at June 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the six months ended June 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse 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 2,100,040 outstanding Shares at December 31, 2013 to 2,050,040 outstanding Shares at June 30, 2014.

For the six months ended June 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 28.4% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV increase of 31.0% for the six months ended June 30, 2014, was primarily due to a lesser appreciation in the value of the assets of the fund during the six months ended June 30, 2015.

182

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on June 23, 2015 at $97.71 per Share and reached its low for the period on January 30, 2015 at $50.15 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 30, 2014 at $88.41 per Share and reached its low for the period on February 5, 2014 at $50.78 per Share.

The benchmark’s decline of 35.2% for the six months ended June 30, 2015, as compared to the benchmark’s decline of 32.8% for the six months ended June 30, 2014, can be attributed to a greater decline in the prices of the near-term futures contracts on the VIX Futures curve during the six months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(2,332,580	)	$	(1,511,150	)
Management fee		1,583,663			990,622
Brokerage commission		793,570			564,757
Net realized gain (loss)		109,879,032			76,278,010
Change in net unrealized appreciation/depreciation		(228,801	)		799,651
Net income (loss)	$	107,317,651		$	75,566,511

The Fund’s net income increased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the six months ended June 30, 2015.

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, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	351,789,953		$	226,233,584
NAV end of period	$	431,922,188		$	295,261,247
Percentage change in NAV		22.8	%		30.5	%
Shares outstanding beginning of period		2,804,020			674,478
Shares outstanding end of period		9,702,448			2,224,020
Percentage change in shares outstanding		246.0	%		229.7	%
Shares created		23,480,000			2,865,000
Shares redeemed		16,581,572			1,315,458
Per share NAV beginning of period	$	125.46		$	335.42
Per share NAV end of period	$	44.52		$	132.76
Percentage change in per share NAV		(64.5	)%		(60.4	)%
Percentage change in benchmark		(35.2)	%		(32.8	)%
Benchmark annualized volatility		59.4	%		49.3	%

During the six months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 2,804,020 outstanding Shares at December 31, 2014 to 9,702,448 outstanding Shares at June 30, 2015. 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 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the six months ended June 30, 2014, the increase in the Fund’s NAV resulted from an increase from 674,478 outstanding Shares at December 31, 2013 to 2,224,020 outstanding Shares at June 30, 2014. 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 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.

183

For the six months ended June 30, 2015 and 2014, 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 64.5% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 60.4% for the six months ended June 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $164.28 per Share and reached its low for the period on June 23, 2015 at $31.60 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $522.60 per Share and reached its low for the period on June 30, 2014 at $132.75 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(4,052,724	)	$	(2,503,175	)
Management fee		2,398,700			1,375,179
Brokerage commission		1,718,518			1,169,928
Net realized gain (loss)		(536,866,585	)		(250,709,223	)
Change in net unrealized appreciation/depreciation		48,928,208			(16,527,391	)
Net income (loss)	$	(491,991,101	)	$	(269,739,789	)

*	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 the ProShares Ultra VIX Short-Term Futures ETF.

ProShares UltraShort Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	5,264,706		$	3,797,427
NAV end of period	$	5,216,200		$	3,254,416
Percentage change in NAV		(0.9	)%		(14.3	)%
Shares outstanding beginning of period		59,997			59,997
Shares outstanding end of period		59,997			59,997
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	87.75		$	63.29
Per share NAV end of period	$	86.94		$	54.24
Percentage change in per share NAV		(0.9	)%		(14.3	)%
Percentage change in benchmark		(1.6	)%		7.1	%
Benchmark annualized volatility		15.1	%		8.4	%

184

During the six months ended June 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2014 to June 30, 2015. By comparison, during the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2013 to June 30, 2014.

For the six months ended June 30, 2015 and 2014, 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 0.9% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 14.3% for the six months ended June 30, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on March 17, 2015 at $99.65 per Share and reached its low for the period on May 14, 2015 at $83.15 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $66.81 per Share and reached its low for the period on April 29, 2014 at $51.38 per Share.

The benchmark’s decline of 1.6% for the six months ended June 30, 2015, as compared to the benchmark’s rise of 7.1% for the six months ended June 30, 2014, can be attributed to depreciation of the underlying components of the index during the six months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(24,591	)	$	(15,258	)
Management fee		25,587			15,910
Net realized gain (loss)		781,034			(505,634	)
Change in net unrealized appreciation/depreciation		(804,949	)		(22,119	)
Net income (loss)	$	(48,506	)	$	(543,011	)

The Fund’s net income increased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a decline in the Fund’s benchmark index during the six months ended June 30, 2015.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	169,210,110		$	256,060,149
NAV end of period	$	180,092,283		$	362,599,585
Percentage change in NAV		6.4	%		41.6	%
Shares outstanding beginning of period		2,169,944			8,069,944
Shares outstanding end of period		3,169,944			14,719,944
Percentage change in shares outstanding		46.1	%		82.4	%
Shares created		9,150,000			14,600,000

185


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
Shares redeemed		8,150,000			7,950,000
Per share NAV beginning of period	$	77.98		$	31.73
Per share NAV end of period	$	56.81		$	24.63
Percentage change in per share NAV		(27.1	)%		(22.4	)%
Percentage change in benchmark		0.04	%		11.4	%
Benchmark annualized volatility		45.9	%		14.6	%

During the six months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 2,169,944 outstanding Shares at December 31, 2014 to 3,169,944 outstanding Shares at June 30, 2015. 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 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the six months ended June 30, 2014, the increase in the Fund’s NAV resulted from an increase from 8,069,944 outstanding Shares at December 31, 2013 to 14,719,944 outstanding Shares at June 30, 2014. 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 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the six months ended June 30, 2015 and 2014, 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 27.1% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 22.4% for the six months ended June 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on January 28, 2015 at $106.79 per Share and reached its low for the period on June 10, 2015 at $52.91 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $36.34 per Share and reached its low for the period on June 20, 2014 at $24.07 per Share.

The benchmark’s rise of 0.04% for the six months ended June 30, 2015, as compared to the rise of 11.4% for the six months ended June 30, 2014, can be attributed to a lesser increase in the price of WTI Crude Oil during the six months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
Net investment income (loss)	$	(1,360,250	)	$	(1,428,630	)
Management fee		1,271,602			1,465,256
Brokerage commission		125,143			39,662
Net realized gain (loss)		(39,039,866	)		(43,834,692	)
Change in net unrealized appreciation/depreciation		(45,043,864	)		(17,716,756	)
Net income (loss)	$	(85,443,980	)	$	(62,980,078	)

The Fund’s net income decreased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to an increase in the price of WTI Crude Oil in conjunction with changes in shares outstanding during the six months ended June 30, 2015.

186

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	14,688,564		$	22,734,767
NAV end of period	$	13,085,851		$	49,682,009
Percentage change in NAV		(10.9	)%		118.5	%
Shares outstanding beginning of period		174,952			324,952
Shares outstanding end of period		174,952			1,224,952
Percentage change in shares outstanding		0.0	%		277.0	%
Shares created		300,000			2,400,000
Shares redeemed		300,000			1,500,000
Per share NAV beginning of period	$	83.96		$	69.96
Per share NAV end of period	$	74.80		$	40.56
Percentage change in per share NAV		(10.9	)%		(42.0	)%
Percentage change in benchmark		(9.4	)%		13.1	%
Benchmark annualized volatility		45.3	%		44.1	%

During the six months ended June 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM. There was no net change in the Fund’s outstanding Shares from December 31, 2014 to June 30, 2015. By comparison, during the six months ended June 30, 2014, the increase in the Fund’s NAV resulted from an increase from 324,952 outstanding Shares at December 31, 2013 to 1,224,952 outstanding Shares at June 30, 2014. 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 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the six months ended June 30, 2015 and 2014, 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 10.9% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 42.0% for the six months ended June 30, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on April 27, 2015 at $97.17 per Share and reached its low for the period on January 14, 2015 at $64.60 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $76.82 per Share and reached its low for the period on June 12, 2014 at $35.78 per Share.

The benchmark’s decline of 9.4% for the six months ended June 30, 2015, as compared to the benchmark’s rise of 13.1% for the six months ended June 30, 2014, can be attributed to a decrease in the price of Henry Hub Natural Gas during the six months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(89,649	)	$	(327,867	)
Management fee		57,687			279,055
Brokerage commission		33,542			61,752
Net realized gain (loss)		5,102,230			(11,181,106	)
Change in net unrealized appreciation/depreciation		(3,914,520	)		1,425,007
Net income (loss)	$	1,098,061		$	(10,083,966	)

The Fund’s net income increased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a decrease in the price of Henry Hub Natural Gas during the six months ended June 30, 2015.

187

ProShares UltraShort Gold^†

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	81,861,762		$	139,436,456
NAV end of period	$	73,951,674		$	83,742,981
Percentage change in NAV		(9.7	)%		(39.9	)%
Shares outstanding beginning of period		846,978			1,346,978
Shares outstanding end of period		746,978			996,978
Percentage change in shares outstanding		(11.8	)%		(26.0	)%
Shares created		100,000			400,000
Shares redeemed		200,000			750,000
Per share NAV beginning of period	$	96.65		$	103.52
Per share NAV end of period	$	99.00		$	84.00
Percentage change in per share NAV		2.4	%		(18.9	)%
Percentage change in benchmark		(2.9	)%		9.2	%
Benchmark annualized volatility		13.6	%		13.2	%

During the six months ended June 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 846,978 outstanding Shares at December 31, 2014 to 746,978 outstanding Shares at June 30, 2015. 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 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price^†. By comparison, during the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,346,978 outstanding Shares at December 31, 2013 to 996,978 outstanding Shares at June 30, 2014. 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 2x of the inverse of the daily performance of gold bullion.

For the six months ended June 30, 2015 and 2014, 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 2.4% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 18.9% for the six months ended June 30, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on March 18, 2015 at $104.99 per Share and reached its low for the period on January 22, 2015 at $83.07 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 8, 2014 at $100.49 per Share and reached its low for the period on March 14, 2014 at $77.10 per Share.

The benchmark’s decline of 2.9% for the six months ended June 30, 2015, as compared to the benchmark’s rise of 9.2% for the six months ended June 30, 2014, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the six months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(353,130	)	$	(469,062	)
Management fee		367,896			496,983
Brokerage commission		25			24
Net realized gain (loss)		1,392,577			(8,272,081	)
Change in net unrealized appreciation/depreciation		2,300,811			(16,233,578	)
Net income (loss)	$	3,340,258		$	(24,974,721	)

188

The Fund’s net income increased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the six months ended June 30, 2015.

†

ProShares UltraShort Silver^†

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	53,007,867		$	112,989,686
NAV end of period	$	61,116,236		$	52,190,256
Percentage change in NAV		15.3	%		(53.8	)%
Shares outstanding beginning of period		458,489			1,258,489
Shares outstanding end of period		558,489			708,489
Percentage change in shares outstanding		21.8	%		(43.7	)%
Shares created		500,000			700,000
Shares redeemed		400,000			1,250,000
Per share NAV beginning of period	$	115.61		$	89.78
Per share NAV end of period	$	109.43		$	73.66
Percentage change in per share NAV		(5.3	)%		(18.0	)%
Percentage change in benchmark		(1.7	)%		7.0	%
Benchmark annualized volatility		24.4	%		20.1	%

During the six months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 458,489 outstanding Shares at December 31, 2014 to 558,489 outstanding Shares at June 30, 2015. 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 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price^†. By comparison, during the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,258,489 outstanding Shares at December 31, 2013 to 708,489 outstanding Shares at June 30, 2014. 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 2x of the inverse of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London.

For the six months ended June 30, 2015 and 2014, 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 5.3% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 18.0% for the six months ended June 30, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on January 2, 2015 at $119.37 per Share and reached its low for the period on January 23, 2015 at $86.79 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 4, 2014 at $91.95 per Share and reached its low for the period on February 24, 2014 at $68.80 per Share.

The benchmark’s decline of 1.7% for the six months ended June 30, 2015, as compared to the benchmark’s rise of 7.0% for the six months ended June 30, 2014, can be attributed to a decrease in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2015.

189

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(248,899	)	$	(324,337	)
Management fee		259,052			345,108
Brokerage commission		25			24
Net realized gain (loss)		(1,930,217	)		(157,279	)
Change in net unrealized appreciation/depreciation		1,959,809			(8,368,370	)
Net income (loss)	$	(219,307	)	$	(8,849,986	)

The Fund’s net income increased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a decrease in the price of spot silver in U.S. dollar terms in conjunction with changes in shares outstanding during the six months ended June 30, 2015.

^†	On August 14, 2014, the company that ran the London U.S. dollar silver fixing ceased calculating the price of silver for the LBMA. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, beginning August 15, 2014.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	14,021,804		$	8,896,842
NAV end of period	$	19,360,122		$	14,245,423
Percentage change in NAV		38.1	%		60.1	%
Shares outstanding beginning of period		350,005			250,005
Shares outstanding end of period		450,005			400,005
Percentage change in shares outstanding		28.6	%		60.0	%
Shares created		100,000			200,000
Shares redeemed		—			50,000
Per share NAV beginning of period	$	40.06		$	35.59
Per share NAV end of period	$	43.02		$	35.61
Percentage change in per share NAV		7.4	%		0.1	%
Percentage change in benchmark		(7.9	)%		(0.5	)%
Benchmark annualized volatility		13.1	%		5.0	%

During the six months ended June 30, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 350,005 outstanding Shares at December 31, 2014 to 450,005 outstanding Shares at June 30, 2015. 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 the inverse 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, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 250,005 outstanding Shares at December 31, 2013 to 400,005 outstanding Shares at June 30, 2014. 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 the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the six months ended June 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.4% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV increase of 0.1% for the six months ended June 30, 2014, was primarily due to a greater appreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

190

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on March 13, 2015 at $46.07 per Share and reached its low for the period on January 2, 2015 at $40.37 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 31, 2014 at $36.34 per Share and reached its low for the period on May 6, 2014 at $35.07 per Share.

The benchmark’s decline of 7.9% for the six months ended June 30, 2015, as compared to the benchmark’s decline of 0.5% for the six months ended June 30, 2014, can be attributed to a decline in the value of the euro versus the U.S. dollar during the six months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(84,242	)	$	(43,854	)
Management fee		85,186			45,561
Brokerage commission		1,719			698
Net realized gain (loss)		1,150,762			158,792
Change in net unrealized appreciation/depreciation		(147,033	)		(78,252	)
Net income (loss)	$	919,487		$	36,686

The Fund’s net income increased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a greater decline in the value of the euro versus the U.S. dollar during the six months ended June 30, 2015.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	23,120,790		$	27,983,279
NAV end of period	$	19,093,705		$	20,127,301
Percentage change in NAV		(17.4	)%		(28.1	)%
Shares outstanding beginning of period		450,005			600,005
Shares outstanding end of period		350,005			500,005
Percentage change in shares outstanding		(22.2	)%		(16.7	)%
Shares created		50,000			—
Shares redeemed		150,000			100,000
Per share NAV beginning of period	$	51.38		$	46.64
Per share NAV end of period	$	54.55		$	40.25
Percentage change in per share NAV		6.2	%		(13.7	)%
Percentage change in benchmark		(5.5	)%		5.6	%
Benchmark annualized volatility		12.7	%		7.9	%

During the six months ended June 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 450,005 outstanding Shares at December 31, 2014 to 350,005 outstanding Shares at June 30, 2015. 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 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 600,005 outstanding Shares at December 31, 2013 to 500,005 outstanding Shares at June 30, 2014. 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 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

191

For the six months ended June 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.2% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 13.7% for the six months ended June 30, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on March 11, 2015 at $58.71 per Share and reached its low for the period on May 13, 2015 at $50.07 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 24, 2014 at $48.83 per Share and reached its low for the period on June 30, 2014 at $40.25 per Share.

The benchmark’s decline of 5.5% for the six months ended June 30, 2015, as compared to the benchmark’s rise of 5.6% for the six months ended June 30, 2014, can be attributed to a decline in the value of the Australian dollar versus the U.S. dollar during the six months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
Net investment income (loss)	$	(103,726	)	$	(108,740	)
Management fee		97,982			108,365
Brokerage commission		7,600			6,366
Net realized gain (loss)		2,533,994			(1,925,051	)
Change in net unrealized appreciation/depreciation		(840,845	)		(1,281,924	)
Net income (loss)	$	1,589,423		$	(3,315,715	)

The Fund’s net income increased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a decline in the value of the Australian dollar versus the U.S. dollar during the six months ended June 30, 2015.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	517,191,349		$	418,001,115
NAV end of period	$	629,617,014		$	440,156,895
Percentage change in NAV		21.7	%		5.3	%
Shares outstanding beginning of period		23,950,014			24,500,014
Shares outstanding end of period		25,450,014			25,800,014
Percentage change in shares outstanding		6.3	%		5.3	%
Shares created		11,900,000			2,250,000
Shares redeemed		10,400,000			950,000
Per share NAV beginning of period	$	21.59		$	17.06
Per share NAV end of period	$	24.74		$	17.06
Percentage change in per share NAV		14.6	%		0.0	%
Percentage change in benchmark		(7.9	)%		(0.5	)%
Benchmark annualized volatility		13.1	%		5.0	%

During the six months ended June 30, 2015, 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 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV also resulted in part from an increase from 23,950,014 outstanding Shares at December 31, 2014 to 25,450,014 outstanding Shares at June 30, 2015. By comparison, during the six months ended June 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 24,500,014 outstanding Shares at December 31, 2013 to 25,800,014 outstanding Shares at June 30, 2014. 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 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

192

For the six months ended June 30, 2015 and 2014, 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 14.6% for the six months ended June 30, 2015, as compared to no net change in the Fund’s per Share NAV from December 31, 2013 to June 30, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on March 13, 2015 at $28.50 per Share and reached its low for the period on January 2, 2015 at $21.94 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 31, 2014 at $17.71 per Share and reached its low for the period on May 6, 2014 at $16.52 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(2,485,776	)	$	(1,849,767	)
Management fee		2,607,869			1,978,418
Net realized gain (loss)		77,957,654			(6,292,600	)
Change in net unrealized appreciation/depreciation		(12,294,739	)		8,146,372
Net income (loss)	$	63,177,139		$	4,005

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	531,471,873		$	588,121,516
NAV end of period	$	405,516,052		$	353,617,215
Percentage change in NAV		(23.7	)%		(39.9	)%
Shares outstanding beginning of period		5,949,294			8,299,294
Shares outstanding end of period		4,399,294			5,449,294
Percentage change in shares outstanding		(26.1	)%		(34.3	)%
Shares created		1,050,000			450,000
Shares redeemed		2,600,000			3,300,000
Per share NAV beginning of period	$	89.33		$	70.86
Per share NAV end of period	$	92.18		$	64.89
Percentage change in per share NAV		3.2	%		(8.4	)%
Percentage change in benchmark		(2.1	)%		3.9	%
Benchmark annualized volatility		8.0	%		6.7	%

During the six months ended June 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 5,949,294 outstanding Shares at December 31, 2014 to 4,399,294 outstanding Shares at June 30, 2015. 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 2x of the inverse 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,

193

2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,299,294 outstanding Shares at December 31, 2013 to 5,449,294 outstanding Shares at June 30, 2014. 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 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the six months ended June 30, 2015 and 2014, 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 3.2% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV decrease of 8.4% for the six months ended June 30, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on June 5, 2015 at $97.30 per Share and reached its low for the period on January 15, 2015 at $84.11 per Share. By comparison, during the six months ended June 30, 2014 and 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2014 at $70.17 per Share and reached its low for the period on June 30, 2014 at $64.89 per Share.

The benchmark’s decline of 2.1% for the six months ended June 30, 2015, as compared to the benchmark’s rise of 3.9% for the six months ended June 30, 2014, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(2,089,930	)	$	(1,770,703	)
Management fee		2,174,897			1,905,712
Net realized gain (loss)		25,538,696			177,423
Change in net unrealized appreciation/depreciation		(12,641,262	)		(39,074,311	)
Net income (loss)	$	10,807,504		$	(40,667,591	)

The Fund’s net income increased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar in conjunction with share transactions during the six months ended June 30, 2015.

ProShares Ultra Bloomberg Commodity*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	2,606,920		$	2,915,034
NAV end of period	$	2,477,456		$	4,406,118
Percentage change in NAV		(5.0	)%		51.2	%
Shares outstanding beginning of period		50,004			37,504
Shares outstanding end of period		49,965			50,004
Percentage change in shares outstanding		(0.1	)%		33.3	%
Shares created		25,000			12,500
Shares redeemed		25,039			—
Per share NAV beginning of period	$	52.13		$	77.73
Per share NAV end of period	$	49.58		$	88.12
Percentage change in per share NAV		(4.9	)%		13.4	%
Percentage change in benchmark		(1.6	)%		7.1	%
Benchmark annualized volatility		15.1	%		8.4	%

194

During the six months ended June 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 50,004 outstanding Shares at December 31, 2014 to 49,965 outstanding Shares at June 30, 2015. 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 2x of the daily performance of the Bloomberg Commodity Index. By comparison, during the six months ended June 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 37,504 outstanding Shares at December 31, 2013 to 50,004 outstanding Shares at June 30, 2014. 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 2x of the daily performance of the Bloomberg Commodity Index.

For the six months ended June 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.9% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV increase of 13.4% for the six months ended June 30, 2014, was due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on May 14, 2015 at $52.57 per Share and reached its low for the period on March 17, 2015 at $44.65 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 29, 2014 at $93.80 per Share and reached its low for the period on January 9, 2014 at $73.52 per Share.

The benchmark’s decline of 1.6% for the six months ended June 30, 2015, as compared to the benchmark’s rise of 7.1% for the six months ended June 30, 2014, can be attributed to a depreciation of the underlying components of the index during the six months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(11,282	)	$	(14,695	)
Management fee		11,768			15,414
Net realized gain (loss)		(512,994	)		376,946
Change in net unrealized appreciation/depreciation		427,499			(6,083	)
Net income (loss)	$	(96,777	)	$	356,168

The Fund’s net income decreased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a decline in the Fund’s benchmark index during the six months ended June 30, 2015.

*	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 Bloomberg Commodity.

195

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	450,562,988		$	142,773,429
NAV end of period	$	995,416,921		$	97,943,693
Percentage change in NAV		120.9	%		(31.4	)%
Shares outstanding beginning of period		8,879,834			889,834
Shares outstanding end of period		21,877,867			499,834
Percentage change in shares outstanding		146.4	%		(43.8	)%
Shares created		36,680,000			1,040,000
Shares redeemed		23,681,967			1,430,000
Per share NAV beginning of period	$	50.74		$	160.45
Per share NAV end of period	$	45.50		$	195,95
Percentage change in per share NAV		(10.3	)%		22.1	%
Percentage change in benchmark		0.04	%		11.4	%
Benchmark annualized volatility		45.9	%		14.6	%

During the six months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 8,879,834 outstanding Shares at December 31, 2014 to 21,877,867 outstanding Shares at June 30, 2015. 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 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 889,834 outstanding Shares at December 31, 2013 to 499,834 outstanding Shares at June 30, 2014. 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 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the six months ended June 30, 2015 and 2014, 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 10.3% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV increase of 22.1% for the six months ended June 30, 2014, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on May 6, 2015 at $50.96 per Share and reached its low for the period on March 17, 2015 at $31.04 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 20, 2014 at $200.70 per Share and reached its low for the period on January 9, 2014 at $139.25 per Share.

The benchmark’s rise of 0.04% for the six months ended June 30, 2015, as compared to the benchmark’s rise of 11.4% for the six months ended June 30, 2014, can be attributed to a lesser increase in the price of WTI Crude Oil during the six months ended June 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(4,404,394	)	$	(558,013	)
Management fee		4,245,253			574,502
Brokerage commission		300,710			16,499
Net realized gain (loss)		32,681,924			31,015,727
Change in net unrealized appreciation/depreciation		132,078,953			2,638,918
Net income (loss)	$	160,356,483		$	33,096,632

The Fund’s net income increased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to an increase in the price of WTI Crude Oil and a significant increase in shares outstanding during the six months ended June 30, 2015.

*	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 Bloomberg Crude Oil.

196

ProShares Ultra Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	70,433,207		$	62,915,779
NAV end of period	$	63,238,942		$	21,163,834
Percentage change in NAV		(10.2	)%		(66.4	)%
Shares outstanding beginning of period		1,142,485			404,985
Shares outstanding end of period		1,392,170			117,485
Percentage change in shares outstanding		21.9	%		(71.0	)%
Shares created		987,500			100,000
Shares redeemed		737,815			387,500
Per share NAV beginning of period	$	61.65		$	155.35
Per share NAV end of period	$	45.42		$	180.14
Percentage change in per share NAV		(26.3	)%		16.0	%
Percentage change in benchmark		(9.4	)%		13.1	%
Benchmark annualized volatility		45.3	%		44.3	%

During the six months ended June 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 1,142,485 outstanding Shares at December 31, 2014 to 1,392,170 outstanding Shares at June 30, 2015. By comparison, during the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 404,985 outstanding Shares at December 31, 2013 to 117,485 outstanding Shares at June 30, 2014. 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 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the six months ended June 30, 2015 and 2014, 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, 2015, as compared to the Fund’s per Share NAV increase of 16.0% for the six months ended June 30, 2014, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on January 14, 2015 at $74.33 per Share and reached its low for the period on June 5, 2015 at $39.42 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 29, 2014 at $255.12 per Share and reached its low for the period on January 9, 2014 at $139.60 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(429,721	)	$	(169,279	)
Management fee		331,489			150,086
Brokerage commission		109,616			27,277
Net realized gain (loss)		(49,803,632	)		16,969,039
Change in net unrealized appreciation/depreciation		34,039,451			2,242,913
Net income (loss)	$	(16,193,902	)	$	19,042,673

197

The Fund’s net income decreased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a decrease in the price of Henry Hub Natural Gas during the six months ended June 30, 2015.

*	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 Bloomberg Natural Gas.

ProShares Ultra Gold^†

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	102,003,345		$	132,017,405
NAV end of period	$	88,848,218		$	135,458,124
Percentage change in NAV		(12.9	)%		2.6	%
Shares outstanding beginning of period		2,550,014			3,200,014
Shares outstanding end of period		2,400,014			2,800,014
Percentage change in shares outstanding		(5.9	)%		(12.5	)%
Shares created		50,000			150,000
Shares redeemed		200,000			550,000
Per share NAV beginning of period	$	40.00		$	41.26
Per share NAV end of period	$	37.02		$	48.38
Percentage change in per share NAV		(7.5	)%		17.3	%
Percentage change in benchmark		(2.9	)%		9.2	%
Benchmark annualized volatility		13.6	%		13.2	%

During the six months ended June 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,014 outstanding Shares at December 31, 2014 to 2,400,014 outstanding Shares at June 30, 2015. 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 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price^†. By comparison, during the six months ended June 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 3,200,014 outstanding Shares at December 31, 2013 to 2,800,014 outstanding Shares at June 30, 2014.

For the six months ended June 30, 2015 and 2014, 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 7.5% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV increase of 17.3% for the six months ended June 30, 2014, was primarily due to depreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on January 22, 2015 at $46.03 per Share and reached its low for the period on March 18, 2015 at $35.90 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on March 14, 2014 at $54.16 per Share and reached its low for the period on January 8, 2014 at $42.35 per Share.

198

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(440,131	)	$	(614,629	)
Management fee		461,738			646,062
Brokerage commission		25			24
Net realized gain (loss)		(3,905,732	)		1,945,207
Change in net unrealized appreciation/depreciation		(2,483,391	)		20,066,415
Net income (loss)	$	(6,829,254	)	$	21,396,993

The Fund’s net income decreased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the six months ended June 30, 2015.

†

ProShares Ultra Silver^†

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	291,169,743		$	465,479,519
NAV end of period	$	285,991,688		$	501,002,636
Percentage change in NAV		(1.8	)%		7.6	%
Shares outstanding beginning of period		7,396,533			7,350,007
Shares outstanding end of period		7,846,533			7,146,533
Percentage change in shares outstanding		6.1	%		(2.8	)%
Shares created		1,500,000			1,187,500
Shares redeemed		1,050,000			1,390,974
Per share NAV beginning of period	$	39.37		$	63.33
Per share NAV end of period	$	36.45		$	70.10
Percentage change in per share NAV		(7.4	)%		10.7	%
Percentage change in benchmark		(1.7	)%		7.0	%
Benchmark annualized volatility		24.4	%		20.1	%

During the six months ended June 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the as measured by the London Silver Price^†. The decrease in the Fund’s NAV was offset by an increase from 7,396,533 outstanding Shares at December 31, 2014 to 7,846,533 outstanding Shares at June 30, 2015. By comparison, during the six months ended June 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 7,350,007 outstanding Shares at December 31, 2013 to 7,146,533 outstanding Shares at June 30, 2014.

For the six months ended June 30, 2015 and 2014, 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 7.4% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV increase of 10.7% for the six months ended June 30, 2014, was primarily due to depreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on January 23, 2015 at $50.86 per Share and reached its low for the period on March 18, 2015 at $36.18 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on February 24, 2014 at $80.11 per Share and reached its low for the period on June 4, 2014 at $56.91 per Share.

199

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(1,378,987	)	$	(2,172,510	)
Management fee		1,453,507			2,286,437
Brokerage commission		27			30
Net realized gain (loss)		(16,003,848	)		(32,278,698	)
Change in net unrealized appreciation/depreciation		(1,470,407	)		89,399,913
Net income (loss)	$	(18,853,242	)	$	54,948,705

The Fund’s net income decreased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a decrease in the price of spot silver in U.S. dollar terms, in conjunction with a significantly lower NAV during the six months ended June 30, 2015.

†	On August 14, 2014, the company that ran the London U.S. dollar silver fixing ceased calculating the price of silver for the LBMA. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, beginning August 15, 2014.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	2,981,441		$	2,603,827
NAV end of period	$	13,272,820		$	2,566,901
Percentage change in NAV		345.2	%		(1.4	)%
Shares outstanding beginning of period		150,014			100,014
Shares outstanding end of period		800,014			100,014
Percentage change in shares outstanding		433.3	%		0.0	%
Shares created		800,000			—
Shares redeemed		150,000			—
Per share NAV beginning of period	$	19.87		$	26.03
Per share NAV end of period	$	16.59		$	25.67
Percentage change in per share NAV		(16.5	)%		(1.4	)%
Percentage change in benchmark		(7.9	)%		(0.5	)%
Benchmark annualized volatility		13.1	%		5.0	%

During the six months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 150,014 outstanding Shares at December 31, 2014 to 800,014 outstanding Shares at June 30, 2015. The increase of the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 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, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in outstanding Shares from December 31, 2013 to June 30, 2014.

200

For the six months ended June 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.5% for the six months ended June 30, 2015, as compared to Fund’s per Share NAV decrease of 1.4% for the six months ended June 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on January 2, 2015 at $19.55 per Share and reached its low for the period on March 13, 2015 at $14.80 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on March 18, 2014 at $26.63 per Share and reached its low for the period on January 31, 2014 at $24.99 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(49,915	)	$	(11,443	)
Management fee		51,477			12,148
Net realized gain (loss)		(628,241	)		44,885
Change in net unrealized appreciation/depreciation		(29,969	)		(70,368	)
Net income (loss)	$	(708,125	)	$	(36,926	)

The Fund’s net income decreased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a greater decline in the value of the euro versus the U.S. dollar during the six months ended June 30, 2015.

ProShares Ultra Yen*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014
NAV beginning of period	$	2,118,028		$	2,795,026
NAV end of period	$	5,348,899		$	1,997,051
Percentage change in NAV		152.5	%		(28.5	)%
Shares outstanding beginning of period		37,504			37,504
Shares outstanding end of period		99,974			25,004
Percentage change in shares outstanding		166.6	%		(33.3	)%
Shares created		75,000			—
Shares redeemed		12,530			12,500
Per share NAV beginning of period	$	56.48		$	74.53
Per share NAV end of period	$	53.50		$	79.87
Percentage change in per share NAV		(5.3	)%		7.2	%
Percentage change in benchmark		(2.1	)%		3.9	%
Benchmark annualized volatility		8.0	%		6.7	%

201

During the six months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 37,504 outstanding Shares at December 31, 2014 to 99,974 outstanding Shares at June 30, 2015. 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 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, 2014, the decrease in the Fund’s NAV resulted from a decrease from 37,504 outstanding Shares at December 31, 2013 to 25,004 outstanding Shares at June 30, 2014. 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 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the six months ended June 30, 2015 and 2014, 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 5.3% for the six months ended June 30, 2015, as compared to the Fund’s per Share NAV increase of 7.2% for the six months ended June 30, 2014, was primarily due to depreciation in the value of the assets of the Fund during the six months ended June 30, 2015.

During the six months ended June 30, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $59.83 per Share and reached its low for the period on June 5, 2015 at $50.86 per Share. By comparison, during the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on February 3, 2014 at $80.84 per Share and reached its low for the period on January 9, 2014 at $75.20 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2015 and 2014:


	Six Months Ended June 30, 2015			Six Months Ended June 30, 2014

Net investment income (loss)	$	(21,571	)	$	(12,488	)
Management fee		22,321			13,309
Net realized gain (loss)		(519,169	)		(21,518	)
Change in net unrealized appreciation/depreciation		175,277			211,681
Net income (loss)	$	(365,463	)	$	177,675

The Fund’s net income decreased for the six months ended June 30, 2015, as compared to the six months ended June 30, 2014, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2015.

*	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 Yen.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Since the ProShares Managed Futures Strategy commenced investment operations on October 1, 2014, comparisons of positions in certain Financial Instruments held by ProShares Managed Futures Strategy as of June 30, 2014 have not been provided.

202

Commodity Price Sensitivity and Exchange Rate Sensitivity

The Managed Futures Fund is exposed to commodity price risk through its holdings of commodity futures contracts and exchange rate risk through its holdings of currency and U.S. Treasury futures contracts. The following table provides information about the Managed Futures Fund’s Financial Instruments, which were sensitive to both commodity price and exchange rate risk. As of June 30, 2015, the Managed Futures Fund’s positions were as follows:

ProShares Managed Futures Strategy:

As of June 30, 2015, the Managed Futures Fund was exposed to commodity price and exchange rate risk through its holdings of Financial Instruments linked to the S&P Strategic Futures Index. The following table provides information about the Fund’s commodity and currency futures contracts as of June 30, 2015, which were sensitive to commodity price risk and exchange rate price risk.

Futures Positions as of June 30, 2015


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
RBOB Gasoline Futures (NYMEX)	Long	August 2015		2	$	2.05		42,000	$	172,150
British Pound Fx Currency Futures (CME)	Long	September 2015		6		157.25		625		589,688
Cocoa Futures (ICE)	Long	September 2015		15		3,269.00		10		490,350
Copper Futures (COMEX)	Long	September 2015		4		2.62		25,000		261,500
Copper Mini Futures (COMEX)	Long	September 2015		2		2.61		12,500		65,350
Swiss Franc Fx Currency Futures (CME)	Long	September 2015		2		107.22		1,250		268,050
Live Cattle Futures (CME)	Long	October 2015		7		1.51		40,000		421,960
WTI Crude Oil Futures (NYMEX)	Long	December 2015		2		6.08		1,000		121,560
NY Harbor ULSD Futures (NYMEX)	Long	December 2015		2		1.96		42,000		164,447
Gold 100 OZ Futures (COMEX)	Short	August 2015		2		1,171.80		100		234,360
Gold Mini Futures (ICE)	Short	August 2015		2		1,171.80		32.15		75,347
Lean Hogs Futures (CME)	Short	August 2015		11		0.74		40,000		327,250
Natural Gas Futures (NYMEX)	Short	August 2015		8		2.83		10,000		226,560
Australian Dollar Fx Currency Futures (CME)	Short	September 2015		6		76.85		1,000		461,100
Canadian Dollar Fx Currency Futures (CME)	Short	September 2015		5		79.98		1,000		399,900
Coffee ‘C’ Futures (ICE)	Short	September 2015		4		1.32		37,500		198,600
Corn Futures (CBT)	Short	September 2015		14		4.22		5,000		295,400
Euro Fx Currency Futures (CME)	Short	September 2015		3		1.12		125,000		418,350
Japanese Yen Fx Currency Futures (CME)	Short	September 2015		6		81.83		1,250		613,725
Silver Futures (COMEX)	Short	September 2015		1		15.58		5,000		77,905
Silver Mini Futures (ICE)	Short	September 2015		4		15.58		1,000		62,324
US 10 YR Note Futures (CBT)	Short	September 2015		10		126.17		1,000		1,261,719
US Treasury Long Bond Futures (CBT)	Short	September 2015		6		150.84		1,000		905,063
Wheat Futures (CBT)	Short	September 2015		11		6.16		5,000		338,663
Sugar #11 Futures (CBT)	Short	October 2015		18		0.12		112,000		251,395
Soybean Futures (CBT)	Short	November 2015		7		10.37		5,000		363,037
Cotton No. 2 Futures (ICE)	Short	December 2015		10		0.68		50,000		339,550

The June 30, 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. These 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 match the performance of the Index. While the above information properly represents the then current applicable commodity or exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 Trust’s Annual Report on Form 10-K for the year ended December 31, 2014 filed with the U.S. Securities and Exchange Commission (the “SEC”) on March 2, 2015 (the “Form 10-K”), for additional information regarding performance for periods longer than a single day.

203

Equity Market Volatility Sensitivity

Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. The following tables provide information about each of the VIX Funds’ Financial Instruments, which are sensitive to changes in equity market volatility indexes. As of June 30, 2015 and 2014, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of June 30, 2015 and 2014, the ProShares VIX Short-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, 2015 and 2014, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2015


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2015		5,705	$	17.33		1,000	$	98,839,125
VIX Futures (CBOE)	Long	August 2015		4,075		17.38		1,000		70,803,125

Futures Positions as of June 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2014		4,028	$	12.45		1,000	$	50,148,600
VIX Futures (CBOE)	Long	August 2014		3,624		13.35		1,000		48,380,400

The June 30, 2015 and 2014 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. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares VIX Mid-Term Futures ETF

As of June 30, 2015 and 2014, 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, 2015 and 2014, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2015


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2015		286	$	17.93		1,000	$	5,126,550
VIX Futures (CBOE)	Long	November 2015		491		18.13		1,000		8,899,375
VIX Futures (CBOE)	Long	December 2015		491		18.18		1,000		8,923,925
VIX Futures (CBOE)	Long	January 2016		205		18.68		1,000		3,828,375

Futures Positions as of June 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2014		450	$	15.00		1,000	$	6,750,000
VIX Futures (CBOE)	Long	November 2014		855		15.60		1,000		13,338,000
VIX Futures (CBOE)	Long	December 2014		855		16.00		1,000		13,680,000
VIX Futures (CBOE)	Long	January 2015		405		16.70		1,000		6,763,500

204

ProShares Short VIX Short-Term Futures ETF

As of June 30, 2015 and 2014, 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, 2015 and 2014, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2015


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Short	July 2015		6,365	$	17.33		1,000	$	(110,273,625	)
VIX Futures (CBOE)	Short	August 2015		4,546		17.38		1,000		(78,986,750	)

Futures Positions as of June 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Short	July 2014		7,404	$	12.45		1,000	$	(92,179,800	)
VIX Futures (CBOE)	Short	August 2014		6,657		13.35		1,000		(88,870,950	)

The June 30, 2015 and 2014 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 positions in Financial Instruments each day to have $1.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra VIX Short-Term Futures ETF

As of June 30, 2015 and 2014, 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 VIX futures contracts as of June 30, 2015 and 2014, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2015


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2015		29,050	$	17.33		1,000	$	503,291,250
VIX Futures (CBOE)	Long	August 2015		20,747		17.38		1,000		360,479,125

Futures Positions as of June 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2014		24,158	$	12.45		1,000	$	300,767,100
VIX Futures (CBOE)	Long	August 2014		21,742		13.35		1,000		290,255,700

The June 30, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. 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. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 Form 10-K for additional information regarding performance for periods longer than a single day.

205

Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of June 30, 2015 and 2014, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort Bloomberg Commodity:

As of June 30, 2015 and 2014, the ProShares UltraShort Bloomberg Commodity Fund was exposed to inverse commodity price risk through its holding of swap agreements linked to the Bloomberg Commodity Index. The following tables provide information about the Fund’s short swap positions as of June 30, 2015 and 2014, which were sensitive to commodity price risk.

Swap Agreements as of June 30, 2015


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Commodity Index	Deutsche Bank AG	Short	$	102.6892	$	(4,657,215	)
Bloomberg Commodity Index	Goldman Sachs International	Short		102.6892		(4,065,285	)
Bloomberg Commodity Index	UBS AG	Short		102.6892		(1,705,006	)

Swap Agreements as of June 30, 2014


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Commodity Index	Deutsche Bank AG	Short	$	134.6268	$	(2,595,868	)
Bloomberg Commodity Index	Goldman Sachs International	Short		134.6268		(2,767,667	)
Bloomberg Commodity Index	UBS AG	Short		134.6268		(1,138,280	)

The June 30, 2015 and 2014 short swap notional values are calculated by multiplying units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the level of the Index. 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. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 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 custodian bank.

ProShares UltraShort Bloomberg Crude Oil:

As of June 30, 2015 and 2014, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2015


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	September 2015		2,785	$	59.83		1,000	$	(166,626,550	)

Swap Agreements as of June 30, 2015


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Deutsche Bank AG	Short		142.5320	$	(57,550,283	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		142.5320		(56,799,973	)
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A	Short		142.5320		(24,458,958	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		142.5320		(54,734,615	)

206

Futures Positions as of June 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	September 2014		2,920	$	104.73		1,000	$	(305,811,600	)

Swap Agreements as of June 30, 2014


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Deutsche Bank AG	Short		272.2784	$	(116,423,779	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		272.2784		(127,285,152	)
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A	Short		272.2784		(59,190,848	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		272.2784		(116,599,880	)

The June 30, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2015 and 2014 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These 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. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 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 custodian bank.

ProShares UltraShort Bloomberg Natural Gas:

As of June 30, 2015 and 2014, 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, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2015


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	September 2015		921	$	2.84		10,000	$	(26,174,820	)

Futures Positions as of June 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	September 2014		2,238	$	4.44		10,000	$	(99,367,200	)

The June 30, 2015 and 2014 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 positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 Form 10-K for additional information regarding performance for periods longer than a single day.

207

ProShares UltraShort Gold:

As of June 30, 2015 and 2014, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2015


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	August 2015		2	$	1171.80		100	$	(234,360	)

Forward Agreements as of June 30, 2015


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short	$	1,171.05	$	(71,199,840	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,171.04		(31,849,946	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,171.03		(14,403,669	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,171.03		(30,271,126	)

Futures Positions as of June 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	August 2014		2	$	1,322.00		100	$	(264,400	)

Forward Agreements as of June 30, 2014


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short	$	1,315.02	$	(78,243,690	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,315.02		(32,083,858	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,315.02		(19,330,794	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,315.02		(37,543,821	)

The June 30, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2015 and 2014 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward 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. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

208

ProShares UltraShort Silver:

As of June 30, 2015 and 2014, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2015


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	September 2015		2	$	15.58		5,000	$	(156,650	)

Forward Agreements as of June 30, 2015


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short	$	15.7016	$	(62,586,578	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		15.7010		(22,083,457	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		15.7010		(13,942,488	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		15.7011		(23,457,443	)

Futures Positions as of June 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	September 2014		2	$	21.06		5,000	$	(210,560	)

Forward Agreements as of June 30, 2014


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short	$	20.8726	$	(55,521,116	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		20.8726		(18,253,089	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		20.8726		(10,895,497	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		20.8726		(19,495,008	)

The June 30, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2015 and 2014 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward 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. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

209

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of June 30, 2015 and 2014, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of June 30, 2015 and 2014, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2015 and 2014, which were sensitive to exchange rate price risk.

Futures Positions as of June 30, 2015


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Euro Fx Currency Futures (CME)	Short	September 2015		139	$	1.12		125,000	$	(19,383,550	)

Futures Positions as of June 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Euro Fx Currency Futures (CME)	Short	September 2014		83	$	1.37		125,000	$	(14,211,675	)

The June 30, 2015 and 2014 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 positions in Financial Instruments each day to have $1.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Australian Dollar:

As of June 30, 2015 and 2014, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2015 and 2014, which were sensitive to exchange rate price risk.

Futures Positions as of June 30, 2015


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Short	September 2015		497	$	76.85		1,000	$	(38,194,450	)

Futures Positions as of June 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Short	September 2014		429	$	93.76		1,000	$	(40,223,040	)

The June 30, 2015 and 2014 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 positions in Financial Instruments each day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

210

ProShares UltraShort Euro:

As of June 30, 2015 and 2014, 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, 2015 and 2014, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2015


Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	07/10/15		134,902,100			1.1150	$	150,417,685
Euro	UBS AG	Long	07/10/15		43,009,100			1.1150		47,955,734
Euro	Goldman Sachs International	Short	07/10/15		(650,658,325	)		1.1150		(725,492,920	)
Euro	UBS AG	Short	07/10/15		(656,926,500	)		1.1150		(732,482,020	)

Foreign Currency Forward Contracts as of June 30, 2014


Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	07/11/14		28,302,000			1.3694	$	38,755,476
Euro	UBS AG	Long	07/11/14		27,582,600			1.3694		37,770,362
Euro	Goldman Sachs International	Short	07/11/14		(351,137,125	)		1.3694		(480,831,260	)
Euro	UBS AG	Short	07/11/14		(347,608,700	)		1.3694		(475,999,595	)

The June 30, 2015 and 2014 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. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 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 custodian bank.

ProShares UltraShort Yen:

As of June 30, 2015 and 2014, 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, 2015 and 2014, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2015


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/10/15		11,883,194,200			0.008172	$	97,106,611
Yen	UBS AG	Long	07/10/15		6,627,069,900			0.008172		54,154,825
Yen	Goldman Sachs International	Short	07/10/15		(60,093,609,500	)		0.008172		(491,070,554	)
Yen	UBS AG	Short	07/10/15		(57,749,031,500	)		0.008172		(471,911,226	)

Foreign Currency Forward Contracts as of June 30, 2014


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/11/14		4,021,491,200			0.009872	$	39,699,116
Yen	UBS AG	Long	07/11/14		3,928,152,500			0.009872		38,777,700
Yen	Goldman Sachs International	Short	07/11/14		(39,448,933,400	)		0.009872		(389,429,615	)
Yen	UBS AG	Short	07/11/14		(40,348,769,000	)		0.009872		(398,312,558	)

211

The June 30, 2015 and 2014 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. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 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 custodian bank.

Commodity Price Sensitivity

ProShares Ultra Bloomberg Commodity:

As of June 30, 2015 and 2014, the ProShares Ultra Bloomberg Commodity Fund was exposed to commodity price risk through its holding of swap agreements linked to the Bloomberg Commodity Index. The following tables provide information about the Fund’s swap positions as of June 30, 2015 and 2014, which were sensitive to commodity price risk.

Swap Agreements as of June 30, 2015

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Bloomberg Commodity Index

Deutsche Bank AG

Long

102.6892

2,101,872

Bloomberg Commodity Index

Goldman Sachs
International

Long

102.6892

2,151,198

Bloomberg Commodity Index

UBS AG

Long

102.6892

698,224

Swap Agreements as of June 30, 2014

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Bloomberg Commodity Index

Deutsche Bank AG

Long

134.6268

3,598,575

Bloomberg Commodity Index

Goldman Sachs
International

Long

134.6268

3,955,878

Bloomberg Commodity Index

UBS AG

Long

134.6268

1,276,872

The June 30, 2015 and 2014 swap notional values are calculated by multiplying units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the level of the Index. 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. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 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 custodian bank.

212

ProShares Ultra Bloomberg Crude Oil:

As of June 30, 2015 and 2014, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2015

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Long

September 2015

11,328

59.83

1,000

677,754,240

Swap Agreements as of June 30, 2015

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Bloomberg WTI Crude Oil Subindex

Deutsche Bank AG

Long

142.5320

381,511,185

Bloomberg WTI Crude Oil Subindex

Goldman Sachs
International

Long

142.5320

396,154,173

Bloomberg WTI Crude Oil Subindex

Societe Generale S.A.

Long

142.5320

141,007,327

Bloomberg WTI Crude Oil Subindex

UBS AG

Long

142.5320

394,371,392

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Long

September 2014

842

104.73

1,000

88,182,660

Swap Agreements as of June 30, 2014

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Bloomberg WTI Crude Oil Subindex

Deutsche Bank AG

Long

272.2784

31,823,119

Bloomberg WTI Crude Oil Subindex

Goldman Sachs
International

Long

272.2784

27,268,424

Bloomberg WTI Crude Oil Subindex

Societe Generale S.A.

Long

272.2784

17,530,561

Bloomberg WTI Crude Oil Subindex

UBS AG

Long

272.2784

31,095,182

The June 30, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2015 and 2014 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. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 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 custodian bank.

213

ProShares Ultra Bloomberg Natural Gas:

As of June 30, 2015 and 2014, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2015

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Long

September 2015

4,450

2.84

10,000

126,469,000

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Long

September 2014

953

4.44

10,000

42,313,200

The June 30, 2015 and 2014 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. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Gold:

As of June 30, 2015 and 2014, the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2015

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

August 2015

1,171.80

100

234,360

Forward Agreements as of June 30, 2015

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Deutsche Bank AG

Long

1,171.05

86,891,910

0.995 Fine Troy Ounce Gold

Goldman Sachs

International

Long

1,171.04

37,028,285

0.995 Fine Troy Ounce Gold

Societe Generale S.A.

Long

1,171.03

19,087,789

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,171.03

34,428,282

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

August 2014

1,322.00

100

264,400

Forward Agreements as of June 30, 2014

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Deutsche Bank AG

Long

1,315.02

143,994,690

0.995 Fine Troy Ounce Gold

Goldman Sachs

International

Long

1,315.02

54,205,124

0.995 Fine Troy Ounce Gold

Societe Generale S.A.

Long

1,315.02

28,272,930

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,315.02

44,184,672

214

The June 30, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2015 and 2014 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward 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. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

As of June 30, 2015 and 2014, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2015 and 2014, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2015

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

September 2015

15.58

5,000

233,715

Forward Agreements as of June 30, 2015

Reference Index

Counterparty

Long or
Short

Valuation Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Deutsche Bank AG

Long

15.7016

207,166,910

0.999 Fine Troy Ounce Silver

Goldman Sachs

International

Long

15.7010

146,911,117

0.999 Fine Troy Ounce Silver

Societe Generale S.A.

Long

15.7010

57,277,248

0.999 Fine Troy Ounce Silver

UBS AG

Long

15.7011

160,386,737

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

September 2014

21.06

5,000

105,280

Forward Agreements as of June 30, 2014

Reference Index

Counterparty

Long or
Short

Valuation Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Deutsche Bank AG

Long

20.8726

544,294,790

0.999 Fine Troy Ounce Silver

Goldman Sachs

International

Long

20.8726

165,515,543

0.999 Fine Troy Ounce Silver

Societe Generale S.A.

Long

20.8726

105,427,503

0.999 Fine Troy Ounce Silver

UBS AG

Long

20.8726

186,663,662

The June 30, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2015 and 2014 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward 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. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two.

215

See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Exchange Rate Sensitivity

ProShares Ultra Euro:

As of June 30, 2015 and 2014, the ProShares Ultra Euro Fund was exposed to 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, 2015 and 2014, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2015


Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	07/10/15		15,101,725			1.1150	$	16,838,630
Euro	UBS AG	Long	07/10/15		13,022,500			1.1150		14,520,266
Euro	Goldman Sachs International	Short	07/10/15		(2,464,500	)		1.1150		(2,747,951	)
Euro	UBS AG	Short	07/10/15		(1,854,400	)		1.1150		(2,067,681	)

Foreign Currency Forward Contracts as of June 30, 2014

Reference Currency

Counterparty

Long or
Short

Settlement
Date

Euro

Forward
Rate

Market Value
USD

Euro

Goldman Sachs

International

Long

07/11/14

733,425

1.3694

1,004,319

Euro

UBS AG

Long

07/11/14

3,046,300

1.3694

4,171,465

Euro

Goldman Sachs

International

Short

07/11/14

(30,700

)

1.3694

(42,040

)

The June 30, 2015 and 2014 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. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 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 custodian bank.

ProShares Ultra Yen:

As of June 30, 2015 and 2014, 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, 2015 and 2014, which were sensitive to exchange rate price risk.

216

Foreign Currency Forward Contracts as of June 30, 2015


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/10/15		886,001,400			0.008172	$	7,240,191
Yen	UBS AG	Long	07/10/15		457,541,900			0.008172		3,738,923
Yen	Goldman Sachs International	Short	07/10/15		(30,550,900	)		0.008172		(249,655	)
Yen	UBS AG	Short	07/10/15		(5,434,600	)		0.008172		(44,410	)

Foreign Currency Forward Contracts as of June 30, 2014


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/11/14		291,065,100			0.009872	$	2,873,319
Yen	UBS AG	Long	07/11/14		317,397,400			0.009872		3,133,265
Yen	Goldman Sachs International	Short	07/11/14		(202,709,800	)		0.009872		(2,001,098	)
Yen	UBS AG	Short	07/11/14		(1,488,900	)		0.009872		(14,698	)

The June 30, 2015 and 2014 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. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. 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 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 custodian bank.

Qualitative Disclosure

As described above in Item 2 of this Quarterly Report on Form 10-Q, 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, whether positive or negative, of its corresponding benchmark. Each Short Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results (before fees and expenses), both over a single day and over time, 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 two or negative two. Each Matching VIX Fund and the Managed Futures Fund seek investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. The Matching VIX Funds seek to achieve their stated objectives both over a single day and over time.

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

217

Oil Funds are exposed to are inverse and direct 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 as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 2 of this Quarterly Report on Form 10-Q, 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 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 Managed Futures Fund, the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying the Managed Futures Fund, 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 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 Managed Futures Fund and 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.

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the 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.

218

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-1x, -2x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described above in Item 2 of this Quarterly Report on Form 10-Q, these adjustments are done through the use of various Financial Instruments. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

For Geared Funds, the impact of the Index’s movements during the day also affects whether the Fund’s portfolio needs to be re-positioned. 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 or UltraShort Funds will generally decrease when the index rises on a given day. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the index has fallen on a given day, a Short Fund’s or an UltraShort Fund’s assets should rise. 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 a non-interest bearing demand deposit account. The Funds 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 Rule 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of June 30, 2015, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

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, 2015, 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.

219

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

None.

Item 1A. Risk Factors.

Except as noted below, there has not been a material change to the Risk Factors previously disclosed in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2014, filed on March 2, 2015, as amended.

The lack of active trading markets for any of the Shares of the Funds may result in losses on investors’ investments at the time of disposition of such Shares.

Although the Shares of the Funds are publicly listed and traded on the Exchange, there can be no guarantee that an active trading market for the Shares of any Fund will develop or be maintained. In this regard, if a Fund is not able to meet the continued listing standards of NYSE Arca and is delisted, there will not be an active trading market for such Fund’s Shares. If investors need to sell their Shares at a time when no active market for them exists, the price investors receive for their Shares, assuming that investors are able to sell them, likely will be lower than the price that investors would receive if an active market did exist. In addition, if there is no active trading market for the Shares of a Fund for an extended period of time, the Fund would likely be forced to liquidate.

A Fund may terminate and liquidate at a time that is disadvantageous to shareholders.

If a Fund lacks the demand necessary to remain open, then the Fund will likely be terminated and liquidated. For example, the ProShares Ultra Australian Dollar Fund was terminated and liquidated in June 2015 because it lacked the demand necessary to remain open. Termination and liquidation of a Fund could occur at a time that is disadvantageous to shareholders. When the Fund’s assets are sold as part of the Fund’s liquidation, the resulting proceeds distributed to shareholders may be less than those that may be realized in a sale outside of a liquidation context.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

(a)

None.

(b)

The Trust initially registered Shares on its Registration Statement on Form S-1 (File No. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on Form S-1 (File No. 333-156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale of all registered Shares and re-allocated the remaining amount of the registered Shares among the Funds listed on its Registration Statement on Form S-3 (File No. 333-163511), which became effective on December 4, 2009. It then registered additional Shares and/or added Funds pursuant to post-effective amendments to that Registration Statement on Form S-3, which became effective on May 28, 2010, November 5, 2010, December 23, 2010 and April 13, 2011, as well as on a Registration Statement on Form S-1 (File No. 333-178707), which became effective on June 25, 2012. On June 26, 2012, a post-effective amendment to the Registration Statement on Form S-3 (File No. 333-163511) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil and terminated the offerings for certain publicly offered Funds and certain Funds that had never been publicly offered. New offerings for those Funds that had been publicly offered were registered on an accompanying Registration Statement on Form S-1 (File No. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on Form S-1 (File No. 333-183672) was declared effective, which registered additional Shares for ProShares Ultra VIX Short-Term Futures ETF, ProShares VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF. This registration statement (File No. 333-183672) was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-176878). On September 27, 2012, a Registration Statement on Form S-3 (File No. 333-183674) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro. This registration statement was a

220

combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on Form S-1 (File No. 333-178707) was declared effective, terminating the proposed offerings of several unlaunched currency funds. On January 30, 2013, a Registration Statement on Form S-1 (File No. 333-185288) was declared effective. That registration statement, which registered additional Shares to ProShares Short VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statements (File Nos. 333-183672 and 333-178707). Also, on January 30, 2013, a Registration Statement on Form S-3 (File No. 333-185289) was declared effective. That registration statement, which registered additional Shares to ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statement (File No. 333-193672) and Form S-3 Registration Statement (File No. 333-183674). On April 24, 2013, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-185288) was declared effective, terminating the registered but unlaunched offerings related to: ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy. On April 29, 2013, a Registration Statement on Form S-3 (File No. 333-187820) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-185289). On May 21, 2013, a Registration Statement on Form S-1 (File 333-188215) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-185288). On July 30, 2013, a Registration Statement on Form S-3 (File No. 333-189967) was declared effective, which registered additional Shares for ProShares Bloomberg Crude Oil and ProShares UltraShort Yen and partially terminated registered and unissued Shares of ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-187820). On May 6, 2014, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-188215) was declared effective, updating the Form S-1 Registration Statement by, among other things, incorporating by reference the audited financial statements for the fiscal year ended December 31, 2013. The post-effective amendment did not register any additional shares. On July 30, 2014, a Registration Statement on Form S-1 (File No. 333-196884) was declared effective, which partially terminated registered and unissued Shares of ProShares VIX Mid-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Euro, ProShares Ultra Yen and ProShares UltraShort Bloomberg Commodity. That registration statement was a combined prospectus and acted as a post-effective amendment to two Form S-1 registration statements (File Nos. 333-188215 and 333-185288). On July 30, 2014, a Registration Statement on Form S-3 (File No. 333-196885) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro and partially terminated registered and unissued Shares of ProShares Ultra Gold, ProShares Ultra Silver and ProShares UltraShort Silver. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-189967). Through the July 30, 2014 filings, ProShares Short VIX Short-Term Futures ETF was transferred from the Form S-1 to the Form S-3. On September 29, 2014, a Registration Statement on Form S-1 (File No. 333-198189) was declared effective, which registered a new offering of the Managed Futures Fund and acted as a post-effective amendment to the Form S-1 Registration Statement (File No. 333-196884). On November 25, 2014, a Registration Statement on Form S-1 (File No. 333-199642) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Silver. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-198189) and the Form S-3 registration statement (333-196885). On November 25, 2014, a Registration Statement on Form S-3 (File No. 333-199641) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-196885). Through the November 25, 2014 filings, ProShares UltraShort Silver was transferred from the Form S-3 to the Form S-1. On March 31, 2015, a Registration Statement on Form S-1 (File No. 333-202724) was declared effective, which registered additional Shares for ProShares VIX Mid-Term Futures ETF, ProShares Managed Futures Strategy, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Silver, ProShares Ultra Australian Dollar, ProShares UltraShort Australian Dollar, ProShares Ultra Euro, ProShares Short Euro and ProShares Ultra Yen. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-199642). On March 31, 2015, a Registration Statement on Form S-3 (File No. 333-202725) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-199641). Thus, as of June 30, 2015, the Trust continued to have two effective registration statements outstanding: 1) a Form S-1 Registration Statement (No. 333-199642); and 2) a Form S-3 Registration Statement (No. 333-199641).

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Substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements) that may in part be used for direct investment or deposited with the FCMs as margin in connection with futures contracts or in segregated accounts at the Funds’ custodian bank as collateral for swap agreements or forward contracts, as applicable. The Managed Futures Fund and each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.


Title of Securities Registered	Amount Registered As of June 30, 2015		Shares Sold For the Three Months Ended June 30, 2015		Sale Price of Shares Sold For the Three Months Ended June 30, 2015
ProShares Managed Futures Strategy Common Units of Beneficial Interest	$	509,027,538		50,000	$	1,043,979
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	2,068,623,063		4,100,000	$	56,928,673
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	619,302,925		100,000	$	5,525,626
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	3,589,767,641		2,400,000	$	200,730,634
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	4,255,550,774		13,850,000	$	584,939,077
ProShares UltraShort Bloomberg Commodity Common Units of Beneficial Interest	$	172,839,931		—	$	—
ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest	$	2,114,776,247		4,550,000	$	274,425,360
ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest	$	412,030,981		150,000	$	11,531,753
ProShares UltraShort Gold Common Units of Beneficial Interest	$	503,545,611		—	$	—
ProShares UltraShort Silver Common Units of Beneficial Interest	$	2,083,528,399		250,000	$	24,496,262
ProShares Short Euro Common Units of Beneficial Interest	$	174,672,977		—	$	—
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest	$	172,771,084		—	$	—
ProShares UltraShort Euro Common Units of Beneficial Interest	$	1,888,450,946		6,400,000	$	162,216,329
ProShares UltraShort Yen Common Units of Beneficial Interest	$	951,962,134		400,000	$	37,838,236
ProShares Ultra Bloomberg Commodity Common Units of Beneficial Interest	$	129,604,130		25,000	$	1,200,621
ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest	$	3,838,773,188		9,430,000	$	415,664,005
ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest	$	540,275,387		475,000	$	20,108,375
ProShares Ultra Gold Common Units of Beneficial Interest	$	683,270,223		—	$	—
ProShares Ultra Silver Common Units of Beneficial Interest	$	2,251,471,600		800,000	$	30,388,247
ProShares Ultra Euro Common Units of Beneficial Interest	$	126,652,323		—	$	—
ProShares Ultra Yen Common Units of Beneficial Interest	$	138,726,333		—	$	—
Total:	$	27,225,623,435		42,980,000	$	1,827,037,177

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(b)

From April 1, 2015 to June 30, 2015, the number of Shares redeemed and average price per Share for each Fund were as follows:


Fund	Total Number of Shares Redeemed		Average Price Per Share
ProShares Managed Futures Strategy
04/01/15 to 04/30/15		—	$	—
05/01/15 to 05/31/15		—	$	—
06/01/15 to 06/30/15		—	$	—
ProShares VIX Short-Term Futures ETF
04/01/15 to 04/30/15		—	$	—
05/01/15 to 05/31/15		—	$	—
06/01/15 to 06/30/15		300,000	$	12.86
ProShares VIX Mid-Term Futures ETF
04/01/15 to 04/30/15		25,000	$	60.12
05/01/15 to 05/31/15		—	$	—
06/01/15 to 06/30/15		50,000	$	54.31
ProShares Short VIX Short-Term Futures ETF
04/01/15 to 04/30/15		1,550,000	$	78.98
05/01/15 to 05/31/15		1,800,000	$	88.14
06/01/15 to 06/30/15		800,000	$	91.13
ProShares Ultra VIX Short-Term Futures ETF
04/01/15 to 04/30/15		1,010,000	$	59.46
05/01/15 to 05/31/15		1,920,000	$	46.58
06/01/15 to 06/30/15		10,351,572	$	41.63
ProShares UltraShort Bloomberg Commodity
04/01/15 to 04/30/15		—	$	—
05/01/15 to 05/31/15		—	$	—
06/01/15 to 06/30/15		—	$	—
ProShares UltraShort Bloomberg Crude Oil
04/01/15 to 04/30/15		1,300,000	$	65.73
05/01/15 to 05/31/15		1,450,000	$	57.77
06/01/15 to 06/30/15		2,900,000	$	56.74
ProShares UltraShort Bloomberg Natural Gas
04/01/15 to 04/30/15		50,000	$	80.73
05/01/15 to 05/31/15		50,000	$	87.65
06/01/15 to 06/30/15		—	$	—
ProShares UltraShort Gold
04/01/15 to 04/30/15		50,000	$	98.38
05/01/15 to 05/31/15		—	$	—
06/01/15 to 06/30/15		—	$	—
ProShares UltraShort Silver
04/01/15 to 04/30/15		100,000	$	101.45
05/01/15 to 05/31/15		50,000	$	97.66
06/01/15 to 06/30/15		100,000	$	104,47
ProShares Short Euro
04/01/15 to 04/30/15		—	$	—
05/01/15 to 05/31/15		—	$	—
06/01/15 to 06/30/15		—	$	—
ProShares UltraShort Australian Dollar
04/01/15 to 04/30/15		—		—
05/01/15 to 05/31/15		—	$	—
06/01/15 to 06/30/15		—	$	—
ProShares UltraShort Euro
04/01/15 to 04/30/15		2,600,000	$	26.65
05/01/15 to 05/31/15		450,000	$	24.81
06/01/15 to 06/30/15		900,000	$	24.65
ProShares UltraShort Yen
04/01/15 to 04/30/15		300,000	$	88.18
05/01/15 to 05/31/15		50,000	$	88.75
06/01/15 to 06/30/15		600,000	$	94.31
ProShares Ultra Bloomberg Commodity
04/01/15 to 04/30/15		25,000	$	48.26
05/01/15 to 05/31/15		—	$	—
06/01/15 to 06/30/15		39	$	49.10
ProShares Ultra Bloomberg Crude Oil
04/01/15 to 04/30/15		8,400,000	$	43.15
05/01/15 to 05/31/15		4,240,000	$	48.96
06/01/15 to 06/30/15		4,351,967	$	48.35
ProShares Ultra Bloomberg Natural Gas
04/01/15 to 04/30/15		—	$	—
05/01/15 to 05/31/15		125,000	$	51.78
06/01/15 to 06/30/15		300,316	$	46.94
ProShares Ultra Gold
04/01/15 to 04/30/15		100,000	$	38.74
05/01/15 to 05/31/15		—	$	—
06/01/15 to 06/30/15		—	$	—
ProShares Ultra Silver
04/01/15 to 04/30/15		200,000	$	42.66
05/01/15 to 05/31/15		400,000	$	44.11
06/01/15 to 06/30/15		—	$	—
ProShares Ultra Euro
04/01/15 to 04/30/15		—	$	—
05/01/15 to 05/31/15		50,000	$	16.68
06/01/15 to 06/30/15		100,000	$	17.07
ProShares Ultra Yen
04/01/15 to 04/30/15		—	$	—
05/01/15 to 05/31/15		—	$	—
06/01/15 to 06/30/15		30	$	52.07

223

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5.

Other Information.

None.

224

Item 6.

Exhibits.


Exhibit No.		Description of Document

31.1		Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)

31.2		Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)

32.1		Certification by Principal Executive Officer 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 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)

(1)	Filed herewith.

225

SIGNATURES

Pursuant to the requirements 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: August 10, 2015

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial Officer

Date: August 10, 2015