ProShares Trust II - Quarter Report: 2016 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, 2016.

¨	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)

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


Common Units of Beneficial Interest		NYSE Arca, Inc.
(Title of each class)		(Name of exchange on which registered)



(Title of class)		(Name of exchange on which registered)

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

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

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, 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		1
Item 1. Condensed Financial Statements.		1

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.		147

Item 3. Quantitative and Qualitative Disclosures About Market Risk.		199

Item 4. Controls and Procedures.		217

Part II. OTHER INFORMATION		218
Item 1. Legal Proceedings.		218

Item 1A. Risk Factors.		218

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		218

Item 3. Defaults Upon Senior Securities.		222

Item 4. Mine Safety Disclosures.		222

Item 5. Other Information.		222

Item 6. Exhibits.		223

Part I.

FINANCIAL INFORMATION

Item 1.

Condensed Financial Statements.

Index


	Page
Documents
Statements of Financial Condition, Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity and Statements of Cash Flows:
ProShares VIX Short-Term Futures ETF		2
ProShares VIX Mid-Term Futures ETF		7
ProShares Short VIX Short-Term Futures ETF		12
ProShares Ultra VIX Short-Term Futures ETF		17
ProShares UltraShort Bloomberg Commodity		22
ProShares UltraShort Bloomberg Crude Oil		29
ProShares UltraShort Bloomberg Natural Gas		32
ProShares UltraShort Gold		37
ProShares UltraShort Silver		42
ProShares Short Euro		47
ProShares UltraShort Australian Dollar		52
ProShares UltraShort Euro		57
ProShares UltraShort Yen		62
ProShares Ultra Bloomberg Commodity		67
ProShares Ultra Bloomberg Crude Oil		72
ProShares Ultra Bloomberg Natural Gas		77
ProShares Ultra Gold		82
ProShares Ultra Silver		87
ProShares Ultra Euro		92
ProShares Ultra Yen		97
ProShares Trust II		102
Notes to Financial Statements		106

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	2,979,342	$	2,124,103
Segregated cash balances with brokers for futures contracts		39,012,290		5,888,545
Short-term U.S. government and agency obligations (Note 3) (cost $160,282,830 and $96,075,481, respectively)		160,291,728		96,073,659
Receivable on open futures contracts		—		1,263,933

Total assets		202,283,360		105,350,240

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		7,850,615		—
Payable on open futures contracts		3,283,738		—
Management fee payable		193,063		77,417

Total liabilities		11,327,416		77,417

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		190,955,944		105,272,823

Total liabilities and shareholders’ equity	$	202,283,360	$	105,350,240

Shares outstanding (Note 1)		4,229,962		1,589,962

Net asset value per share (Note 1)	$	45.14	$	66.21

Market value per share (Note 1) (Note 2)	$	45.80	$	66.65

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (84% of shareholders’ equity)
U.S. Treasury Bills^^:
0.223% due 08/11/16	$	18,402,000	$	18,397,598
0.216% due 08/25/16†		24,109,000		24,100,714
0.216% due 09/01/16		33,600,000		33,586,402
0.261% due 09/08/16		48,443,000		48,423,967
0.256% due 09/15/16		14,355,000		14,348,787
0.326% due 09/22/16		16,244,000		16,235,012
0.230% due 10/27/16		5,203,000		5,199,248

Total short-term U.S. government and agency obligations (cost $160,282,830)			$	160,291,728

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires July 2016		5,415	$	91,919,625	$	(9,227,241	)
VIX Futures - CBOE, expires August 2016		5,388		98,735,100		(7,113,676	)

					$	(16,340,917	)

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

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

††	Cash collateral in the amount of $39,012,290 was pledged to cover margin requirements for open futures contracts as of June 30, 2016.

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	134,426		$	11,228		$	180,575		$	21,135

Expenses
Management fee		520,759			316,922			735,862			560,322
Brokerage commissions and fees		100,699			25,893			153,034			66,872

Total expenses		621,458			342,815			888,896			627,194

Net investment income (loss)		(487,032	)		(331,587	)		(708,321	)		(606,059	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(40,266,848	)		(51,589,586	)		(32,560,699	)		(60,567,916	)
Short-term U.S. government and agency obligations		4,833			1,009			2,291			3,163

Net realized gain (loss)		(40,262,015	)		(51,588,577	)		(32,558,408	)		(60,564,753	)

Change in net unrealized appreciation/depreciation on
Futures contracts		1,048,083			19,016,568			(15,262,292	)		7,645,837
Short-term U.S. government and agency obligations		(9,878	)		1,644			10,720			500

Change in net unrealized appreciation/depreciation		1,038,205			19,018,212			(15,251,572	)		7,646,337

Net realized and unrealized gain (loss)		(39,223,810	)		(32,570,365	)		(47,809,980	)		(52,918,416	)

Net income (loss)	$	(39,710,842	)	$	(32,901,952	)	$	(48,518,301	)	$	(53,524,475	)

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, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	105,272,823

Addition of 5,385,000 shares (Note 1)		301,185,920
Redemption of 2,745,000 shares (Note 1)		(166,984,498	)

Net addition (redemption) of 2,640,000 shares (Note 1)		134,201,422

Net investment income (loss)		(708,321	)
Net realized gain (loss)		(32,558,408	)
Change in net unrealized appreciation/depreciation		(15,251,572	)

Net income (loss)		(48,518,301	)

Shareholders’ equity, at June 30, 2016	$	190,955,944

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	(48,518,301	)	$	(53,524,475	)
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		(33,123,745	)		(10,959,235	)
Purchases of short-term U.S. government and agency obligations		(484,764,107	)		(295,455,703	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		420,739,624			240,883,445
Net amortization and accretion on short-term U.S government and agency obligations		(180,575	)		(20,537	)
Net realized gain (loss) on investments		(2,291	)		(3,163	)
Change in unrealized appreciation/depreciation on investments		(10,720	)		(500	)
Decrease (Increase) in receivable on futures contracts		1,263,933			8,725,693
Increase (Decrease) in management fee payable		115,646			23,714
Increase (Decrease) in payable on futures contracts		3,283,738			—

Net cash provided by (used in) operating activities		(141,196,798	)		(110,330,761	)

Cash flow from financing activities
Proceeds from addition of shares		301,185,920			141,470,934
Payment on shares redeemed		(159,133,883	)		(29,750,609	)

Net cash provided by (used in) financing activities		142,052,037			111,720,325

Net increase (decrease) in cash		855,239			1,389,564
Cash, beginning of period		2,124,103			1,694,791

Cash, end of period	$	2,979,342		$	3,084,355

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	2,920,043	$	671,791
Segregated cash balances with brokers for futures contracts		4,158,800		980,750
Short-term U.S. government and agency obligations (Note 3) (cost $35,320,006 and $25,975,462, respectively)		35,322,208		25,976,287
Receivable on open futures contracts		—		42,188

Total assets		42,401,051		27,671,016

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		145,297		—
Management fee payable		30,862		20,378

Total liabilities		176,159		20,378

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		42,224,892		27,650,638

Total liabilities and shareholders’ equity	$	42,401,051	$	27,671,016

Shares outstanding		812,403		512,404

Net asset value per share	$	51.98	$	53.96

Market value per share (Note 2)	$	52.53	$	53.99

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (84% of shareholders’ equity)
U.S. Treasury Bills^^:
0.140% due 07/14/16	$	5,226,000	$	5,225,764
0.245% due 08/04/16		4,190,000		4,189,149
0.234% due 08/25/16		280,000		279,904
0.295% due 09/01/16		8,152,000		8,148,701
0.242% due 09/08/16		6,454,000		6,451,464
0.238% due 09/15/16†		11,032,000		11,027,226

Total short-term U.S. government and agency obligations (cost $35,320,006)			$	35,322,208

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires October 2016		349	$	6,901,475	$	(238,930	)
VIX Futures - CBOE, expires November 2016		698		13,994,900		(494,580	)
VIX Futures - CBOE, expires December 2016		699		13,997,475		(181,995	)
VIX Futures - CBOE, expires January 2017		349		7,337,725		(196,895	)

					$	(1,112,400	)

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

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

††	Cash collateral in the amount of $4,158,800 was pledged to cover margin requirements for open futures contracts as of June 30, 2016.

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	21,839		$	2,162		$	34,098		$	4,876

Expenses
Management fee		84,727			56,030			142,725			114,266
Brokerage commissions and fees		6,853			3,926			12,609			11,963

Total expenses		91,580			59,956			155,334			126,229

Net investment income (loss)		(69,741	)		(57,794	)		(121,236	)		(121,353	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(2,943,655	)		(3,050,039	)		(349,195	)		(2,923,368	)
Short-term U.S. government and agency obligations		(61	)		70			(12	)		1,308

Net realized gain (loss)		(2,943,716	)		(3,049,969	)		(349,207	)		(2,922,060	)

Change in net unrealized appreciation/depreciation on
Futures contracts		2,047,660			200,045			(768,040	)		(561,010	)
Short-term U.S. government and agency obligations		(2,975	)		(392	)		1,377			(959	)

Change in net unrealized appreciation/depreciation		2,044,685			199,653			(766,663	)		(561,969	)

Net realized and unrealized gain (loss)		(899,031	)		(2,850,316	)		(1,115,870	)		(3,484,029	)

Net income (loss)	$	(968,772	)	$	(2,908,110	)	$	(1,237,106	)	$	(3,605,382	)

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, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	27,650,638

Addition of 425,000 shares		23,209,404
Redemption of 125,001 shares		(7,398,044	)

Net addition (redemption) of 299,999 shares		15,811,360

Net investment income (loss)		(121,236	)
Net realized gain (loss)		(349,207	)
Change in net unrealized appreciation/depreciation		(766,663	)

Net income (loss)		(1,237,106	)

Shareholders’ equity, at June 30, 2016	$	42,224,892

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	(1,237,106	)	$	(3,605,382	)
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		(3,178,050	)		694,805
Purchases of short-term U.S. government and agency obligations		(73,285,681	)		(46,710,598	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		63,975,223			44,632,175
Net amortization and accretion on short-term U.S government and agency obligations		(34,098	)		(4,876	)
Net realized gain (loss) on investments		12			(1,308	)
Change in unrealized appreciation/depreciation on investments		(1,377	)		959
Decrease (Increase) in receivable on futures contracts		42,188			1,475,610
Increase (Decrease) in management fee payable		10,484			(4,184	)
Increase (Decrease) in payable on futures contracts		145,297			—

Net cash provided by (used in) operating activities		(13,563,108	)		(3,522,799	)

Cash flow from financing activities
Proceeds from addition of shares		23,209,404			17,870,189
Payment on shares redeemed		(7,398,044	)		(15,521,405	)

Net cash provided by (used in) financing activities		15,811,360			2,348,784

Net increase (decrease) in cash		2,248,252			(1,174,015	)
Cash, beginning of period		671,791			1,634,082

Cash, end of period	$	2,920,043		$	460,067

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	3,100,238	$	5,150,976
Segregated cash balances with brokers for futures contracts		—		123,528,405
Short-term U.S. government and agency obligations (Note 3) (cost $853,306,184 and $535,381,199, respectively)		853,346,432		535,392,718
Receivable from capital shares sold		—		10,164,157
Receivable on open futures contracts		17,926,028		—

Total assets		874,372,698		674,236,256

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		186,211,348		29,497,107
Payable on open futures contracts		—		1,420,271
Management fee payable		449,085		507,517

Total liabilities		186,660,433		31,424,895

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		687,712,265		642,811,361

Total liabilities and shareholders’ equity	$	874,372,698	$	674,236,256

Shares outstanding		13,800,000		12,650,040

Net asset value per share	$	49.83	$	50.81

Market value per share (Note 2)	$	49.06	$	50.45

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (124% of shareholders’ equity)
U.S. Treasury Bills^^:
0.212% due 08/11/16	$	37,183,000	$	37,174,106
0.191% due 08/25/16		220,281,000		220,205,289
0.217% due 09/01/16		124,835,000		124,784,479
0.264% due 09/08/16†		76,402,000		76,371,982
0.256% due 09/15/16†		29,430,000		29,417,263
0.267% due 09/22/16†		25,462,000		25,447,912
0.224% due 10/06/16†		120,185,000		120,104,043
0.290% due 10/27/16†		220,000,000		219,841,358

Total short-term U.S. government and agency obligations (cost $853,306,184)			$	853,346,432

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires July 2016		19,460	$	330,333,500	$	53,262,012
VIX Futures - CBOE, expires August 2016		19,556		358,363,700		25,960,842

					$	79,222,854

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

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

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, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	281,446		$	14,724		$	599,158		$	44,653

Expenses
Management fee		1,218,924			544,083			2,610,743			1,583,663
Brokerage commissions and fees		572,711			310,729			1,053,458			793,570

Total expenses		1,791,635			854,812			3,664,201			2,377,233

Net investment income (loss)		(1,510,189	)		(840,088	)		(3,065,043	)		(2,332,580	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		77,961,366			86,037,110			(14,221,443	)		109,848,395
Short-term U.S. government and agency obligations		6,052			7,368			(21,526	)		30,637

Net realized gain (loss)		77,967,418			86,044,478			(14,242,969	)		109,879,032

Change in net unrealized appreciation/depreciation on
Futures contracts		14,498,960			(23,571,645	)		68,476,439			(227,512	)
Short-term U.S. government and agency obligations		(41,241	)		(1,807	)		28,729			(1,289	)

Change in net unrealized appreciation/depreciation		14,457,719			(23,573,452	)		68,505,168			(228,801	)

Net realized and unrealized gain (loss)		92,425,137			62,471,026			54,262,199			109,650,231

Net income (loss)	$	90,914,948		$	61,630,938		$	51,197,156		$	107,317,651

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, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	642,811,361

Addition of 34,800,000 shares		1,559,645,403
Redemption of 33,650,040 shares		(1,565,941,655	)

Net addition (redemption) of 1,149,960 shares		(6,296,252	)

Net investment income (loss)		(3,065,043	)
Net realized gain (loss)		(14,242,969	)
Change in net unrealized appreciation/depreciation		68,505,168

Net income (loss)		51,197,156

Shareholders’ equity, at June 30, 2016	$	687,712,265

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	51,197,156		$	107,317,651
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		123,528,405			53,923,100
Purchases of short-term U.S. government and agency obligations		(1,639,616,785	)		(732,814,078	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		1,322,269,432			1,053,293,482
Net amortization and accretion on short-term U.S government and agency obligations		(599,158	)		(44,653	)
Net realized gain (loss) on investments		21,526			(30,637	)
Change in unrealized appreciation/depreciation on investments		(28,729	)		1,289
Decrease (Increase) in receivable on futures contracts		(17,926,028	)		—
Increase (Decrease) in management fee payable		(58,432	)		(263,585	)
Increase (Decrease) in payable on futures contracts		(1,420,271	)		(20,940,928	)

Net cash provided by (used in) operating activities		(162,632,884	)		460,441,641

Cash flow from financing activities
Proceeds from addition of shares		1,569,809,560			280,184,268
Payment on shares redeemed		(1,409,227,414	)		(747,599,033	)

Net cash provided by (used in) financing activities		160,582,146			(467,414,765	)

Net increase (decrease) in cash		(2,050,738	)		(6,973,124	)
Cash, beginning of period		5,150,976			9,122,219

Cash, end of period	$	3,100,238		$	2,149,095

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	5,326,374	$	9,081,964
Segregated cash balances with brokers for futures contracts		235,188,436		62,348,600
Short-term U.S. government and agency obligations (Note 3) (cost $506,975,547 and $438,333,277, respectively)		506,981,556		438,357,849
Receivable from capital shares sold		206,746,886		32,987,472
Receivable on open futures contracts		—		17,995,478

Total assets		954,243,252		560,771,363

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		4,706,512		12,635,235
Payable on open futures contracts		109,234,928		—
Management fee payable		687,959		427,388

Total liabilities		114,629,399		13,062,623

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		839,613,853		547,708,740

Total liabilities and shareholders’ equity	$	954,243,252	$	560,771,363

Shares outstanding (Note 1)		18,400,490		3,900,490

Net asset value per share (Note 1)	$	45.63	$	140.42

Market value per share (Note 1) (Note 2)	$	47.15	$	141.75

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (60% of shareholders’ equity)
U.S. Treasury Bills^^:
0.222% due 09/08/16	$	5,000,000	$	4,998,035
0.226% due 09/15/16†		177,849,000		177,772,027
0.270% due 09/22/16†		128,881,000		128,809,690
0.193% due 10/06/16		101,169,000		101,100,853
0.236% due 10/27/16		94,369,000		94,300,951

Total short-term U.S. government and agency obligations (cost $506,975,547)			$	506,981,556

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires July 2016		47,593	$	807,891,175	$	(105,917,569	)
VIX Futures - CBOE, expires August 2016		47,476		869,997,700		(72,325,432	)

					$	(178,243,001	)

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

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

††	Cash collateral in the amount of $235,188,436 was pledged to cover margin requirements for open futures contracts as of June 30, 2016.

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, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	527,858		$	32,035		$	826,663		$	64,494

Expenses
Management fee		2,169,397			1,219,938			3,381,298			2,398,700
Brokerage commissions and fees		1,390,754			815,208			2,126,665			1,718,518

Total expenses		3,560,151			2,035,146			5,507,963			4,117,218

Net investment income (loss)		(3,032,293	)		(2,003,111	)		(4,681,300	)		(4,052,724	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(535,337,385	)		(401,789,858	)		(524,131,767	)		(536,883,084	)
Short-term U.S. government and agency obligations		35,562			12,427			8,594			16,499

Net realized gain (loss)		(535,301,823	)		(401,777,431	)		(524,123,173	)		(536,866,585	)

Change in net unrealized appreciation/depreciation on
Futures contracts		33,204,771			137,428,203			(190,137,467	)		48,917,257
Short-term U.S. government and agency obligations		(155,699	)		10,939			(18,563	)		10,951

Change in net unrealized appreciation/depreciation		33,049,072			137,439,142			(190,156,030	)		48,928,208

Net realized and unrealized gain (loss)		(502,252,751	)		(264,338,289	)		(714,279,203	)		(487,938,377	)

Net income (loss)	$	(505,285,044	)	$	(266,341,400	)	$	(718,960,503	)	$	(491,991,101	)

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, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	547,708,740

Addition of 30,010,000 shares (Note 1)		2,700,661,295
Redemption of 15,510,000 shares (Note 1)		(1,689,795,679	)

Net addition (redemption) of 14,500,000 shares (Note 1)		1,010,865,616

Net investment income (loss)		(4,681,300	)
Net realized gain (loss)		(524,123,173	)
Change in net unrealized appreciation/depreciation		(190,156,030	)

Net income (loss)		(718,960,503	)

Shareholders’ equity, at June 30, 2016	$	839,613,853

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	(718,960,503	)	$	(491,991,101	)
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		(172,839,836	)		41,813,685
Purchases of short-term U.S. government and agency obligations		(2,754,500,336	)		(1,853,422,707	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		2,686,687,418			1,609,307,436
Net amortization and accretion on short-term U.S government and agency obligations		(820,758	)		(64,494	)
Net realized gain (loss) on investments		(8,594	)		(16,499	)
Change in unrealized appreciation/depreciation on investments		18,563			(10,951	)
Decrease (Increase) in receivable on futures contracts		17,995,478			(86,016,014	)
Increase (Decrease) in management fee payable		260,571			32,800
Increase (Decrease) in payable on futures contracts		109,234,928			—

Net cash provided by (used in) operating activities		(832,933,069	)		(780,367,845	)

Cash flow from financing activities
Proceeds from addition of shares		2,526,901,881			1,563,638,051
Payment on shares redeemed		(1,697,724,402	)		(779,845,183	)

Net cash provided by (used in) financing activities		829,177,479			783,792,868

Net increase (decrease) in cash		(3,755,590	)		3,425,023
Cash, beginning of period		9,081,964			3,737,292

Cash, end of period	$	5,326,374		$	7,162,315

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	460,821	$	831,440
Segregated cash balances with brokers for swap agreements		236,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $5,802,105 and $7,517,328, respectively)		5,802,280		7,518,119
Unrealized appreciation on swap agreements		—		224,491

Total assets		6,499,101		8,574,050

Liabilities and shareholders’ equity
Liabilities
Management fee payable		5,057		6,844
Unrealized depreciation on swap agreements		145,643		53,167

Total liabilities		150,700		60,011

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		6,348,401		8,514,039

Total liabilities and shareholders’ equity	$	6,499,101	$	8,574,050

Shares outstanding (Note 1)		179,985		179,991

Net asset value per share (Note 1)	$	35.27	$	47.30

Market value per share (Note 1)(Note 2)	$	35.70	$	46.80

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (91% of shareholders’ equity)
U.S. Treasury Bills^^:
0.310% due 07/21/16†	$	1,801,000	$	1,800,820
0.195% due 07/28/16†		4,002,000		4,001,460

Total short-term U.S. government and agency obligations (cost $5,802,105)			$	5,802,280

Swap Agreements^


	Rate Paid (Received)*			Termination Date	Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Swap agreement with Citibank N.A. based on Bloomberg Commodity Index		0.18	%	07/06/16	$	(3,670,843	)	$	(44,187	)
Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index		0.20		07/06/16		(4,711,792	)		(39,256	)
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index		0.25		07/06/16		(2,873,985	)		(43,397	)
Swap agreement with UBS AG based on Bloomberg Commodity Index		0.60		07/06/16		(1,442,251	)		(18,803	)

								$	(145,643	)

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

^	The positions and counterparties herein are as of June 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

*	Reflects the floating financing rate, as of June 30, 2016, 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, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	4,060		$	468		$	7,960		$	996

Expenses
Management fee		16,871			12,741			37,696			25,587

Total expenses		16,871			12,741			37,696			25,587

Net investment income (loss)		(12,811	)		(12,273	)		(29,736	)		(24,591	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		(1,690,552	)		(75,531	)		(1,818,143	)		781,018
Short-term U.S. government and agency obligations		145			16			145			16

Net realized gain (loss)		(1,690,407	)		(75,515	)		(1,817,998	)		781,034

Change in net unrealized appreciation/depreciation on
Swap agreements		(203,424	)		(514,197	)		(316,967	)		(804,831	)
Short-term U.S. government and agency obligations		(435	)		(178	)		(616	)		(118	)

Change in net unrealized appreciation/depreciation		(203,859	)		(514,375	)		(317,583	)		(804,949	)

Net realized and unrealized gain (loss)		(1,894,266	)		(589,890	)		(2,135,581	)		(23,915	)

Net income (loss)	$	(1,907,077	)	$	(602,163	)	$	(2,165,317	)	$	(48,506	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	8,514,039

Redemption of 6 shares (Note 1)		(321	)

Net addition (redemption) of (6) shares (Note 1)		(321	)

Net investment income (loss)		(29,736	)
Net realized gain (loss)		(1,817,998	)
Change in net unrealized appreciation/depreciation		(317,583	)

Net income (loss)		(2,165,317	)

Shareholders’ equity, at June 30, 2016	$	6,348,401

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	(2,165,317	)	$	(48,506	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for swap agreements		(236,000	)		—
Purchases of short-term U.S. government and agency obligations		(13,558,178	)		(5,839,238	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		15,281,490			5,161,999
Net amortization and accretion on short-term U.S government and agency obligations		(7,944	)		(996	)
Net realized gain (loss) on investments		(145	)		(16	)
Change in unrealized appreciation/depreciation on investments		317,583			804,949
Increase (Decrease) in management fee payable		(1,787	)		377

Net cash provided by (used in) operating activities		(370,298	)		78,569

Cash flow from financing activities
Payment on shares redeemed		(321	)		—

Net cash provided by (used in) financing activities		(321	)		—

Net increase (decrease) in cash		(370,619	)		78,569
Cash, beginning of period		831,440			467,766

Cash, end of period	$	460,821		$	546,335

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	1,015,695	$	598,645
Segregated cash balances with brokers for futures contracts		5,292,100		10,154,430
Short-term U.S. government and agency obligations (Note 3) (cost $142,998,690 and $79,694,797, respectively)		143,010,392		79,692,642
Unrealized appreciation on swap agreements		11,808,950		6,412,656
Receivable from capital shares sold		3,858,339		—
Receivable on open futures contracts		688,575		—

Total assets		165,674,051		96,858,373

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		850,883
Brokerage commissions and fees payable		3,407		8,453
Management fee payable		165,898		101,143

Total liabilities		169,305		960,479

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		165,504,746		95,897,894

Total liabilities and shareholders’ equity	$	165,674,051	$	96,858,373

Shares outstanding		2,019,942		719,944

Net asset value per share	$	81.94	$	133.20

Market value per share (Note 2)	$	81.62	$	133.64

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (86% of shareholders’ equity)
U.S. Treasury Bills^^:
0.220% due 07/14/16†	$	686,000	$	685,969
0.195% due 07/28/16†		7,744,000		7,742,954
0.228% due 08/04/16†		28,904,000		28,898,130
0.242% due 08/11/16†		31,055,000		31,047,572
0.335% due 09/01/16†		23,972,000		23,962,298
0.281% due 09/08/16		11,646,000		11,641,424
0.255% due 09/15/16†		13,709,000		13,703,067
0.290% due 09/22/16†		25,343,000		25,328,978

Total short-term U.S. government and agency obligations (cost $142,998,690)			$	143,010,392

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil - NYMEX, expires September 2016		1,415	$	69,349,150	$	220,480

Swap Agreements^


	Rate Paid (Received)*			Termination Date		Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Swap agreement with Citibank N.A. based on Bloomberg WTI Crude Oil Subindex		0.18	%		07/06/16	$	(80,059,861	)	$	3,505,354
Swap agreement with Deutsche Bank AG based on Bloomberg WTI Crude Oil Subindex		0.20			07/06/16		(31,645,418	)		1,154,522
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		0.25			07/06/16		(76,235,818	)		3,949,646
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		0.25			07/06/16		(8,710,888	)		317,503
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		0.25			07/06/16		(64,999,894	)		2,881,925

									$	11,808,950

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

††	Cash collateral in the amount of $5,292,100 was pledged to cover margin requirements for open futures contracts as of June 30, 2016.

^	The positions and counterparties herein are as of June 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

*	Reflects the floating financing rate, as of June 30, 2016, 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 AN SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	144,387		$	15,983		$	233,499		$	36,495

Expenses
Management fee		516,946			667,767			885,196			1,271,602
Brokerage commissions and fees		39,895			80,858			97,759			125,143

Total expenses		556,841			748,625			982,955			1,396,745

Net investment income (loss)		(412,454	)		(732,642	)		(749,456	)		(1,360,250	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(32,306,031	)		(39,231,996	)		(8,548,396	)		(21,125,276	)
Swap agreements		(77,193,275	)		(44,473,232	)		(78,629,312	)		(17,930,080	)
Short-term U.S. government and agency obligations		6,052			7,606			(8,594	)		15,490

Net realized gain (loss)		(109,493,254	)		(83,697,622	)		(87,186,302	)		(39,039,866	)

Change in net unrealized appreciation/depreciation on
Futures contracts		15,218,108			(13,178,035	)		(2,244,033	)		(11,578,377	)
Swap agreements		4,704,116			(33,303,791	)		5,396,294			(33,464,395	)
Short-term U.S. government and agency obligations		(18,960	)		5,175			13,857			(1,092	)

Change in net unrealized appreciation/depreciation		19,903,264			(46,476,651	)		3,166,118			(45,043,864	)

Net realized and unrealized gain (loss)		(89,589,990	)		(130,174,273	)		(84,020,184	)		(84,083,730	)

Net income (loss)	$	(90,002,444	)	$	(130,906,915	)	$	(84,769,640	)	$	(85,443,980	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	95,897,894

Addition of 5,000,000 shares		679,061,492
Redemption of 3,700,002 shares		(524,685,000	)

Net addition (redemption) of 1,299,998 shares		154,376,492

Net investment income (loss)		(749,456	)
Net realized gain (loss)		(87,186,302	)
Change in net unrealized appreciation/depreciation		3,166,118

Net income (loss)		(84,769,640	)

Shareholders’ equity, at June 30, 2016	$	165,504,746

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	(84,769,640	)	$	(85,443,980	)
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		4,862,330			4,326,199
Purchases of short-term U.S. government and agency obligations		(644,528,972	)		(834,055,056	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		581,449,984			773,617,191
Net amortization and accretion on short-term U.S government and agency obligations		(233,499	)		(36,495	)
Net realized gain (loss) on investments		8,594			(15,490	)
Change in unrealized appreciation/depreciation on investments		(5,410,151	)		33,465,487
Decrease (Increase) in receivable on futures contracts		(688,575	)		1,293,531
Increase (Decrease) in management fee payable		64,755			59,870
Increase (Decrease) in brokerage commissions and fees payable		(5,046	)		7,235
Increase (Decrease) in payable on futures contracts		(850,883	)		2,905,734

Net cash provided by (used in) operating activities		(150,101,103	)		(103,875,774	)

Cash flow from financing activities
Proceeds from addition of shares		675,203,153			647,090,294
Payment on shares redeemed		(524,685,000	)		(542,795,196	)

Net cash provided by (used in) financing activities		150,518,153			104,295,098

Net increase (decrease) in cash		417,050			419,324
Cash, beginning of period		598,645			994,268

Cash, end of period	$	1,015,695		$	1,413,592

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	166,112	$	1,099,140
Segregated cash balances with brokers for futures contracts		327,250		2,046,660
Short-term U.S. government and agency obligations (Note 3) (cost $2,185,134 and $8,114,653, respectively)		2,185,571		8,115,004
Receivable for investments sold		—		—

Total assets		2,678,933		11,260,804

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		121,800		785,170
Brokerage commissions and fees payable		681		1,908
Management fee payable		5,487		10,870

Total liabilities		127,968		797,948

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		2,550,965		10,462,856

Total liabilities and shareholders’ equity	$	2,678,933	$	11,260,804

Shares outstanding (Note 1)		74,832		224,856

Net asset value per share (Note 1)	$	34.09	$	46.53

Market value per share (Note 1)(Note 2)	$	34.06	$	46.55

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (86% of shareholders’ equity)
U.S. Treasury Bills^^:
0.225% due 08/11/16	$	307,000	$	306,927
0.290% due 10/27/16		1,880,000		1,878,644

Total short-term U.S. government and agency obligations (cost $2,185,134)			$	2,185,571

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, September 2016		175	$	5,106,500	$	(380,582	)

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

††	Cash collateral in the amount of $327,250 was pledged to cover margin requirements for open futures contracts as of June 30, 2016.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	4,550		$	595		$	14,118		$	1,580

Expenses
Management fee		20,104			29,314			57,023			57,687
Brokerage commissions and fees		16,355			19,343			45,302			33,542

Total expenses		36,459			48,657			102,325			91,229

Net investment income (loss)		(31,909	)		(48,062	)		(88,207	)		(89,649	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(3,556,836	)		(77,627	)		557,513			5,101,641
Short-term U.S. government and agency obligations		1,894			141			3,004			589

Net realized gain (loss)		(3,554,942	)		(77,486	)		560,517			5,102,230

Change in net unrealized appreciation/depreciation on
Futures contracts		(13,486	)		(832,681	)		2,090,582			(3,914,406	)
Short-term U.S. government and agency obligations		(721	)		61			86			(114	)

Change in net unrealized appreciation/depreciation		(14,207	)		(832,620	)		2,090,668			(3,914,520	)

Net realized and unrealized gain (loss)		(3,569,149	)		(910,106	)		2,651,185			1,187,710

Net income (loss)	$	(3,601,058	)	$	(958,168	)	$	2,562,978		$	1,098,061

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	10,462,856

Addition of 450,000 shares (Note 1)		22,431,178
Redemption of 600,024 shares (Note 1)		(32,906,047	)

Net addition (redemption) of (150,024) shares (Note 1)		(10,474,869	)

Net investment income (loss)		(88,207	)
Net realized gain (loss)		560,517
Change in net unrealized appreciation/depreciation		2,090,668

Net income (loss)		2,562,978

Shareholders’ equity, at June 30, 2016	$	2,550,965

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	2,562,978		$	1,098,061
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		1,719,410			3,111,721
Purchases of short-term U.S. government and agency obligations		(32,506,214	)		(29,481,843	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		38,452,855			26,535,857
Net amortization and accretion on short-term U.S government and agency obligations		(14,118	)		(1,580	)
Net realized gain (loss) on investments		(3,004	)		(589	)
Change in unrealized appreciation/depreciation on investments		(86	)		114
Decrease (Increase) in receivable on futures contracts		—			923,531
Increase (Decrease) in management fee payable		(5,383	)		619
Increase (Decrease) in brokerage commissions and fees payable		(1,227	)		1,302
Increase (Decrease) in payable on futures contracts		(663,370	)		167,820

Net cash provided by (used in) operating activities		9,541,841			2,355,013

Cash flow from financing activities
Proceeds from addition of shares		22,431,178			22,390,130
Payment on shares redeemed		(32,906,047	)		(25,090,904	)

Net cash provided by (used in) financing activities		(10,474,869	)		(2,700,774	)

Net increase (decrease) in cash		(933,028	)		(345,761	)
Cash, beginning of period		1,099,140			696,743

Cash, end of period	$	166,112		$	350,982

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	130,058	$	151,638
Segregated cash balances with brokers for futures contracts		12,100		91,250
Segregated cash balances with brokers for forward agreements		501,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $63,621,372 and $72,981,653, respectively)		63,623,922		72,979,905
Unrealized appreciation on forward agreements		—		1,808,942
Receivable on open futures contracts		1,260		—

Total assets		64,268,340		75,031,735

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		80
Management fee payable		50,390		59,891
Unrealized depreciation on forward agreements		8,180,840		—

Total liabilities		8,231,230		59,971

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		56,037,110		74,971,764

Total liabilities and shareholders’ equity	$	64,268,340	$	75,031,735

Shares outstanding		796,978		646,978

Net asset value per share	$	70.31	$	115.88

Market value per share (Note 2)	$	70.00	$	115.83

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (114% of shareholders’ equity)
U.S. Treasury Bills^^:
0.251% due 07/14/16†	$	33,191,000	$	33,189,503
0.150% due 07/21/16		1,889,000		1,888,811
0.252% due 09/08/16†		15,332,000		15,325,976
0.260% due 09/22/16†		5,867,000		5,863,754
0.186% due 10/06/16		3,922,000		3,919,358
0.230% due 10/27/16†		3,439,000		3,436,520

Total short-term U.S. government and agency obligations (cost $63,621,372)			$	63,623,922

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires August 2016		2	$	264,120	$ (7,600)

Forward Agreements^


	Rate Paid (Received)*			Settlement Date		Commitment to (Deliver)/Receive			Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Forward agreements with Citibank N.A. based on 0.995 Fine Troy Ounce Gold		(0.75	)%		07/06/16	$	(16,400	)	$	(21,663,908	)	$	(1,343,547	)
Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold		(0.95	)		07/06/16		(38,100	)		(50,331,243	)		(3,950,296	)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		(0.55	)		07/06/16		(14,898	)		(19,679,662	)		(1,359,875	)
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		(0.45	)		07/06/16		(4,000	)		(5,283,840	)		(306,899	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		(0.50	)		07/06/16		(11,250	)		(14,860,688	)		(1,220,223	)

												$	(8,180,840	)

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

††	Cash collateral in the amount of $12,100 was pledged to cover margin requirements for open futures contracts as of June 30, 2016.

^	The positions and counterparties herein are as of June 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

*	Reflects the floating financing rate, as of June 30, 2016, 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 GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	45,076		$	6,595		$	74,265		$	14,791

Expenses
Management fee		159,878			174,020			305,990			367,896
Brokerage commissions and fees		8			9			25			25

Total expenses		159,886			174,029			306,015			367,921

Net investment income (loss)		(114,810	)		(167,434	)		(231,750	)		(353,130	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(2,040	)		(14,000	)		(38,480	)		(12,000	)
Forward agreements		(254,589	)		(511,529	)		(19,630,156	)		1,405,001
Short-term U.S. government and agency obligations		206			176			(943	)		(424	)

Net realized gain (loss)		(256,423	)		(525,353	)		(19,669,579	)		1,392,577

Change in net unrealized appreciation/depreciation on
Futures contracts		(14,480	)		16,410			(12,820	)		14,890
Forward agreements		(9,905,391	)		1,585,109			(9,989,782	)		2,285,806
Short-term U.S. government and agency obligations		(10,366	)		1,351			4,298			115

Change in net unrealized appreciation/depreciation		(9,930,237	)		1,602,870			(9,998,304	)		2,300,811

Net realized and unrealized gain (loss)		(10,186,660	)		1,077,517			(29,667,883	)		3,693,388

Net income (loss)	$	(10,301,470	)	$	910,083		$	(29,899,633	)	$	3,340,258

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	74,971,764

Addition of 700,000 shares		58,266,824
Redemption of 550,000 shares		(47,301,845	)

Net addition (redemption) of 150,000 shares		10,964,979

Net investment income (loss)		(231,750	)
Net realized gain (loss)		(19,669,579	)
Change in net unrealized appreciation/depreciation		(9,998,304	)

Net income (loss)		(29,899,633	)

Shareholders’ equity, at June 30, 2016	$	56,037,110

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	(29,899,633	)	$	3,340,258
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		79,150			550
Decrease (Increase) in segregated cash balances with brokers for forward agreements		(501,000	)		—
Purchases of short-term U.S. government and agency obligations		(146,296,845	)		(103,783,368	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		155,730,448			113,989,869
Net amortization and accretion on short-term U.S government and agency obligations		(74,265	)		(14,791	)
Net realized gain (loss) on investments		943			424
Change in unrealized appreciation/depreciation on investments		9,985,484			(2,285,921	)
Decrease (Increase) in receivable on futures contracts		(1,260	)		1,820
Increase (Decrease) in management fee payable		(9,501	)		(13,263	)
Increase (Decrease) in payable on futures contracts		(80	)		—

Net cash provided by (used in) operating activities		(10,986,559	)		11,235,578

Cash flow from financing activities
Proceeds from addition of shares		58,266,824			8,523,330
Payment on shares redeemed		(47,301,845	)		(19,773,676	)

Net cash provided by (used in) financing activities		10,964,979			(11,250,346	)

Net increase (decrease) in cash		(21,580	)		(14,768	)
Cash, beginning of period		151,638			162,434

Cash, end of period	$	130,058		$	147,666

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	1,968,544	$	514,784
Segregated cash balances with brokers for futures contracts		10,560		11,440
Short-term U.S. government and agency obligations (Note 3) (cost $39,096,580 and $50,730,044, respectively)		39,098,231		50,730,230
Unrealized appreciation on forward agreements		—		4,778,279
Receivable on open futures contracts		—		390

Total assets		41,077,335		56,035,123

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		2,160		—
Management fee payable		29,930		47,185
Unrealized depreciation on forward agreements		8,978,025		—

Total liabilities		9,010,115		47,185

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		32,067,220		55,987,938

Total liabilities and shareholders’ equity	$	41,077,335	$	56,035,123

Shares outstanding		966,976		866,978

Net asset value per share	$	33.16	$	64.58

Market value per share (Note 2)	$	31.65	$	64.55

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (122% of shareholders’ equity)
U.S. Treasury Bills^^:
0.296% due 07/21/16†	$	8,077,000	$	8,076,192
0.211% due 07/28/16†		8,262,000		8,260,885
0.253% due 08/04/16†		5,981,000		5,979,785
0.232% due 08/11/16†		10,957,000		10,954,379
0.335% due 09/01/16		1,448,000		1,447,414
0.260% due 09/22/16†		4,382,000		4,379,576

Total short-term U.S. government and agency obligations (cost $39,096,580)			$	39,098,231

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires September 2016		2	$	186,230	$	(12,180	)

Forward Agreements^


	Rate Paid (Received)*			Settlement Date		Commitment to (Deliver)/Receive			Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Forward agreements with Citibank, N.A. based on 0.999 Fine Troy Ounce Silver		0.85	%		07/06/16	$	(696,000	)	$	(12,780,926	)	$	(1,515,072	)
Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver		1.08			07/06/16		(1,353,000	)		(24,846,763	)		(4,154,451	)
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		0.65			07/06/16		(577,500	)		(10,604,748	)		(1,634,166	)
Forward agreements with Societe Generale based on 0.999 Fine Troy Ounce Silver		0.55			07/06/16		(156,000	)		(2,864,659	)		(305,412	)
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		0.58			07/06/16		(700,000	)		(12,854,240	)		(1,368,924	)

												$	(8,978,025	)

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

††	Cash collateral in the amount of $10,560 was pledged to cover margin requirements for open futures contracts as of June 30, 2016.

^	The positions and counterparties herein are as of June 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

*	Reflects the floating financing rate, as of June 30, 2016, 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, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	29,058		$	4,035		$	48,742		$	10,178

Expenses
Management fee		99,330			134,697			194,741			259,052
Brokerage commissions and fees		17			17			25			25

Total expenses		99,347			134,714			194,766			259,077

Net investment income (loss)		(70,289	)		(130,679	)		(146,024	)		(248,899	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(16,550	)		11,225			(29,400	)		25
Forward agreements		(6,424,268	)		(580,371	)		(11,759,922	)		(1,930,876	)
Short-term U.S. government and agency obligations		589			792			(2,372	)		634

Net realized gain (loss)		(6,440,229	)		(568,354	)		(11,791,694	)		(1,930,217	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(14,090	)		(205	)		(18,150	)		1,330
Forward agreements		(9,526,266	)		6,290,595			(13,756,304	)		1,959,459
Short-term U.S. government and agency obligations		(4,305	)		(1,247	)		1,465			(980	)

Change in net unrealized appreciation/depreciation		(9,544,661	)		6,289,143			(13,772,989	)		1,959,809

Net realized and unrealized gain (loss)		(15,984,890	)		5,720,789			(25,564,683	)		29,592

Net income (loss)	$	(16,055,179	)	$	5,590,110		$	(25,710,707	)	$	(219,307	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	55,987,938

Addition of 1,000,000 shares		50,115,414
Redemption of 900,002 shares		(48,325,425	)

Net addition (redemption) of 99,998 shares		1,789,989

Net investment income (loss)		(146,024	)
Net realized gain (loss)		(11,791,694	)
Change in net unrealized appreciation/depreciation		(13,772,989	)

Net income (loss)		(25,710,707	)

Shareholders’ equity, at June 30, 2016	$	32,067,220

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	(25,710,707	)	$	(219,307	)
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		880			(1,100	)
Purchases of short-term U.S. government and agency obligations		(87,581,881	)		(100,907,460	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		99,261,715			95,484,510
Net amortization and accretion on short-term U.S government and agency obligations		(48,742	)		(10,178	)
Net realized gain (loss) on investments		2,372			(634	)
Change in unrealized appreciation/depreciation on investments		13,754,839			(1,958,479	)
Decrease (Increase) in receivable on futures contracts		390			5,630
Increase (Decrease) in management fee payable		(17,255	)		5,544
Increase (Decrease) in payable on futures contracts		2,160			—

Net cash provided by (used in) operating activities		(336,229	)		(7,601,474	)

Cash flow from financing activities
Proceeds from addition of shares		50,115,414			49,611,938
Payment on shares redeemed		(48,325,425	)		(41,284,262	)

Net cash provided by (used in) financing activities		1,789,989			8,327,676

Net increase (decrease) in cash		1,453,760			726,202
Cash, beginning of period		514,784			207,506

Cash, end of period	$	1,968,544		$	933,708

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	1,808,529	$	1,783,802
Segregated cash balances with brokers for futures contracts		497,228		503,745
Short-term U.S. government and agency obligations (Note 3) (cost $14,785,748 and $15,153,202, respectively)		14,786,144		15,153,211
Receivable on open futures contracts		46,894		84,235

Total assets		17,138,795		17,524,993

Liabilities and shareholders’ equity
Liabilities
Management fee payable		13,147		14,095

Total liabilities		13,147		14,095

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		17,125,648		17,510,898

Total liabilities and shareholders’ equity	$	17,138,795	$	17,524,993

Shares outstanding		400,000		400,005

Net asset value per share	$	42.81	$	43.78

Market value per share (Note 2)	$	42.81	$	43.74

See accompanying notes to financial statements.

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (86% of shareholders’ equity)
U.S. Treasury Bills^^:
0.256% due 07/21/16	$	3,571,000	$	3,570,643
0.211% due 07/28/16		5,745,000		5,744,224
0.225% due 08/11/16		2,969,000		2,968,290
0.250% due 09/01/16		2,504,000		2,502,987

Total short-term U.S. government and agency obligations (cost $14,785,748)			$	14,786,144

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Euro Fx Currency Futures - CME, expires September 2016		123	$	17,077,781	$	461,469

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

††	Cash collateral in the amount of $497,228 was pledged to cover margin requirements for open futures contracts as of June 30, 2016.

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	8,531		$	1,283		$	14,669		$	2,663

Expenses
Management fee		38,959			46,327			79,492			85,186
Brokerage commissions and fees		679			851			1,429			1,719

Total expenses		39,638			47,178			80,921			86,905

Net investment income (loss)		(31,107	)		(45,895	)		(66,252	)		(84,242	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(472,606	)		(906,332	)		(526,800	)		1,150,762
Short-term U.S. government and agency obligations		—			—			33			—

Net realized gain (loss)		(472,606	)		(906,332	)		(526,767	)		1,150,762

Change in net unrealized appreciation/depreciation on
Futures contracts		926,538			128,519			218,031			(147,043	)
Short-term U.S. government and agency obligations		(1,087	)		(173	)		387			10

Change in net unrealized appreciation/depreciation		925,451			128,346			218,418			(147,033	)

Net realized and unrealized gain (loss)		452,845			(777,986	)		(308,349	)		1,003,729

Net income (loss)	$	421,738		$	(823,881	)	$	(374,601	)	$	919,487

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	17,510,898

Addition of 50,000 shares		2,109,382
Redemption of 50,005 shares		(2,120,031	)

Net addition (redemption) of (5) shares		(10,649	)

Net investment income (loss)		(66,252	)
Net realized gain (loss)		(526,767	)
Change in net unrealized appreciation/depreciation		218,418

Net income (loss)		(374,601	)

Shareholders’ equity, at June 30, 2016	$	17,125,648

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	(374,601	)	$	919,487
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		6,517			(261,690	)
Purchases of short-term U.S. government and agency obligations		(29,469,778	)		(24,431,813	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		29,851,934			19,629,000
Net amortization and accretion on short-term U.S government and agency obligations		(14,669	)		(2,663	)
Net realized gain (loss) on investments		(33	)		—
Change in unrealized appreciation/depreciation on investments		(387	)		(10	)
Decrease (Increase) in receivable on futures contracts		37,341			(111,191	)
Increase (Decrease) in management fee payable		(948	)		3,893

Net cash provided by (used in) operating activities		35,376			(4,254,987	)

Cash flow from financing activities
Proceeds from addition of shares		2,109,382			4,418,831
Payment on shares redeemed		(2,120,031	)		—

Net cash provided by (used in) financing activities		(10,649	)		4,418,831

Net increase (decrease) in cash		24,727			163,844
Cash, beginning of period		1,783,802			1,640,225

Cash, end of period	$	1,808,529		$	1,804,069

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	1,832,922	$	1,958,996
Segregated cash balances with brokers for futures contracts		993,960		57,065
Short-term U.S. government and agency obligations (Note 3) (cost $15,925,177 and $18,409,449, respectively)		15,926,135		18,408,894
Receivable on open futures contracts		—		52,491

Total assets		18,753,017		20,477,446

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		24,787		—
Management fee payable		14,825		16,767

Total liabilities		39,612		16,767

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		18,713,405		20,460,679

Total liabilities and shareholders’ equity	$	18,753,017	$	20,477,446

Shares outstanding		350,000		350,005

Net asset value per share	$	53.47	$	58.46

Market value per share (Note 2)	$	53.47	$	58.15

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (85% of shareholders’ equity)
U.S. Treasury Bills^^:
0.295% due 07/21/16	$	14,811,000	$	14,809,519
0.234% due 08/25/16		1,117,000		1,116,616

Total short-term U.S. government and agency obligations (cost $15,925,177)			$	15,926,135

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Australian Dollar Fx Currency Futures - CME, expires September 2016		502	$	37,268,480	$	55,717

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

††	Cash collateral in the amount of $993,960 was pledged to cover margin requirements for open futures contracts as of June 30, 2016.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	12,258		$	749		$	20,043		$	1,856

Expenses
Management fee		44,642			45,158			93,486			97,982
Brokerage commissions and fees		3,774			3,603			7,744			7,600

Total expenses		48,416			48,761			101,230			105,582

Net investment income (loss)		(36,158	)		(48,012	)		(81,187	)		(103,726	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(455,053	)		(445,902	)		(2,143,492	)		2,533,768
Short-term U.S. government and agency obligations		219			7			219			226

Net realized gain (loss)		(454,834	)		(445,895	)		(2,143,273	)		2,533,994

Change in net unrealized appreciation/depreciation on
Futures contracts		1,177,517			(517,310	)		475,987			(840,941	)
Short-term U.S. government and agency obligations		(1,319	)		(13	)		1,513			96

Change in net unrealized appreciation/depreciation		1,176,198			(517,323	)		477,500			(840,845	)

Net realized and unrealized gain (loss)		721,364			(963,218	)		(1,665,773	)		1,693,149

Net income (loss)	$	685,206		$	(1,011,230	)	$	(1,746,960	)	$	1,589,423

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	20,460,679

Redemption of 5 shares		(314	)

Net addition (redemption) of (5) shares		(314	)

Net investment income (loss)		(81,187	)
Net realized gain (loss)		(2,143,273	)
Change in net unrealized appreciation/depreciation		477,500

Net income (loss)		(1,746,960	)

Shareholders’ equity, at June 30, 2016	$	18,713,405

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	(1,746,960	)	$	1,589,423
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		(936,895	)		638,242
Purchases of short-term U.S. government and agency obligations		(21,186,216	)		(35,556,408	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		23,690,750			38,855,422
Net amortization and accretion on short-term U.S government and agency obligations		(20,043	)		(1,856	)
Net realized gain (loss) on investments		(219	)		(226	)
Change in unrealized appreciation/depreciation on investments		(1,513	)		(96	)
Decrease (Increase) in receivable on futures contracts		52,491			62,534
Increase (Decrease) in management fee payable		(1,942	)		(3,422	)
Increase (Decrease) in payable on futures contracts		24,787			52,029

Net cash provided by (used in) operating activities		(125,760	)		5,635,642

Cash flow from financing activities
Proceeds from addition of shares		—			2,764,167
Payment on shares redeemed		(314	)		(8,380,675	)

Net cash provided by (used in) financing activities		(314	)		(5,616,508	)

Net increase (decrease) in cash		(126,074	)		19,134
Cash, beginning of period		1,958,996			1,788,757

Cash, end of period	$	1,832,922		$	1,807,891

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	182,527	$	10,372,583
Segregated cash balances with brokers for foreign currency forward contracts		15,803,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $366,707,612 and $546,177,230, respectively)		366,728,200		546,166,776
Unrealized appreciation on foreign currency forward contracts		7,069,239		—

Total assets		389,782,966		556,539,359

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		5,108,230
Management fee payable		296,430		414,275
Unrealized depreciation on foreign currency forward contracts		2,825,631		28,710,336

Total liabilities		3,122,061		34,232,841

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		386,660,905		522,306,518

Total liabilities and shareholders’ equity	$	389,782,966	$	556,539,359

Shares outstanding		15,900,000		20,450,014

Net asset value per share	$	24.32	$	25.54

Market value per share (Note 2)	$	24.32	$	25.53

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (95% of shareholders’ equity)
U.S. Treasury Bills^^:
0.250% due 07/07/16	$	58,541,000	$	58,540,415
0.266% due 07/14/16†		100,000,000		99,995,490
0.159% due 07/21/16†		42,646,000		42,641,735
0.259% due 09/08/16†		104,816,000		104,774,818
0.238% due 09/15/16†		17,856,000		17,848,272
0.290% due 09/22/16†		8,620,000		8,615,230
0.230% due 10/27/16†		34,337,000		34,312,240

Total short-term U.S. government and agency obligations (cost $366,707,612)			$	366,728,200


Foreign Currency Forward Contracts^

	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		07/08/16		83,932,700		$	93,141,094		$	(1,884,353	)
Euro with UBS AG		07/08/16		51,350,400			56,984,137			(941,278	)

									$	(2,825,631	)

Contracts to Sell
Euro with Goldman Sachs International		07/08/16		(440,595,725	)	$	(488,934,205	)	$	3,675,913
Euro with UBS AG		07/08/16		(392,387,400	)		(435,436,866	)		3,393,326

									$	7,069,239

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

^	The positions and counterparties herein are as of June 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	255,428		$	54,503		$	516,867		$	122,093

Expenses
Management fee		921,922			1,350,724			1,988,314			2,607,869

Total expenses		921,922			1,350,724			1,988,314			2,607,869

Net investment income (loss)		(666,494	)		(1,296,221	)		(1,471,447	)		(2,485,776	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(26,140,318	)		(29,574,030	)		(55,054,450	)		77,941,788
Short-term U.S. government and agency obligations		6,294			3,345			(1,618	)		15,866

Net realized gain (loss)		(26,134,024	)		(29,570,685	)		(55,056,068	)		77,957,654

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		45,156,342			(18,914,111	)		32,953,944			(12,286,910	)
Short-term U.S. government and agency obligations		(62,232	)		(12,097	)		31,042			(7,829	)

Change in net unrealized appreciation/depreciation		45,094,110			(18,926,208	)		32,984,986			(12,294,739	)

Net realized and unrealized gain (loss)		18,960,086			(48,496,893	)		(22,071,082	)		65,662,915

Net income (loss)	$	18,293,592		$	(49,793,114	)	$	(23,542,529	)	$	63,177,139

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	522,306,518

Addition of 450,000 shares		10,558,897
Redemption of 5,000,014 shares		(122,661,981	)

Net addition (redemption) of (4,550,014) shares		(112,103,084	)

Net investment income (loss)		(1,471,447	)
Net realized gain (loss)		(55,056,068	)
Change in net unrealized appreciation/depreciation		32,984,986

Net income (loss)		(23,542,529	)

Shareholders’ equity, at June 30, 2016	$	386,660,905

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	(23,542,529	)	$	63,177,139
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts		(15,803,000	)		—
Purchases of short-term U.S. government and agency obligations		(665,608,389	)		(783,662,041	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		845,593,256			692,733,482
Net amortization and accretion on short-term U.S government and agency obligations		(516,867	)		(121,067	)
Net realized gain (loss) on investments		1,618			(15,866	)
Change in unrealized appreciation/depreciation on investments		(32,984,986	)		12,294,739
Increase (Decrease) in management fee payable		(117,845	)		62,765

Net cash provided by (used in) operating activities		107,021,258			(15,530,849	)

Cash flow from financing activities
Proceeds from addition of shares		10,558,897			268,982,028
Payment on shares redeemed		(127,770,211	)		(253,907,748	)

Net cash provided by (used in) financing activities		(117,211,314	)		15,074,280

Net increase (decrease) in cash		(10,190,056	)		(456,569	)
Cash, beginning of period		10,372,583			746,454

Cash, end of period	$	182,527		$	289,885

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	208,995	$	276,968
Segregated cash balances with brokers for foreign currency forward contracts		1,274,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $208,996,823 and $260,014,650, respectively)		209,003,765		259,997,001
Unrealized appreciation on foreign currency forward contracts		1,968,365		933,727
Receivable from capital shares sold		6,353,179		—

Total assets		218,808,304		261,207,696

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		8,794,729
Management fee payable		148,085		210,888
Unrealized depreciation on foreign currency forward contracts		24,928,139		14,829,179

Total liabilities		25,076,224		23,834,796

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		193,732,080		237,372,900

Total liabilities and shareholders’ equity	$	218,808,304	$	261,207,696

Shares outstanding		3,049,290		2,699,294

Net asset value per share	$	63.53	$	87.94

Market value per share (Note 2)	$	63.53	$	87.89

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (108% of shareholders’ equity)
U.S. Treasury Bills^^:
0.250% due 07/07/16†	$	16,107,000	$	16,106,839
0.201% due 07/14/16†		94,081,000		94,076,757
0.217% due 07/28/16†		9,214,000		9,212,756
0.190% due 08/11/16†		31,035,000		31,027,576
0.223% due 08/25/16†		13,587,000		13,582,330
0.250% due 09/08/16†		27,609,000		27,598,152
0.238% due 09/15/16†		5,149,000		5,146,772
0.260% due 09/22/16†		2,524,000		2,522,604
0.267% due 10/27/16†		9,737,000		9,729,979

Total short-term U.S. government and agency obligations (cost $208,996,823)			$	209,003,765

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		07/08/16		9,742,295,100		$	94,343,198		$	969,167
Yen with UBS AG		07/08/16		3,617,334,400			35,029,825			999,198

									$	1,968,365

Contracts to Sell
Yen with Goldman Sachs International		07/08/16		(29,570,855,800	)	$	(286,360,561	)	$	(12,986,241	)
Yen with UBS AG		07/08/16		(23,779,447,700	)		(230,277,271	)		(11,941,898	)

									$	(24,928,139	)

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

^	The positions and counterparties herein are as of June 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	104,491		$	39,919		$	172,839		$	84,967

Expenses
Management fee		429,269			1,013,305			898,414			2,174,897

Total expenses		429,269			1,013,305			898,414			2,174,897

Net investment income (loss)		(324,778	)		(973,386	)		(725,575	)		(2,089,930	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(15,080,710	)		30,642,122			(52,697,386	)		25,534,388
Short-term U.S. government and agency obligations		341			1,865			(5,794	)		4,308

Net realized gain (loss)		(15,080,369	)		30,643,987			(52,703,180	)		25,538,696

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(17,976,490	)		(14,879,883	)		(9,064,322	)		(12,633,351	)
Short-term U.S. government and agency obligations		(8,597	)		695			24,591			(7,911	)

Change in net unrealized appreciation/depreciation		(17,985,087	)		(14,879,188	)		(9,039,731	)		(12,641,262	)

Net realized and unrealized gain (loss)		(33,065,456	)		15,764,799			(61,742,911	)		12,897,434

Net income (loss)	$	(33,390,234	)	$	14,791,413		$	(62,468,486	)	$	10,807,504

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	237,372,900

Addition of 800,000 shares		55,105,156
Redemption of 450,004 shares		(36,277,490	)

Net addition (redemption) of 349,996 shares		18,827,666

Net investment income (loss)		(725,575	)
Net realized gain (loss)		(52,703,180	)
Change in net unrealized appreciation/depreciation		(9,039,731	)

Net income (loss)		(62,468,486	)

Shareholders’ equity, at June 30, 2016	$	193,732,080

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	(62,468,486	)	$	10,807,504
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts		(1,274,000	)		—
Purchases of short-term U.S. government and agency obligations		(375,205,996	)		(615,858,523	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		426,390,868			720,044,569
Net amortization and accretion on short-term U.S government and agency obligations		(172,839	)		(84,967	)
Net realized gain (loss) on investments		5,794			(4,308	)
Change in unrealized appreciation/depreciation on investments		9,039,731			12,641,262
Increase (Decrease) in management fee payable		(62,803	)		(100,943	)

Net cash provided by (used in) operating activities		(3,747,731	)		127,444,594

Cash flow from financing activities
Proceeds from addition of shares		48,751,977			95,954,298
Payment on shares redeemed		(45,072,219	)		(223,499,852	)

Net cash provided by (used in) financing activities		3,679,758			(127,545,554	)

Net increase (decrease) in cash		(67,973	)		(100,960	)
Cash, beginning of period		276,968			532,706

Cash, end of period	$	208,995		$	431,746

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	865,515	$	211,629
Segregated cash balances with brokers for swap agreements		179,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $11,255,636 and $7,084,754, respectively)		11,255,632		7,084,065
Unrealized appreciation on swap agreements		174,886		32,372

Total assets		12,475,033		7,328,066

Liabilities and shareholders’ equity
Liabilities
Management fee payable		9,555		5,794
Unrealized depreciation on swap agreements		—		216,288

Total liabilities		9,555		222,082

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		12,465,478		7,105,984

Total liabilities and shareholders’ equity	$	12,475,033	$	7,328,066

Shares outstanding		349,961		249,965

Net asset value per share	$	35.62	$	28.43

Market value per share (Note 2)	$	35.44	$	28.07

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (90% of shareholders’ equity)
U.S. Treasury Bills^^:
0.150% due 07/21/16	$	1,519,000	$	1,518,848
0.190% due 08/11/16†		4,540,000		4,538,914
0.234% due 08/25/16†		3,564,000		3,562,775
0.260% due 09/22/16†		1,636,000		1,635,095

Total short-term U.S. government and agency obligations (cost $11,255,636)			$	11,255,632

Swap Agreements^


	Rate Paid (Received)*			Termination Date		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Swap agreement with Citibank N.A. based on Bloomberg Commodity Index		0.18	%		07/06/16	$	10,214,040	$	71,429
Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index		0.20			07/06/16		3,591,175		28,983
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index		0.25			07/06/16		8,738,054		55,789
Swap agreement with UBS AG based on Bloomberg Commodity Index		0.60			07/06/16		2,392,652		18,685

								$	174,886

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

^	The positions and counterparties herein are as of June 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

*	Reflects the floating financing rate, as of June 30, 2016, 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, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	4,426		$	232		$	5,926		$	486

Expenses
Management fee		23,486			5,995			36,924			11,768

Total expenses		23,486			5,995			36,924			11,768

Net investment income (loss)		(19,060	)		(5,763	)		(30,998	)		(11,282	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		1,999,899			7,472			1,709,831			(512,987	)
Short-term U.S. government and agency obligations		(1	)		(21	)		(195	)		(7	)

Net realized gain (loss)		1,999,898			7,451			1,709,636			(512,994	)

Change in net unrealized appreciation/depreciation on
Swap agreements		252,925			225,590			358,802			427,495
Short-term U.S. government and agency obligations		(792	)		(43	)		685			4

Change in net unrealized appreciation/depreciation		252,133			225,547			359,487			427,499

Net realized and unrealized gain (loss)		2,252,031			232,998			2,069,123			(85,495	)

Net income (loss)	$	2,232,971		$	227,235		$	2,038,125		$	(96,777	)

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	7,105,984

Addition of 200,000 shares		6,046,620
Redemption of 100,004 shares		(2,725,251	)

Net addition (redemption) of 99,996 shares		3,321,369

Net investment income (loss)		(30,998	)
Net realized gain (loss)		1,709,636
Change in net unrealized appreciation/depreciation		359,487

Net income (loss)		2,038,125

Shareholders’ equity, at June 30, 2016	$	12,465,478

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	2,038,125		$	(96,777	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for swap agreements		(179,000	)		—
Purchases of short-term U.S. government and agency obligations		(15,833,955	)		(3,628,526	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		11,668,804			5,000,927
Net amortization and accretion on short-term U.S government and agency obligations		(5,926	)		(486	)
Net realized gain (loss) on investments		195			7
Change in unrealized appreciation/depreciation on investments		(359,487	)		(427,499	)
Increase (Decrease) in management fee payable		3,761			(461	)

Net cash provided by (used in) operating activities		(2,667,483	)		847,185

Cash flow from financing activities
Proceeds from addition of shares		6,046,620			1,200,621
Payment on shares redeemed		(2,725,251	)		(1,233,308	)

Net cash provided by (used in) financing activities		3,321,369			(32,687	)

Net increase (decrease) in cash		653,886			814,498
Cash, beginning of period		211,629			185,684

Cash, end of period	$	865,515		$	1,000,182

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	4,620,057	$	4,008,379
Segregated cash balances with brokers for futures contracts		28,050,000		47,571,810
Segregated cash balances with brokers for swap agreements		6,961,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $915,011,381 and $797,652,302, respectively)		915,035,627		797,650,543
Receivable from capital shares sold		8,392,553		4,894,509
Receivable on open futures contracts		—		5,150,763

Total assets		963,059,237		859,276,004

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		2,514,956
Payable on open futures contracts		10,498,791		—
Brokerage commissions and fees payable		21,692		25,000
Management fee payable		696,242		636,984
Unrealized depreciation on swap agreements		53,278,770		72,176,589

Total liabilities		64,495,495		75,353,529

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		898,563,742		783,922,475

Total liabilities and shareholders’ equity	$	963,059,237	$	859,276,004

Shares outstanding		73,877,866		62,327,867

Net asset value per share	$	12.16	$	12.58

Market value per share (Note 2)	$	12.22	$	12.54

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (102% of shareholders’ equity)
U.S. Treasury Bills^^:
0.171% due 07/07/16†	$	44,128,000	$	44,127,559
0.150% due 07/21/16†		43,740,000		43,735,626
0.225% due 07/28/16†		84,461,000		84,449,598
0.232% due 08/04/16†		164,081,000		164,047,675
0.194% due 08/11/16†		98,511,000		98,487,436
0.241% due 08/25/16†		59,000,000		58,979,722
0.242% due 09/01/16		9,353,000		9,349,215
0.256% due 09/08/16†		111,654,500		111,610,631
0.270% due 09/22/16†		216,385,500		216,265,774
0.220% due 10/06/16		84,039,000		83,982,391

Total short-term U.S. government and agency obligations (cost $915,011,381)			$	915,035,627

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil - NYMEX, expires September 2016		7,500	$	367,575,000	$	(12,093,646	)

Swap Agreements^


	Rate Paid (Received)*			Termination Date		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Swap agreement with Citibank N.A. based on Bloomberg WTI Crude Oil Subindex		0.18	%		07/06/16	$	336,118,991	$	(12,635,188	)
Swap agreement with Deutsche Bank AG based on Bloomberg WTI Crude Oil Subindex		0.20			07/06/16		322,512,270		(11,854,164	)
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		0.25			07/06/16		339,972,378		(11,448,659	)
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		0.25			07/06/16		105,676,541		(3,887,818	)
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		0.25			07/06/16		325,294,079		(13,452,941	)

								$	(53,278,770	)

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

††	Cash collateral in the amount of $28,050,000 was pledged to cover margin requirements for open futures contracts as of June 30, 2016.

^	The positions and counterparties herein are as of June 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

*	Reflects the floating financing rate, as of June 30, 2016, 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, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	498,531		$	65,327		$	949,595		$	141,569

Expenses
Management fee		2,100,452			2,401,552			3,913,130			4,245,253
Brokerage commissions and fees		166,881			223,457			331,194			300,710

Total expenses		2,267,333			2,625,009			4,244,324			4,545,963

Net investment income (loss)		(1,768,802	)		(2,559,682	)		(3,294,729	)		(4,404,394	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		143,306,155			62,631,818			36,948,486			2,233,204
Swap agreements		223,376,017			143,672,353			76,397,686			30,387,848
Short-term U.S. government and agency obligations		12,969			16,676			(15,690	)		60,872

Net realized gain (loss)		366,695,141			206,320,847			113,330,482			32,681,924

Change in net unrealized appreciation/depreciation on
Futures contracts		(67,940,201	)		55,158,363			5,835,668			37,769,709
Swap agreements		(2,455,855	)		96,601,977			18,897,819			94,308,855
Short-term U.S. government and agency obligations		(107,007	)		(739	)		26,005			389

Change in net unrealized appreciation/depreciation		(70,503,063	)		151,759,601			24,759,492			132,078,953

Net realized and unrealized gain (loss)		296,192,078			358,080,448			138,089,974			164,760,877

Net income (loss)	$	294,423,276		$	355,520,766		$	134,795,245		$	160,356,483

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	783,922,475

Addition of 65,350,000 shares		538,776,226
Redemption of 53,800,001 shares		(558,930,204	)

Net addition (redemption) of 11,549,999 shares		(20,153,978	)

Net investment income (loss)		(3,294,729	)
Net realized gain (loss)		113,330,482
Change in net unrealized appreciation/depreciation		24,759,492

Net income (loss)		134,795,245

Shareholders’ equity, at June 30, 2016	$	898,563,742

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	134,795,245		$	160,356,483
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		19,521,810			19,434,696
Decrease (Increase) in segregated cash balances with brokers for swap agreements		(6,961,000	)		—
Purchases of short-term U.S. government and agency obligations		(1,945,030,052	)		(2,456,271,120	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		1,828,604,878			2,038,462,358
Net amortization and accretion on short-term U.S government and agency obligations		(949,595	)		(138,430	)
Net realized gain (loss) on investments		15,690			(60,872	)
Change in unrealized appreciation/depreciation on investments		(18,923,824	)		(94,309,244	)
Decrease (Increase) in receivable on futures contracts		5,150,763			(13,029,983	)
Increase (Decrease) in management fee payable		59,258			425,582
Increase (Decrease) in brokerage commissions and fees payable		(3,308	)		32,509
Increase (Decrease) in payable on futures contracts		10,498,791			(5,817,266	)

Net cash provided by (used in) operating activities		26,778,656			(350,915,287	)

Cash flow from financing activities
Proceeds from addition of shares		535,278,182			1,407,318,838
Payment on shares redeemed		(561,445,160	)		(1,054,494,402	)

Net cash provided by (used in) financing activities		(26,166,978	)		352,824,436

Net increase (decrease) in cash		611,678			1,909,149
Cash, beginning of period		4,008,379			2,349,384

Cash, end of period	$	4,620,057		$	4,258,533

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	1,837,037	$	1,411,137
Segregated cash balances with brokers for futures contracts		5,557,640		7,595,280
Short-term U.S. government and agency obligations (Note 3) (cost $34,840,102 and $26,806,648, respectively)		34,841,034		26,807,731
Receivable on open futures contracts		1,154,082		3,065,769

Total assets		43,389,793		38,879,917

Liabilities and shareholders’ equity
Liabilities
Brokerage commissions and fees payable		3,690		3,623
Management fee payable		30,142		25,110

Total liabilities		33,832		28,733

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		43,355,961		38,851,184

Total liabilities and shareholders’ equity	$	43,389,793	$	38,879,917

Shares outstanding		2,442,169		2,092,170

Net asset value per share	$	17.75	$	18.57

Market value per share (Note 2)	$	17.65	$	18.48

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (80% of shareholders’ equity)
U.S. Treasury Bills^^:
0.220% due 07/14/16	$	2,551,000	$	2,550,885
0.150% due 07/21/16		1,430,000		1,429,857
0.221% due 07/28/16		5,544,000		5,543,251
0.234% due 08/25/16		1,567,000		1,566,461
0.335% due 09/01/16		1,698,000		1,697,313
0.246% due 09/08/16		8,023,000		8,019,848
0.260% due 09/22/16		2,234,000		2,232,764
0.186% due 10/06/16		3,581,000		3,578,588
0.230% due 10/27/16		8,228,000		8,222,067

Total short-term U.S. government and agency obligations (cost $34,840,102)			$	34,841,034


Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, September 2016		2,972	$	86,722,960	$	6,970,020

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

††	Cash collateral in the amount of $5,557,640 was pledged to cover margin requirements for open futures contracts as of June 30, 2016.

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	15,411		$	5,742		$	27,143		$	11,384

Expenses
Management fee		75,122			158,681			143,866			331,489
Brokerage commissions and fees		40,615			69,898			72,364			109,616

Total expenses		115,737			228,579			216,230			441,105

Net investment income (loss)		(100,326	)		(222,837	)		(189,087	)		(429,721	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		10,484,507			(3,971,479	)		4,627,286			(49,808,443	)
Short-term U.S. government and agency obligations		829			356			(669	)		4,811

Net realized gain (loss)		10,485,336			(3,971,123	)		4,626,617			(49,803,632	)

Change in net unrealized appreciation/depreciation on
Futures contracts		7,854,286			6,588,334			657,141			34,039,992
Short-term U.S. government and agency obligations		(2,350	)		148			(151	)		(541	)

Change in net unrealized appreciation/depreciation		7,851,936			6,588,482			656,990			34,039,451

Net realized and unrealized gain (loss)		18,337,272			2,617,359			5,283,607			(15,764,181	)

Net income (loss)	$	18,236,946		$	2,394,522		$	5,094,520		$	(16,193,902	)

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	38,851,184

Addition of 1,500,000 shares		14,615,097
Redemption of 1,150,001 shares		(15,204,840	)

Net addition (redemption) of 349,999 shares		(589,743	)

Net investment income (loss)		(189,087	)
Net realized gain (loss)		4,626,617
Change in net unrealized appreciation/depreciation		656,990

Net income (loss)		5,094,520

Shareholders’ equity, at June 30, 2016	$	43,355,961

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	5,094,520		$	(16,193,902	)
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		2,037,640			16,811,553
Purchases of short-term U.S. government and agency obligations		(68,130,394	)		(166,594,683	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		60,123,414			160,327,756
Net amortization and accretion on short-term U.S government and agency obligations		(27,143	)		(10,064	)
Net realized gain (loss) on investments		669			(4,811	)
Change in unrealized appreciation/depreciation on investments		151			541
Decrease (Increase) in receivable on futures contracts		1,911,687			(944,439	)
Increase (Decrease) in management fee payable		5,032			(13,703	)
Increase (Decrease) in brokerage commissions and fees payable		67			5,609
Increase (Decrease) in payable on futures contracts		—			(9,552,314	)

Net cash provided by (used in) operating activities		1,015,643			(16,168,457	)

Cash flow from financing activities
Proceeds from addition of shares		14,615,097			51,538,449
Payment on shares redeemed		(15,204,840	)		(34,216,208	)

Net cash provided by (used in) financing activities		(589,743	)		17,322,241

Net increase (decrease) in cash		425,900			1,153,784
Cash, beginning of period		1,411,137			1,653,582

Cash, end of period	$	1,837,037		$	2,807,366

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	954,024	$	251,524
Segregated cash balances with brokers for futures contracts		12,100		8,250
Short-term U.S. government and agency obligations (Note 3) (cost $88,942,816 and $71,908,280, respectively)		88,949,081		71,912,587
Unrealized appreciation on forward agreements		10,949,405		—
Receivable on open futures contracts		—		80

Total assets		100,864,610		72,172,441

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		1,260		—
Management fee payable		73,457		57,031
Unrealized depreciation on forward agreements		—		2,250,595

Total liabilities		74,717		2,307,626

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		100,789,893		69,864,815

Total liabilities and shareholders’ equity	$	100,864,610	$	72,172,441

Shares outstanding		2,250,000		2,350,014

Net asset value per share	$	44.80	$	29.73

Market value per share (Note 2)	$	45.03	$	29.73

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (88% of shareholders’ equity)
U.S. Treasury Bills^^:
0.251% due 07/14/16†	$	23,092,000	$	23,090,959
0.150% due 07/21/16†		3,710,000		3,709,629
0.211% due 07/28/16†		7,892,000		7,890,935
0.227% due 08/04/16†		8,797,000		8,795,213
0.249% due 08/11/16†		5,375,000		5,373,714
0.234% due 08/25/16		105,000		104,964
0.280% due 09/08/16†		5,000,000		4,998,035
0.290% due 09/22/16†		35,005,000		34,985,632

Total short-term U.S. government and agency obligations (cost $88,942,816)			$	88,949,081

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires August 2016		2	$	264,120	$	7,580

Forward Agreements^


	Rate Paid (Received)*			Settlement Date		Commitment to (Deliver)/Receive		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Forward agreements with Citibank, N.A. based on 0.995 Fine Troy Ounce Gold		1.25	%		07/06/16	$	37,100	$	49,007,987	$	2,201,783
Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold		1.55			07/06/16		42,800		56,540,084		3,356,348
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		1.40			07/06/16		31,920		42,165,043		2,308,590
Forward agreements with Societe Generale based on 0.995 Fine Troy Ounce Gold		1.45			07/06/16		15,400		20,342,784		1,168,788
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		1.30			07/06/16		25,200		33,287,940		1,913,896

										$	10,949,405

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

††	Cash collateral in the amount of $12,100 was pledged to cover margin requirements for open futures contracts as of June 30, 2016.

^	The positions and counterparties herein are as of June 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

*	Reflects the floating financing rate, as of June 30, 2016, 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 30, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	59,634		$	8,894		$	106,020		$	21,632

Expenses
Management fee		221,251			221,273			420,073			461,738
Brokerage commissions and fees		8			9			25			25

Total expenses		221,259			221,282			420,098			461,763

Net investment income (loss)		(161,625	)		(212,388	)		(314,078	)		(440,131	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		2,040			13,900			38,600			11,860
Forward agreements		(4,911,577	)		(934,076	)		21,035,479			(3,919,792	)
Short-term U.S. government and agency obligations		177			292			103			2,200

Net realized gain (loss)		(4,909,360	)		(919,884	)		21,074,182			(3,905,732	)

Change in net unrealized appreciation/depreciation on
Futures contracts		14,460			(16,440	)		12,780			(15,000	)
Forward agreements		16,117,052			(2,075,872	)		13,200,000			(2,466,058	)
Short-term U.S. government and agency obligations		(9,368	)		(2,706	)		1,958			(2,333	)

Change in net unrealized appreciation/depreciation		16,122,144			(2,095,018	)		13,214,738			(2,483,391	)

Net realized and unrealized gain (loss)		11,212,784			(3,014,902	)		34,288,920			(6,389,123	)

Net income (loss)	$	11,051,159		$	(3,227,290	)	$	33,974,842		$	(6,829,254	)

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	69,864,815

Addition of 100,000 shares		4,103,970
Redemption of 200,014 shares		(7,153,734	)

Net addition (redemption) of (100,014) shares		(3,049,764	)

Net investment income (loss)		(314,078	)
Net realized gain (loss)		21,074,182
Change in net unrealized appreciation/depreciation		13,214,738

Net income (loss)		33,974,842

Shareholders’ equity, at June 30, 2016	$	100,789,893

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	33,974,842		$	(6,829,254	)
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		(3,850	)		550
Purchases of short-term U.S. government and agency obligations		(166,483,272	)		(120,780,305	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		149,554,859			133,494,767
Net amortization and accretion on short-term U.S government and agency obligations		(106,020	)		(21,632	)
Net realized gain (loss) on investments		(103	)		(2,200	)
Change in unrealized appreciation/depreciation on investments		(13,201,958	)		2,468,391
Decrease (Increase) in receivable on futures contracts		80			—
Increase (Decrease) in management fee payable		16,426			(14,799	)
Increase (Decrease) in payable on futures contracts		1,260			(1,820	)

Net cash provided by (used in) operating activities		3,752,264			8,313,698

Cash flow from financing activities
Proceeds from addition of shares		4,103,970			2,093,762
Payment on shares redeemed		(7,153,734	)		(10,419,353	)

Net cash provided by (used in) financing activities		(3,049,764	)		(8,325,591	)

Net increase (decrease) in cash		702,500			(11,893	)
Cash, beginning of period		251,524			104,145

Cash, end of period	$	954,024		$	92,252

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	306,934	$	243,900
Segregated cash balances with brokers for futures contracts		10,560		17,160
Segregated cash balances with brokers for forward agreements		2,162,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $306,843,914 and $238,900,176, respectively)		306,857,107		238,899,626
Unrealized appreciation on forward agreements		75,484,625		—
Receivable from capital shares sold		2,276,852		—
Receivable on open futures contracts		2,160		—

Total assets		387,100,238		239,160,686

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		1,875
Management fee payable		261,839		181,068
Unrealized depreciation on forward agreements		—		22,561,101

Total liabilities		261,839		22,744,044

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		386,838,399		216,416,642

Total liabilities and shareholders’ equity	$	387,100,238	$	239,160,686

Shares outstanding		8,496,526		7,996,533

Net asset value per share	$	45.53	$	27.06

Market value per share (Note 2)	$	47.67	$	27.08

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (79% of shareholders’ equity)
U.S. Treasury Bills^^:
0.266% due 07/14/16†	$	25,109,000	$	25,107,867
0.150% due 07/21/16		10,372,000		10,370,963
0.211% due 07/28/16		2,942,000		2,941,603
0.227% due 08/04/16†		79,066,000		79,049,942
0.202% due 08/11/16†		40,203,000		40,193,383
0.241% due 08/25/16†		27,143,000		27,133,671
0.250% due 09/01/16		3,837,000		3,835,447
0.246% due 09/08/16†		61,619,500		61,595,290
0.290% due 09/22/16†		46,619,500		46,593,705
0.271% due 10/06/16†		10,042,000		10,035,236

Total short-term U.S. government and agency obligations (cost $306,843,914)			$	306,857,107

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires September 2016		2	$	186,230	$	12,130

Forward Agreements^


	Rate Paid (Received)*			Settlement Date		Commitment to (Deliver)/Receive		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Forward agreements with Citibank, N.A. based on 0.999 Fine Troy Ounce Silver		1.35	%		07/06/16	$	12,868,000	$	236,300,231	$	22,155,715
Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver		1.68			07/06/16		9,342,800		171,573,048		15,623,901
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		1.50			07/06/16		10,245,800		188,145,675		19,101,261
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		1.55			07/06/16		3,484,000		63,977,389		6,782,766
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		1.48			07/06/16		6,179,000		113,466,213		11,820,982

										$	75,484,625

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

††	Cash collateral in the amount of $10,560 was pledged to cover margin requirements for open futures contracts as of June 30, 2016.

^	The positions and counterparties herein are as of June 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

*	Reflects the floating financing rate, as of June 30, 2016, 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, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	188,656		$	36,301		$	310,266		$	74,547

Expenses
Management fee		741,794			715,430			1,322,264			1,453,507
Brokerage commissions and fees		17			19			27			27

Total expenses		741,811			715,449			1,322,291			1,453,534

Net investment income (loss)		(553,155	)		(679,148	)		(1,012,025	)		(1,378,987	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		15,900			(11,449	)		35,100			(299	)
Forward agreements		21,367,809			1,770,580			55,463,053			(16,009,663	)
Short-term U.S. government and agency obligations		2,806			1,371			2,226			6,114

Net realized gain (loss)		21,386,515			1,760,502			55,500,379			(16,003,848	)

Change in net unrealized appreciation/depreciation on
Futures contracts		14,741			(1,590	)		21,160			(3,350	)
Forward agreements		86,641,014			(36,479,395	)		98,045,726			(1,463,407	)
Short-term U.S. government and agency obligations		(39,264	)		(4,557	)		13,743			(3,650	)

Change in net unrealized appreciation/depreciation		86,616,491			(36,485,542	)		98,080,629			(1,470,407	)

Net realized and unrealized gain (loss)		108,003,006			(34,725,040	)		153,581,008			(17,474,255	)

Net income (loss)	$	107,449,851		$	(35,404,188	)	$	152,568,983		$	(18,853,242	)

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	216,416,642

Addition of 1,350,000 shares		47,595,435
Redemption of 850,007 shares		(29,742,661	)

Net addition (redemption) of 499,993 shares		17,852,774

Net investment income (loss)		(1,012,025	)
Net realized gain (loss)		55,500,379
Change in net unrealized appreciation/depreciation		98,080,629

Net income (loss)		152,568,983

Shareholders’ equity, at June 30, 2016	$	386,838,399

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	152,568,983		$	(18,853,242	)
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		6,600			(8,800	)
Decrease (Increase) in segregated cash balances with brokers for forward agreements		(2,162,000	)		—
Purchases of short-term U.S. government and agency obligations		(596,954,106	)		(400,537,544	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		529,322,860			406,334,646
Net amortization and accretion on short-term U.S government and agency obligations		(310,266	)		(74,547	)
Net realized gain (loss) on investments		(2,226	)		(6,114	)
Change in unrealized appreciation/depreciation on investments		(98,059,469	)		1,467,056
Decrease (Increase) in receivable on futures contracts		(2,160	)		—
Increase (Decrease) in management fee payable		80,771			(28,001	)
Increase (Decrease) in payable for investments purchased		—			3,695,661
Increase (Decrease) in payable on futures contracts		(1,875	)		(5,060	)

Net cash provided by (used in) operating activities		(15,512,888	)		(8,015,945	)

Cash flow from financing activities
Proceeds from addition of shares		45,318,583			59,122,228
Payment on shares redeemed		(29,742,661	)		(47,414,873	)

Net cash provided by (used in) financing activities		15,575,922			11,707,355

Net increase (decrease) in cash		63,034			3,691,410
Cash, beginning of period		243,900			305,004

Cash, end of period	$	306,934		$	3,996,414

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	185,855	$	227,310
Short-term U.S. government and agency obligations (Note 3) (cost $9,521,341 and $11,605,665, respectively)		9,522,305		11,605,262
Unrealized appreciation on foreign currency forward contracts		5,116		604,920

Total assets		9,713,276		12,437,492

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		1,569,718
Management fee payable		7,642		10,044
Unrealized depreciation on foreign currency forward contracts		172,730		—

Total liabilities		180,372		1,579,762

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		9,532,904		10,857,730

Total liabilities and shareholders’ equity	$	9,713,276	$	12,437,492

Shares outstanding		600,000		700,014

Net asset value per share	$	15.89	$	15.51

Market value per share (Note 2)	$	15.86	$	15.51

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (100% of shareholders’ equity)
U.S. Treasury Bills^^:
0.310% due 07/21/16†	$	822,000	$	821,918
0.234% due 08/25/16†		973,000		972,665
0.290% due 09/22/16		7,732,000		7,727,722

Total short-term U.S. government and agency obligations (cost $9,521,341)			$	9,522,305

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		07/08/16		9,644,425		$	10,702,531		$	(93,406	)
Euro with UBS AG		07/08/16		8,473,000			9,402,587			(79,324	)

									$	(172,730	)

Contracts to Sell
Euro with Goldman Sachs International		07/08/16		(628,600	)	$	(697,565	)	$	3,364
Euro with UBS AG		07/08/16		(336,200	)		(373,085	)		1,752

									$	5,116

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

^	The positions and counterparties herein are as of June 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	6,834		$	1,028		$	11,797		$	1,562

Expenses
Management fee		23,237			35,245			48,943			51,477

Total expenses		23,237			35,245			48,943			51,477

Net investment income (loss)		(16,403	)		(34,217	)		(37,146	)		(49,915	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		605,039			436,915			1,109,709			(628,301	)
Short-term U.S. government and agency obligations		217			46			147			60

Net realized gain (loss)		605,256			436,961			1,109,856			(628,241	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(1,161,976	)		645,268			(772,534	)		(30,111	)
Short-term U.S. government and agency obligations		(1,141	)		98			1,367			142

Change in net unrealized appreciation/depreciation		(1,163,117	)		645,366			(771,167	)		(29,969	)

Net realized and unrealized gain (loss)		(557,861	)		1,082,327			338,689			(658,210	)

Net income (loss)	$	(574,264	)	$	1,048,110		$	301,543		$	(708,125	)

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	10,857,730

Addition of 50,000 shares		831,691
Redemption of 150,014 shares		(2,458,060	)

Net addition (redemption) of (100,014) shares		(1,626,369	)

Net investment income (loss)		(37,146	)
Net realized gain (loss)		1,109,856
Change in net unrealized appreciation/depreciation		(771,167	)

Net income (loss)		301,543

Shareholders’ equity, at June 30, 2016	$	9,532,904

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	301,543		$	(708,125	)
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		(26,640,527	)		(19,582,990	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		28,736,795			8,850,865
Net amortization and accretion on short-term U.S government and agency obligations		(11,797	)		(1,562	)
Net realized gain (loss) on investments		(147	)		(60	)
Change in unrealized appreciation/depreciation on investments		771,167			29,969
Increase (Decrease) in management fee payable		(2,402	)		9,239

Net cash provided by (used in) operating activities		3,154,632			(11,402,664	)

Cash flow from financing activities
Proceeds from addition of shares		831,691			13,540,570
Payment on shares redeemed		(4,027,778	)		(2,541,066	)

Net cash provided by (used in) financing activities		(3,196,087	)		10,999,504

Net increase (decrease) in cash		(41,455	)		(403,160	)
Cash, beginning of period		227,310			671,117

Cash, end of period	$	185,855		$	267,957

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	301,207	$	147,371
Short-term U.S. government and agency obligations (Note 3) (cost $6,211,707 and $5,069,206, respectively)		6,212,029		5,069,491
Unrealized appreciation on foreign currency forward contracts		768,799		267,014

Total assets		7,282,035		5,483,876

Liabilities and shareholders’ equity
Liabilities
Management fee payable		5,440		4,325
Unrealized depreciation on foreign currency forward contracts		11,331		5,703

Total liabilities		16,771		10,028

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		7,265,264		5,473,848

Total liabilities and shareholders’ equity	$	7,282,035	$	5,483,876

Shares outstanding		99,970		99,974

Net asset value per share	$	72.67	$	54.75

Market value per share (Note 2)	$	72.71	$	54.70

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (86% of shareholders’ equity)
U.S. Treasury Bills^^:
0.310% due 07/21/16†	$	3,927,000	$	3,926,607
0.225% due 08/11/16		1,985,000		1,984,525
0.234% due 08/25/16		301,000		300,897

Total short-term U.S. government and agency obligations (cost $6,211,707)			$	6,212,029

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		07/08/16		1,044,190,800		$	10,111,816		$	502,324
Yen with UBS AG		07/08/16		518,229,500			5,018,471			266,475

									$	768,799

Contracts to Sell
Yen with Goldman Sachs International		07/08/16		(48,749,300	)	$	(472,082	)	$	(9,550	)
Yen with UBS AG		07/08/16		(13,000,100	)		(125,892	)		(1,781	)

									$	(11,331	)

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

^	The positions and counterparties herein are as of June 30, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015			Six months ended June 30, 2016			Six months ended June 30, 2015
Investment Income
Interest	$	4,255		$	459		$	7,149		$	750

Expenses
Management fee		15,811			12,940			29,811			22,321

Total expenses		15,811			12,940			29,811			22,321

Net investment income (loss)		(11,556	)		(12,481	)		(22,662	)		(21,571	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		485,862			(438,565	)		1,318,083			(519,177	)
Short-term U.S. government and agency obligations		—			22			—			8

Net realized gain (loss)		485,862			(438,543	)		1,318,083			(519,169	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		597,266			201,096			496,157			175,163
Short-term U.S. government and agency obligations		(315	)		308			37			114

Change in net unrealized appreciation/depreciation		596,951			201,404			496,194			175,277

Net realized and unrealized gain (loss)		1,082,813			(237,139	)		1,814,277			(343,892	)

Net income (loss)	$	1,071,257		$	(249,620	)	$	1,791,615		$	(365,463	)

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	5,473,848

Redemption of 4 shares		(199	)

Net addition (redemption) of (4) shares		(199	)

Net investment income (loss)		(22,662	)
Net realized gain (loss)		1,318,083
Change in net unrealized appreciation/depreciation		496,194

Net income (loss)		1,791,615

Shareholders’ equity, at June 30, 2016	$	7,265,264

See accompanying notes to financial statements.

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PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016			Six months ended June 30, 2015
Cash flow from operating activities
Net income (loss)	$	1,791,615		$	(365,463	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(11,855,352	)		(6,014,165	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		10,720,000			2,792,962
Net amortization and accretion on short-term U.S government and agency obligations		(7,149	)		(750	)
Net realized gain (loss) on investments		—			(8	)
Change in unrealized appreciation/depreciation on investments		(496,194	)		(175,277	)
Increase (Decrease) in management fee payable		1,115			2,573

Net cash provided by (used in) operating activities		154,035			(3,760,128	)

Cash flow from financing activities
Proceeds from addition of shares		—			4,285,016
Payment on shares redeemed		(199	)		(688,682	)

Net cash provided by (used in) financing activities		(199	)		3,596,334

Net increase (decrease) in cash		153,836			(163,794	)
Cash, beginning of period		147,371			846,919

Cash, end of period	$	301,207		$	683,125

See accompanying notes to financial statements.

101

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION


	June 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	31,170,829	$	48,049,225
Segregated cash balances with brokers for futures contracts		319,123,024		261,083,712
Segregated cash balances with brokers for swap agreements		7,376,000		—
Segregated cash balances with brokers for forward agreements		2,663,000		—
Segregated cash balances with brokers for foreign currency forward contracts		17,077,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $3,788,630,705 and $3,313,585,456, respectively)		3,788,779,379		3,313,591,600
Unrealized appreciation on swap agreements		11,983,836		6,669,519
Unrealized appreciation on forward agreements		86,434,030		6,587,221
Unrealized appreciation on foreign currency forward contracts		9,811,519		1,805,661
Receivable from capital shares sold		227,627,809		48,046,138
Receivable on open futures contracts		19,818,999		27,655,327

Total assets		4,521,865,425		3,713,488,403

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		198,768,475		60,119,975
Payable on open futures contracts		123,312,761		3,078,269
Brokerage commissions and fees payable		29,470		39,148
Management fee payable		3,174,535		2,839,305
Unrealized depreciation on swap agreements		53,424,413		72,446,044
Unrealized depreciation on forward agreements		17,158,865		24,811,696
Unrealized depreciation on foreign currency forward contracts		27,937,831		43,545,218

Total liabilities		423,806,350		206,879,655

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		4,098,059,075		3,506,608,748

Total liabilities and shareholders’ equity	$	4,521,865,425	$	3,713,488,403

Shares outstanding		149,097,350		143,049,418

See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Three months ended June 30, 2016			Three months ended June 30, 2015**			Six months ended June 30, 2016 *			Six months ended June 30, 2015**
Investment Income
Interest	$	2,351,155		$	302,360		$	4,161,392		$	663,031

Expenses
Management fee		9,442,881			9,167,300			17,336,602			18,193,417
Brokerage commissions and fees		2,339,266			1,556,503			3,903,387			3,173,743
Offering costs		—			16,401			—			32,622
Limitation by Sponsor		—			(490	)		—			(2,024	)

Total expenses		11,782,147			10,739,714			21,239,989			21,397,758

Net investment income (loss)		(9,430,992	)		(10,437,354	)		(17,078,597	)		(20,734,727	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(383,587,036	)		(352,520,924	)		(540,391,505	)		(550,824,346	)
Swap agreements		146,492,089			99,131,062			(2,339,938	)		12,725,799
Forward agreements		9,777,375			(255,396	)		45,108,454			(20,455,330	)
Foreign currency forward contracts		(40,130,127	)		1,066,442			(105,324,044	)		102,328,698
Short-term U.S. government and agency obligations		79,123			53,602			(40,651	)		162,418

Net realized gain (loss)		(267,368,576	)		(252,525,214	)		(602,987,684	)		(456,062,761	)

Change in net unrealized appreciation/depreciation on
Futures contracts		8,022,867			180,287,597			(130,712,193	)		110,988,754
Swap agreements		2,297,762			63,009,579			24,335,948			60,467,124
Forward agreements		83,326,409			(30,679,563	)		87,499,640			315,800
Foreign currency forward contracts		26,615,142			(32,947,630	)		23,613,245			(24,775,209	)
Short-term U.S. government and agency obligations		(478,052	)		(3,524	)		142,530			(14,498	)

Change in net unrealized appreciation/depreciation		119,784,128			179,666,459			4,879,170			146,981,971

Net realized and unrealized gain (loss)		(147,584,448	)		(72,858,755	)		(598,108,514	)		(309,080,790	)

Net income (loss)	$	(157,015,440	)	$	(83,296,109	)	$	(615,187,111	)	$	(329,815,517	)

*	The operations include the activity of ProShares Managed Futures Strategy through March 30, 2016, the date of liquidation. See Note 1.

**	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.

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PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2016*

(unaudited)


Shareholders’ equity, at December 31, 2015	$	3,506,608,748

Addition of 147,620,000 shares		6,074,319,404
Redemption of 119,880,158 shares		(4,867,681,966	)

Net addition (redemption) of 27,739,842 shares		1,206,637,438

Net investment income (loss)		(17,078,597	)
Net realized gain (loss)		(602,987,684	)
Change in net unrealized appreciation/depreciation		4,879,170

Net income (loss)		(615,187,111	)

Shareholders’ equity, at June 30, 2016	$	4,098,059,075

*	The operations include the activity of ProShares Managed Futures Strategy through March 30, 2016, the date of liquidation. See Note 1.

See accompanying notes to financial statements.

104

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited)


	Six months ended June 30, 2016*			Six months ended June 30, 2015**
Cash flow from operating activities
Net income (loss)	$	(615,187,111	)	$	(329,815,517	)
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(58,039,312	)		129,549,198
Decrease (Increase) in segregated cash balances with brokers for swap agreements		(7,376,000	)		—
Decrease (Increase) in segregated cash balances with brokers for forward agreements		(2,663,000	)		—
Decrease (Increase) in segregated cash balances with brokers for foreign currency forward agreements		(17,077,000	)		—
Purchases of short-term U.S. government and agency obligations		(9,799,037,036	)		(8,637,664,102	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		9,328,106,607			8,194,114,705
Net amortization and accretion on short-term U.S government and agency obligations		(4,155,471	)		(656,948	)
Net realized gain (loss) on investments		40,651			(162,418	)
Change in unrealized appreciation/depreciation on investments		(135,591,363	)		(35,993,218	)
Decrease (Increase) in receivable on futures contracts		7,836,328			(87,595,833	)
Decrease (Increase) in Limitation by Sponsor		—			(2,024	)
Change in offering cost		—			32,622
Increase (Decrease) in management fee payable		335,230			182,367
Increase (Decrease) in brokerage commissions and fees payable		(9,678	)		46,819
Increase (Decrease) in payable for investments purchased		—			3,695,661
Increase (Decrease) in payable on futures contracts		120,234,492			(33,114,008	)

Net cash provided by (used in) operating activities		(1,182,582,663	)		(797,382,696	)

Cash flow from financing activities
Proceeds from addition of shares		5,894,737,733			4,647,346,597
Payment on shares redeemed		(4,729,033,466	)		(3,843,119,838	)

Net cash provided by (used in) financing activities		1,165,704,267			804,226,759

Net increase (decrease) in cash		(16,878,396	)		6,844,063
Cash, beginning of period		48,049,225			35,899,231

Cash, end of period	$	31,170,829		$	42,743,294

*	The operations include the activity of ProShares Managed Futures Strategy through March 30, 2016, the date of liquidation. See Note 1.

**	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.

105

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

June 30, 2016

(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, 2016, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) 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 (iv) 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 February 18, 2016, the Trust announced plans to liquidate ProShares Managed Futures Strategy (ticker symbol: FUTS). ProShares Managed Futures Strategy was closed to purchases and redemptions as of the close of regular trading on the NYSE Arca on March 18, 2016. Beginning March 21, 2016, no secondary market for ProShares Managed Futures Strategy’s Shares remained. Proceeds of the liquidation were distributed to shareholders on March 30, 2016. Any shareholders remaining in the fund on March 30, 2016 automatically had their shares redeemed for cash at ProShares Managed Futures Strategy’s net asset value per Share as of March 21, 2016. On March 31, 2016, the NYSE Arca filed a Form 25 removing the listing of ProShares Managed Futures Strategy on the NYSE Arca. On April 11, 2016 a Form 15 was filed with the SEC terminating the registration of ProShares Managed Futures Strategy.

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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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 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 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, 2015 and the six months ended June 30, 2016. 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 Ultra VIX Short-Term Futures ETF	May 20, 2015	1-for-5 reverse Share split	May 20, 2015
ProShares UltraShort Silver	November 13, 2015	2-for-1 Share split	November 13, 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 Yen	May 20, 2015	1-for-4 reverse Share split	May 20, 2015
ProShares UltraShort Bloomberg Commodity	July 20, 2016	3-for-1 Share split	July 25, 2016
ProShares UltraShort Bloomberg Natural Gas	July 20, 2016	3-for-1 Share split	July 25, 2016
ProShares VIX Short-Term Futures ETF	July 25, 2016	1-for-5 reverse Share split	July 25, 2016
ProShares Ultra VIX Short-Term Futures ETF	July 25, 2016	1-for-5 reverse Share splie	July 25, 2016

The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of the Funds, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.

The splits were applied retroactively for all periods presented, increasing the number of Shares outstanding for each of the Funds, and resulted in a proportionate decrease in the price per Share and per Share information of each such Fund. Therefore, the splits 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

107

the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the 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, 2015, as filed with the SEC on February 29, 2016.

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, audited 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, 2016, 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, 2016 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
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, 2016.

108

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, 2016.

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

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the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:

Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).

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

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

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

The following table summarizes the valuation of investments at June 30, 2016 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
VIX Short-Term Futures ETF	$	160,291,728	$	(16,340,917	)	$	—		$	—	$	—		$	143,950,811
VIX Mid-Term Futures ETF		35,322,208		(1,112,400	)		—			—		—			34,209,808
Short VIX Short-Term Futures ETF		853,346,432		79,222,854			—			—		—			932,569,286
Ultra VIX Short-Term Futures ETF		506,981,556		(178,243,001	)		—			—		—			328,738,555
UltraShort Bloomberg Commodity		5,802,280		—			—			—		(145,643	)		5,656,637
UltraShort Bloomberg Crude Oil		143,010,392		220,480			—			—		11,808,950			155,039,822
UltraShort Bloomberg Natural Gas		2,185,571		(380,582	)		—			—		—			1,804,989
UltraShort Gold		63,623,922		(7,600	)		(8,180,840	)		—		—			55,435,482
UltraShort Silver		39,098,231		(12,180	)		(8,978,025	)		—		—			30,108,026
Short Euro		14,786,144		461,469			—			—		—			15,247,613
UltraShort Australian Dollar		15,926,135		55,717			—			—		—			15,981,852

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	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
UltraShort Euro		366,728,200		—			—		4,243,608			—			370,971,808
UltraShort Yen		209,003,765		—			—		(22,959,774	)		—			186,043,991
Ultra Bloomberg Commodity		11,255,632		—			—		—			174,886			11,430,518
Ultra Bloomberg Crude Oil		915,035,627		(12,093,646	)		—		—			(53,278,770	)		849,663,211
Ultra Bloomberg Natural Gas		34,841,034		6,970,020			—		—			—			41,811,054
Ultra Gold		88,949,081		7,580			10,949,405		—			—			99,906,066
Ultra Silver		306,857,107		12,130			75,484,625		—			—			382,353,862
Ultra Euro		9,522,305		—			—		(167,614	)		—			9,354,691
Ultra Yen		6,212,029		—			—		757,468			—			6,969,497

Total Trust	$	3,788,779,379	$	(121,240,076	)	$	69,275,165	$	(18,126,312	)	$	(41,440,577	)	$	3,677,247,579

*	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, 2016, 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, 2016, 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.

The following table summarizes the valuation of investments at December 31, 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
VIX Short-Term Futures ETF	$	96,073,659	$	(1,078,625	)	$	—	$	—	$	—	$	94,995,034
VIX Mid-Term Futures ETF		25,976,287		(344,360	)		—		—		—		25,631,927
Short VIX Short-Term Futures ETF		535,392,718		10,746,415			—		—		—		546,139,133
Ultra VIX Short-Term Futures ETF		438,357,849		11,894,466			—		—		—		450,252,315
UltraShort Bloomberg Commodity		7,518,119		—			—		—		171,324		7,689,443
UltraShort Bloomberg Crude Oil		79,692,642		2,464,513			—		—		6,412,656		88,569,811
UltraShort Bloomberg Natural Gas		8,115,004		(2,471,164	)		—		—		—		5,643,840
UltraShort Gold		72,979,905		5,220			1,808,942		—		—		74,794,067
UltraShort Silver		50,730,230		5,970			4,778,279		—		—		55,514,479

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	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
Short Euro		15,153,211		243,438			—			—			—			15,396,649
UltraShort Australian Dollar		18,408,894		(420,270	)		—			—			—			17,988,624
UltraShort Euro		546,166,776		—			—			(28,710,336	)		—			517,456,440
UltraShort Yen		259,997,001		—			—			(13,895,452	)		—			246,101,549
Ultra Bloomberg Commodity		7,084,065		—			—			—			(183,916	)		6,900,149
Ultra Bloomberg Crude Oil		797,650,543		(17,929,314	)		—			—			(72,176,589	)		707,544,640
Ultra Bloomberg Natural Gas		26,807,731		6,312,879			—			—			—			33,120,610
Ultra Gold		71,912,587		(5,200	)		(2,250,595	)		—			—			69,656,792
Ultra Silver		238,899,626		(9,030	)		(22,561,101	)		—			—			216,329,495
Ultra Euro		11,605,262		—			—			604,920			—			12,210,182
Ultra Yen		5,069,491		—			—			261,311			—			5,330,802

Total Trust	$	3,313,591,600	$	9,414,938		$	(18,224,475	)	$	(41,739,557	)	$	(65,776,525	)	$	3,197,265,981

*	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 December 31, 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 December 31, 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

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). Through July 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.

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Federal Income Tax

Each Fund is registered as a series of a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.

Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management 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.

Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as cash and/or securities balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form

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of cash and/or securities. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.

Futures contracts involve, to varying degrees, elements of market risk (specifically 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

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aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by the Fund’s 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.

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, 2016 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, 2016, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

The counterparty/credit risk for cleared derivative transactions is generally lower than for 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.

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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.

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 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, 2016, 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.

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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.

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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, 2016

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

VIX Futures Contracts

Receivables on open futures contracts

ProShares Short VIX Short-Term Futures ETF

79,222,854

Payable on open futures contracts

ProShares VIX Short-Term Futures ETF

16,340,917

ProShares VIX Mid-Term Futures ETF

1,112,400

ProShares Ultra VIX Short-Term Futures ETF

178,243,001

Commodities Contracts

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

ProShares UltraShort Bloomberg Crude Oil

12,029,430

Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements

ProShares UltraShort Bloomberg Commodity

145,643

ProShares Ultra Bloomberg Commodity

174,886

ProShares UltraShort Bloomberg Natural Gas

380,582

ProShares Ultra Bloomberg Natural Gas

6,970,020

ProShares UltraShort Gold

8,188,440

ProShares Ultra Gold

10,956,985

ProShares UltraShort Silver

8,990,205

ProShares Ultra Silver

75,496,755

ProShares Ultra Bloomberg Crude Oil

65,372,416

Foreign Exchange Contracts

Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts

ProShares Short Euro

461,469

Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts

ProShares UltraShort Euro

2,825,631

ProShares UltraShort Australian Dollar

55,717

ProShares UltraShort Yen

24,928,139

ProShares UltraShort Euro

7,069,239

ProShares Ultra Euro

172,730

ProShares UltraShort Yen

1,968,365

ProShares Ultra Yen

11,331

ProShares Ultra Euro

5,116

ProShares Ultra Yen

768,799

Total Trust

195,179,635

Total Trust

306,711,435

*	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.

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Fair Value of Derivative Instruments

as of December 31, 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

VIX Futures Contracts

Receivables on open futures contracts

ProShares VIX Mid-Term Futures ETF

10,005

Payable on open futures contracts

ProShares VIX Short-Term Futures ETF

1,078,625

ProShares Short VIX Short-Term ETF

10,805,245

ProShares VIX Mid-Term Futures ETF

354,365

ProShares Ultra VIX Short-Term Futures ETF

11,894,466

ProShares Short VIX Short-Term ETF

58,830

Commodities Contracts

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

ProShares UltraShort Bloomberg Commodity

224,491

Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements

ProShares UltraShort Bloomberg Commodity

53,167

ProShares UltraShort Bloomberg Crude Oil

8,877,169

ProShares UltraShort Bloomberg Natural Gas

2,471,164

ProShares Ultra Bloomberg Commodity

32,372

ProShares Ultra Bloomberg Commodity

216,288

ProShares Ultra Bloomberg Natural Gas

6,312,879

ProShares Ultra Bloomberg Crude Oil

90,105,903

ProShares UltraShort Gold

1,814,162

ProShares Ultra Gold

2,255,795

ProShares UltraShort Silver

4,784,249

ProShares Ultra Silver

22,570,131

Foreign Exchange Contracts

Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts

ProShares Short Euro

243,438

Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts

ProShares UltraShort Australian Dollar

420,270

ProShares UltraShort Yen

933,727

ProShares UltraShort Euro

28,710,336

ProShares Ultra Euro

604,920

ProShares UltraShort Yen

14,829,179

ProShares Ultra Yen

267,014

ProShares Ultra Yen

5,703

Total Trust

46,804,137

Total Trust

163,129,756

*	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.

119

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended June 30, 2016


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	$	(40,266,848	)	$	1,048,083
		ProShares VIX Mid-Term Futures ETF		(2,943,655	)		2,047,660
		ProShares Short VIX Short-Term Futures ETF		77,961,366			14,498,960
		ProShares Ultra VIX Short-Term Futures ETF		(535,337,385	)		33,204,771

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		(1,690,552	)		(203,424	)
		ProShares UltraShort Bloomberg Crude Oil		(109,499,306	)		19,922,224
		ProShares UltraShort Bloomberg Natural Gas		(3,556,836	)		(13,486	)
		ProShares UltraShort Gold		(256,629	)		(9,919,871	)
		ProShares UltraShort Silver		(6,440,818	)		(9,540,356	)
		ProShares Ultra Bloomberg Commodity		1,999,899			252,925
		ProShares Ultra Bloomberg Crude Oil		366,682,172			(70,396,056	)
		ProShares Ultra Bloomberg Natural Gas		10,484,507			7,854,286
		ProShares Ultra Gold		(4,909,537	)		16,131,512
		ProShares Ultra Silver		21,383,709			86,655,755

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		(472,606	)		926,538
Foreign Exchange Contracts		ProShares UltraShort Australian Dollar		(455,053	)		1,177,517
		ProShares UltraShort Euro		(26,140,318	)		45,156,342
		ProShares UltraShort Yen		(15,080,710	)		(17,976,490	)
		ProShares Ultra Euro		605,039			(1,161,976	)
		ProShares Ultra Yen		485,862			597,266

		Total Trust	$	(267,447,699	)	$	120,262,180

120

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
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	$	(252,452,107	)	$	179,800,922

121

The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 30, 2016


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	$	(32,560,699	)	$	(15,262,292	)
		ProShares VIX Mid-Term Futures ETF		(349,195	)		(768,040	)
		ProShares Short VIX Short-Term Futures ETF		(14,221,443	)		68,476,439
		ProShares Ultra VIX Short-Term Futures ETF		(524,131,767	)		(190,137,467	)

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		(1,818,143	)		(316,967	)
		ProShares UltraShort Bloomberg Crude Oil		(87,177,708	)		3,152,261
		ProShares UltraShort Bloomberg Natural Gas		557,513			2,090,582
		ProShares UltraShort Gold		(19,668,636	)		(10,002,602	)
		ProShares UltraShort Silver		(11,789,322	)		(13,774,454	)
		ProShares Ultra Bloomberg Commodity		1,709,831			358,802
		ProShares Ultra Bloomberg Crude Oil		113,346,172			24,733,487
		ProShares Ultra Bloomberg Natural Gas		4,627,286			657,141
		ProShares Ultra Gold		21,074,079			13,212,780
		ProShares Ultra Silver		55,498,153			98,066,886

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		(526,800	)		218,031
Foreign Exchange Contracts		ProShares UltraShort Australian Dollar		(2,143,492	)		475,987
		ProShares UltraShort Euro		(55,054,450	)		32,953,944
		ProShares UltraShort Yen		(52,697,386	)		(9,064,322	)
		ProShares Ultra Euro		1,109,709			(772,534	)
		ProShares Ultra Yen		1,318,083			496,157

		Total Trust	$	(602,898,215	)	$	4,793,819

122

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
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	)
Foreign Exchange Contracts		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	$	(455,841,564	)	$	147,109,091

Offsetting Assets and Liabilities

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

123

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, 2016:


Fair Values of Derivative Instruments as of June 30, 2016
	Assets						Liabilities
	Gross						Gross
	Amounts of						Amounts of
	Recognized		Gross		Net Amounts of		Recognized			Gross		Net Amounts of
	Assets		Amounts		Assets		Liabilities			Amounts		Liabilities
	presented in		Offset in the		presented in		presented in			Offset in the		presented in
	the Statements		the Statements		the Statements		the Statements			Statements		the Statements
	of Financial		of Financial		of Financial		of Financial			of Financial		of Financial
	Condition		Condition		Condition		Condition			Condition		Condition
ProShares UltraShort Bloomberg Commodity Swap agreements	$	—	$	—	$	—	$	(145,643	)	$	—	$	(145,643	)
ProShares UltraShort Bloomberg Crude Oil Swap agreements		11,808,950		—		11,808,950		—			—		—
ProShares UltraShort Gold Forward agreements		—		—		—		(8,180,840	)		—		(8,180,840	)
ProShares UltraShort Silver Forward agreements		—		—		—		(8,978,025	)		—		(8,978,025	)
ProShares UltraShort Euro Foreign currency forward contracts		7,069,239		—		7,069,239		(2,825,631	)		—		(2,825,631	)
ProShares UltraShort Yen Foreign currency forward contracts		1,968,365		—		1,968,365		(24,928,139	)		—		(24,928,139	)
ProShares Ultra Bloomberg Commodity Swap agreements		174,886		—		174,886		—			—		—
ProShares Ultra Bloomberg Crude Oil Swap agreements		—		—		—		(53,278,770	)		—		(53,278,770	)
ProShares Ultra Gold Forward agreements		10,949,405		—		10,949,405		—			—		—
ProShares Ultra Silver Forward agreements		75,484,625		—		75,484,625		—			—		—
ProShares Ultra Euro Foreign currency forward contracts		5,116		—		5,116		(172,730	)		—		(172,730	)
ProShares Ultra Yen Foreign currency forward contracts		768,799		—		768,799		(11,331	)		—		(11,331	)

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2016. 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”.

124


Gross Amounts Not Offset in the Statement of Financial Condition as of June 30, 2016
	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
Citibank N.A.	$	(44,187	)	$	—		$	44,187		$	—
Deutsche Bank AG		(39,256	)		39,256			—			—
Goldman Sachs International		(43,397	)		43,397			—			—
UBS AG		(18,803	)		18,803			—			—
ProShares UltraShort Bloomberg Crude Oil
Citibank N.A.		3,505,354			—			—			3,505,354
Deutsche Bank AG		1,154,522			—			(150,000	)		1,004,522
Goldman Sachs International		3,949,646			(1,721,256	)		—			2,228,390
Societe Generale S.A.		317,503			(317,503	)		—			—
UBS AG		2,881,925			(2,881,925	)		—			—
ProShares UltraShort Gold
Citibank N.A.		(1,343,547	)		1,034,547			309,000			—
Deutsche Bank AG		(3,950,296	)		3,950,296			—			—
Goldman Sachs International		(1,359,875	)		1,359,875			—			—
Societe Generale S.A.		(306,899	)		114,899			192,000			—
UBS AG		(1,220,223	)		1,220,223			—			—
ProShares UltraShort Silver
Citibank N.A.		(1,515,072	)		1,515,072			—			—
Deutsche Bank AG		(4,154,451	)		4,154,451			—			—
Goldman Sachs International		(1,634,166	)		1,634,166			—			—
Societe Generale S.A.		(305,412	)		305,412			—			—
UBS AG		(1,368,924	)		1,368,924			—			—
ProShares UltraShort Euro
Goldman Sachs International		1,791,560			(1,445,610	)		—			345,950
UBS AG		2,452,048			—			(2,118,000	)		334,048
ProShares UltraShort Yen
Goldman Sachs International		(12,017,074	)		10,743,074			1,274,000			—
UBS AG		(10,942,700	)		10,942,700			—			—
ProShares Ultra Bloomberg Commodity
Citibank N.A.		71,429			—			—			71,429
Deutsche Bank AG		28,983			—			—			28,983
Goldman Sachs International		55,789			—			—			55,789
UBS AG		18,685			—			—			18,685
ProShares Ultra Bloomberg Crude Oil
Citibank N.A.		(12,635,188	)		12,635,188			—			—
Deutsche Bank AG		(11,854,164	)		4,895,164			6,959,000			—
Goldman Sachs International		(11,448,659	)		11,448,659			—			—
Societe Generale S.A.		(3,887,818	)		3,885,818			2,000			—
UBS AG		(13,452,941	)		13,452,941			—			—
ProShares Ultra Gold
Citibank N.A.		2,201,783			—			—			2,201,783
Deutsche Bank AG		3,356,348			—			(3,050,000	)		306,348
Goldman Sachs International		2,308,590			(1,985,872	)		—			322,718
Societe Generale S.A.		1,168,788			(1,168,788	)		—			—
UBS AG		1,913,896			—			(1,790,000	)		123,896
ProShares Ultra Silver
Citibank N.A.		22,155,715			—			—			22,155,715
Deutsche Bank AG		15,623,901			—			(14,350,000	)		1,273,901
Goldman Sachs International		19,101,261			(11,132,673	)		—			7,968,588
Societe Generale S.A.		6,782,766			(6,782,766	)		—			—
UBS AG		11,820,982			—			(10,900,000	)		920,982
ProShares Ultra Euro
Goldman Sachs International		(90,042	)		90,042			—			—
UBS AG		(77,572	)		77,572			—			—
ProShares Ultra Yen
Goldman Sachs International		492,774			(492,774	)		—			—
UBS AG		264,694			(264,694	)		—			—

125

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2015:


Fair Values of Derivative Instruments as of December 31, 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	$	224,491	$	—	$	224,491	$	53,167	$	—	$	53,167
ProShares UltraShort Bloomberg Crude Oil Swap agreements		6,412,656		—		6,412,656		—		—		—
ProShares UltraShort Gold Forward agreements		1,808,942		—		1,808,942		—		—		—
ProShares UltraShort Silver Forward agreements		4,778,279		—		4,778,279		—		—		—
ProShares UltraShort Euro Foreign currency forward contracts		—		—		—		28,710,336		—		28,710,336
ProShares UltraShort Yen Foreign currency forward contracts		933,727		—		933,727		14,829,179		—		14,829,179
ProShares Ultra Bloomberg Commodity Swap agreements		32,372		—		32,372		216,288		—		216,288
ProShares Ultra Bloomberg Crude Oil Swap agreements		—		—		—		72,176,589		—		72,176,589
ProShares Ultra Gold Forward agreements		—		—		—		2,250,595		—		2,250,595
ProShares Ultra Silver Forward agreements		—		—		—		22,561,101		—		22,561,101
ProShares Ultra Euro Foreign currency forward contracts		604,920		—		604,920		—		—		—
ProShares Ultra Yen Foreign currency forward contracts		267,014		—		267,014		5,703		—		5,703

126

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 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 Statement of Financial Condition as of December 31, 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
Citibank N.A.	$	(53,167	)	$	53,167		$	—		$	—
Deutsche Bank AG		84,161			—			(50,000	)		34,161
Goldman Sachs International		36,878			(28,466	)		—			8,412
UBS AG		103,452			(103,452	)		—			—
ProShares UltraShort Bloomberg Crude Oil
Citibank N.A.		1,098,278			—			—			1,098,278
Deutsche Bank AG		1,722,894			—			(1,722,894	)		—
Goldman Sachs International		1,595,552			(1,595,552	)		—			—
Societe Generale S.A.		521,142			(521,142	)		—			—
UBS AG		1,474,790			(1,474,790	)		—			—
ProShares UltraShort Gold
Citibank N.A.		3,915			—			—			3,915
Deutsche Bank AG		1,046,664			—			(1,046,664	)		—
Goldman Sachs International		158,827			—			—			158,827
Societe Generale S.A.		212,680			(212,680	)		—			—
UBS AG		386,856			(386,856	)		—			—
ProShares UltraShort Silver
Deutsche Bank AG		2,500,263			—			(2,500,000	)		263
Goldman Sachs International		1,044,986			(858,460	)		—			186,526
Societe Generale S.A.		438,975			(438,975	)		—			—
UBS AG		794,055			(582,692	)		—			211,363
ProShares UltraShort Euro
Goldman Sachs International		(14,992,024	)		14,992,024			—			—
UBS AG		(13,718,312	)		13,718,312			—			—
ProShares UltraShort Yen
Goldman Sachs International		(6,470,405	)		6,470,405			—			—
UBS AG		(7,425,047	)		7,425,047			—			—

127


	Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds) / the Counterparties		Net Amount
ProShares Ultra Bloomberg Commodity
Citibank N.A.		32,372			—			—		32,372
Deutsche Bank AG		(82,976	)		82,976			—		—
Goldman Sachs International		(60,830	)		60,830			—		—
UBS AG		(72,482	)		72,482			—		—
ProShares Ultra Bloomberg Crude Oil
Citibank N.A.		(2,509,989	)		2,509,989			—		—
Deutsche Bank AG		(20,221,872	)		20,221,872			—		—
Goldman Sachs International		(20,806,119	)		20,806,119			—		—
Societe Generale S.A.		(6,357,459	)		6,357,459			—		—
UBS AG		(22,281,150	)		22,281,150			—		—
ProShares Ultra Gold
Citibank N.A.		(4,614	)		—			—		(4,614	)
Deutsche Bank AG		(1,049,383	)		1,049,383			—		—
Goldman Sachs International		(520,730	)		520,730			—		—
Societe Generale S.A.		(244,992	)		244,992			—		—
UBS AG		(430,876	)		430,876			—		—
ProShares Ultra Silver
Deutsche Bank AG		(9,355,945	)		9,355,945			—		—
Goldman Sachs International		(5,106,853	)		5,106,853			—		—
Societe Generale S.A.		(2,704,459	)		2,704,459			—		—
UBS AG		(5,393,844	)		5,393,844			—		—
ProShares Ultra Euro
Goldman Sachs International		315,354			(315,354	)		—		—
UBS AG		289,566			(289,566	)		—		—
ProShares Ultra Yen
Goldman Sachs International		169,787			—			—		169,787
UBS AG		91,524			—			—		91,524

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund. The Sponsor 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.

128

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.

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. The Sponsor pays SEI for performing its duties on behalf of the Funds.

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 will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a 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 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.

129

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.

Transaction fees for the three and six months ended June 30, 2016, which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:


Fund	Three Months Ended June 30, 2016		Six Months Ended June 30, 2016
VIX Short-Term Futures ETF	$	92,423	$	139,828
VIX Mid-Term Futures ETF		4,826		9,144
Short VIX Short-Term Futures ETF		230,655		386,888
Ultra VIX Short-Term Futures ETF		520,228		1,063,236
UltraShort Bloomberg Commodity		—		—
UltraShort Bloomberg Crude Oil		88,310		263,202
UltraShort Bloomberg Natural Gas		3,003		5,657
UltraShort Gold		4,467		16,520
UltraShort Silver		—		16,729
Short Euro		—		—
UltraShort Australian Dollar		—		—
UltraShort Euro		—		—
UltraShort Yen		—		—
Ultra Bloomberg Commodity		—		273
Ultra Bloomberg Crude Oil		94,492		246,886
Ultra Bloomberg Natural Gas		1,229		2,985
Ultra Gold		418		2,449
Ultra Silver		8,099		17,013
Ultra Euro		—		—
Ultra Yen		—		—

Total Trust	$	1,048,150	$	2,170,810

130

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended June 30, 2016:


For the Three Months Ended June 30, 2016 (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
Net asset value, at March 31, 2016	$	58.1642		$	52.7219		$	50.6331		$	96.2659		$	45.8676		$	129.7881
Net investment income (loss)		(0.1006	)		(0.0931	)		(0.1566	)		(0.2348	)		(0.0712	)		(0.1746	)
Net realized and unrealized gain (loss)#		(12.9199	)		(0.6535	)		(0.6423	)		(50.4011	)		(10.5246	)		(47.6781	)
Change in net asset value from operations		(13.0205	)		(0.7466	)		(0.7989	)		(50.6359	)		(10.5958	)		(47.8527	)
Net asset value, at June 30, 2016	$	45.1437		$	51.9753		$	49.8342		$	45.6300		$	35.2718		$	81.9354

Market value per share, at March 31, 2016†	$	58.40		$	52.87		$	50.53		$	96.65		$	44.75		$	130.94
Market value per share, at June 30, 2016†	$	45.80		$	52.53		$	49.06		$	47.15		$	35.70		$	81.62

Total Return, at net asset value^		(22.4	)%		(1.4	)%		(1.6	)%		(52.6	)%		(23.1	)%		(36.9	)%
Total Return, at market value^		(21.6	)%		(0.6	)%		(2.9	)%		(51.2	)%		(20.2	)%		(37.7	)%

Ratios to Average Net Assets**

Expense ratio		1.01	%		0.92	%		1.40	%		1.56	%		0.95	%		1.02	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.79	)%		(0.70	)%		(1.18	)%		(1.33	)%		(0.72	)%		(0.76	)%

*	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, 2016.

**	Percentages are annualized.

131

For the Three Months Ended June 30, 2016 (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, 2016	$	66.7299		$	82.0751		$	49.6365		$	41.6987		$	51.5091		$	23.1947		$	76.5139
Net investment income (loss)		(0.1967	)		(0.1336	)		(0.0690	)		(0.0793	)		(0.1033	)		(0.0402	)		(0.1249	)
Net realized and unrealized gain (loss)#		(32.4440	)		(11.6295	)		(16.4051	)		1.1947			2.0611			1.1638			(12.8555	)
Change in net asset value from operations		(32.6407	)		(11.7631	)		(16.4741	)		1.1154			1.9578			1.1236			(12.9804	)
Net asset value, at June 30, 2016	$	34.0892		$	70.3120		$	33.1624		$	42.8141		$	53.4669		$	24.3183		$	63.5335

Market value per share, at March 31, 2016†	$	65.93		$	83.03		$	49.42		$	41.66		$	51.65		$	23.19		$	76.50
Market value per share, at June 30, 2016†	$	34.06		$	70.00		$	31.65		$	42.81		$	53.47		$	24.32		$	63.53

Total Return, at net asset value^		(48.9	)%		(14.3	)%		(33.2	)%		2.7	%		3.8	%		4.8	%		(17.0	)%
Total Return, at market value^		(48.3	)%		(15.7	)%		(36.0	)%		2.7	%		3.5	%		4.9	%		(17.0	)%

Ratios to Average Net Assets**

Expense ratio		1.72	%		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)		(1.51	)%		(0.68	)%		(0.67	)%		(0.76	)%		(0.77	)%		(0.69	)%		(0.72	)%

*	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, 2016.

**	Percentages are annualized.

132

For the Three Months Ended June 30, 2016 (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, 2016	$	28.3327		$	8.9943		$	10.8292		$	39.8802		$	32.7270		$	16.8643		$	61.9587
Net investment income (loss)		(0.0627	)		(0.0227	)		(0.0397	)		(0.0707	)		(0.0677	)		(0.0276	)		(0.1156	)
Net realized and unrealized gain (loss)#		7.3496			3.1912			6.9636			4.9860			12.8697			(0.9485	)		10.8313
Change in net asset value from operations		7.2869			3.1685			6.9239			4.9153			12.8020			(0.9761	)		10.7157
Net asset value, at June 30, 2016	$	35.6196		$	12.1628		$	17.7531		$	44.7955		$	45.5290		$	15.8882		$	72.6744

Market value per share, at March 31, 2016†	$	29.78		$	8.91		$	10.88		$	39.69		$	32.82		$	16.87		$	61.98
Market value per share, at June 30, 2016†	$	35.44		$	12.22		$	17.65		$	45.03		$	47.67		$	15.86		$	72.71

Total Return, at net asset value^		25.7	%		35.2	%		63.9	%		12.3	%		39.1	%		(5.8	)%		17.3	%
Total Return, at market value^		19.0	%		37.1	%		62.2	%		13.5	%		45.2	%		(6.0	)%		17.3	%

Ratios to Average Net Assets**

Expense ratio		0.95	%		1.03	%		1.46	%		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)		(0.77	)%		(0.80	)%		(1.27	)%		(0.69	)%		(0.71	)%		(0.67	)%		(0.69	)%

#	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, 2016.

**	Percentages are annualized.

133

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	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, 2015	$	85.4233		$	61.3728		$	67.6743		$	379.7452		$	32.3259		$	86.7311		$	29.1621
Net investment income (loss)		(0.1490	)		(0.1229	)		(0.3010	)		(0.9049	)		(0.0682	)		(0.1564	)		(0.1044	)
Net realized and unrealized gain (loss)#		(17.6816	)		(6.3101	)		11.4796			(156.2562	)		(3.2774	)		(29.7623	)		(4.1254	)
Change in net asset value from operations		(17.8306	)		(6.4330	)		11.1786			(157.1611	)		(3.3456	)		(29.9187	)		(4.2298	)
Net asset value, at June 30, 2015	$	67.5927		$	54.9398		$	78.8529		$	222.5841		$	28.9803		$	56.8124		$	24.9323

Market value per share, at March 31, 2015†	$	85.05		$	61.09		$	68.04		$	376.25		$	32.75		$	87.14		$	29.18
Market value per share, at June 30, 2015†	$	67.10		$	54.31		$	79.06		$	219.80		$	29.65		$	57.12		$	25.07

Total Return, at net asset value^		(20.9	)%		(10.5	)%		16.5	%		(41.4	)%		(10.3	)%		(34.5	)%		(14.5	)%
Total Return, at market value^		(21.1	)%		(11.1	)%		16.2	%		(41.6	)%		(9.5	)%		(34.5	)%		(14.1	)%

Ratios to Average Net Assets**

Expense ratio		0.92	%		0.91	%		1.49	%		1.58	%		0.95	%		1.07	%		1.58	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.89	)%		(0.88	)%		(1.47	)%		(1.56	)%		(0.92	)%		(1.04	)%		(1.56	)%

*	See Note 1 of these Notes for 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 Gold			UltraShort Silver*			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen			Ultra Bloomberg Commodity
Net asset value, at March 31, 2015	$	97.8203		$	50.5869		$	44.8528		$	57.4419		$	26.9495		$	88.9747		$	45.6545
Net investment income (loss)		(0.2193	)		(0.1166	)		(0.1020	)		(0.1372	)		(0.0575	)		(0.2067	)		(0.1110	)
Net realized and unrealized gain (loss)#		1.4001			(4.2454	)		(1.7288	)		(2.7520	)		(2.1526	)		3.4095			4.0403
Change in net asset value from operations		1.1808			4.1288			(1.8308	)		(2.8892	)		(2.2101	)		3.2028			3.9293
Net asset value, at June 30, 2015	$	99.0011		$	54.7157		$	43.0220		$	54.5527		$	24.7394		$	92.1775		$	49.5838

Market value per share, at March 31, 2015†	$	98.18		$	50.43		$	44.87		$	57.34		$	26.95		$	88.91		$	46.80
Market value per share, at June 30, 2015†	$	98.82		$	54.27		$	43.05		$	55.09		$	24.75		$	92.19		$	47.02

Total Return, at net asset value^		1.2	%		8.2	%		(4.1	)%		(5.0	)%		(8.2	)%		3.6	%		8.6	%
Total Return, at market value^		0.7	%		7.6	%		(4.1	)%		(3.9	)%		(8.2	)%		3.7	%		0.5	%

Ratios to Average Net Assets**

Expense ratio		0.95	%		0.95	%		0.97	%		1.03	%		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	)%		(0.92	)%		(0.94	)%		(1.01	)%		(0.91	)%		(0.91	)%		(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, 2015.

**	Percentages are annualized.

135

For the Three Months Ended June 30, 2015 (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, 2015	$	34.1249		$	45.6663		$	38.3796		$	41.4806		$	15.5427		$	55.9986
Net investment income (loss)		(0.1142	)		(0.1525	)		(0.0877	)		(0.0904	)		(0.0377	)		(0.1248	)
Net realized and unrealized gain (loss)#		11.4881			(0.0891	)		(1.2720	)		(4.9420	)		1.0857			(2.3709	)
Change in net asset value from operations		11.3739			(0.2416	)		(1.3597	)		(5.0324	)		1.0480			(2.4957	)
Net asset value, at June 30, 2015	$	45.4988		$	45.4247		$	37.0199		$	36.4482		$	16.5907		$	53.5029

Market value per share, at March 31, 2015†	$	33.95		$	45.56		$	38.14		$	41.69		$	15.54		$	55.96
Market value per share, at June 30, 2015†	$	45.20		$	45.20		$	37.04		$	36.63		$	16.59		$	53.61

Total Return, at net asset value^		33.3	%		(0.5	)%		(3.5	)%		(12.1	)%		6.7	%		(4.5	)%
Total Return, at market value^		33.1	%		(0.8	)%		(2.9	)%		(12.1	)%		6.8	%		(4.2	)%

Ratios to Average Net Assets**

Expense ratio		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	%
Net investment income (loss)		(1.01	)%		(1.33	)%		(0.91	)%		(0.90	)%		(0.92	)%		(0.92	)%

#	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

NOTE 7 – FINANCIAL HIGHTLIGHTS

Selected data for a Share outstanding throughout the six months ended June 30, 2016:

For the Six Months Ended June 30, 2016 (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
Net asset value, at December 31, 2015	$	66.2109		$	53.9626		$	50.8150		$	140.4205		$	47.3026		$	133.2019

Net investment income (loss)		(0.2293	)		(0.2001	)		(0.2499	)		(0.5783	)		(0.1652	)		(0.4438	)
Net realized and unrealized gain (loss)#		(20.8379	)		(1.7872	)		(0.7309	)		(94.2122	)		(11.8656	)		(50.8227	)
Change in net asset value from operations		(21.0672	)		(1.9873	)		(0.9808	)		(94.7905	)		(12.0308	)		(51.2665	)
Net asset value, at June 30, 2016	$	45.1437		$	51.9753		$	49.8342		$	45.6300		$	35.2718		$	81.9354

Market value per share, at December 31, 2015†	$	66.65		$	53.99		$	50.45		$	141.75		$	46.80		$	133.64
Market value per share, at June 30, 2016†	$	45.80		$	52.53		$	49.06		$	47.15		$	35.70		$	81.62

Total Return, at net asset value^		(31.8	)%		(3.7	)%		(1.9	)%		(67.5	)%		(25.4	)%		(38.5	)%
Total Return, at market value^		(31.3	)%		(2.7	)%		(2.8	)%		(66.7	)%		(23.7	)%		(38.9	)%

Ratios to Average Net Assets**

Expense ratio		1.03	%		0.93	%		1.33	%		1.55	%		0.95	%		1.05	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.82	)%		(0.72	)%		(1.12	)%		(1.32	)%		(0.75	)%		(0.80	)%

*	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, 2016.

**	Percentages are annualized.

137

For the Six Months Ended June 30, 2016 (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, 2015	$	46.5314		$	115.8799		$	64.5783		$	43.7767		$	58.4582		$	25.5406		$	87.9389

Net investment income (loss)		(0.4217	)		(0.3036	)		(0.1668	)		(0.1676	)		(0.2320	)		(0.0845	)		(0.2872	)
Net realized and unrealized gain (loss)#		(12.0205	)		(45.2643	)		(31.2491	)		(0.7950	)		(4.7593	)		(1.1378	)		(24.1182	)
Change in net asset value from operations		(12.4422	)		(45.5679	)		(31.4159	)		(0.9626	)		(4.9913	)		(1.2223	)		(24.4054	)
Net asset value, at June 30, 2016	$	34.0892		$	70.3120		$	33.1624		$	42.8141		$	53.4669		$	24.3183		$	63.5335

Market value per share, at December 31, 2015†	$	46.55		$	115.83		$	64.55		$	43.74		$	58.15		$	25.53		$	87.89
Market value per share, at June 30, 2016†	$	34.06		$	70.00		$	31.65		$	42.81		$	53.47		$	24.32		$	63.53

Total Return, at net asset value^		(26.7	)%		(39.3	)%		(48.6	)%		(2.2	)%		(8.5	)%		(4.8	)%		(27.8	)%
Total Return, at market value^		(26.8	)%		(39.6	)%		(51.0	)%		(2.1	)%		(8.0	)%		(4.7	)%		(27.7	)%

Ratios to Average Net Assets**

Expense ratio		1.70	%		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)		(1.47	)%		(0.72	)%		(0.71	)%		(0.79	)%		(0.83	)%		(0.70	)%		(0.77	)%

*	See Note 1 of these Notes to Financial Statements.

#	Percentages 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, 2016.

**	Percentages are annualized.

138

For the Six Months Ended June 30, 2016 (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, 2015	$	28.4279		$	12.5774		$	18.5698		$	29.7295		$	27.0638		$	15.5107		$	54.7527

Net investment income (loss)		(0.1206	)		(0.0396	)		(0.0787	)		(0.1371	)		(0.1255	)		(0.0581	)		(0.2267	)
Net realized and unrealized gain (loss)#		7.3123			(0.3750	)		(0.7380	)		15.2031			18.5907			0.4356			18.1484
Change in net asset value from operations		7.1917			(0.4146	)		(0.8167	)		15.0660			18.4652			0.3775			17.9217
Net asset value, at June 30, 2016	$	35.6196		$	12.1628		$	17.7531		$	44.7955		$	45.5290		$	15.8882		$	72.6744

Market value per share, at December 31, 2015†	$	28.07		$	12.54		$	18.48		$	29.73		$	27.08		$	15.51		$	54.70
Market value per share, at June 30, 2016†	$	35.44		$	12.22		$	17.65		$	45.03		$	47.67		$	15.86		$	72.71

Total Return, at net asset value^		25.3	%		(3.3	)%		(4.4	)%		50.7	%		68.2	%		2.4	%		32.7	%
Total Return, at market value^		26.3	%		(2.6	)%		(4.5	)%		51.5	%		76.0	%		2.3	%		32.9	%

Ratios to Average Net Assets**

Expense ratio		0.95	%		1.03	%		1.43	%		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)		(0.80	)%		(0.80	)%		(1.25	)%		(0.71	)%		(0.73	)%		(0.72	)%		(0.72	)%

#	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, 2016.

**	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	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, 2014	$	104.6604		$	63.6020		$	61.4004		$	627.2957		$	29.2498		$	77.9790		$	27.9859

Net investment income (loss)		(0.3558	)		(0.2673	)		(0.4540	)		(2.5088	)		(0.1366	)		(0.3489	)		(0.1959	)
Net realized and unrealized gain (loss)#		(36.7119	)		(8.3949	)		17.9065			(402.2028	)		(0.1329	)		(20.8177	)		(2.8577	)
Change in net asset value from operations		(37.0677	)		(8.6622	)		17.4525			(404.7116	)		(0.2695	)		(21.1666	)		(3.0536	)
Net asset value, at June 30, 2015	$	67.5927		$	54.9398		$	78.8529		$	222.5841		$	28.9803		$	56.8124		$	24.9323

Market value per share, at December 31, 2014†	$	104.95		$	63.89		$	61.16		$	628.75		$	29.15		$	76.52		$	27.34
Market value per share, at June 30, 2015†	$	67.10		$	54.31		$	79.06		$	219.80		$	29.65		$	57.12		$	25.07

Total Return, at net asset value^		(35.4	)%		(13.6	)%		28.4	%		(64.5	)%		(0.9	)%		(27.1	)%		(10.9	)%
Total Return, at market value^		(36.1	)%		(15.0	)%		29.3	%		(65.0	)%		1.7	%		(25.4	)%		(8.3	)%

Ratios to Average Net Assets**

Expense ratio		0.95	%		0.94	%		1.43	%		1.63	%		0.95	%		1.04	%		1.50	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.92	)%		(0.90	)%		(1.40	)%		(1.61	)%		(0.91	)%		(1.02	)%		(1.48	)%

*	See Note 1 of these Notes to the 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 Gold			UltraShort Silver*			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen			Ultra Bloomberg Commodity
Net asset value, at December 31, 2014	$	96.6516		$	57.8071		$	40.0617		$	51.3790		$	21.5946		$	89.3336		$	52.1342

Net investment income (loss)		(0.4295	)		(0.2319	)		(0.2016	)		(0.2717	)		(0.1123	)		(0.4045	)		(0.2214	)
Net realized and unrealized gain (loss)#		2.7790			(2.8595	)		3.1619			3.4454			3.2571			3.2484			(2.3290	)
Change in net asset value from operations		2.3495			(3.0914	)		2.9603			3.1737			3.1448			2.8439			(2.5504	)
Net asset value, at June 30, 2015	$	99.0011		$	54.7157		$	43.0220		$	54.5527		$	24.7394		$	92.1775		$	49.5838

Market value per share, at December 31, 2014†	$	100.22		$	59.70		$	40.03		$	51.37		$	21.61		$	89.30		$	51.44
Market value per share, at June 30, 2015†	$	98.82		$	54.27		$	43.05		$	55.09		$	24.75		$	92.19		$	47.02

Total Return, at net asset value^		2.4	%		(5.3	)%		7.4	%		6.2	%		14.6	%		3.2	%		(4.9	)%
Total Return, at market value^		(1.4	)%		(9.1	)%		7.5	%		7.2	%		14.5	%		3.2	%		(8.6	)%

Ratios to Average Net Assets**

Expense ratio		0.95	%		0.95	%		0.97	%		1.02	%		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	)%		(0.91	)%		(0.94	)%		(1.01	)%		(0.91	)%		(0.91	)%		(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, 2015.

**	Percentages are annualized.

141

For the Six Months Ended June 30, 2015 (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, 2014	$	50.7400		$	61.6491		$	40.0011		$	39.3657		$	19.8744		$	56.4747

Net investment income (loss)		(0.2074	)		(0.3071	)		(0.1780	)		(0.1842	)		(0.0751	)		(0.2523	)
Net realized and unrealized gain (loss)#		(5.0338	)		(15.9173	)		(2.8032	)		(2.7333	)		(3.2086	)		(2.7195	)
Change in net asset value from operations		(5.2412	)		(16.2244	)		(2.9812	)		(2.9175	)		(3.2837	)		(2.9718	)
Net asset value, at June 30, 2015	$	45.4988		$	45.4247		$	37.0199		$	36.4482		$	16.5907		$	53.5029

Market value per share, at December 31, 2014†	$	51.85		$	63.12		$	38.41		$	38.05		$	19.80		$	56.48
Market value per share, at June 30, 2015†	$	45.20		$	45.20		$	37.04		$	36.63		$	16.59		$	53.61

Total Return, at net asset value^		(10.3	)%		(26.3	)%		(7.5	)%		(7.4	)%		(16.5	)%		(5.3	)%
Total Return, at market value^		(12.8	)%		(28.4	)%		(3.6	)%		(3.7	)%		(16.2	)%		(5.1	)%

Ratios to Average Net Assets**

Expense ratio		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	%
Net investment income (loss)		(0.99	)%		(1.23	)%		(0.91	)%		(0.90	)%		(0.92	)%		(0.92	)%

#	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

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 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

143

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.

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.

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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.

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 2015 may specify January 2016 expiration. As that contract nears expiration, it may be replaced by selling the January 2016 contract and purchasing the contract expiring in March 2016. 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 2016 contract would take place at a price that is higher than the price at which the March 2016 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.

Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a

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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.

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. The subsequent events were as follows:

On July 1, 2016, the Trust announced a 3-for-1 forward split of the shares of beneficial interest of ProShares UltraShort Bloomberg Commodity and ProShares UltraShort Bloomberg Natural Gas. The forward splits will apply to shareholders of record as of the close of the markets on July 20, 2016, payable after the close of the markets on July 22, 2016. The funds will trade at their post-split price on July 25, 2016.

Also, on July 1, 2016, the Trust announced a 1-for-5 reverse split of the shares of beneficial interest of ProShares VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF. The reverse splits will be effective at the market open on July 25, 2015, when the funds will begin trading at their post-split price.

The shares outstanding and per share information for ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Natural Gas, ProShares VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF disclosed in the financial statements and notes to the financial statements have been retroactively adjusted to give effect of the splits.

On July 25, 2016, the Trust announced that it plans to close and liquidate ProShares Ultra Bloomberg Crude Oil (ticker symbol: UCD) and ProShares UltraShort Bloomberg Crude Oil (ticker symbol: CMD). The funds trade on NYSE Arca.

After the close of business on August 25, 2016, the funds will no longer accept creation orders. Trading in the funds on NYSE Arca will be halted prior to market open on August 26, 2016. Beginning on August 26, 2016, the funds will not be traded on NYSE Arca and there will be no secondary market for the funds’ shares. Once the funds are in the process of liquidating their portfolio holdings, they will not be managed in accordance with their investment objectives. Proceeds of the liquidations are scheduled to be distributed to shareholders on or about September 1, 2016.

Any shareholders remaining in the funds on the distribution date will automatically have their shares redeemed for cash at the funds’ net asset value per share as of the liquidation date. The cash distribution will be deposited into their brokerage accounts. These cash distributions are taxable events and shareholders should consult their tax advisors about potential tax consequences.

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Item 2.

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

This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” 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, 2016, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); (iii) 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 (iv) 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.

On February 18, 2016, the Trust announced plans to liquidate ProShares Managed Futures Strategy (ticker symbol: FUTS). ProShares Managed Futures Strategy was closed to purchases and redemptions as of the close of regular trading on the NYSE Arca on March 18, 2016. Beginning March 21, 2016, no secondary market for ProShares Managed Futures Strategy’s Shares remained. Proceeds of the liquidation were distributed to shareholders on March 30, 2016. Any shareholders remaining in the fund on March 30, 2016 automatically had their shares redeemed for cash at ProShares Managed Futures Strategy’s net asset value per Share as of March 21, 2016. On March 31, 2016, the NYSE Arca filed a Form 25 removing the listing of ProShares Managed Futures Strategy on the NYSE Arca. On April 11, 2016 a Form 15 was filed with the U.S. Securities and Exchange Commission (“SEC”) terminating the registration of ProShares Managed Futures Strategy.

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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 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”).

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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.

Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on 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, 2016 and 2015 each of the Funds earned interest income as follows:


Fund	Interest Income Three Months Ended June 30, 2016		Interest Income Three Months Ended June 30, 2015		Interest Income Six Months Ended June 30, 2016		Interest Income Six Months Ended June 30, 2015
ProShares VIX Short-Term Futures ETF	$	134,426	$	11,228	$	180,575	$	21,135
ProShares VIX Mid-Term Futures ETF		21,839		2,162		34,098		4,876
ProShares Short VIX Short-Term Futures ETF		281,446		14,724		599,158		44,653
ProShares Ultra VIX Short-Term Futures ETF		527,858		32,035		826,663		64,494
ProShares UltraShort Bloomberg Commodity		4,060		468		7,960		996
ProShares UltraShort Bloomberg Crude Oil		144,387		15,983		233,499		36,495
ProShares UltraShort Bloomberg Natural Gas		4,550		595		14,118		1,580
ProShares UltraShort Gold		45,076		6,595		74,265		14,791
ProShares UltraShort Silver		29,058		4,035		48,742		10,178
ProShares Short Euro		8,531		1,283		14,669		2,663
ProShares UltraShort Australian Dollar		12,258		749		20,043		1,856
ProShares UltraShort Euro		255,428		54,503		516,867		122,093
ProShares UltraShort Yen		104,491		39,919		172,839		84,967
ProShares Ultra Bloomberg Commodity		4,426		232		5,926		486
ProShares Ultra Bloomberg Crude Oil		498,531		65,327		949,595		141,569
ProShares Ultra Bloomberg Natural Gas		15,411		5,742		27,143		11,384
ProShares Ultra Gold		59,634		8,894		106,020		21,632
ProShares Ultra Silver		188,656		36,301		310,266		74,547
ProShares Ultra Euro		6,834		1,028		11,797		1,562
ProShares Ultra Yen		4,255		459		7,149		750

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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.

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

Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an 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 2, 2016, 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.

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

For financial reporting purposes, the Funds value 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 Funds’ final creation/redemption NAV for the three and six months ended June 30, 2016.

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. Through July 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.

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Results of Operations for the Three Months Ended June 30, 2016 Compared to the Three Months Ended June 30, 2015

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, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	159,076,994		$	149,487,509
NAV end of period	$	190,955,944		$	169,655,175
Percentage change in NAV		20.0	%		13.5	%
Shares outstanding beginning of period		2,734,962			1,749,962
Shares outstanding end of period		4,229,962			2,509,962
Percentage change in shares outstanding		54.7	%		43.4	%
Shares created		3,670,000			820,000
Shares redeemed		2,175,000			60,000
Per share NAV beginning of period	$	58.16		$	85.42
Per share NAV end of period	$	45.14		$	67.59
Percentage change in per share NAV		(22.4	)%		(20.9	)%
Percentage change in benchmark		(22.5	)%		(20.8	)%
Benchmark annualized volatility		102.3	%		54.7	%

During the three months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,734,962 outstanding Shares at March 31, 2016 to 4,229,962 outstanding Shares at June 30, 2016. 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, 2015, the increase in the Fund’s NAV resulted from an increase from 1,749,962 outstanding Shares at March 31, 2015 to 2,509,962 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.

For the three months ended June 30, 2016 and 2015, 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 22.4% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 20.9% for the three months ended June 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on April 11, 2016 at $62.62 per Share and reached its low for the period on June 6, 2016 at $42.55 per Share. By comparison, 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 $84.45 per Share and reached its low for the period on June 23, 2015 at $56.30 per Share.

The benchmark’s decline of 22.5% for the three months ended June 30, 2016, as compared to the benchmark’s decline of 20.8% for the three months ended June 30, 2015, can be attributed to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(487,032	)	$	(331,587	)
Management fee		520,759			316,922
Brokerage commission		100,699			25,893
Net realized gain (loss)		(40,262,015	)		(51,588,577	)
Change in net unrealized appreciation/depreciation		1,038,205			19,018,212
Net income (loss)	$	(39,710,842	)	$	(32,901,952	)

153

The Fund’s net income decreased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2016.

*	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 VIX Short-Term Futures ETF.

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, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	29,650,967		$	28,379,030
NAV end of period	$	42,224,892		$	26,777,867
Percentage change in NAV		42.4	%		(5.6	)%
Shares outstanding beginning of period		562,403			462,404
Shares outstanding end of period		812,403			487,404
Percentage change in shares outstanding		44.5	%		5.4	%
Shares created		275,000			100,000
Shares redeemed		25,000			75,000
Per share NAV beginning of period	$	52.72		$	61.37
Per share NAV end of period	$	51.98		$	54.94
Percentage change in per share NAV		(1.4	)%		(10.5	)%
Percentage change in benchmark		(1.2	)%		(10.3	)%
Benchmark annualized volatility		45.6	%		21.7	%

During the three months ended June 30, 2016 and 2015, the increase in the Fund’s NAV resulted from an increase from 562,403 outstanding Shares at March 31, 2016 to 812,403 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended 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.

For the three months ended June 30, 2016 and 2015, 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 1.4% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 10.5% for the three months ended June 30, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $58.82 per Share and reached its low for the period on June 23, 2016 at $49.89 per Share. By comparison, during the three months ended June 30, 2015, the Fund’s per Share NAV reached its high for the 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.

154

The benchmark’s decline of 1.2% for the three months ended June 30, 2016, as compared to the benchmark’s decline of 10.3% for the three months ended June 30, 2015, 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, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(69,741	)	$	(57,794	)
Management fee		84,727			56,030
Brokerage commission		6,853			3,926
Net realized gain (loss)		(2,943,716	)		(3,049,969	)
Change in net unrealized appreciation/depreciation		2,044,685			199,953
Net income (loss)	$	(968,772	)	$	(2,908,110	)

The Fund’s net income increased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, 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, 2016.

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, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	508,862,366		$	280,850,972
NAV end of period	$	687,712,265		$	189,250,124
Percentage change in NAV		35.1	%		(32.6	)%
Shares outstanding beginning of period		10,050,000			4,150,040
Shares outstanding end of period		13,800,000			2,400,040
Percentage change in shares outstanding		37.3	%		(42.2	)%
Shares created		19,900,000			2,400,000
Shares redeemed		16,150,000			4,150,000
Per share NAV beginning of period	$	50.63		$	67.67
Per share NAV end of period	$	49.83		$	78.85
Percentage change in per share NAV		(1.6	)%		16.5	%
Percentage change in benchmark		(22.5	)%		(20.8	)%
Benchmark annualized volatility		102.3	%		54.7	%

During the three months ended June 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 10,050,000 outstanding Shares at March 31, 2016 to 13,800,000 outstanding Shares at June 30, 2016. 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 inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, 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.

For the three months ended June 30, 2016 and 2015, 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 1.6% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV increase of 16.5% for the three months ended June 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

155

During the three months ended June 30, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on June 6, 2016 at $65.18 per Share and reached its low for the period on June 27, 2016 at $38.76 per Share. By comparison, 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.

The benchmark’s decline of 22.5% for the three months ended June 30, 2016, as compared to the benchmark’s decline of 20.8% for the three months ended June 30, 2015, can be attributed to a greater decline in the prices of the near-term futures contracts on the VIX Futures curve during the three months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(1,510,189	)	$	(840,088	)
Management fee		1,218,924			544,083
Brokerage commission		572,711			310,729
Net realized gain (loss)		77,967,418			86,044,478
Change in net unrealized appreciation/depreciation		14,457,719			(23,573,452	)
Net income (loss)	$	90,914,948		$	61,630,938

The Fund’s net income increase for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2016.

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, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	892,431,755		$	693,720,084
NAV end of period	$	839,613,853		$	431,922,188
Percentage change in NAV		(5.9	)%		(37.7	)%
Shares outstanding beginning of period		9,270,490			1,826,804
Shares outstanding end of period		18,400,490			1,940,490
Percentage change in shares outstanding		98.5	%		6.2	%
Shares created		20,470,000			2,770,000
Shares redeemed		11,340,000			2,656,314
Per share NAV beginning of period	$	96.27		$	379.75
Per share NAV end of period	$	45.63		$	222.58
Percentage change in per share NAV		(52.6	)%		(41.4	)%
Percentage change in benchmark		(22.5	)%		(20.8	)%
Benchmark annualized volatility		102.3	%		54.6	%

156

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 1,826,804 outstanding Shares at March 31, 2015 to 1,940,490 outstanding Shares at June 30, 2015.

For the three months ended June 30, 2016 and 2015, 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 52.6% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 41.4% for the three months ended June 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on April 11, 2016 at $109.88 per Share and reached its low for the period on June 30, 2016 at $45.63 per Share. By comparison, 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 $370.95 per Share and reached its low for the period on June 23, 2015 at $158.00 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(3,032,293	)	$	(2,003,111	)
Management fee		2,169,397			1,219,938
Brokerage commission		1,390,754			815,208
Net realized gain (loss)		(535,301,823	)		(401,777,431	)
Change in net unrealized appreciation/depreciation		33,049,072			137,439,142
Net income (loss)	$	(505,285,044	)	$	(266,341,400	)

*	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 splits 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, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	8,255,478		$	5,818,363
NAV end of period	$	6,348,401		$	5,216,200
Percentage change in NAV		(23.1	)%		(10.3	)%
Shares outstanding beginning of period		179,985			179,991
Shares outstanding end of period		179,985			179,991
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	45.87		$	32.33
Per share NAV end of period	$	35.27		$	28.98
Percentage change in per share NAV		(23.1	)%		(10.4	)%
Percentage change in benchmark		12.8	%		4.7	%
Benchmark annualized volatility		15.9	%		14.0	%

157

During the three months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 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, 2016 to June 30, 2016. By comparison, 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.

For the three months ended June 30, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 23.1% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 10.4% for the three months ended June 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 5, 2016 at $48.06 per Share and reached its low for the period on June 8, 2016 at $34.61 per Share. By comparison, 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 $31.78 per Share and reached its low for the period on May 14, 2015 at $27.72 per Share.

The benchmark’s rise of 12.8% for the three months ended June 30, 2016, as compared to the benchmark’s rise of 4.7% for the three months ended June 30, 2015, can be attributed to a greater appreciation of the underlying components of the index during the three months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(12,811	)	$	(12,273	)
Management fee		16,871			12,741
Net realized gain (loss)		(1,690,407	)		(75,515	)
Change in net unrealized appreciation/depreciation		(203,859	)		(514,375	)
Net income (loss)	$	(1,907,077	)	$	(602,163	)

The Fund’s net income decreased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to a rise in the Fund’s benchmark index during the three months ended June 30, 2016.

*	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 UltraShort Bloomberg Commodity.

158

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	223,228,004		$	370,337,005
NAV end of period	$	165,504,746		$	180,092,283
Percentage change in NAV		(25.9	)%		(51.4	)%
Shares outstanding beginning of period		1,719,942			4,269,944
Shares outstanding end of period		2,019,942			3,169,944
Percentage change in shares outstanding		17.4	%		(25.8	)%
Shares created		2,300,000			4,550,000
Shares redeemed		2,000,000			5,650,000
Per share NAV beginning of period	$	129.79		$	86.73
Per share NAV end of period	$	81.94		$	56.81
Percentage change in per share NAV		(36.9	)%		(34.5	)%
Percentage change in benchmark		18.7	%		17.5	%
Benchmark annualized volatility		38.6	%		35.9	%

During the three months ended June 30, 2016, 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 WTI Crude Oil Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 1,719,942 outstanding Shares at March 31, 2016 to 2,019,942 outstanding Shares at June 30, 2016. By comparison, 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.

For the three months ended June 30, 2016 and 2015, 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 36.9% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 34.5% for the three months ended June 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 4, 2016 at $148.56 per Share and reached its low for the period on June 8, 2016 at $74.44 per Share. By comparison, 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.

The benchmark’s rise of 18.7% for the three months ended June 30, 2016, as compared to the rise of 17.5% for the three months ended June 30, 2015, can be attributed to a greater increase in the price of WTI Crude Oil during the three months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(412,454	)	$	(732,642	)
Management fee		516,946			667,767
Brokerage commission		39,895			80,858
Net realized gain (loss)		(109,493,254	)		(83,697,622	)
Change in net unrealized appreciation/depreciation		19,903,264			(46,476,651	)
Net income (loss)	$	(90,002,444	)	$	(130,906,915	)

The Fund’s net income increased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to a greater rise in the price of WTI Crude Oil during the three months ended June 30, 2016.

159

ProShares UltraShort Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	4,993,531		$	10,931,570
NAV end of period	$	2,550,965		$	13,085,851
Percentage change in NAV		(48.9	)%		19.7	%
Shares outstanding beginning of period		74,832			374,856
Shares outstanding end of period		74,832			524,856
Percentage change in shares outstanding		0.0	%		40.0	%
Shares created		300,000			450,000
Shares redeemed		300,000			300,000
Per share NAV beginning of period	$	66.73		$	29.16
Per share NAV end of period	$	34.09		$	24.93
Percentage change in per share NAV		(48.9	)%		(14.5	)%
Percentage change in benchmark		31.0	%		1.8	%
Benchmark annualized volatility		40.0	%		39.3	%

During the three months ended June 30, 2016, 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 March 31, 2016 to June 30, 2016. By comparison, during the three months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 374,856 outstanding Shares at March 31, 2015 to 524,856 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.

For the three months ended June 30, 2016 and 2015, 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 48.9% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 14.5% for the three months ended June 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 6, 2016 at $69.79 per Share and reached its low for the period on June 30, 2016 at $34.09 per Share. By comparison, 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 $32.39 per Share and reached its low for the period on May 15, 2015 at $21.97 per Share.

The benchmark’s rise of 31.0% for the three months ended June 30, 2016, as compared to the benchmark’s rise of 1.8% for the three months ended June 30, 2015, can be attributed to a greater increase in the price of Henry Hub Natural Gas during the three months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(31,909	)	$	(48,062	)
Management fee		20,104			29,314
Brokerage commission		16,355			19,343
Net realized gain (loss)		(3,554,942	)		(77,486	)
Change in net unrealized appreciation/depreciation		(14,207	)		(832,620	)
Net income (loss)	$	(3,601,058	)	$	(958,168	)

160

The Fund’s net income decreased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to a greater increase in the price of Henry Hub Natural Gas during the three months ended June 30, 2016.

*	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 UltraShort Bloomberg Natural Gas.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	69,515,807		$	77,960,614
NAV end of period	$	56,037,110		$	73,951,674
Percentage change in NAV		(19.4	)%		(5.1	)%
Shares outstanding beginning of period		846,978			796,978
Shares outstanding end of period		796,978			746,978
Percentage change in shares outstanding		(5.9	)%		(6.3	)%
Shares created		100,000			—
Shares redeemed		150,000			50,000
Per share NAV beginning of period	$	82.08		$	97.82
Per share NAV end of period	$	70.31		$	99.00
Percentage change in per share NAV		(14.3	)%		1.2	%
Percentage change in benchmark		6.8	%		(1.4	)%
Benchmark annualized volatility		17.7	%		12.6	%

During the three months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 846,978 outstanding Shares at March 31, 2016 to 796,978 outstanding Shares at June 30, 2016. 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. LBMA Gold Price. By comparison, 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†.

For the three months ended June 30, 2016 and 2015, 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 14.3% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV increase of 1.2% for the three months ended June 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 1, 2016 at $85.16 per Share and reached its low for the period on June 27, 2016 at $69.95 per Share. By comparison, 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.

161

The benchmark’s rise of 6.8% for the three months ended June 30, 2016, as compared to the benchmark’s decline of 1.4% for the three months ended June 30, 2015, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(114,810	)	$	(167,434	)
Management fee		159,878			174,020
Brokerage commission		8			9
Net realized gain (loss)		(256,423	)		(525,353	)
Change in net unrealized appreciation/depreciation		(9,930,237	)		1,602,870
Net income (loss)	$	(10,301,470	)	$	910,083

The Fund’s net income decreased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2016.

†

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, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	50,479,106		$	56,504,499
NAV end of period	$	32,067,220		$	61,116,236
Percentage change in NAV		(36.5	)%		8.2	%
Shares outstanding beginning of period		1,016,976			1,116,978
Shares outstanding end of period		966,976			1,116,978
Percentage change in shares outstanding		(4.9	)%		0.0	%
Shares created		250,000			500,000
Shares redeemed		300,000			500,000
Per share NAV beginning of period	$	49.64		$	50.59
Per share NAV end of period	$	33.16		$	54.72
Percentage change in per share NAV		(33.2	)%		8.2	%
Percentage change in benchmark		19.4	%		(5.4	)%
Benchmark annualized volatility		25.3	%		20.8	%

During the three months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,016,976 outstanding Shares at March 31, 2016 to 966,976 outstanding Shares at June 30, 2016. 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 London Silver Price. By comparison, 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.

162

For the three months ended June 30, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 33.2% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV increase of 8.2% for the three months ended June 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 4, 2016 at $52.34 per Share and reached its low for the period on June 30, 2016 at $33.16 per Share. By comparison, 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 $55.14 per Share and reached its low for the period on May 18, 2015 at $43.46 per Share.

The benchmark’s rise of 19.4% for the three months ended June 30, 2016, as compared to the benchmark’s decline of 5.4% for the three months ended June 30, 2015, can be attributed to an increase in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(70,289	)	$	(130,679	)
Management fee		99,330			134,697
Brokerage commission		17			17
Net realized gain (loss)		(6,440,229	)		(568,354	)
Change in net unrealized appreciation/depreciation		(9,544,661	)		6,289,143
Net income (loss)	$	(16,055,179	)	$	5,590,110

The Fund’s net income decreased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to an increase in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2016.

*	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 UltraShort Silver.

†	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 three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	14,594,528		$	20,184,003
NAV end of period	$	17,125,648		$	19,360,122
Percentage change in NAV		17.3	%		(4.1	)%
Shares outstanding beginning of period		350,000			450,005
Shares outstanding end of period		400,000			450,005
Percentage change in shares outstanding		14.3	%		0.0	%
Shares created		50,000			—
Shares redeemed		—			—
Per share NAV beginning of period	$	41.70		$	44.85
Per share NAV end of period	$	42.81		$	43.02
Percentage change in per share NAV		2.7	%		(4.1	)%
Percentage change in benchmark		(2.5	)%		3.7	%
Benchmark annualized volatility		9.1	%		12.3	%

163

During the three months ended June 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 350,000 outstanding Shares at March 31, 2016 to 400,000 outstanding Shares at June 30, 2016. 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 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.

For the three months ended June 30, 2016 and 2015, 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 2.7% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 4.1% for the three months ended June 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $43.03 per Share and reached its low for the period on May 2, 2016 at $41.22 per Share. By comparison, 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.

The benchmark’s decline of 2.5% for the three months ended June 30, 2016, as compared to the benchmark’s rise of 3.7% for the three months ended June 30, 2015, can be attributed to a decline in the value of the euro versus the U.S. dollar during the three months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(31,107	)	$	(45,895	)
Management fee		38,959			46,327
Brokerage commission		679			851
Net realized gain (loss)		(472,606	)		(906,332	)
Change in net unrealized appreciation/depreciation		925,451			128,346
Net income (loss)	$	421,738		$	(823,881	)

The Fund’s net income increased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to a decline in the value of the euro versus the U.S. dollar during the three months ended June 30, 2016.

164

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	18,028,199		$	20,104,935
NAV end of period	$	18,713,405		$	19,093,705
Percentage change in NAV		3.8	%		(5.0	)%
Shares outstanding beginning of period		350,000			350,005
Shares outstanding end of period		350,000			350,005
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	51.51		$	57.44
Per share NAV end of period	$	53.47		$	54.55
Percentage change in per share NAV		3.8	%		(5.0	)%
Percentage change in benchmark		(2.7	)%		1.3	%
Benchmark annualized volatility		13.2	%		12.4	%

During the three months ended June 30, 2016, 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 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, 2016 to June 30, 2016. By comparison, 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.

For the three months ended June 30, 2016 and 2015, 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 3.8% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 5.0% for the three months ended June 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on May 24, 2016 at $58.10 per Share and reached its low for the period on April 19, 2016 at $49.39 per Share. By comparison, 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.

The benchmark’s decline of 2.7% for the three months ended June 30, 2016, as compared to the benchmark’s rise of 1.3% for the three months ended June 30, 2015, can be attributed to a decline in the value of the Australian dollar versus the U.S. dollar during the three months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(36,158	)	$	(48,012	)
Management fee		44,642			45,158
Brokerage commission		3,774			3,603
Net realized gain (loss)		(454,834	)		(445,895	)
Change in net unrealized appreciation/depreciation		1,176,198			(517,323	)
Net income (loss)	$	685,206		$	(1,011,230	)

The Fund’s net income increased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to a decline in the value of the Australian dollar versus the U.S. dollar during the three months ended June 30, 2016.

165

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	398,948,519		$	619,839,556
NAV end of period	$	386,660,905		$	629,617,014
Percentage change in NAV		(3.1	)%		1.6	%
Shares outstanding beginning of period		17,200,000			23,000,014
Shares outstanding end of period		15,900,000			25,450,014
Percentage change in shares outstanding		(7.6	)%		10.7	%
Shares created		200,000			6,400,000
Shares redeemed		1,500,000			3,950,000
Per share NAV beginning of period	$	23.19		$	26.95
Per share NAV end of period	$	24.32		$	24.74
Percentage change in per share NAV		4.9	%		(8.2	)%
Percentage change in benchmark		(2.5	)%		3.7	%
Benchmark annualized volatility		9.1	%		12.3	%

During the three months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 17,200,000 outstanding Shares at March 31, 2016 to 15,900,000 outstanding Shares at June 30, 2016. 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 euro versus the U.S. dollar. By comparison, 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.

For the three months ended June 30, 2016 and 2015, 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 4.9% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 8.2% for the three months ended June 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $24.67 per Share and reached its low for the period on May 2, 2016 at $22.63 per Share. By comparison, 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.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(666,494	)	$	(1,296,221	)
Management fee		921,922			1,350,724
Net realized gain (loss)		(26,134,024	)		(29,570,685	)
Change in net unrealized appreciation/depreciation		45,094,110			(18,926,208	)
Net income (loss)	$	18,293,592		$	(49,793,114	)

166

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	175,927,655		$	440,362,007
NAV end of period	$	193,732,080		$	405,516,052
Percentage change in NAV		10.1	%		(7.9	)%
Shares outstanding beginning of period		2,299,290			4,949,294
Shares outstanding end of period		3,049,290			4,399,294
Percentage change in shares outstanding		32.6	%		(11.1	)%
Shares created		750,000			400,000
Shares redeemed		—			950,000
Per share NAV beginning of period	$	76.51		$	88.97
Per share NAV end of period	$	63.53		$	92.18
Percentage change in per share NAV		(17.0	)%		3.6	%
Percentage change in benchmark		9.0	%		(2.0	)%
Benchmark annualized volatility		14.6	%		7.3	%

During the three months ended June 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 2,299,290 outstanding Shares at March 31, 2016 to 3,049,290 outstanding Shares at June 30, 2016. 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 Japanese yen versus the U.S. dollar. By comparison, 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.

For the three months ended June 30, 2016 and 2015, 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 17.0% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV increase of 3.6% for the three months ended June 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 1, 2016 at $75.29 per Share and reached its low for the period on June 27, 2016 at $62.01 per Share. By comparison, 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.

The benchmark’s rise of 9.0% for the three months ended June 30, 2016, as compared to the benchmark’s decline of 2.0% for the three months ended June 30, 2015, can be attributed to a rise in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(324,778	)	$	(973,386	)
Management fee		429,269			1,013,305
Net realized gain (loss)		(15,080,369	)		30,643,987
Change in net unrealized appreciation/depreciation		(17,985,087	)		(14,879,188	)
Net income (loss)	$	(33,390,234	)	$	14,791,413

167

The Fund’s net income decreased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to a rise in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2016.

ProShares Ultra Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	5,665,434		$	2,282,908
NAV end of period	$	12,465,478		$	2,477,456
Percentage change in NAV		120.0	%		8.5	%
Shares outstanding beginning of period		199,961			50,004
Shares outstanding end of period		349,961			49,965
Percentage change in shares outstanding		75.0	%		(0.1	)%
Shares created		200,000			25,000
Shares redeemed		50,000			25,039
Per share NAV beginning of period	$	28.33		$	45.65
Per share NAV end of period	$	35.62		$	49.58
Percentage change in per share NAV		25.7	%		8.6	%
Percentage change in benchmark		12.8	%		4.7	%
Benchmark annualized volatility		15.9	%		14.0	%

During the three months ended June 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 199,961 outstanding Shares at March 31, 2016 to 349,961 outstanding Shares at June 30, 2016. 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. By comparison, 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.

For the three months ended June 30, 2016 and 2015, 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 25.7% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV increase of 8.6% for the three months ended June 30, 2015, was due to a greater appreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 8, 2016 at $36.59 per Share and reached its low for the period on April 5, 2016 at $27.00 per Share. By comparison, 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.

The benchmark’s rise of 12.8% for the three months ended June 30, 2016, as compared to the benchmark’s rise of 4.7% for the three months ended June 30, 2015, can be attributed to greater appreciation of the underlying components of the index during the three months ended June 30, 2016.

168

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(19,060	)	$	(5,763	)
Management fee		23,486			5,995
Net realized gain (loss)		1,999,898			7,451
Change in net unrealized appreciation/depreciation		252,133			225,547
Net income (loss)	$	2,232,971		$	227,235

The Fund’s net income increased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to a rise in the Fund’s benchmark index during the three months ended June 30, 2016.

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	807,934,402		$	1,004,631,028
NAV end of period	$	898,563,742		$	995,416,921
Percentage change in NAV		11.2	%		(0.9	)%
Shares outstanding beginning of period		89,827,866			29,439,834
Shares outstanding end of period		73,877,866			21,877,867
Percentage change in shares outstanding		(17.8	)%		(25.7	)%
Shares created		11,950,000			9,430,000
Shares redeemed		27,900,000			16,991,967
Per share NAV beginning of period	$	8.99		$	34.12
Per share NAV end of period	$	12.16		$	45.50
Percentage change in per share NAV		35.3	%		33.3	%
Percentage change in benchmark		18.7	%		17.5	%
Benchmark annualized volatility		38.6	%		35.9	%

During the three months ended June 30, 2016, 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 WTI Crude Oil Subindex^SM. The increase in the Fund’s NAV was offset by a decrease from 89,827,866 outstanding Shares at March 31, 2016 to 73,877,866 outstanding Shares at June 30, 2016. By comparison, 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.

For the three months ended June 30, 2016 and 2015, 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 35.3% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV increase of 33.3% for the three months ended June 30, 2015, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 8, 2016 at $14.08 per Share and reached its low for the period on April 4, 2016 at $7.77 per Share. By comparison, 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.

169

The benchmark’s rise of 18.7% for the three months ended June 30, 2016, as compared to the benchmark’s rise of 17.5% for the three months ended June 30, 2015, can be attributed to a greater increase in the price of WTI Crude Oil during the three months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(1,768,802	)	$	(2,559,682	)
Management fee		2,100,452			2,401,552
Brokerage commission		166,881			223,457
Net realized gain (loss)		366,695,141			206,320,847
Change in net unrealized appreciation/depreciation		(70,503,063	)		151,759,601
Net income (loss)	$	294,423,276		$	355,520,766

The Fund’s net income decreased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to an increase in the volatility of the Fund’s underlying benchmark during the three months ended June 30, 2016.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	28,612,516		$	61,306,293
NAV end of period	$	43,355,961		$	63,238,942
Percentage change in NAV		51.5	%		3.2	%
Shares outstanding beginning of period		2,642,169			1,342,485
Shares outstanding end of period		2,442,169			1,392,170
Percentage change in shares outstanding		(7.6	)%		3.7	%
Shares created		400,000			475,000
Shares redeemed		600,000			425,315
Per share NAV beginning of period	$	10.83		$	45.67
Per share NAV end of period	$	17.75		$	45.42
Percentage change in per share NAV		63.9	%		(0.5	)%
Percentage change in benchmark		31.0	%		1.8	%
Benchmark annualized volatility		40.0	%		39.3	%

During the three months ended June 30, 2016, 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 Natural Gas Subindex^SM. The increase in the Fund’s NAV was offset by a decrease from 2,642,169 outstanding Shares at March 31, 2016 to 2,442,169 outstanding Shares at June 30, 2016. By comparison, 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 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 three months ended June 30, 2016 and 2015, 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 63.9% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 0.5% for the three months ended June 30, 2015, was due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

170

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 30, 2016 at $17.75 per Share and reached its low for the period on April 6, 2016 at $10.29 per Share. By comparison, 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.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(100,326	)	$	(222,837	)
Management fee		75,122			158,681
Brokerage commission		40,615			69,898
Net realized gain (loss)		10,485,336			(3,971,123	)
Change in net unrealized appreciation/depreciation		7,851,936			6,588,482
Net income (loss)	$	18,236,946		$	2,394,522

The Fund’s net income increased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to a greater increase in the price of Henry Hub Natural Gas during the three months ended June 30, 2016.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	91,724,555		$	95,949,460
NAV end of period	$	100,789,893		$	88,848,218
Percentage change in NAV		9.9	%		(7.4	)%
Shares outstanding beginning of period		2,300,000			2,500,014
Shares outstanding end of period		2,250,000			2,400,014
Percentage change in shares outstanding		(2.2	)%		(4.0	)%
Shares created		—			—
Shares redeemed		50,000			100,000
Per share NAV beginning of period	$	39.88		$	38.38
Per share NAV end of period	$	44.80		$	37.02
Percentage change in per share NAV		12.3	%		(3.5	)%
Percentage change in benchmark		6.8	%		(1.4	)%
Benchmark annualized volatility		17.7	%		12.6	%

During the three months ended June 30, 2016, 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. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,300,000 outstanding Shares at March 31, 2016 to 2,250,000 outstanding Shares at June 30, 2016. By comparison, 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 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†.

171

For the three months ended June 30, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 12.3% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 3.5% for the three months ended June 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $45.07 per Share and reached its low for the period on May 31, 2016 at $37.96 per Share. By comparison, 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.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(161,625	)	$	(212,388	)
Management fee		221,251			221,273
Brokerage commission		8			9
Net realized gain (loss)		(4,909,360	)		(919,884	)
Change in net unrealized appreciation/depreciation		16,122,144			(2,095,018	)
Net income (loss)	$	11,051,159		$	(3,227,290	)

The Fund’s net income increased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2016.

†

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	263,338,473		$	317,182,857
NAV end of period	$	386,838,399		$	285,991,688
Percentage change in NAV		46.9	%		(9.8	)%
Shares outstanding beginning of period		8,046,526			7,646,533
Shares outstanding end of period		8,496,526			7,846,533
Percentage change in shares outstanding		5.6	%		2.6	%
Shares created		700,000			800,000
Shares redeemed		250,000			600,000
Per share NAV beginning of period	$	32.73		$	41.48
Per share NAV end of period	$	45.53		$	36.45
Percentage change in per share NAV		39.1	%		(12.1	)%
Percentage change in benchmark		19.4	%		(5.4	)%
Benchmark annualized volatility		25.3	%		20.8	%

172

During the three months ended June 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 8,046,526 outstanding Shares at March 31, 2016 to 8,496,526 outstanding Shares at June 30, 2016. 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 silver bullion as measured by the London Silver Price. By comparison, 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.

For the three months ended June 30, 2016 and 2015, 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 39.1% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 12.1% for the three months ended June 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 30, 2016 at $45.53 per Share and reached its low for the period on April 4, 2016 at $30.92 per Share. By comparison, 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.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(553,155	)	$	(679,148	)
Management fee		741,794			715,430
Brokerage commission		17			19
Net realized gain (loss)		21,386,515			1,760,502
Change in net unrealized appreciation/depreciation		86,616,491			(36,485,542	)
Net income (loss)	$	107,449,851		$	(35,404,188	)

The Fund’s net income increased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to an increase in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2016.

173

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	10,961,778		$	14,765,776
NAV end of period	$	9,532,904		$	13,272,820
Percentage change in NAV		(13.0	)%		(10.1	)%
Shares outstanding beginning of period		650,000			950,014
Shares outstanding end of period		600,000			800,014
Percentage change in shares outstanding		(7.7	)%		(15.8	)%
Shares created		50,000			—
Shares redeemed		100,000			150,000
Per share NAV beginning of period	$	16.86		$	15.54
Per share NAV end of period	$	15.89		$	16.59
Percentage change in per share NAV		(5.8	)%		6.8	%
Percentage change in benchmark		(2.5	)%		3.7	%
Benchmark annualized volatility		9.1	%		12.3	%

During the three months ended June 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 650,000 outstanding Shares at March 31, 2016 to 600,000 outstanding Shares at June 30, 2016. 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 euro versus the U.S. dollar. By comparison, 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.

For the three months ended June 30, 2016 and 2015, 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 5.8% for the three months ended June 30, 2016, as compared to Fund’s per Share NAV increase of 6.8% for the three months ended June 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on May 2, 2016 at $17.23 per Share and reached its low for the period on June 27, 2016 at $15.67 per Share. By comparison, 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.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(16,403	)	$	(34,217	)
Management fee		23,237			35,245
Net realized gain (loss)		605,256			436,961
Change in net unrealized appreciation/depreciation		(1,163,117	)		645,366
Net income (loss)	$	(574,264	)	$	1,048,110

The Fund’s net income decreased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to a decline in the value of the euro versus the U.S. dollar during the three months ended June 30, 2016.

174

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
NAV beginning of period	$	6,194,007		$	5,600,081
NAV end of period	$	7,265,264		$	5,348,899
Percentage change in NAV		17.3	%		(4.5	)%
Shares outstanding beginning of period		99,970			100,004
Shares outstanding end of period		99,970			99,974
Percentage change in shares outstanding		0.0	%		0.0	%^
Shares created		—			—
Shares redeemed		—			30
Per share NAV beginning of period	$	61.96		$	56.00
Per share NAV end of period	$	72.67		$	53.50
Percentage change in per share NAV		17.3	%		(4.5	)%
Percentage change in benchmark		9.0	%		(2.0	)%
Benchmark annualized volatility		14.6	%		7.3	%

^	Amount represents less than 0.05%

During the three months ended June 30, 2016, 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 spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2016 to June 30, 2016. By comparison, 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.

For the three months ended June 30, 2016 and 2015, 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 17.3% for the three months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 4.5% for the three months ended June 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $74.48 per Share and reached its low for the period on April 22, 2016 at $62.83 per Share. By comparison, 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.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2016 and 2015:


	Three Months Ended June 30, 2016			Three Months Ended June 30, 2015
Net investment income (loss)	$	(11,556	)	$	(12,481	)
Management fee		15,811			12,940
Net realized gain (loss)		485,862			(438,543	)
Change in net unrealized appreciation/depreciation		596,951			201,404
Net income (loss)	$	1,071,257		$	(249,620	)

175

The Fund’s net income increased for the three months ended June 30, 2016, as compared to the three months ended June 30, 2015, primarily due to a rise in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2016.

Results of Operations for the Six Months Ended June 30, 2016 Compared to the Six Months Ended June 30, 2015

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, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	105,272,823		$	111,459,325
NAV end of period	$	190,955,944		$	169,655,175
Percentage change in NAV		81.4	%		52.2	%
Shares outstanding beginning of period		1,589,962			1,064,962
Shares outstanding end of period		4,229,962			2,509,962
Percentage change in shares outstanding		166.0	%		135.7	%
Shares created		5,385,000			1,735,000
Shares redeemed		2,745,000			290,000
Per share NAV beginning of period	$	66.21		$	104.66
Per share NAV end of period	$	45.14		$	67.59
Percentage change in per share NAV		(31.8	)%		(35.4	)%
Percentage change in benchmark		(31.6	)%		(35.2	)%
Benchmark annualized volatility		88.5	%		59.4	%

During the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,589,962 outstanding Shares at December 31, 2015 to 4,229,962 outstanding Shares at June 30, 2016. 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, 2015, the increase in the Fund’s NAV resulted from an increase from 1,064,962 outstanding Shares at December 31, 2014 to 2,509,962 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.

For the six months ended June 30, 2016 and 2015, 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 31.8% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 35.4% for the six months ended June 30, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $97.95 per Share and reached its low for the period on June 6, 2016 at $42.55 per Share. By comparison, 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 $120.75 per Share and reached its low for the period on June 23, 2015 at $56.30 per Share.

The benchmark’s decline of 31.6% for the six months ended June 30, 2016, as compared to the benchmark’s decline of 35.2% for the six months ended June 30, 2015, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the six months ended June 30, 2016.

176

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(708,321	)	$	(606,059	)
Management fee		735,862			560,322
Brokerage commission		153,034			66,872
Net realized gain (loss)		(32,558,408	)		(60,564,753	)
Change in net unrealized appreciation/depreciation		(15,251,572	)		7,646,337
Net income (loss)	$	(48,518,301	)	$	(53,524,475	)

The Fund’s net income increased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the six months ended June 30, 2016.

*	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 Short-Term Futures ETF.

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, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	27,650,638		$	21,459,575
NAV end of period	$	42,224,892		$	26,777,867
Percentage change in NAV		52.7	%		24.8	%
Shares outstanding beginning of period		512,404			337,404
Shares outstanding end of period		812,403			487,404
Percentage change in shares outstanding		58.5	%		44.5	%
Shares created		425,000			300,000
Shares redeemed		125,001			150,000
Per share NAV beginning of period	$	53.96		$	63.60
Per share NAV end of period	$	51.98		$	54.94
Percentage change in per share NAV		(3.7	)%		(13.6	)%
Percentage change in benchmark		(3.3	)%		(13.2	)%
Benchmark annualized volatility		42.7	%		28.6	%

During the six months ended June 30, 2016 and 2015, the increase in the Fund’s NAV resulted from an increase from 512,404 outstanding Shares at December 31, 2015 to 812,403 outstanding Shares at June 30, 2016. 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, 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.

For the six months ended June 30, 2016 and 2015, 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 3.7% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 13.6% for the six months ended June 30, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

177

During the six months ended June 30, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $66.85 per Share and reached its low for the period on June 23, 2016 at $49.89 per Share. By comparison, 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.

The benchmark’s decline of 3.3% for the six months ended June 30, 2016, as compared to the benchmark’s decline of 13.2% for the six months ended June 30, 2015, 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, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(121,236	)	$	(121,353	)
Management fee		142,725			114,266
Brokerage commission		12,609			11,963
Net realized gain (loss)		(349,207	)		(2,922,060	)
Change in net unrealized appreciation/depreciation		(766,663	)		(561,969	)
Net income (loss)	$	(1,237,106	)	$	(3,605,382	)

The Fund’s net income increased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, 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, 2016.

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, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	642,811,361		$	506,556,124
NAV end of period	$	687,712,265		$	189,250,124
Percentage change in NAV		7.0	%		(62.6	)%
Shares outstanding beginning of period		12,650,040			8,250,040
Shares outstanding end of period		13,800,000			2,400,040
Percentage change in shares outstanding		9.1	%		(70.9	)%
Shares created		34,800,000			4,550,000
Shares redeemed		33,650,040			10,400,000
Per share NAV beginning of period	$	50.81		$	61.40
Per share NAV end of period	$	49.83		$	78.85
Percentage change in per share NAV		(1.9	)%		28.4	%
Percentage change in benchmark		(31.6	)%		(35.2	)%
Benchmark annualized volatility		88.5	%		59.4	%

During the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 12,650,040 outstanding Shares at December 31, 2015 to 13,800,000 outstanding Shares at June 30, 2016. 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 inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, 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.

178

For the six months ended June 30, 2016 and 2015, 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 1.9% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV increase of 28.4% for the six months ended June 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on June 6, 2016 at $65.18 per Share and reached its low for the period on February 11, 2016 at $31.50 per Share. By comparison, 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.

The benchmark’s decline of 31.6% for the six months ended June 30, 2016, as compared to the benchmark’s decline of 35.2% for the six months ended June 30, 2015, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX Futures curve during the six months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(3,065,043	)	$	(2,332,580	)
Management fee		2,610,743			1,583,663
Brokerage commission		1,053,458			793,570
Net realized gain (loss)		(14,242,969	)		109,879,032
Change in net unrealized appreciation/depreciation		68,505,168			(228,801	)
Net income (loss)	$	51,197,156		$	107,317,651

The Fund’s net income decreased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the six months ended June 30, 2016.

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, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	547,708,740		$	351,789,953
NAV end of period	$	839,613,853		$	431,922,188
Percentage change in NAV		53.3	%		22.8	%
Shares outstanding beginning of period		3,900,490			560,804
Shares outstanding end of period		18,400,490			1,940,490
Percentage change in shares outstanding		371.7	%		246.0	%
Shares created		30,010,000			4,696,000
Shares redeemed		15,510,000			3,316,314
Per share NAV beginning of period	$	140.42		$	627.30
Per share NAV end of period	$	45.63		$	222.58
Percentage change in per share NAV		(67.5	)%		(64.5	)%
Percentage change in benchmark		(31.6	)%		(35.2	)%
Benchmark annualized volatility		88.5	%		59.4	%

During the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 3,900,490 outstanding Shares at December 31, 2015 to 18,400,490 outstanding Shares at June 30, 2016. The

179

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, 2015, the increase in the Fund’s NAV resulted from an increase from 560,804 outstanding Shares at December 31, 2014 to 1,940,490 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.

For the six months ended June 30, 2016 and 2015, 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 67.5% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 64.5% for the six months ended June 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $285.77 per Share and reached its low for the period on June 30, 2016 at $45.63 per Share. By comparison, 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 $821.39 per Share and reached its low for the period on June 23, 2015 at $158.00 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 31, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(4,681,300	)	$	(4,052,724	)
Management fee		3,381,298			2,398,700
Brokerage commission		2,126,665			1,718,518
Net realized gain (loss)		(524,123,173	)		(536,866,585	)
Change in net unrealized appreciation/depreciation		(190,156,030	)		48,928,208
Net income (loss)	$	(718,960,503	)	$	(491,991,101	)

*	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 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, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	8,514,039		$	5,264,706
NAV end of period	$	6,348,401		$	5,216,200
Percentage change in NAV		(25.4	)%		(0.9	)%
Shares outstanding beginning of period		179,991			179,991
Shares outstanding end of period		179,985			179,991
Percentage change in shares outstanding		0.0	%^		0.0	%
Shares created		—			—
Shares redeemed		6			—
Per share NAV beginning of period	$	47.30		$	29.25
Per share NAV end of period	$	35.27		$	28.98
Percentage change in per share NAV		(25.4	)%		(0.9	)%
Percentage change in benchmark		13.1	%		(1.6	)%
Benchmark annualized volatility		16.5	%		15.1	%

^	Amount represent less than 0.05%

180

During the six months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 179,991 outstanding Shares at December 31, 2015 to 179,985 outstanding Shares at June 30, 2016. 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 Commodity Index. By comparison, 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.

For the six months ended June 30, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 25.4% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 0.9% for the six months ended June 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 20, 2016 at $54.74 per Share and reached its low for the period on June 8, 2016 at $34.61 per Share. By comparison, 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 $33.22 per Share and reached its low for the period on May 14, 2015 at $27.72 per Share.

The benchmark’s rise of 13.1% for the six months ended June 30, 2016, as compared to the benchmark’s decline of 1.6% for the six months ended June 30, 2015, can be attributed to appreciation of the underlying components of the index during the six months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(29,736	)	$	(24,591	)
Management fee		37,696			25,587
Net realized gain (loss)		(1,817,998	)		781,034
Change in net unrealized appreciation/depreciation		(317,583	)		(804,949	)
Net income (loss)	$	(2,165,317	)	$	(48,506	)

The Fund’s net income decreased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to a rise in the Fund’s benchmark index during the six months ended June 30, 2016.

*	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 UltraShort Bloomberg Commodity.

181

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	95,897,894		$	169,210,110
NAV end of period	$	165,504,746		$	180,092,283
Percentage change in NAV		72.6	%		6.4	%
Shares outstanding beginning of period		719,944			2,169,944
Shares outstanding end of period		2,019,942			3,169,944
Percentage change in shares outstanding		180.6	%		46.1	%
Shares created		5,000,000			9,150,000
Shares redeemed		3,700,002			8,150,000
Per share NAV beginning of period	$	133.20		$	77.98
Per share NAV end of period	$	81.94		$	56.81
Percentage change in per share NAV		(38.5	)%		(27.1	)%
Percentage change in benchmark		4.9	%		0.04	%
Benchmark annualized volatility		50.6	%		45.9	%

During the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 719,944 outstanding Shares at December 31, 2015 to 2,019,942 outstanding Shares at June 30, 2016. 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, 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.

For the six months ended June 30, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 38.5% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 27.1% for the six months ended June 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 20, 2016 at $232.22 per Share and reached its low for the period on June 8, 2016 at $74.44 per Share. By comparison, 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.

The benchmark’s rise of 4.9% for the six months ended June 30, 2016, as compared to the rise of 0.04% for the six months ended June 30, 2015, can be attributed to a greater increase in the price of WTI Crude Oil during the six months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(749,456	)	$	(1,360,250	)
Management fee		885,196			1,271,602
Brokerage commission		97,759			125,143
Net realized gain (loss)		(87,186,302	)		(39,039,866	)
Change in net unrealized appreciation/depreciation		3,166,118			(45,043,864	)
Net income (loss)	$	(84,769,640	)	$	(85,443,980	)

182

The Fund’s net income increased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to a greater rise in the price of WTI Crude Oil during the six months ended June 30, 2016.

ProShares UltraShort Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	10,462,856		$	14,688,564
NAV end of period	$	2,550,965		$	13,085,851
Percentage change in NAV		(75.6	)%		(10.9	)%
Shares outstanding beginning of period		224,856			524,856
Shares outstanding end of period		74,832			524,856
Percentage change in shares outstanding		(66.7	)%		0.0	%
Shares created		450,000			900,000
Shares redeemed		600,024			900,000
Per share NAV beginning of period	$	46.53		$	27.99
Per share NAV end of period	$	34.09		$	24.93
Percentage change in per share NAV		(26.7	)%		(10.9	)%
Percentage change in benchmark		2.3	%		(9.4	)%
Benchmark annualized volatility		41.2	%		45.3	%

During the six months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,856 outstanding Shares at December 31, 2015 to 74,832 outstanding Shares at June 30, 2016. 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. By comparison, 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.

For the six months ended June 30, 2016 and 2015, 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 26.7% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 10.9% for the six months ended June 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on March 3, 2016 at $84.20 per Share and reached its low for the period on June 30, 2016 at $34.09 per Share. By comparison, 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 $32.39 per Share and reached its low for the period on January 14, 2015 at $21.53 per Share.

The benchmark’s rise of 2.3% for the six months ended June 30, 2016, as compared to the benchmark’s decline of 9.4% for the six months ended June 30, 2015, can be attributed to an increase in the price of Henry Hub Natural Gas during the six months ended June 30, 2016.

183

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(88,207	)	$	(89,649	)
Management fee		57,023			57,687
Brokerage commission		45,302			33,542
Net realized gain (loss)		560,517			5,102,230
Change in net unrealized appreciation/depreciation		2,090,668			(3,914,520	)
Net income (loss)	$	2,562,978		$	1,098,061

The Fund’s net income increased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to an increase in the price of Henry Hub Natural Gas and significantly lower Net Asset Value during the six months ended June 30, 2016, as compared to 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 UltraShort Bloomberg Natural Gas.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	74,971,764		$	81,861,762
NAV end of period	$	56,037,110		$	73,951,674
Percentage change in NAV		(25.3	)%		(9.7	)%
Shares outstanding beginning of period		646,978			846,978
Shares outstanding end of period		796,978			746,978
Percentage change in shares outstanding		23.2	%		(11.8	)%
Shares created		700,000			100,000
Shares redeemed		550,000			200,000
Per share NAV beginning of period	$	115.88		$	96.65
Per share NAV end of period	$	70.31		$	99.00
Percentage change in per share NAV		(39.3	)%		2.4	%
Percentage change in benchmark		24.6	%		(2.9	)%
Benchmark annualized volatility		19.4	%		13.6	%

During the six months ended June 30, 2016, 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 gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The decrease in the Fund’s NAV was offset by an increase from 646,978 outstanding Shares at December 31, 2015 to 796,978 outstanding Shares at June 30, 2016. By comparison, 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†.

For the six months ended June 30, 2016 and 2015, 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 39.3% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV increase of 2.4% for the six months ended June 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

184

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $112.07 per Share and reached its low for the period on June 27, 2016 at $69.95 per Share. By comparison, 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.

The benchmark’s rise of 24.6% for the six months ended June 30, 2016, as compared to the benchmark’s decline of 2.9% for the six months ended June 30, 2015, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the six months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(231,750	)	$	(353,130	)
Management fee		305,990			367,896
Brokerage commission		25			25
Net realized gain (loss)		(19,669,579	)		1,392,577
Change in net unrealized appreciation/depreciation		(9,998,304	)		2,300,811
Net income (loss)	$	(29,899,633	)	$	3,340,258

The Fund’s net income decreased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the six months ended June 30, 2016.

†

ProShares UltraShort Silver*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	55,987,938		$	53,007,867
NAV end of period	$	32,067,220		$	61,116,236
Percentage change in NAV		(42.7	)%		15.3	%
Shares outstanding beginning of period		866,978			916,978
Shares outstanding end of period		966,976			1,116,978
Percentage change in shares outstanding		11.5	%		21.8	%
Shares created		1,000,000			1,000,000
Shares redeemed		900,002			800,000
Per share NAV beginning of period	$	64.58		$	57.81
Per share NAV end of period	$	33.16		$	54.72
Percentage change in per share NAV		(48.7	)%		(5.3	)%
Percentage change in benchmark		32.9	%		(1.7	)%
Benchmark annualized volatility		25.6	%		24.4	%

185

During the six months ended June 30, 2016, 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 silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 866,976 outstanding Shares at December 31, 2015 to 966,976 outstanding Shares at June 30, 2016. By comparison, during the six months ended June 30, 2015, the increase in the Fund’s NAV resulted from an increase from 916,978 outstanding Shares at December 31, 2014 to 1,116,978 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.

For the six months ended June 30, 2016 and 2015, 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 48.7% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 5.3% for the six months ended June 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 28, 2016 at $66.01 per Share and reached its low for the period on June 30, 2016 at $33.16 per Share. By comparison, 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 $59.69 per Share and reached its low for the period on January 23, 2015 at $43.40 per Share.

The benchmark’s rise of 32.9% for the six months ended June 30, 2016, as compared to the benchmark’s decline of 1.7% for the six months ended June 30, 2015, can be attributed to an increase in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(146,024	)	$	(248,899	)
Management fee		194,741			259,052
Brokerage commission		25			25
Net realized gain (loss)		(11,791,694	)		(1,930,217	)
Change in net unrealized appreciation/depreciation		(13,772,989	)		1,959,809
Net income (loss)	$	(25,710,707	)	$	(219,307	)

The Fund’s net income decreased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to an increase in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2016.

*	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 UltraShort Silver.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	17,510,898		$	14,021,804
NAV end of period	$	17,125,648		$	19,360,122
Percentage change in NAV		(2.2	)%		38.1	%
Shares outstanding beginning of period		400,005			350,005
Shares outstanding end of period		400,000			450,005
Percentage change in shares outstanding		0.0	%^		28.6	%
Shares created		50,000			100,000
Shares redeemed		50,005			—
Per share NAV beginning of period	$	43.78		$	40.06
Per share NAV end of period	$	42.81		$	43.02
Percentage change in per share NAV		(2.2	)%		7.4	%
Percentage change in benchmark		2.1	%		(7.9	)%
Benchmark annualized volatility		9.3	%		13.1	%

^	Amount represents less than 0.05%

186

During the six months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,005 outstanding Shares at December 31, 2015 to 400,000 outstanding Shares at June 30, 2016. 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 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, 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.

For the six months ended June 30, 2016 and 2015, 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 2.2% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV increase of 7.4% for the six months ended June 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $44.25 per Share and reached its low for the period on May 2, 2016 at $41.22 per Share. By comparison, 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.

The benchmark’s rise of 2.1% for the six months ended June 30, 2016, as compared to the benchmark’s decline of 7.9% for the six months ended June 30, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the six months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(66,252	)	$	(84,242	)
Management fee		79,492			85,186
Brokerage commission		1,429			1,719
Net realized gain (loss)		(526,767	)		1,150,762
Change in net unrealized appreciation/depreciation		218,418			(147,033	)
Net income (loss)	$	(374,601	)	$	919,487

The Fund’s net income decreased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the six months ended June 30, 2016.

187

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	20,460,679		$	23,120,790
NAV end of period	$	18,713,405		$	19,093,705
Percentage change in NAV		(8.5	)%		(17.4	)%
Shares outstanding beginning of period		350,005			450,005
Shares outstanding end of period		350,000			350,005
Percentage change in shares outstanding		0.0	%^		(22.2	)%
Shares created		—			50,000
Shares redeemed		5			150,000
Per share NAV beginning of period	$	58.46		$	51.38
Per share NAV end of period	$	53.47		$	54.55
Percentage change in per share NAV		(8.5	)%		6.2	%
Percentage change in benchmark		2.3	%		(5.5	)%
Benchmark annualized volatility		13.2	%		12.7	%

^	Amount represents less than 0.05%

During the six months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at June 30, 2016. 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. By comparison, 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.

For the six months ended June 30, 2016 and 2015, 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 8.5% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV increase of 6.2% for the six months ended June 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 15, 2016 at $65.74 per Share and reached its low for the period on April 19, 2016 at $49.39 per Share. By comparison, 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.

The benchmark’s rise of 2.3% for the six months ended June 30, 2016, as compared to the benchmark’s decline of 5.5% for the six months ended June 30, 2015, can be attributed to a rise in the value of the Australian dollar versus the U.S. dollar during the six months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(81,187	)	$	(103,726	)
Management fee		93,486			97,982
Brokerage commission		7,744			7,600
Net realized gain (loss)		(2,143,273	)		2,533,994
Change in net unrealized appreciation/depreciation		477,500			(840,845	)
Net income (loss)	$	(1,746,960	)	$	1,589,423

188

The Fund’s net income decreased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to a rise in the value of the Australian dollar versus the U.S. dollar during the six months ended June 30, 2016.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	522,306,518		$	517,191,349
NAV end of period	$	386,660,905		$	629,617,014
Percentage change in NAV		(26.0	)%		21.7	%
Shares outstanding beginning of period		20,450,014			23,950,014
Shares outstanding end of period		15,900,000			25,450,014
Percentage change in shares outstanding		(22.2	)%		6.3	%
Shares created		450,000			11,900,000
Shares redeemed		5,000,014			10,400,000
Per share NAV beginning of period	$	25.54		$	21.59
Per share NAV end of period	$	24.32		$	24.74
Percentage change in per share NAV		(4.8	)%		14.6	%
Percentage change in benchmark		2.1	%		(7.9	)%
Benchmark annualized volatility		9.3	%		13.1	%

During the six months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,450,014 outstanding Shares at December 31, 2015 to 15,900,000 outstanding Shares at June 30, 2016. 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 euro versus the U.S. dollar. By comparison, 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.

For the six months ended June 30, 2016 and 2015, 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 4.8% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV increase of 14.6% for the six months ended June 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $26.09 per Share and reached its low for the period on May 2, 2016 at $22.63 per Share. By comparison, 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.

189

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(1,471,447	)	$	(2,485,776	)
Management fee		1,988,314			2,607,869
Net realized gain (loss)		(55,056,068	)		77,957,654
Change in net unrealized appreciation/depreciation		32,984,986			(12,294,739	)
Net income (loss)	$	(23,542,529	)	$	63,177,139

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	237,372,900		$	531,471,873
NAV end of period	$	193,732,080		$	405,516,052
Percentage change in NAV		(18.4	)%		(23.7	)%
Shares outstanding beginning of period		2,699,294			5,949,294
Shares outstanding end of period		3,049,290			4,399,294
Percentage change in shares outstanding		13.0	%		(26.1	)%
Shares created		800,000			1,050,000
Shares redeemed		450,004			2,600,000
Per share NAV beginning of period	$	87.94		$	89.33
Per share NAV end of period	$	63.53		$	92.18
Percentage change in per share NAV		(27.8	)%		3.2	%
Percentage change in benchmark		16.4	%		(2.1	)%
Benchmark annualized volatility		12.8	%		8.0	%

During the six months ended June 30, 2016, 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 Japanese yen versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 2,699,294 outstanding Shares at December 31, 2015 to 3,049,290 outstanding Shares at June 30, 2016. By comparison, 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.

For the six months ended June 30, 2016 and 2015, 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 27.8% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV increase of 3.2% for the six months ended June 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 29, 2016 at $88.99 per Share and reached its low for the period on June 27, 2016 at $62.01 per Share. By comparison, 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.

190

The benchmark’s rise of 16.4% for the six months ended June 30, 2016, as compared to the benchmark’s decline of 2.1% for the six months ended June 30, 2015, can be attributed to a rise in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(725,575	)	$	(2,089,930	)
Management fee		898,414			2,174,897
Net realized gain (loss)		(52,703,180	)		25,538,696
Change in net unrealized appreciation/depreciation		(9,039,731	)		(12,641,262	)
Net income (loss)	$	(62,468,486	)	$	10,807,504

The Fund’s net income decreased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to a rise in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2016.

ProShares Ultra Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	7,105,984		$	2,606,920
NAV end of period	$	12,465,478		$	2,477,456
Percentage change in NAV		75.4	%		(5.0	)%
Shares outstanding beginning of period		249,965			50,004
Shares outstanding end of period		349,961			49,965
Percentage change in shares outstanding		40.0	%		(0.1	)%
Shares created		200,000			25,000
Shares redeemed		100,004			25,039
Per share NAV beginning of period	$	28.43		$	52.13
Per share NAV end of period	$	35.62		$	49.58
Percentage change in per share NAV		25.3	%		(4.9	)%
Percentage change in benchmark		13.1	%		(1.6	)%
Benchmark annualized volatility		16.5	%		15.1	%

During the six months ended June 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 249,965 outstanding Shares at December 31, 2015 to 349,961 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index. By comparison, 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.

For the six months ended June 30, 2016 and 2015, 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 25.3% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 4.9% for the six months ended June 30, 2015, was due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

191

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 8, 2016 at $36.59 per Share and reached its low for the period on January 20, 2016 at $24.42 per Share. By comparison, 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.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(30,998	)	$	(11,282	)
Management fee		36,924			11,768
Net realized gain (loss)		1,709,636			(512,994	)
Change in net unrealized appreciation/depreciation		359,487			427,499
Net income (loss)	$	2,038,125		$	(96,777	)

The Fund’s net income increased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to a rise in the Fund’s benchmark index during the six months ended June 30, 2016.

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	783,922,475		$	450,562,988
NAV end of period	$	898,563,742		$	995,416,921
Percentage change in NAV		14.6	%		120.9	%
Shares outstanding beginning of period		62,327,867			8,879,834
Shares outstanding end of period		73,877,866			21,877,867
Percentage change in shares outstanding		18.5	%		146.4	%
Shares created		65,350,000			36,680,000
Shares redeemed		53,800,001			23,681,967
Per share NAV beginning of period	$	12.58		$	50.74
Per share NAV end of period	$	12.16		$	45.50
Percentage change in per share NAV		(3.3	)%		(10.3	)%
Percentage change in benchmark		4.9	%		0.04	%
Benchmark annualized volatility		50.6	%		45.9	%

During the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 62,327,867 outstanding Shares at December 31, 2015 to 73,877,866 outstanding Shares at June 30, 2016. 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, 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.

192

For the six months ended June 30, 2016 and 2015, 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 3.3% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 10.3% for the six months ended June 30, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 8, 2016 at $14.08 per Share and reached its low for the period on February 11, 2016 at $6.01 per Share. By comparison, 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.

The benchmark’s rise of 4.9% for the six months ended June 30, 2016, as compared to the benchmark’s rise of 0.04% for the six months ended June 30, 2015, can be attributed to a greater increase in the price of WTI Crude Oil during the six months ended June 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(3,294,729	)	$	(4,404,394	)
Management fee		3,913,130			4,245,253
Brokerage commission		331,194			300,710
Net realized gain (loss)		113,330,482			32,681,924
Change in net unrealized appreciation/depreciation		24,759,492			132,078,953
Net income (loss)	$	134,795,245		$	160,356,483

The Fund’s net income decreased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to an increase in the volatility of the Fund’s underlying benchmark during the six months ended June 30, 2016.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	38,851,184		$	70,433,207
NAV end of period	$	43,355,961		$	63,238,942
Percentage change in NAV		11.6	%		(10.2	)%
Shares outstanding beginning of period		2,092,170			1,142,485
Shares outstanding end of period		2,442,169			1,392,170
Percentage change in shares outstanding		16.7	%		21.9	%
Shares created		1,500,000			987,500
Shares redeemed		1,150,001			737,815
Per share NAV beginning of period	$	18.57		$	61.65
Per share NAV end of period	$	17.75		$	45.42
Percentage change in per share NAV		(4.4	)%		(26.3	)%
Percentage change in benchmark		2.3	%		(9.4	)%
Benchmark annualized volatility		41.2	%		45.3	%

193

During the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,092,170 outstanding Shares at December 31, 2015 to 2,442,169 outstanding Shares at June 30, 2016. 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 Natural Gas Subindex^SM. By comparison, 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.

For the six months ended June 30, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.4% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 26.3% for the six months ended June 30, 2015, was due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 8, 2016 at $20.23 per Share and reached its low for the period on March 3, 2016 at $8.89 per Share. By comparison, 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.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(189,087	)	$	(429,721	)
Management fee		143,866			331,489
Brokerage commission		72,364			109,616
Net realized gain (loss)		4,626,617			(49,803,632	)
Change in net unrealized appreciation/depreciation		656,990			34,039,451
Net income (loss)	$	5,094,520		$	(16,193,902	)

194

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended			Six Months Ended
	June 30, 2016			June 30, 2015
NAV beginning of period	$	69,864,815		$	102,003,345
NAV end of period	$	100,789,893		$	88,848,218
Percentage change in NAV		44.3	%		(12.9	)%
Shares outstanding beginning of period		2,350,014			2,550,014
Shares outstanding end of period		2,250,000			2,400,014
Percentage change in shares outstanding		(4.3	)%		(5.9	)%
Shares created		100,000			50,000
Shares redeemed		200,014			200,000
Per share NAV beginning of period	$	29.73		$	40.00
Per share NAV end of period	$	44.80		$	37.02
Percentage change in per share NAV		50.7	%		(7.5	)%
Percentage change in benchmark		24.6	%		(2.9	)%
Benchmark annualized volatility		19.4	%		13.6	%

During the six months ended June 30, 2016, 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. LBMA Gold Price. The increase in the Fund’s NAV was offset by an decrease from 2,350,014 outstanding Shares at December 31, 2015 to 2,250,000 outstanding Shares at June 30, 2016. By comparison, 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†.

For the six months ended June 30, 2016 and 2015, 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 50.7% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 7.5% for the six months ended June 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $45.07 per Share and reached its low for the period on January 5, 2016 at $30.67 per Share. By comparison, 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.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended			Six Months Ended
	June 30, 2016			June 30, 2015
Net investment income (loss)	$	(314,078	)	$	(440,131	)
Management fee		420,073			461,738
Brokerage commission		25			25
Net realized gain (loss)		21,074,182			(3,905,732	)
Change in net unrealized appreciation/depreciation		13,214,738			(2,483,391	)
Net income (loss)	$	33,974,842		$	(6,829,254	)

The Fund’s net income increased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the six months ended June 30, 2016.

†

195

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	216,416,642		$	291,169,743
NAV end of period	$	386,838,399		$	285,991,688
Percentage change in NAV		78.7	%		(1.8	)%
Shares outstanding beginning of period		7,996,533			7,396,533
Shares outstanding end of period		8,496,526			7,846,533
Percentage change in shares outstanding		6.3	%		6.1	%
Shares created		1,350,000			1,500,000
Shares redeemed		850,007			1,050,000
Per share NAV beginning of period	$	27.06		$	39.37
Per share NAV end of period	$	45.53		$	36.45
Percentage change in per share NAV		68.3	%		(7.4	)%
Percentage change in benchmark		32.9	%		(1.7	)%
Benchmark annualized volatility		25.6	%		24.4	%

During the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 7,996,533 outstanding Shares at December 31, 2015 to 8,496,526 outstanding Shares at June 30, 2016. 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 silver bullion as measured by the London Silver Price. By comparison, 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.

For the six months ended June 30, 2016 and 2015, 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 68.3% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 7.4% for the six months ended June 30, 2015, was primarily due to a greater appreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 30, 2016 at $45.53 per Share and reached its low for the period on January 28, 2016 at $25.96 per Share. By comparison, 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.

196

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended			Six Months Ended
	June 30, 2016			June 30, 2015
Net investment income (loss)	$	(1,012,025	)	$	(1,378,987	)
Management fee		1,322,264			1,453,507
Brokerage commission		27			27
Net realized gain (loss)		55,500,379			(16,003,848	)
Change in net unrealized appreciation/depreciation		98,080,629			(1,470,407	)
Net income (loss)	$	152,568,983		$	(18,853,242	)

The Fund’s net income increased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to an increase in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2016.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	10,857,730		$	2,981,441
NAV end of period	$	9,532,904		$	13,272,820
Percentage change in NAV		(12.2	)%		345.2	%
Shares outstanding beginning of period		700,014			150,014
Shares outstanding end of period		600,000			800,014
Percentage change in shares outstanding		(14.3	)%		433.3	%
Shares created		50,000			800,000
Shares redeemed		150,014			150,000
Per share NAV beginning of period	$	15.51		$	19.87
Per share NAV end of period	$	15.89		$	16.59
Percentage change in per share NAV		2.5	%		(16.5	)%
Percentage change in benchmark		2.1	%		(7.9	)%
Benchmark annualized volatility		9.3	%		13.1	%

During the six months ended June 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 700,014 outstanding Shares at December 31, 2015 to 600,000 outstanding Shares at June 30, 2016. 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 euro versus the U.S. dollar. By comparison, 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.

For the six months ended June 30, 2016 and 2015, 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 2.5% for the six months ended June 30, 2016, as compared to Fund’s per Share NAV decrease of 16.5% for the six months ended June 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on May 2, 2016 at $17.23 per Share and reached its low for the period on January 5, 2016 at $15.17 per Share. By comparison, 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.

197

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(37,146	)	$	(49,915	)
Management fee		48,943			51,477
Net realized gain (loss)		1,109,856			(628,241	)
Change in net unrealized appreciation/depreciation		(771,167	)		(29,969	)
Net income (loss)	$	301,543		$	(708,125	)

The Fund’s net income increased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the six months ended June 30, 2016.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
NAV beginning of period	$	5,473,848		$	2,118,028
NAV end of period	$	7,265,264		$	5,348,899
Percentage change in NAV		32.7	%		152.5	%
Shares outstanding beginning of period		99,974			37,504
Shares outstanding end of period		99,970			99,974
Percentage change in shares outstanding		0.0	%^		166.6	%
Shares created		—			75,000
Shares redeemed		4			12,530
Per share NAV beginning of period	$	54.75		$	56.47
Per share NAV end of period	$	72.67		$	53.50
Percentage change in per share NAV		32.7	%		(5.3	)%
Percentage change in benchmark		16.4	%		(2.1	)%
Benchmark annualized volatility		12.8	%		8.0	%

^	Amount represents less than 0.05%

During the six months ended June 30, 2016, 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 spot price of the Japanese yen versus the U.S. dollar. The increase of the Fund’s NAV was offset by a decrease from 99,974 outstanding Shares at December 31, 2015 to 99,970 outstanding Shares at June 30, 2016. By comparison, 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.

198

For the six months ended June 30, 2016 and 2015, 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 32.7% for the six months ended June 30, 2016, as compared to the Fund’s per Share NAV decrease of 5.3% for the six months ended June 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2016.

During the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $74.48 per Share and reached its low for the period on January 29, 2016 at $53.85 per Share. By comparison, 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.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2016 and 2015:


	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net investment income (loss)	$	(22,662	)	$	(21,571	)
Management fee		29,811			22,321
Net realized gain (loss)		1,318,083			(519,169	)
Change in net unrealized appreciation/depreciation		496,194			175,277
Net income (loss)	$	1,791,615		$	(365,463	)

The Fund’s net income increased for the six months ended June 30, 2016, as compared to the six months ended June 30, 2015, primarily due to a rise in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2016.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

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, 2016 and 2015, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of June 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2016


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2016		5,415	$	16.98		1,000	$	91,919,625
VIX Futures (CBOE)	Long	August 2016		5,388		18.33		1,000		98,735,100

199

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

The June 30, 2016 and 2015 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 Trust’s Annual Report on Form 10-K for the year ended December 31, 2015 filed with the U.S. Securities and Exchange Commission (the “SEC”) on February 29, 2016 (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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2016


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2016		349	$	19.78		1,000	$	6,901,475
VIX Futures (CBOE)	Long	November 2016		698		20.05		1,000		13,994,900
VIX Futures (CBOE)	Long	December 2016		699		20.03		1,000		13,997,475
VIX Futures (CBOE)	Long	January 2017		349		21.03		1,000		7,337,725

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

The June 30, 2016 and 2015 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.

200

ProShares Short VIX Short-Term Futures ETF

As of June 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2016


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Short	July 2016		19,460	$	16.98		1,000	$	(330,333,500	)
VIX Futures (CBOE)	Short	August 2016		19,556		18.33		1,000		(358,363,700	)

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	)

The June 30, 2016 and 2015 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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2016


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2016		47,593	$	16.98		1,000	$	807,891,175
VIX Futures (CBOE)	Long	August 2016		47,476		18.33		1,000		869,997,700

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

The June 30, 2016 and 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 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.

201

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, 2016 and 2015, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort Bloomberg Commodity:

As of June 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Swap Agreements as of June 30, 2016


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Commodity Index	Citibank N.A.	Short	$	88.8423	$	(3,670,843	)
Bloomberg Commodity Index	Deutsche Bank AG	Short		88.8423		(4,711,792	)
Bloomberg Commodity Index	Goldman Sachs International	Short		88.8423		(2,873,985	)
Bloomberg Commodity Index	UBS AG	Short		88.8423		(1,442,251	)

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	)

The June 30, 2016 and 2015 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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2016


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	September 2016		1,415	$	49.01		1,000	$	(69,349,150	)

202


Swap Agreements as of June 30, 2016


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Citibank N.A.	Short		83.1363	$	(80,059,861	)
Bloomberg WTI Crude Oil Subindex	Deutsche Bank AG	Short		83.1363		(31,645,418	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		83.1363		(76,235,818	)
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A	Short		83.1363		(8,710,888	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		83.1363		(64,999,894	)

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	)

The June 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2016 and 2015 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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2016


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	September 2016		175	$	2.92		10,000	$	(5,106,500	)

203

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	)

The June 30, 2016 and 2015 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.

ProShares UltraShort Gold:

As of June 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2016


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	August 2016		2	$	1,320.60		100	$	(264,120	)


Forward Agreements as of June 30, 2016


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Citibank N.A.	Short	$	1,320.75	$	(21,663,908	)
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short		1,320.75		(50,331,243	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,320.75		(19,679,662	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,320.75		(5,283,840	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,320.75		(14,860,688	)

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	$	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	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	)

The June 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2016 and 2015 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

204

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.

ProShares UltraShort Silver:

As of June 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2016


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	September 2016		2	$	18.62		5,000	$	(186,230	)

Forward Agreements as of June 30, 2016


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Citibank N.A.	Short	$	18.3634	$	(12,780,926	)
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short		18.3642		(24,846,763	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		18.3632		(10,604,748	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		18.3632		(2,864,659	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		18.3632		(12,854,240	)

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	)

The June 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2016 and 2015 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

205

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.

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, 2016 and 2015, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of June 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to exchange rate price risk.

Futures Positions as of June 30, 2016


Contract	Long or Short	Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Euro Fx Currency Futures (CME)	Short		September 2016		123	$	1.11		125,000	$	(17,077,781	)

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	)

The June 30, 2016 and 2015 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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to exchange rate price risk.

Futures Positions as of June 30, 2016


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)		Short		September 2016		502	$	74.24		1,000	$	(37,268,480	)

206

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	)

The June 30, 2016 and 2015 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.

ProShares UltraShort Euro:

As of June 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2016


Reference Currency	Counterparty	Long or Short	Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		07/08/16		83,932,700			1.1097	$	93,141,094
Euro	UBS AG	Long		07/08/16		51,350,400			1.1097		56,984,137
Euro	Goldman Sachs International	Short		07/08/16		(440,595,725	)		1.1097		(488,934,205	)
Euro	UBS AG	Short		07/08/16		(392,387,400	)		1.1097		(435,436,866	)

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	)

The June 30, 2016 and 2015 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.

207

ProShares UltraShort Yen:

As of June 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2016


Reference Currency	Counterparty	Long or Short	Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		07/08/16		9,742,295,100			0.009684	$	94,343,198
Yen	UBS AG	Long		07/08/16		3,617,334,400			0.009684		35,029,825
Yen	Goldman Sachs International	Short		07/08/16		(29,570,855,800	)		0.009684		(286,360,561	)
Yen	UBS AG	Short		07/08/16		(23,779,447,700	)		0.009684		(230,277,271	)

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	)

The June 30, 2016 and 2015 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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

208

Swap Agreements as of June 30, 2016

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Bloomberg Commodity Index

Citibank N.A.

Long

88.8423

10,214,040

Bloomberg Commodity Index

Deutsche Bank AG

Long

88.8423

3,591,175

Bloomberg Commodity Index

Goldman Sachs International

Long

88.8423

8,738,054

Bloomberg Commodity Index

UBS AG

Long

88.8423

2,392,652

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

The June 30, 2016 and 2015 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.

ProShares Ultra Bloomberg Crude Oil:

As of June 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Long

September 2016

7,500

49.01

1,000

367,575,000

Swap Agreements as of June 30, 2016

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Bloomberg WTI Crude Oil Subindex

Citibank N.A.

Long

83.1363

336,118,991

Bloomberg WTI Crude Oil Subindex

Deutsche Bank AG

Long

83.1363

322,512,270

Bloomberg WTI Crude Oil Subindex

Goldman Sachs International

Long

83.1363

339,972,378

Bloomberg WTI Crude Oil Subindex

Societe Generale S.A.

Long

83.1363

105,676,541

Bloomberg WTI Crude Oil Subindex

UBS AG

Long

83.1363

325,294,079

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

209


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

The June 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2016 and 2015 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.

ProShares Ultra Bloomberg Natural Gas:

As of June 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Long

September 2016

2,972

2.92

10,000

86,722,960

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

The June 30, 2016 and 2015 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.

210

ProShares Ultra Gold:

As of June 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

August 2016

1,320.60

100

264,120

Forward Agreements as of June 30, 2016

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Citibank N.A.

Long

1,320.97

49,007,987

0.995 Fine Troy Ounce Gold

Deutsche Bank AG

Long

1,321.03

56,540,084

0.995 Fine Troy Ounce Gold

Goldman Sachs International

Long

1,320.96

42,165,043

0.995 Fine Troy Ounce Gold

Societe Generale S.A.

Long

1,320.96

20,342,784

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,320.95

33,287,940

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

The June 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2016 and 2015 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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to commodity price risk.

211

Futures Positions as of June 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

September 2016

18.62

5,000

186,230

Forward Agreements as of June 30, 2016

Reference Index

Counterparty

Long or
Short

Valuation Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Citibank N.A.

Long

18.3634

236,300,231

0.999 Fine Troy Ounce Silver

Deutsche Bank AG

Long

18.3642

171,573,048

0.999 Fine Troy Ounce Silver

Goldman Sachs International

Long

18.3632

188,145,675

0.999 Fine Troy Ounce Silver

Societe Generale S.A.

Long

18.3632

63,977,389

0.999 Fine Troy Ounce Silver

UBS AG

Long

18.3632

113,466,213

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

The June 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2016 and 2015 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.

212

Exchange Rate Sensitivity

ProShares Ultra Euro:

As of June 30, 2016 and 2015, 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, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2016


Reference Currency	Counterparty	Long or Short	Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		07/08/16		9,644,425			1.1097	$	10,702,531
Euro	UBS AG	Long		07/08/16		8,473,000			1.1097		9,402,587
Euro	Goldman Sachs International	Short		07/08/16		(628,600	)		1.1097		(697,565	)
Euro	UBS AG	Short		07/08/16		(336,200	)		1.1097		(373,085	)

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	)

The June 30, 2016 and 2015 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, 2016 and 2015, 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, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2016


Reference Currency	Counterparty	Long or Short	Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		07/08/16		1,044,190,800			0.009684	$	10,111,816
Yen	UBS AG	Long		07/08/16		518,229,500			0.009684		5,018,471
Yen	Goldman Sachs International	Short		07/08/16		(48,749,300	)		0.009684		(472,082	)
Yen	UBS AG	Short		07/08/16		(13,000,100	)		0.009684		(125,892	)

213

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	)

The June 30, 2016 and 2015 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 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 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.

214

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 Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

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.

215

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).

216

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, 2016, 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, 2016, 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.

217

Part II. OTHER INFORMATION

Item 1.

Legal Proceedings.

None

Item 1A.

Risk Factors.

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, 2015, filed on February 29, 2016.

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 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

218

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

219

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). On August 11, 2015, a Registration Statement on Form S-1 (File No. 333-202724) was declared effective which removed ProShares Ultra Australian Dollar from the Form S-1; no additional shares were registered with that filing. That registration statement was a combined prospectus and acted as a pre-effective amendment to post-effective amendment No. 1 of the Form S-1. On March 30, 2016, Post-Effective Amendment No. 1 to the Registration Statement on Form S-3 (File No. 333-202725) was declared effective, which removed from registration all of the Shares that remained unsold thereunder as of the close of business on March 30, 2016. On March 30, 2016, a Registration Statement on Form S-3 (File No. 333-210024) was 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, ProShares VIX Short Term Futures ETF. Thus, as of June 30, 2016, the Trust had two effective registration statements outstanding: 1) a Form S-1 Registration Statement (No. 333-202724); and 2) a Form S-3 Registration Statement (No. 333-210024).

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. 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, 2016		Shares Sold For the Three Months Ended June 30, 2016		Sale Price of Shares Sold For the Three Months Ended June 30, 2016
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	1,718,627,430		3,670,000	$	191,605,567
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	619,302,925		275,000	$	14,863,907
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	3,523,329,093		19,900,000	$	958,143,842
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	5,743,979,340		20,470,000	$	1,306,429,217
ProShares UltraShort Bloomberg Commodity Common Units of Beneficial Interest	$	172,839,931		—	$	—
ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest	$	1,732,812,198		2,300,000	$	216,114,567
ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest	$	412,030,981		300,000	$	14,984,800
ProShares UltraShort Gold Common Units of Beneficial Interest	$	227,743,198		100,000	$	8,411,007
ProShares UltraShort Silver Common Units of Beneficial Interest	$	2,083,528,399		250,000	$	10,282,678
ProShares Short Euro Common Units of Beneficial Interest	$	174,672,977		50,000	$	2,109,382
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest	$	172,771,084		—	$	—
ProShares UltraShort Euro Common Units of Beneficial Interest	$	1,964,652,656		200,000	$	4,622,332
ProShares UltraShort Yen Common Units of Beneficial Interest	$	917,447,489		750,000	$	51,194,659
ProShares Ultra Bloomberg Commodity Common Units of Beneficial Interest	$	129,604,130		200,000	$	6,046,620
ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest	$	4,855,091,956		11,950,000	$	115,974,315
ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest	$	540,275,387		400,000	$	4,447,064
ProShares Ultra Gold Common Units of Beneficial Interest	$	279,990,487		—	$	—
ProShares Ultra Silver Common Units of Beneficial Interest	$	1,401,481,664		700,000	$	26,318,968
ProShares Ultra Euro Common Units of Beneficial Interest	$	126,652,323		50,000	$	831,691
ProShares Ultra Yen Common Units of Beneficial Interest	$	138,726,333		—	$	—
Total:	$	26,935,559,981		61,565,000	$	2,932,380,616

220

(b)	From April 1, 2016 to June 30, 2016, 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 VIX Short-Term Futures ETF
04/01/16 to 04/30/16		—	$	—
05/01/16 to 05/31/16		165,000	$	54.03
06/01/16 to 06/30/16		2,010,000	$	55.27
ProShares VIX Mid-Term Futures ETF
04/01/16 to 04/30/16		—	$	—
05/01/16 to 05/31/16		—	$	—
06/01/16 to 06/30/16		25,000	$	52.85
ProShares Short VIX Short-Term Futures ETF
04/01/16 to 04/30/16		2,900,000	$	52.28
05/01/16 to 05/31/16		3,050,000	$	57.20
06/01/16 to 06/30/16		10,200,000	$	53.35
ProShares Ultra VIX Short-Term Futures ETF
04/01/16 to 04/30/16		2,070,000	$	88.97
05/01/16 to 05/31/16		2,020,000	$	72.05
06/01/16 to 06/30/16		7,250,000	$	72.31
ProShares UltraShort Bloomberg Commodity
04/01/16 to 04/30/16		—	$	—
05/01/16 to 05/31/16		—	$	—
06/01/16 to 06/30/16		—	$	—
ProShares UltraShort Bloomberg Crude Oil
04/01/16 to 04/30/16		450,000	$	109.84
05/01/16 to 05/31/16		300,000	$	95.21
06/01/16 to 06/30/16		1,250,000	$	84.68
ProShares UltraShort Bloomberg Natural Gas
04/01/16 to 04/30/16		—	$	—
05/01/16 to 05/31/16		150,000	$	53.20
06/01/16 to 06/30/16		150,000	$	38.98
ProShares UltraShort Gold
04/01/16 to 04/30/16		50,000	$	80.83
05/01/16 to 05/31/16		—	$	—
06/01/16 to 06/30/16		100,000	$	75.47
ProShares UltraShort Silver
04/01/16 to 04/30/16		100,000	$	45.74
05/01/16 to 05/31/16		100,000	$	43.01
06/01/16 to 06/30/16		100,000	$	37.65
ProShares Short Euro
04/01/16 to 04/30/16		—	$	—
05/01/16 to 05/31/16		—	$	—
06/01/16 to 06/30/16		—	$	—
ProShares UltraShort Australian Dollar
04/01/16 to 04/30/16		—	$	—
05/01/16 to 05/31/16		—	$	—
06/01/16 to 06/30/16		—	$	—

221


ProShares UltraShort Euro
04/01/16 to 04/30/16	750,000	$	23.38
05/01/16 to 05/31/16	350,000	$	23.85
06/01/16 to 06/30/16	400,000	$	23.31
ProShares UltraShort Yen
04/01/16 to 04/30/16	—	$	—
05/01/16 to 05/31/16	—	$	—
06/01/16 to 06/30/16	—	$	—
ProShares Ultra Bloomberg Commodity
04/01/16 to 04/30/16	50,000	$	29.59
05/01/16 to 05/31/16	—	$	—
06/01/16 to 06/30/16	—	$	—
ProShares Ultra Bloomberg Crude Oil
04/01/16 to 04/30/16	14,650,000	$	10.55
05/01/16 to 05/31/16	11,500,000	$	12.28
06/01/16 to 06/30/16	1,750,000	$	13.73
ProShares Ultra Bloomberg Natural Gas
04/01/16 to 04/30/16	250,000	$	11.23
05/01/16 to 05/31/16	50,000	$	11.17
06/01/16 to 06/30/16	300,000	$	15.25
ProShares Ultra Gold
04/01/16 to 04/30/16	—	$	—
05/01/16 to 05/31/16	—	$	—
06/01/16 to 06/30/16	50,000	$	39.72
ProShares Ultra Silver
04/01/16 to 04/30/16	150,000	$	40.63
05/01/16 to 05/31/16	—	$	—
06/01/16 to 06/30/16	100,000	$	41.75
ProShares Ultra Euro
04/01/16 to 04/30/16	100,000	$	16.86
05/01/16 to 05/31/16	—	$	—
06/01/16 to 06/30/16	—	$	—
ProShares Ultra Yen
04/01/16 to 04/30/16	—	$	—
05/01/16 to 05/31/16	—	$	—
06/01/16 to 06/30/16	—	$	—

Item 3.

Defaults Upon Senior Securities.

None.

Item 4.

Mine Safety Disclosures.

Not applicable.

Item 5.

Other Information.

None.

222

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.

223

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 9, 2016

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial Officer

Date: August 9, 2016

224