ProShares Trust II - Quarter Report: 2017 September (Form 10-Q)

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10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

☒	Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended September 30, 2017.

☐	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. ☒ 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). ☒ Yes ☐ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer”, “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act.). ☐ Yes ☒ No

PROSHARES TRUST II

Table of Contents


	Page
Part I. FINANCIAL INFORMATION

Item 1. Financial Statements.		3

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.		151

Item 3. Quantitative and Qualitative Disclosures About Market Risk.		211

Item 4. Controls and Procedures.		229

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.		230

Item 1A. Risk Factors.		230

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		230

Item 3. Defaults Upon Senior Securities.		235

Item 4. Mine Safety Disclosures.		235

Item 5. Other Information.		235

Item 6. Exhibits.		236

Part I. FINANCIAL INFORMATION

Item 1.

Condensed Financial Statements.

Index


Documents	Page
Statements of Financial Condition, Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity and Statements of Cash Flows:
ProShares VIX Short-Term Futures ETF		4
ProShares VIX Mid-Term Futures ETF		9
ProShares Short VIX Short-Term Futures ETF		14
ProShares Ultra VIX Short-Term Futures ETF		19
ProShares UltraShort Bloomberg Crude Oil		24
ProShares UltraPro 3x Short Crude Oil ETF		29
ProShares UltraShort Bloomberg Natural Gas		34
ProShares UltraShort Gold		39
ProShares UltraShort Silver		44
ProShares Short Euro		49
ProShares UltraShort Australian Dollar		54
ProShares UltraShort Euro		59
ProShares UltraShort Yen		64
ProShares Ultra Bloomberg Crude Oil		69
ProShares UltraPro 3x Crude Oil ETF		74
ProShares Ultra Bloomberg Natural Gas		79
ProShares Ultra Gold		84
ProShares Ultra Silver		89
ProShares Ultra Euro		94
ProShares Ultra Yen		99
ProShares Trust II		104
Notes to Financial Statements		108

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	4,200,621	$	4,536,425
Segregated cash balances with brokers for futures contracts		4,438,775		17,235,855
Short-term U.S. government and agency obligations (Note 3) (cost $186,708,857 and $147,990,045, respectively)		186,716,429		147,991,233
Receivable on open futures contracts		—		4,484,270

Total assets		195,355,825		174,247,783

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		3,913,679		—
Payable to Sponsor		77,327		87,637

Total liabilities		3,991,006		87,637

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		191,364,819		174,160,146

Total liabilities and shareholders’ equity	$	195,355,825	$	174,247,783

Shares outstanding (Note 1)		5,876,317		2,052,363

Net asset value per share (Note 1)	$	32.57	$	84.86

Market value per share (Note 1) (Note 2)	$	32.53	$	85.04

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (98% of shareholders’ equity)
U.S. Treasury Bills^^:
0.998% due 10/05/17	$	7,000,000	$	6,999,568
1.043% due 10/12/17		18,000,000		17,995,300
0.928% due 10/19/17		11,000,000		10,995,222
1.037% due 10/26/17†		35,000,000		34,978,185
1.013% due 11/02/17†		7,000,000		6,994,243
1.023% due 11/09/17†		4,000,000		3,995,947
0.988% due 11/16/17†		29,000,000		28,965,383
0.962% due 11/30/17†		13,000,000		12,979,014
1.033% due 12/07/17†		7,000,000		6,987,359
0.987% due 12/14/17†		11,000,000		10,978,586
1.001% due 01/11/18		12,000,000		11,966,165
1.040% due 02/01/18		33,000,000		32,881,457

Total short-term U.S. government and agency obligations (cost $186,708,857)			$	186,716,429

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures—CBOE, expires October 2017		9,373	$	109,429,775	$	(16,948,916	)
VIX Futures—CBOE, expires November 2017		6,252		81,432,300		(1,380,405	)

					$	(18,329,321	)

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

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

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	379,082		$	144,244		$	786,305		$	324,819

Expenses
Management fee		381,123			474,982			1,004,091			1,210,844
Brokerage commissions and fees		59,243			76,959			138,487			229,993

Total expenses		440,366			551,941			1,142,578			1,440,837

Net investment income (loss)		(61,284	)		(407,697	)		(356,273	)		(1,116,018	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(27,447,205	)		(101,785,229	)		(126,202,705	)		(134,345,928	)
Short-term U.S. government and agency obligations		419			3,946			(943	)		6,237

Net realized gain (loss)		(27,446,786	)		(101,781,283	)		(126,203,648	)		(134,339,691	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(17,219,461	)		6,786,934			(17,860,669	)		(8,475,358	)
Short-term U.S. government and agency obligations		3,094			24,829			6,384			35,549

Change in net unrealized appreciation/depreciation		(17,216,367	)		6,811,763			(17,854,285	)		(8,439,809	)

Net realized and unrealized gain (loss)		(44,663,153	)		(94,969,520	)		(144,057,933	)		(142,779,500	)

Net income (loss)	$	(44,724,437	)	$	(95,377,217	)	$	(144,414,206	)	$	(143,895,518	)

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	174,160,146
Addition of 6,125,000 shares (Note 1)		274,586,934
Redemption of 2,301,046 shares (Note 1)		(112,968,055	)

Net addition (redemption) of 3,823,954 shares (Note 1)		161,618,879

Net investment income (loss)		(356,273	)
Net realized gain (loss)		(126,203,648	)
Change in net unrealized appreciation/depreciation		(17,854,285	)

Net income (loss)		(144,414,206	)

Shareholders’ equity, at September 30, 2017	$	191,364,819

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(144,414,206	)	$	(143,895,518	)
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		12,797,080			(2,370,400	)
Purchases of short-term U.S. government and agency obligations		(634,948,674	)		(742,783,009	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		597,015,224			622,882,786
Net amortization and accretion on short-term U.S government and agency obligations		(786,305	)		(324,819	)
Net realized gain (loss) on investments		943			(6,237	)
Change in unrealized appreciation/depreciation on investments		(6,384	)		(35,549	)
Decrease (Increase) in receivable on futures contracts		4,484,270			1,105,799
Increase (Decrease) in payable to Sponsor		(10,310	)		85,931
Increase (Decrease) in payable on futures contracts		3,913,679			—

Net cash provided by (used in) operating activities		(161,954,683	)		(265,341,016	)

Cash flow from financing activities
Proceeds from addition of shares		274,586,934			461,486,395
Payment on shares redeemed		(112,968,055	)		(195,044,482	)

Net cash provided by (used in) financing activities		161,618,879			266,441,913

Net increase (decrease) in cash		(335,804	)		1,100,897
Cash, beginning of period		4,536,425			2,124,103

Cash, end of period	$	4,200,621		$	3,225,000

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	314,842	$	1,155,115
Segregated cash balances with brokers for futures contracts		7,454,800		1,052,615
Short-term U.S. government and agency obligations (Note 3) (cost $35,953,365 and $45,486,489, respectively)		35,955,278		45,486,235
Receivable from capital shares sold		1,890,685		—
Receivable on open futures contracts		—		242,541

Total assets		45,615,605		47,936,506

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		2,085,020
Payable on open futures contracts		539,598		—
Payable to Sponsor		28,584		32,572

Total liabilities		568,182		2,117,592

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		45,047,423		45,818,914

Total liabilities and shareholders’ equity	$	45,615,605	$	47,936,506

Shares outstanding		1,787,403		1,087,403

Net asset value per share	$	25.20	$	42.14

Market value per share (Note 2)	$	25.17	$	42.34

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (80% of shareholders’ equity)
U.S. Treasury Bills^^:
0.992% due 10/26/17	$	13,000,000	$	12,991,897
1.013% due 11/02/17		5,000,000		4,995,888
1.023% due 11/09/17		2,000,000		1,997,973
0.977% due 11/16/17		9,000,000		8,989,257
1.001% due 01/11/18		7,000,000		6,980,263

Total short-term U.S. government and agency obligations (cost $35,953,365)			$	35,955,278

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures—CBOE, expires January 2018		582	$	8,599,050	$	(697,300	)
VIX Futures—CBOE, expires February 2018		971		14,783,475		(652,385	)
VIX Futures—CBOE, expires March 2018		971		15,341,800		(547,765	)
VIX Futures—CBOE, expires April 2018		388		6,314,700		(44,190	)

					$	(1,941,640	)

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

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	71,551		$	29,706		$	164,138		$	63,804

Expenses
Management fee		80,574			108,438			235,818			251,163
Brokerage commissions and fees		6,764			10,935			11,815			23,544

Total expenses		87,338			119,373			247,633			274,707

Net investment income (loss)		(15,787	)		(89,667	)		(83,495	)		(210,903	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(3,965,084	)		(4,899,530	)		(19,180,135	)		(5,248,725	)
Short-term U.S. government and agency obligations		—			144			(527	)		132

Net realized gain (loss)		(3,965,084	)		(4,899,386	)		(19,180,662	)		(5,248,593	)

Change in net unrealized appreciation/depreciation on
Futures contracts		364,615			(1,149,750	)		(653,395	)		(1,917,790	)
Short-term U.S. government and agency obligations		1,342			8,365			2,167			9,742

Change in net unrealized appreciation/depreciation		365,957			(1,141,385	)		(651,228	)		(1,908,048	)

Net realized and unrealized gain (loss)		(3,599,127	)		(6,040,771	)		(19,831,890	)		(7,156,641	)

Net income (loss)	$	(3,614,914	)	$	(6,130,438	)	$	(19,915,385	)	$	(7,367,544	)

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	45,818,914
Addition of 850,000 shares		23,977,024
Redemption of 150,000 shares		(4,833,130	)

Net addition (redemption) of 700,000 shares		19,143,894

Net investment income (loss)		(83,495	)
Net realized gain (loss)		(19,180,662	)
Change in net unrealized appreciation/depreciation		(651,228	)

Net income (loss)		(19,915,385	)

Shareholders’ equity, at September 30, 2017	$	45,047,423

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(19,915,385	)	$	(7,367,544	)
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		(6,402,185	)		(823,975	)
Purchases of short-term U.S. government and agency obligations		(149,796,234	)		(132,528,541	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		159,492,969			104,309,090
Net amortization and accretion on short-term U.S government and agency obligations		(164,138	)		(63,804	)
Net realized gain (loss) on investments		527			(132	)
Change in unrealized appreciation/depreciation on investments		(2,167	)		(9,742	)
Decrease (Increase) in receivable on futures contracts		242,541			42,188
Increase (Decrease) in payable to Sponsor		(3,988	)		21,005
Increase (Decrease) in payable on futures contracts		539,598			258,839

Net cash provided by (used in) operating activities		(16,008,462	)		(36,162,616	)

Cash flow from financing activities
Proceeds from addition of shares		22,086,339			48,406,580
Payment on shares redeemed		(6,918,150	)		(9,794,863	)

Net cash provided by (used in) financing activities		15,168,189			38,611,717

Net increase (decrease) in cash		(840,273	)		2,449,101
Cash, beginning of period		1,155,115			671,791

Cash, end of period	$	314,842		$	3,120,892

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	4,098,464	$	1,850,760
Segregated cash balances with brokers for futures contracts		316,834,247		55,323,984
Short-term U.S. government and agency obligations (Note 3) (cost $770,073,989 and $170,391,741, respectively)		770,134,521		170,396,436
Receivable on open futures contracts		57,550,026		1,059,418

Total assets		1,148,617,258		228,630,598

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		107,724,462		—
Payable on open futures contracts		—		325,000
Payable to Sponsor		1,018,886		230,211

Total liabilities		108,743,348		555,211

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		1,039,873,910		228,075,387

Total liabilities and shareholders’ equity	$	1,148,617,258	$	228,630,598

Shares outstanding (Note 1)		11,100,000		5,000,000

Net asset value per share (Note 1)	$	93.68	$	45.62

Market value per share (Note 1) (Note 2)	$	93.75	$	45.49

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (74% of shareholders’ equity)
U.S. Treasury Bills^^:
1.041% due 10/19/17	$	47,000,000	$	46,979,583
1.048% due 10/26/17		78,000,000		77,951,383
1.001% due 11/02/17		115,000,000		114,905,424
1.029% due 11/09/17		199,000,000		198,798,353
0.986% due 11/16/17†		160,000,000		159,809,008
0.999% due 11/24/17		10,000,000		9,985,499
1.005% due 11/30/17†		73,000,000		72,882,156
1.023% due 12/07/17†		30,000,000		29,945,826
0.987% due 12/14/17†		50,000,000		49,902,665
1.001% due 01/11/18		9,000,000		8,974,624

Total short-term U.S. government and agency obligations (cost $770,073,989)			$	770,134,521

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures—CBOE, expires October 2017		51,224	$	598,040,200	$	86,369,735
VIX Futures—CBOE, expires November 2017		34,126		444,491,150		7,874,300

					$	94,244,035

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

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

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	2,102,194		$	248,974		$	3,484,888		$	848,132

Expenses
Management fee		2,376,444			951,001			4,636,720			3,561,744
Brokerage commissions and fees		1,366,561			469,401			2,761,371			1,522,859

Total expenses		3,743,005			1,420,402			7,398,091			5,084,603

Net investment income (loss)		(1,640,811	)		(1,171,428	)		(3,913,203	)		(4,236,471	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		188,300,727			277,246,086			471,128,319			263,024,643
Short-term U.S. government and agency obligations		6,797			(12,510	)		(4,461	)		(34,036	)

Net realized gain (loss)		188,307,524			277,233,576			471,123,858			262,990,607

Change in net unrealized appreciation/depreciation on
Futures contracts		100,033,466			(51,813,012	)		104,553,646			16,663,427
Short-term U.S. government and agency obligations		56,988			33,663			55,837			62,392

Change in net unrealized appreciation/depreciation		100,090,454			(51,779,349	)		104,609,483			16,725,819

Net realized and unrealized gain (loss)		288,397,978			225,454,227			575,733,341			279,716,426

Net income (loss)	$	286,757,167		$	224,282,799		$	571,820,138		$	275,479,955

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	228,075,387
Addition of 46,750,000 shares (Note 1)		3,330,265,694
Redemption of 40,650,000 shares (Note 1)		(3,090,287,309	)

Net addition (redemption) of 6,100,000 shares (Note 1)		239,978,385

Net investment income (loss)		(3,913,203	)
Net realized gain (loss)		471,123,858
Change in net unrealized appreciation/depreciation		104,609,483

Net income (loss)		571,820,138

Shareholders’ equity, at September 30, 2017	$	1,039,873,910

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	571,820,138		$	275,479,955
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(261,510,263	)		75,585,025
Purchases of short-term U.S. government and agency obligations		(3,392,906,218	)		(2,235,163,421	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		2,796,704,397			2,324,555,238
Net amortization and accretion on short-term U.S government and agency obligations		(3,484,888	)		(848,132	)
Net realized gain (loss) on investments		4,461			34,036
Change in unrealized appreciation/depreciation on investments		(55,837	)		(62,392	)
Decrease (Increase) in receivable on futures contracts		(56,490,608	)		(4,571,788	)
Increase (Decrease) in payable to Sponsor		788,675			(183,417	)
Increase (Decrease) in payable on futures contracts		(325,000	)		(1,420,271	)

Net cash provided by (used in) operating activities		(345,455,143	)		433,404,833

Cash flow from financing activities
Proceeds from addition of shares		3,330,265,694			2,183,650,607
Payment on shares redeemed		(2,982,562,847	)		(2,616,476,208	)

Net cash provided by (used in) financing activities		347,702,847			(432,825,601	)

Net increase (decrease) in cash		2,247,704			579,232
Cash, beginning of period		1,850,760			5,150,976

Cash, end of period	$	4,098,464		$	5,730,208

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	2,610,772	$	10,969,955
Segregated cash balances with brokers for futures contracts		17,599,725		71,363,625
Short-term U.S. government and agency obligations (Note 3) (cost $521,285,333 and $434,676,067, respectively)		521,315,100		434,671,795
Receivable from capital shares sold		14,450,792		—
Receivable on open futures contracts		—		35,967,191

Total assets		555,976,389		552,972,566

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		36,789,539
Payable on open futures contracts		20,456,567		—
Payable to Sponsor		424,090		424,273

Total liabilities		20,880,657		37,213,812

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		535,095,732		515,758,754

Total liabilities and shareholders’ equity	$	555,976,389	$	552,972,566

Shares outstanding (Note 1)		25,927,238		2,965,383

Net asset value per share (Note 1)	$	20.64	$	173.93

Market value per share (Note 1) (Note 2)	$	20.60	$	175.00

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (97% of shareholders’ equity)
U.S. Treasury Bills^^:
1.011% due 10/05/17†	$	15,023,000	$	15,022,073
1.067% due 10/12/17†		20,000,000		19,994,778
1.081% due 10/19/17†		46,000,000		45,980,017
1.000% due 10/26/17†		47,000,000		46,970,705
1.013% due 11/02/17†		13,000,000		12,989,309
0.957% due 11/09/17†		20,000,000		19,979,734
0.986% due 11/16/17†		97,000,000		96,884,211
0.999% due 11/30/17†		128,000,000		127,793,370
1.002% due 12/07/17†		66,000,000		65,880,817
1.000% due 12/14/17†		20,000,000		19,961,066
1.001% due 01/11/18†		50,000,000		49,859,020

Total short-term U.S. government and agency obligations (cost $521,285,333)			$	521,315,100

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures—CBOE, expires October 2017		52,495	$	612,879,125	$	(93,982,537	)
VIX Futures—CBOE, expires November 2017		35,008		455,979,200		(7,780,494	)

					$	(101,763,031	)

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

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

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	866,857		$	400,731		$	1,833,411		$	1,227,394

Expenses
Management fee		1,040,567			1,625,260			2,880,339			5,006,558
Brokerage commissions and fees		1,150,806			1,102,098			2,819,322			3,228,763

Total expenses		2,191,373			2,727,358			5,699,661			8,235,321

Net investment income (loss)		(1,324,516	)		(2,326,627	)		(3,866,250	)		(7,007,927	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(126,532,816	)		(745,101,700	)		(646,036,987	)		(1,269,233,467	)
Short-term U.S. government and agency obligations		(5,866	)		16,032			(26,617	)		24,626

Net realized gain (loss)		(126,538,682	)		(745,085,668	)		(646,063,604	)		(1,269,208,841	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(95,515,562	)		138,973,918			(93,790,794	)		(51,163,549	)
Short-term U.S. government and agency obligations		21,523			27,300			34,039			8,737

Change in net unrealized appreciation/depreciation		(95,494,039	)		139,001,218			(93,756,755	)		(51,154,812	)

Net realized and unrealized gain (loss)		(222,032,721	)		(606,084,450	)		(739,820,359	)		(1,320,363,653	)

Net income (loss)	$	(223,357,237	)	$	(608,411,077	)	$	(743,686,609	)	$	(1,327,371,580	)

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	515,758,754
Addition of 51,185,000 shares (Note 1)		2,109,762,890
Redemption of 28,223,145 shares (Note 1)		(1,346,739,303	)

Net addition (redemption) of 22,961,855 shares (Note 1)		763,023,587

Net investment income (loss)		(3,866,250	)
Net realized gain (loss)		(646,063,604	)
Change in net unrealized appreciation/depreciation		(93,756,755	)

Net income (loss)		(743,686,609	)

Shareholders’ equity, at September 30, 2017	$	535,095,732

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(743,686,609	)	$	(1,327,371,580	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		53,763,900			14,767,485
Purchases of short-term U.S. government and agency obligations		(2,355,267,451	)		(3,719,826,671	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		2,270,464,979			3,505,716,134
Net amortization and accretion on short-term U.S government and agency obligations		(1,833,411	)		(1,221,489	)
Net realized gain (loss) on investments		26,617			(24,626	)
Change in unrealized appreciation/depreciation on investments		(34,039	)		(8,737	)
Decrease (Increase) in receivable on futures contracts		35,967,191			17,995,478
Increase (Decrease) in payable to Sponsor		(183	)		51,617
Increase (Decrease) in payable on futures contracts		20,456,567			31,416,387

Net cash provided by (used in) operating activities		(720,142,439	)		(1,478,506,002	)

Cash flow from financing activities
Proceeds from addition of shares		2,095,312,098			3,689,719,713
Payment on shares redeemed		(1,383,528,842	)		(2,208,691,466	)

Net cash provided by (used in) financing activities		711,783,256			1,481,028,247

Net increase (decrease) in cash		(8,359,183	)		2,522,245
Cash, beginning of period		10,969,955			9,081,964

Cash, end of period	$	2,610,772		$	11,604,209

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	3,636,946	$	2,715,772
Segregated cash balances with brokers for futures contracts		5,000,160		4,931,520
Short-term U.S. government and agency obligations (Note 3) (cost $246,653,071 and $205,694,828, respectively)		246,666,306		205,694,385
Receivable on open futures contracts		123,680		—

Total assets		255,427,092		213,341,677

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		3,359,173		—
Payable on open futures contracts		—		13,602
Payable to Sponsor		162,517		162,891
Unrealized depreciation on swap agreements		13,678,377		12,206,881

Total liabilities		17,200,067		12,383,374

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		238,227,025		200,958,303

Total liabilities and shareholders’ equity	$	255,427,092	$	213,341,677

Shares outstanding		7,089,884		6,339,884

Net asset value per share	$	33.60	$	31.70

Market value per share (Note 2)	$	33.73	$	31.65

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (104% of shareholders’ equity)
U.S. Treasury Bills^^:
1.062% due 10/05/17	$	16,000,000	$	15,999,013
1.065% due 10/12/17		19,000,000		18,995,039
1.070% due 10/19/17†		53,000,000		52,976,977
1.042% due 10/26/17†		20,000,000		19,987,534
1.013% due 11/02/17†		6,000,000		5,995,066
1.079% due 11/09/17†		11,000,000		10,988,854
0.986% due 11/16/17†		11,000,000		10,986,869
0.962% due 11/30/17†		22,000,000		21,964,485
0.991% due 12/07/17†		13,000,000		12,976,525
0.989% due 12/14/17†		34,000,000		33,933,812
1.002% due 01/04/18		14,000,000		13,962,714
1.040% due 02/01/18		28,000,000		27,899,418

Total short-term U.S. government and agency obligations (cost $246,653,071)			$	246,666,306

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil—NYMEX, expires November 2017		1,894	$	97,862,980	$	(5,367,489	)

Swap Agreements^


	Rate Paid (Received)*			Termination Date		Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Swap agreement with Citibank, N.A. based on Bloomberg Crude Oil Sub-Index		(0.18	)%		10/05/17	$	(149,040,494	)	$	(6,092,070	)
Swap agreement with Goldman Sachs International based on Bloomberg Crude Oil Sub-Index		(0.25	)		10/05/17		(109,832,549	)		(3,900,635	)
Swap agreement with Societe Generale based on Bloomberg Crude Oil Sub-Index		(0.25	)		10/05/17		(12,927,229	)		(514,835	)
Swap agreement with UBS AG based on Bloomberg Crude Oil Sub-Index		(0.25	)		10/05/17		(106,765,884	)		(3,170,837	)

									$	(13,678,377	)

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

^	The positions and counterparties herein are as of September 30, 2017. 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 September 30, 2017, 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

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	458,896		$	112,015		$	998,438		$	345,514

Expenses
Management fee		456,582			405,879			1,374,438			1,291,075
Brokerage commissions and fees		17,992			27,568			50,772			125,327

Total expenses		474,574			433,447			1,425,210			1,416,402

Net investment income (loss)		(15,678	)		(321,432	)		(426,772	)		(1,070,888	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(6,020,543	)		7,108,871			12,625,049			(1,439,525	)
Swap agreements		(3,398,264	)		43,172,623			37,182,481			(35,456,689	)
Short-term U.S. government and agency obligations		(107	)		3,798			(1,590	)		(4,796	)

Net realized gain (loss)		(9,418,914	)		50,285,292			49,805,940			(36,901,010	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(4,525,726	)		(4,602,457	)		(3,940,674	)		(6,846,490	)
Swap agreements		(25,931,072	)		(28,373,775	)		(1,471,496	)		(22,977,481	)
Short-term U.S. government and agency obligations		10,122			12,429			13,678			26,286

Change in net unrealized appreciation/depreciation		(30,446,676	)		(32,963,803	)		(5,398,492	)		(29,797,685	)

Net realized and unrealized gain (loss)		(39,865,590	)		17,321,489			44,407,448			(66,698,695	)

Net income (loss)	$	(39,881,268	)	$	17,000,057		$	43,980,676		$	(67,769,583	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	200,958,303
Addition of 10,700,000 shares		398,064,737
Redemption of 9,950,000 shares		(404,776,691	)

Net addition (redemption) of 750,000 shares		(6,711,954	)

Net investment income (loss)		(426,772	)
Net realized gain (loss)		49,805,940
Change in net unrealized appreciation/depreciation		(5,398,492	)

Net income (loss)		43,980,676

Shareholders’ equity, at September 30, 2017	$	238,227,025

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	43,980,676		$	(67,769,583	)
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		(68,640	)		3,477,760
Decrease (Increase) in segregated cash balances with brokers for swap agreements		—			(1,128,000	)
Purchases of short-term U.S. government and agency obligations		(866,640,949	)		(831,968,058	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		826,679,554			768,766,626
Net amortization and accretion on short-term U.S government and agency obligations		(998,438	)		(345,514	)
Net realized gain (loss) on investments		1,590			4,796
Change in unrealized appreciation/depreciation on investments		1,457,818			22,951,195
Decrease (Increase) in receivable on futures contracts		(123,680	)		—
Increase (Decrease) in payable to Sponsor		(374	)		34,948
Increase (Decrease) in brokerage commissions and fees payable		—			(6,947	)
Increase (Decrease) in payable for investments purchased		—			1,736,880
Increase (Decrease) in payable on futures contracts		(13,602	)		(34,842	)

Net cash provided by (used in) operating activities		4,273,955			(104,280,739	)

Cash flow from financing activities
Proceeds from addition of shares		398,064,737			752,995,105
Payment on shares redeemed		(401,417,518	)		(648,311,713	)

Net cash provided by (used in) financing activities		(3,352,781	)		104,683,392

Net increase (decrease) in cash		921,174			402,653
Cash, beginning of period		2,715,772			598,645

Cash, end of period	$	3,636,946		$	1,001,298

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENT OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)
Assets
Cash	$	13,475,988
Segregated cash balances with brokers for futures contracts		2,418,240
Offering costs (Note 5)		71,150
Limitation by Sponsor		34,903

Total assets		16,000,281

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		83,153
Payable for offering costs		148,400

Total liabilities		231,553

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		15,768,728

Total liabilities and shareholders’ equity	$	16,000,281

Shares outstanding		900,008

Net asset value per share	$	17.52

Market value per share (Note 2)	$	17.63

*	Since the Fund’s inception date was January 13, 2017, the Statement of Financial Condition as of December 31, 2016 has not been provided. See Note 1.

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil—NYMEX, expires November 2017		916	$	47,329,720	$	(2,423,370	)

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30, 2017			January 13, 2017 (Inception) through September 30, 2017
Investment Income
Expenses
Brokerage commissions and fees	$	9,395		$	17,296
Offering costs		37,405			77,250
Limitation by Sponsor		(12,787	)		(34,903	)

Total expenses		34,013			59,643

Net investment income (loss)		(34,013	)		(59,643	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(1,540,337	)		232,006

Net realized gain (loss)		(1,540,337	)		232,006

Change in net unrealized appreciation/depreciation on
Futures contracts		(2,178,096	)		(2,423,370	)

Change in net unrealized appreciation/depreciation		(2,178,096	)		(2,423,370	)

Net realized and unrealized gain (loss)		(3,718,433	)		(2,191,364	)

Net income (loss)	$	(3,752,446	)	$	(2,251,007	)

*	Since the Fund’s inception date was January 13, 2017, the Statements of Operations for the three and nine months ended September 30, 2016 have not been provided. See Note 1.

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE PERIOD FROM JANUARY 13, 2017 (INCEPTION) TO SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at January 13, 2017 (Inception)	$	—
Addition of 1,050,008 shares		22,510,278
Redemption of 150,000 shares		(4,490,543	)

Net addition (redemption) of 900,008 shares		18,019,735

Net investment income (loss)		(59,643	)
Net realized gain (loss)		232,006
Change in net unrealized appreciation/depreciation		(2,423,370	)

Net income (loss)		(2,251,007	)

Shareholders’ equity, at September 30, 2017	$	15,768,728

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENT OF CASH FLOWS

(unaudited)


	January 13, 2017 (Inception) through September 30, 2017
Cash flow from operating activities
Net income (loss)	$	(2,251,007	)
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		(2,418,240	)
Decrease (Increase) in Limitation by Sponsor		(34,903	)
Change in offering cost		(71,150	)
Increase (Decrease) in payable on futures contracts		83,153
Increase (Decrease) in payable for offering costs		148,400

Net cash provided by (used in) operating activities		(4,543,747	)

Cash flow from financing activities
Proceeds from addition of shares		22,510,278
Payment on shares redeemed		(4,490,543	)

Net cash provided by (used in) financing activities		18,019,735

Net increase (decrease) in cash		13,475,988
Cash, beginning of period		—

Cash, end of period	$	13,475,988

*	Since the Fund’s inception date was January 13, 2017, the Statement of Cash Flows for the nine months ended September 30, 2016 has not been provided. See Note 1.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	2,116,845	$	326,631
Segregated cash balances with brokers for futures contracts		780,120		710,655
Short-term U.S. government and agency obligations (Note 3) (cost $2,998,485 and $2,899,188, respectively)		2,998,697		2,899,151
Receivable on open futures contracts		31,017		105,872

Total assets		5,926,679		4,042,309

Liabilities and shareholders’ equity
Liabilities
Brokerage commissions and fees payable		—		144
Payable to Sponsor		5,245		3,371

Total liabilities		5,245		3,515

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		5,921,434		4,038,794

Total liabilities and shareholders’ equity	$	5,926,679	$	4,042,309

Shares outstanding		174,832		174,832

Net asset value per share	$	33.87	$	23.10

Market value per share (Note 2)	$	33.64	$	23.05

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (51% of shareholders’ equity)
U.S. Treasury Bills^^: 1.013% due 10/19/17	$	3,000,000	$	2,998,697

Total short-term U.S. government and agency obligations (cost $2,998,485)			$	2,998,697

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas—NYMEX, expires November 2017		394	$	11,847,580	$	348,521

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	11,436		$	2,395		$	25,909		$	16,513

Expenses
Management fee		18,019			13,043			51,110			70,066
Brokerage commissions and fees		7,316			8,608			19,673			53,910

Total expenses		25,335			21,651			70,783			123,976

Net investment income (loss)		(13,899	)		(19,256	)		(44,874	)		(107,463	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(151,368	)		(101,997	)		1,756,252			455,516
Short-term U.S. government and agency obligations		(75	)		434			(334	)		3,438

Net realized gain (loss)		(151,443	)		(101,563	)		1,755,918			458,954

Change in net unrealized appreciation/depreciation on
Futures contracts		615,201			712,984			830,552			2,803,566
Short-term U.S. government and agency obligations		555			(161	)		249			(75	)

Change in net unrealized appreciation/depreciation		615,756			712,823			830,801			2,803,491

Net realized and unrealized gain (loss)		464,313			611,260			2,586,719			3,262,445

Net income (loss)	$	450,414		$	592,004		$	2,541,845		$	3,154,982

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	4,038,794
Addition of 300,000 shares		9,317,576
Redemption of 300,000 shares		(9,976,781	)

Net addition (redemption) of 0 shares		(659,205	)

Net investment income (loss)		(44,874	)
Net realized gain (loss)		1,755,918
Change in net unrealized appreciation/depreciation		830,801

Net income (loss)		2,541,845

Shareholders’ equity, at September 30, 2017	$	5,921,434

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	2,541,845		$	3,154,982
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		(69,465	)		917,015
Purchases of short-term U.S. government and agency obligations		(17,971,116	)		(42,200,053	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		17,897,394			45,636,490
Net amortization and accretion on short-term U.S government and agency obligations		(25,909	)		(16,513	)
Net realized gain (loss) on investments		334			(3,438	)
Change in unrealized appreciation/depreciation on investments		(249	)		75
Decrease (Increase) in receivable on futures contracts		74,855			(159,924	)
Increase (Decrease) in payable to Sponsor		1,874			(6,510	)
Increase (Decrease) in brokerage commissions and fees payable		(144	)		(1,499	)
Increase (Decrease) in payable on futures contracts		—			(785,170	)

Net cash provided by (used in) operating activities		2,449,419			6,535,455

Cash flow from financing activities
Proceeds from addition of shares		9,317,576			37,311,510
Payment on shares redeemed		(9,976,781	)		(44,580,216	)

Net cash provided by (used in) financing activities		(659,205	)		(7,268,706	)

Net increase (decrease) in cash		1,790,214			(733,251	)
Cash, beginning of period		326,631			1,099,140

Cash, end of period	$	2,116,845		$	365,889

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	1,104,112	$	120,840
Segregated cash balances with brokers for futures contracts		10,780		13,200
Short-term U.S. government and agency obligations (Note 3) (cost $34,939,314 and $60,540,275, respectively)		34,940,087		60,540,555
Unrealized appreciation on forward agreements		2,961,605		3,033,566
Receivable on open futures contracts		600		1,280

Total assets		39,017,184		63,709,441

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		3,563,259		—
Payable to Sponsor		27,142		55,794

Total liabilities		3,590,401		55,794

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		35,426,783		63,653,647

Total liabilities and shareholders’ equity	$	39,017,184	$	63,709,441

Shares outstanding		496,978		696,978

Net asset value per share	$	71.28	$	91.33

Market value per share (Note 2)	$	71.55	$	90.54

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (99% of shareholders’ equity)
U.S. Treasury Bills^^:
1.062% due 10/05/17†	$	11,000,000	$	10,999,321
0.991% due 11/30/17†		2,000,000		1,996,771
0.972% due 12/07/17†		3,000,000		2,994,583
0.987% due 12/14/17†		5,000,000		4,990,267
1.002% due 01/04/18		6,000,000		5,984,020
1.001% due 01/11/18		5,000,000		4,985,902
1.040% due 02/01/18		3,000,000		2,989,223

Total short-term U.S. government and agency obligations (cost $34,939,314)			$	34,940,087

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures—COMEX, expires December 2017		2	$	256,960	$	(9,540	)

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		(1.30	)%		10/05/17	$	(16,100	)	$	(20,663,223	)	$	1,045,390
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		(1.06	)		10/05/17		(16,898	)		(21,687,062	)		835,086
Forward agreements with Societe Generale based on 0.995 Fine Troy Ounce Gold		(1.01	)		10/05/17		(4,800	)		(6,160,368	)		267,146
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		(1.05	)		10/05/17		(17,250	)		(22,138,823	)		813,983

												$	2,961,605

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

^	The positions and counterparties herein are as of September 30, 2017. 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 September 30, 2017, 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

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	85,802		$	44,515		$	202,149		$	118,780

Expenses
Management fee		86,766			163,622			268,125			469,612
Brokerage commissions and fees		10			8			39			33

Total expenses		86,776			163,630			268,164			469,645

Net investment income (loss)		(974	)		(119,115	)		(66,015	)		(350,865	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(640	)		(7,340	)		5,119			(45,820	)
Forward agreements		(2,643,515	)		(10,289,193	)		(10,944,071	)		(29,919,349	)
Short-term U.S. government and agency obligations		(96	)		164			(1,168	)		(779	)

Net realized gain (loss)		(2,644,251	)		(10,296,369	)		(10,940,120	)		(29,965,948	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(6,520	)		9,400			(28,520	)		(3,420	)
Forward agreements		305,626			9,761,395			(71,961	)		(228,387	)
Short-term U.S. government and agency obligations		1,228			2,460			493			6,758

Change in net unrealized appreciation/depreciation		300,334			9,773,255			(99,988	)		(225,049	)

Net realized and unrealized gain (loss)		(2,343,917	)		(523,114	)		(11,040,108	)		(30,190,997	)

Net income (loss)	$	(2,344,891	)	$	(642,229	)	$	(11,106,123	)	$	(30,541,862	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	63,653,647
Addition of 300,000 shares		22,375,636
Redemption of 500,000 shares		(39,496,377	)

Net addition (redemption) of (200,000) shares		(17,120,741	)

Net investment income (loss)		(66,015	)
Net realized gain (loss)		(10,940,120	)
Change in net unrealized appreciation/depreciation		(99,988	)

Net income (loss)		(11,106,123	)

Shareholders’ equity, at September 30, 2017	$	35,426,783

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(11,106,123	)	$	(30,541,862	)
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		2,420			79,370
Decrease (Increase) in segregated cash balances with brokers for forward agreements		—			(7,835,000	)
Purchases of short-term U.S. government and agency obligations		(136,758,217	)		(205,754,520	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		162,560,129			212,008,993
Net amortization and accretion on short-term U.S government and agency obligations		(202,119	)		(118,780	)
Net realized gain (loss) on investments		1,168			779
Change in unrealized appreciation/depreciation on investments		71,468			221,629
Decrease (Increase) in receivable on futures contracts		680			(1,320	)
Increase (Decrease) in payable to Sponsor		(28,652	)		(625	)
Increase (Decrease) in payable on futures contracts		—			(80	)

Net cash provided by (used in) operating activities		14,540,754			(31,941,416	)

Cash flow from financing activities
Proceeds from addition of shares		22,375,636			79,236,729
Payment on shares redeemed		(35,933,118	)		(47,301,845	)

Net cash provided by (used in) financing activities		(13,557,482	)		31,934,884

Net increase (decrease) in cash		983,272			(6,532	)
Cash, beginning of period		120,840			151,638

Cash, end of period	$	1,104,112		$	145,106

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	2,077,196	$	86,051
Segregated cash balances with brokers for futures contracts		12,980		14,300
Segregated cash balances with brokers for forward agreements		738,500		—
Short-term U.S. government and agency obligations (Note 3) (cost $17,965,709 and $21,549,766, respectively)		17,966,229		21,550,319
Unrealized appreciation on forward agreements		2,152,433		1,384,246
Receivable on open futures contracts		1,510		2,290

Total assets		22,948,848		23,037,206

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		15,171		19,550

Total liabilities		15,171		19,550

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		22,933,677		23,017,656

Total liabilities and shareholders’ equity	$	22,948,848	$	23,037,206

Shares outstanding		716,976		616,976

Net asset value per share	$	31.99	$	37.31

Market value per share (Note 2)	$	32.78	$	38.76

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (78% of shareholders’ equity)
U.S. Treasury Bills^^:
1.088% due 10/26/17†	$	4,000,000	$	3,997,507
0.962% due 11/30/17†		6,000,000		5,990,314
1.012% due 12/07/17†		4,000,000		3,992,777
1.040% due 02/01/18		4,000,000		3,985,631

Total short-term U.S. government and agency obligations (cost $17,965,709)			$	17,966,229

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures—COMEX, expires December 2017		2	$	166,760	$	4,940

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		(1.40	)%		10/05/17	$	(953,000	)	$	(16,071,964	)	$	775,445
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		(1.18	)		10/05/17		(786,500	)		(13,263,851	)		671,956
Forward agreements with Societe Generale based on 0.999 Fine Troy Ounce Silver		(1.14	)		10/05/17		(156,000	)		(2,630,862	)		143,987
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		(1.13	)		10/05/17		(814,000	)		(13,727,622	)		561,045

												$2,152,433

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

^	The positions and counterparties herein are as of September 30, 2017. 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 September 30, 2017, 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

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	44,411		$	22,794		$	103,317		$	71,536

Expenses
Management fee		46,737			86,864			143,542			281,605
Brokerage commissions and fees		10			8			39			33

Total expenses		46,747			86,872			143,581			281,638

Net investment income (loss)		(2,336	)		(64,078	)		(40,264	)		(210,102	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(2,193	)		(15,410	)		18,357			(44,810	)
Forward agreements		(464,978	)		(14,850,460	)		(2,711,677	)		(26,610,382	)
Short-term U.S. government and agency obligations		(46	)		65			(190	)		(2,307	)

Net realized gain (loss)		(467,217	)		(14,865,805	)		(2,693,510	)		(26,657,499	)

Change in net unrealized appreciation/depreciation on
Futures contracts		2,560			10,700			(22,370	)		(7,450	)
Forward agreements		(396,316	)		9,496,558			768,187			(4,259,746	)
Short-term U.S. government and agency obligations		29			2,046			(33	)		3,511

Change in net unrealized appreciation/depreciation		(393,727	)		9,509,304			745,784			(4,263,685	)

Net realized and unrealized gain (loss)		(860,944	)		(5,356,501	)		(1,947,726	)		(30,921,184	)

Net income (loss)	$	(863,280	)	$	(5,420,579	)	$	(1,987,990	)	$	(31,131,286	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	23,017,656
Addition of 700,000 shares		22,025,198
Redemption of 600,000 shares		(20,121,187	)

Net addition (redemption) of 100,000 shares		1,904,011

Net investment income (loss)		(40,264	)
Net realized gain (loss)		(2,693,510	)
Change in net unrealized appreciation/depreciation		745,784

Net income (loss)		(1,987,990	)

Shareholders’ equity, at September 30, 2017	$	22,933,677

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(1,987,990	)	$	(31,131,286	)
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		1,320			(110	)
Decrease (Increase) in segregated cash balances with brokers for forward agreements		(738,500	)		(1,544,000	)
Purchases of short-term U.S. government and agency obligations		(91,865,007	)		(126,343,449	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		95,552,158			138,366,905
Net amortization and accretion on short-term U.S government and agency obligations		(103,284	)		(71,536	)
Net realized gain (loss) on investments		190			2,307
Change in unrealized appreciation/depreciation on investments		(768,154	)		4,256,235
Decrease (Increase) in receivable on futures contracts		780			390
Increase (Decrease) in payable to Sponsor		(4,379	)		(14,530	)
Increase (Decrease) in payable on futures contracts		—			930

Net cash provided by (used in) operating activities		87,134			(16,478,144	)

Cash flow from financing activities
Proceeds from addition of shares		22,025,198			67,362,064
Payment on shares redeemed		(20,121,187	)		(51,232,577	)

Net cash provided by (used in) financing activities		1,904,011			16,129,487

Net increase (decrease) in cash		1,991,145			(348,657	)
Cash, beginning of period		86,051			514,784

Cash, end of period	$	2,077,196		$	166,127

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	1,990,375	$	2,292,012
Segregated cash balances with brokers for futures contracts		127,050		402,600
Short-term U.S. government and agency obligations (Note 3) (cost $5,998,008 and $13,164,807, respectively)		5,998,433		13,164,828

Total assets		8,115,858		15,859,440

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		16,156		76,666
Payable to Sponsor		6,264		12,686

Total liabilities		22,420		89,352

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		8,093,438		15,770,088

Total liabilities and shareholders’ equity	$	8,115,858	$	15,859,440

Shares outstanding		200,000		350,000

Net asset value per share	$	40.47	$	45.06

Market value per share (Note 2)	$	40.56	$	45.12

See accompanying notes to financial statements.

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (74% of shareholders’ equity)
U.S. Treasury Bills^^:
1.089% due 10/12/17	$	6,000,000	$	5,998,433

Total short-term U.S. government and agency obligations (cost $5,998,008)			$	5,998,433

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Euro Fx Currency Futures—CME, expires December 2017		55	$	8,156,844	$	106,206

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

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	18,865		$	8,177		$	57,345		$	22,846

Expenses
Management fee		21,606			36,752			92,259			116,244
Brokerage commissions and fees		330			580			1,433			2,009

Total expenses		21,936			37,332			93,692			118,253

Net investment income (loss)		(3,071	)		(29,155	)		(36,347	)		(95,407	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(599,482	)		327,212			(1,334,988	)		(199,588	)
Short-term U.S. government and agency obligations		(107	)		(2	)		(384	)		31

Net realized gain (loss)		(599,589	)		327,210			(1,335,372	)		(199,557	)

Change in net unrealized appreciation/depreciation on
Futures contracts		291,787			(488,475	)		(26,694	)		(270,444	)
Short-term U.S. government and agency obligations		326			1,265			404			1,652

Change in net unrealized appreciation/depreciation		292,113			(487,210	)		(26,290	)		(268,792	)

Net realized and unrealized gain (loss)		(307,476	)		(160,000	)		(1,361,662	)		(468,349	)

Net income (loss)	$	(310,547	)	$	(189,155	)	$	(1,398,009	)	$	(563,756	)

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	15,770,088
Redemption of 150,000 shares		(6,278,641	)

Net addition (redemption) of (150,000) shares		(6,278,641	)

Net investment income (loss)		(36,347	)
Net realized gain (loss)		(1,335,372	)
Change in net unrealized appreciation/depreciation		(26,290	)

Net income (loss)		(1,398,009	)

Shareholders’ equity, at September 30, 2017	$	8,093,438

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(1,398,009	)	$	(563,756	)
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		275,550			116,820
Purchases of short-term U.S. government and agency obligations		(45,940,009	)		(42,155,511	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		53,163,769			44,640,933
Net amortization and accretion on short-term U.S government and agency obligations		(57,345	)		(22,846	)
Net realized gain (loss) on investments		384			(31	)
Change in unrealized appreciation/depreciation on investments		(404	)		(1,652	)
Decrease (Increase) in receivable on futures contracts		—			84,235
Increase (Decrease) in payable to Sponsor		(6,422	)		(2,556	)
Increase (Decrease) in payable on futures contracts		(60,510	)		32,813

Net cash provided by (used in) operating activities		5,977,004			2,128,449

Cash flow from financing activities
Proceeds from addition of shares		—			2,109,382
Payment on shares redeemed		(6,278,641	)		(4,280,745	)

Net cash provided by (used in) financing activities		(6,278,641	)		(2,171,363	)

Net increase (decrease) in cash		(301,637	)		(42,914	)
Cash, beginning of period		2,292,012			1,783,802

Cash, end of period	$	1,990,375		$	1,740,888

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	729,356	$	2,834,389
Segregated cash balances with brokers for futures contracts		370,040		914,760
Short-term U.S. government and agency obligations (Note 3) (cost $7,997,344 and $12,909,895, respectively)		7,997,911		12,909,619
Receivable on open futures contracts		34,800		—

Total assets		9,132,107		16,658,768

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		32,340
Payable to Sponsor		6,902		12,955

Total liabilities		6,902		45,295

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		9,125,205		16,613,473

Total liabilities and shareholders’ equity	$	9,132,107	$	16,658,768

Shares outstanding		200,000		300,000

Net asset value per share	$	45.63	$	55.38

Market value per share (Note 2)	$	45.85	$	55.24

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (88% of shareholders’ equity)
U.S. Treasury Bills^^:
1.089% due 10/12/17	$	8,000,000	$	7,997,911

Total short-term U.S. government and agency obligations (cost $7,997,344)			$	7,997,911

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Australian Dollar Fx Currency Futures—CME, expires December 2017		232	$	18,179,520	$	379,490

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	23,090		$	12,198		$	58,614		$	32,241

Expenses
Management fee		24,991			42,820			94,837			136,306
Brokerage commissions and fees		1,555			3,267			6,088			11,011

Total expenses		26,546			46,087			100,925			147,317

Net investment income (loss)		(3,456	)		(33,889	)		(42,311	)		(115,076	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(1,453,355	)		(318,842	)		(1,920,606	)		(2,462,334	)
Short-term U.S. government and agency obligations		(22	)		1			(177	)		220

Net realized gain (loss)		(1,453,377	)		(318,841	)		(1,920,783	)		(2,462,114	)

Change in net unrealized appreciation/depreciation on
Futures contracts		837,800			(971,687	)		(802,850	)		(495,700	)
Short-term U.S. government and agency obligations		(14	)		561			843			2,074

Change in net unrealized appreciation/depreciation		837,786			(971,126	)		(802,007	)		(493,626	)

Net realized and unrealized gain (loss)		(615,591	)		(1,289,967	)		(2,722,790	)		(2,955,740	)

Net income (loss)	$	(619,047	)	$	(1,323,856	)	$	(2,765,101	)	$	(3,070,816	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	16,613,473
Redemption of 100,000 shares		(4,723,167	)

Net addition (redemption) of (100,000) shares		(4,723,167	)

Net investment income (loss)		(42,311	)
Net realized gain (loss)		(1,920,783	)
Change in net unrealized appreciation/depreciation		(802,007	)

Net income (loss)		(2,765,101	)

Shareholders’ equity, at September 30, 2017	$	9,125,205

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(2,765,101	)	$	(3,070,816	)
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		544,720			(845,815	)
Purchases of short-term U.S. government and agency obligations		(57,937,852	)		(36,174,367	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		62,908,840			39,618,751
Net amortization and accretion on short-term U.S government and agency obligations		(58,614	)		(32,241	)
Net realized gain (loss) on investments		177			(220	)
Change in unrealized appreciation/depreciation on investments		(843	)		(2,074	)
Decrease (Increase) in receivable on futures contracts		(34,800	)		52,491
Increase (Decrease) in payable to Sponsor		(6,053	)		(2,874	)
Increase (Decrease) in payable on futures contracts		(32,340	)		79,209

Net cash provided by (used in) operating activities		2,618,134			(377,956	)

Cash flow from financing activities
Payment on shares redeemed		(4,723,167	)		(314	)

Net cash provided by (used in) financing activities		(4,723,167	)		(314	)

Net increase (decrease) in cash		(2,105,033	)		(378,270	)
Cash, beginning of period		2,834,389			1,958,996

Cash, end of period	$	729,356		$	1,580,726

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	2,120,743	$	2,916,502
Short-term U.S. government and agency obligations (Note 3) (cost $219,674,153 and $337,373,566, respectively)		219,684,550		337,375,787
Unrealized appreciation on foreign currency forward contracts		4,465,552		16,519,070
Receivable from capital shares sold		1,091,561		—

Total assets		227,362,406		356,811,359

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		6,771,472
Payable to Sponsor		175,643		291,098
Unrealized depreciation on foreign currency forward contracts		565,859		356,139

Total liabilities		741,502		7,418,709

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		226,620,904		349,392,650

Total liabilities and shareholders’ equity	$	227,362,406	$	356,811,359

Shares outstanding		10,450,000		12,900,000

Net asset value per share	$	21.69	$	27.08

Market value per share (Note 2)	$	21.68	$	27.08

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (97% of shareholders’ equity)
U.S. Treasury Bills^^:
0.998% due 10/05/17	$	9,000,000	$	8,999,445
1.057% due 10/12/17†		40,000,000		39,989,556
1.013% due 10/19/17†		11,000,000		10,995,221
1.015% due 10/26/17†		41,000,000		40,974,445
0.998% due 11/02/17		10,000,000		9,991,776
1.079% due 11/09/17†		20,000,000		19,979,734
0.982% due 11/16/17†		2,000,000		1,997,613
0.962% due 11/30/17†		7,000,000		6,988,700
0.987% due 12/14/17†		18,000,000		17,964,959
1.002% due 01/04/18		7,000,000		6,981,357
1.001% due 01/11/18		25,000,000		24,929,510
1.040% due 02/01/18		30,000,000		29,892,234

Total short-term U.S. government and agency obligations (cost $219,674,153)			$	219,684,550

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		10/06/17		3,175,800		$	3,754,078		$	(42,918	)
Euro with UBS AG		10/06/17		35,067,900			41,453,378			(522,941	)

									$(565,859)

Contracts to Sell
Euro with Goldman Sachs International		10/06/17		(194,781,925	)	$	(230,249,569	)	$	2,076,933
Euro with UBS AG		10/06/17		(226,747,400	)		(268,035,604	)		2,388,619

									$4,465,552

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

^	The positions and counterparties herein are as of September 30, 2017. 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.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	559,862		$	248,831		$	1,452,945		$	765,698

Expenses
Management fee		537,193			906,488			1,914,770			2,894,802

Total expenses		537,193			906,488			1,914,770			2,894,802

Net investment income (loss)		22,669			(657,657	)		(461,825	)		(2,129,104	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(24,505,520	)		(5,537,097	)		(45,334,575	)		(60,591,547	)
Short-term U.S. government and agency obligations		(1,394	)		1,655			(3,856	)		37

Net realized gain (loss)		(24,506,914	)		(5,535,442	)		(45,338,431	)		(60,591,510	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		10,103,133			(2,518,631	)		(12,263,238	)		30,435,313
Short-term U.S. government and agency obligations		4,959			2,404			8,176			33,446

Change in net unrealized appreciation/depreciation		10,108,092			(2,516,227	)		(12,255,062	)		30,468,759

Net realized and unrealized gain (loss)		(14,398,822	)		(8,051,669	)		(57,593,493	)		(30,122,751	)

Net income (loss)	$	(14,376,153	)	$	(8,709,326	)	$	(58,055,318	)	$	(32,251,855	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	349,392,650
Addition of 1,800,000 shares		41,062,646
Redemption of 4,250,000 shares		(105,779,074	)

Net addition (redemption) of (2,450,000) shares		(64,716,428	)

Net investment income (loss)		(461,825	)
Net realized gain (loss)		(45,338,431	)
Change in net unrealized appreciation/depreciation		(12,255,062	)

Net income (loss)		(58,055,318	)

Shareholders’ equity, at September 30, 2017	$	226,620,904

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(58,055,318	)	$	(32,251,855	)
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		(1,194,312,964	)		(1,046,594,054	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		1,313,461,466			1,240,067,697
Net amortization and accretion on short-term U.S government and agency obligations		(1,452,945	)		(765,698	)
Net realized gain (loss) on investments		3,856			(37	)
Change in unrealized appreciation/depreciation on investments		12,255,062			(30,468,759	)
Increase (Decrease) in payable to Sponsor		(115,455	)		(124,210	)

Net cash provided by (used in) operating activities		71,783,702			114,060,084

Cash flow from financing activities
Proceeds from addition of shares		39,971,085			15,418,329
Payment on shares redeemed		(112,550,546	)		(139,665,636	)

Net cash provided by (used in) financing activities		(72,579,461	)		(124,247,307	)

Net increase (decrease) in cash		(795,759	)		(10,187,223	)
Cash, beginning of period		2,916,502			10,372,583

Cash, end of period	$	2,120,743		$	185,360

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	1,506,225	$	3,166,988
Short-term U.S. government and agency obligations (Note 3) (cost $137,812,663 and $257,103,135, respectively)		137,818,917		257,102,313
Unrealized appreciation on foreign currency forward contracts		9,817,020		16,870,357

Total assets		149,142,162		277,139,658

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		112,920		232,491
Unrealized depreciation on foreign currency forward contracts		570,141		125,420

Total liabilities		683,061		357,911

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		148,459,101		276,781,747

Total liabilities and shareholders’ equity	$	149,142,162	$	277,139,658

Shares outstanding		1,999,290		3,449,290

Net asset value per share	$	74.26	$	80.24

Market value per share (Note 2)	$	74.21	$	80.25

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (93% of shareholders’ equity)
U.S. Treasury Bills^^:
0.998% due 10/05/17	$	15,000,000	$	14,999,075
1.075% due 10/12/17†		39,000,000		38,989,817
0.992% due 10/26/17		9,000,000		8,994,390
1.079% due 11/09/17†		25,000,000		24,974,667
0.962% due 11/30/17†		17,000,000		16,972,557
1.001% due 01/11/18		9,000,000		8,974,624
1.040% due 02/01/18		24,000,000		23,913,787

Total short-term U.S. government and agency obligations (cost $137,812,663)			$	137,818,917

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		10/06/17		571,833,200		$	5,082,606		$	(229,963	)
Yen with UBS AG		10/06/17		2,539,647,800			22,573,065			(340,178	)

									$	(570,141	)

Contracts to Sell
Yen with Goldman Sachs International		10/06/17		(17,548,070,400	)	$	(155,971,917	)	$	4,818,307
Yen with UBS AG		10/06/17		(18,981,034,100	)		(168,708,480	)		4,998,713

									$	9,817,020

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

^	The positions and counterparties herein are as of September 30, 2017. 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.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	389,160		$	155,603		$	1,072,691		$	328,442

Expenses
Management fee		376,339			563,817			1,468,775			1,462,231

Total expenses		376,339			563,817			1,468,775			1,462,231

Net investment income (loss)		12,821			(408,214	)		(396,084	)		(1,133,789	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(1,067,853	)		(33,476,385	)		(17,529,013	)		(86,173,771	)
Short-term U.S. government and agency obligations		(1,081	)		(44	)		(3,903	)		(5,838	)

Net realized gain (loss)		(1,068,934	)		(33,476,429	)		(17,532,916	)		(86,179,609	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(83,509	)		23,071,090			(7,498,058	)		14,006,768
Short-term U.S. government and agency obligations		3,577			14,852			7,076			39,443

Change in net unrealized appreciation/depreciation		(79,932	)		23,085,942			(7,490,982	)		14,046,211

Net realized and unrealized gain (loss)		(1,148,866	)		(10,390,487	)		(25,023,898	)		(72,133,398	)

Net income (loss)	$	(1,136,045	)	$	(10,798,701	)	$	(25,419,982	)	$	(73,267,187	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	276,781,747
Addition of 900,000 shares		69,116,080
Redemption of 2,350,000 shares		(172,018,744	)

Net addition (redemption) of (1,450,000) shares		(102,902,664	)

Net investment income (loss)		(396,084	)
Net realized gain (loss)		(17,532,916	)
Change in net unrealized appreciation/depreciation		(7,490,982	)

Net income (loss)		(25,419,982	)

Shareholders’ equity, at September 30, 2017	$	148,459,101

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(25,419,982	)	$	(73,267,187	)
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		(919,771,798	)		(627,277,970	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		1,040,131,058			625,696,408
Net amortization and accretion on short-term U.S government and agency obligations		(1,072,691	)		(328,442	)
Net realized gain (loss) on investments		3,903			5,838
Change in unrealized appreciation/depreciation on investments		7,490,982			(14,046,211	)
Increase (Decrease) in payable to Sponsor		(119,571	)		(12,929	)

Net cash provided by (used in) operating activities		101,241,901			(90,504,493	)

Cash flow from financing activities
Proceeds from addition of shares		69,116,080			136,071,321
Payment on shares redeemed		(172,018,744	)		(45,072,219	)

Net cash provided by (used in) financing activities		(102,902,664	)		90,999,102

Net increase (decrease) in cash		(1,660,763	)		494,609
Cash, beginning of period		3,166,988			276,968

Cash, end of period	$	1,506,225		$	771,577

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	3,555,077	$	1,401,555
Segregated cash balances with brokers for futures contracts		15,457,200		20,609,600
Short-term U.S. government and agency obligations (Note 3) (cost $562,320,399 and $885,046,303, respectively)		562,359,737		885,050,007
Unrealized appreciation on swap agreements		40,796,900		55,358,571
Receivable on open futures contracts		503,050		—

Total assets		622,671,964		962,419,733

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		25,879,004
Payable on open futures contracts		—		1,993,438
Brokerage commissions and fees payable		—		2,332
Payable to Sponsor		529,199		813,099

Total liabilities		529,199		28,687,873

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		622,142,765		933,731,860

Total liabilities and shareholders’ equity	$	622,671,964	$	962,419,733

Shares outstanding		34,761,317		40,013,933

Net asset value per share	$	17.90	$	23.34

Market value per share (Note 2)	$	17.82	$	23.36

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (90% of shareholders’ equity)
U.S. Treasury Bills^^:
1.053% due 10/05/17	$	43,000,000	$	42,997,347
1.089% due 10/12/17		50,000,000		49,986,945
1.077% due 10/19/17†		78,000,000		77,966,117
1.055% due 10/26/17†		92,000,000		91,942,656
1.062% due 11/02/17†		45,000,000		44,962,992
1.077% due 11/09/17†		52,000,000		51,947,309
0.977% due 11/16/17†		27,000,000		26,967,770
0.982% due 11/30/17†		49,000,000		48,920,899
0.970% due 12/07/17†		11,000,000		10,980,136
0.987% due 12/14/17†		22,000,000		21,957,173
1.002% due 01/04/18		40,000,000		39,893,468
1.001% due 01/11/18		40,000,000		39,887,216
1.040% due 02/01/18		14,000,000		13,949,709

Total short-term U.S. government and agency obligations (cost $562,320,399)			$	562,359,737

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil—NYMEX, expires November 2017		5,855	$	302,527,850	$	13,817,653

Swap Agreements^


	Rate Paid (Received)*			Termination Date		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Swap agreement with Citibank, N.A. based on Bloomberg Crude Oil Sub-Index		0.18	%		10/05/17	$	332,458,695	$	13,855,515
Swap agreement with Goldman Sachs International based on Bloomberg Crude Oil Sub-Index		0.25			10/05/17		242,703,814		11,965,958
Swap agreement with Societe Generale based on Bloomberg Crude Oil Sub-Index		0.25			10/05/17		115,090,880		4,548,744
Swap agreement with UBS AG based on Bloomberg Crude Oil Sub-Index		0.25			10/05/17		251,436,908		10,426,683

								$	40,796,900

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

^	The positions and counterparties herein are as of September 30, 2017. 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 September 30, 2017, 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

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	1,819,809		$	547,630		$	4,436,888		$	1,497,225

Expenses
Management fee		1,798,486			2,118,318			5,773,725			6,031,448
Brokerage commissions and fees		40,850			112,742			147,117			443,936

Total expenses		1,839,336			2,231,060			5,920,842			6,475,384

Net investment income (loss)		(19,527	)		(1,683,430	)		(1,483,954	)		(4,978,159	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		21,413,080			(51,064,247	)		(13,550,928	)		(14,115,761	)
Swap agreements		24,084,165			(195,154,381	)		(109,960,912	)		(118,756,695	)
Short-term U.S. government and agency obligations		(8,752	)		2,107			(15,001	)		(13,583	)

Net realized gain (loss)		45,488,493			(246,216,521	)		(123,526,841	)		(132,886,039	)

Change in net unrealized appreciation/depreciation on
Futures contracts		13,270,788			41,481,937			8,280,488			47,317,605
Swap agreements		99,552,339			124,100,958			(14,561,671	)		142,998,777
Short-term U.S. government and agency obligations		6,372			8,186			35,634			34,191

Change in net unrealized appreciation/depreciation		112,829,499			165,591,081			(6,245,549	)		190,350,573

Net realized and unrealized gain (loss)		158,317,992			(80,625,440	)		(129,772,390	)		57,464,534

Net income (loss)	$	158,298,465		$	(82,308,870	)	$	(131,256,344	)	$	52,486,375

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	933,731,860
Addition of 65,600,000 shares		1,105,174,037
Redemption of 70,852,616 shares		(1,285,506,788	)

Net addition (redemption) of (5,252,616) shares		(180,332,751	)

Net investment income (loss)		(1,483,954	)
Net realized gain (loss)		(123,526,841	)
Change in net unrealized appreciation/depreciation		(6,245,549	)

Net income (loss)		(131,256,344	)

Shareholders’ equity, at September 30, 2017	$	622,142,765

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(131,256,344	)	$	52,486,375
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		5,152,400			20,951,260
Decrease (Increase) in segregated cash balances with brokers for swap agreements		—			(26,365,000	)
Purchases of short-term U.S. government and agency obligations		(3,682,731,284	)		(2,817,353,950	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		4,009,879,074			2,735,827,019
Net amortization and accretion on short-term U.S government and agency obligations		(4,436,887	)		(1,497,225	)
Net realized gain (loss) on investments		15,001			13,583
Change in unrealized appreciation/depreciation on investments		14,526,037			(143,032,968	)
Decrease (Increase) in receivable on futures contracts		(503,050	)		1,997,369
Decrease (Increase) in receivable for investments sold		—			(17,625,333	)
Increase (Decrease) in payable to Sponsor		(283,900	)		59,439
Increase (Decrease) in brokerage commissions and fees payable		(2,332	)		(14,848	)
Increase (Decrease) in payable on futures contracts		(1,993,438	)		—

Net cash provided by (used in) operating activities		208,365,277			(194,554,279	)

Cash flow from financing activities
Proceeds from addition of shares		1,105,174,037			879,143,549
Payment on shares redeemed		(1,311,385,792	)		(683,302,233	)

Net cash provided by (used in) financing activities		(206,211,755	)		195,841,316

Net increase (decrease) in cash		2,153,522			1,287,037
Cash, beginning of period		1,401,555			4,008,379

Cash, end of period	$	3,555,077		$	5,295,416

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENT OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)
Assets
Cash	$	6,451,760
Segregated cash balances with brokers for futures contracts		1,161,600
Receivable on open futures contracts		42,870
Offering costs (Note 5)		71,150
Limitation by Sponsor		2,484

Total assets		7,729,864

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		148,400

Total liabilities		148,400

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		7,581,464

Total liabilities and shareholders’ equity	$	7,729,864

Shares outstanding		300,008

Net asset value per share	$	25.27

Market value per share (Note 2)	$	25.09

*	Since the Fund’s inception date was January 13, 2017, the Statement of Financial Condition as of December 31, 2016 has not been provided. See Note 1.

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil—NYMEX, expires November 2017		440	$	22,734,800	$	1,272,779

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30, 2017			January 13, 2017 (Inception) through September 30, 2017
Investment Income
Expenses
Brokerage commissions and fees	$	13,100		$	24,374
Offering costs		37,405			77,250
Limitation by Sponsor		—			(2,484	)
Reduction in Limitation by Sponsor		5,818			—

Total expenses		56,323			99,140

Net investment income (loss)		(56,323	)		(99,140	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		4,971,742			3,137,907

Net realized gain (loss)		4,971,742			3,137,907

Change in net unrealized appreciation/depreciation on
Futures contracts		694,326			1,272,779

Change in net unrealized appreciation/depreciation		694,326			1,272,779

Net realized and unrealized gain (loss)		5,666,068			4,410,686

Net income (loss)	$	5,609,745		$	4,311,546

*	Since the Fund’s inception date was January 13, 2017, the Statements of Operations for the three and nine months ended September 30, 2016 have not been provided. See Note 1.

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X CRUDE OIL ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE PERIOD FROM JANUARY 13, 2017 (INCEPTION) TO SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at January 13, 2017 (Inception)	$	—
Addition of 1,400,008 shares		29,606,619
Redemption of 1,100,000 shares		(26,336,701	)

Net addition (redemption) of 300,008 shares		3,269,918

Net investment income (loss)		(99,140	)
Net realized gain (loss)		3,137,907
Change in net unrealized appreciation/depreciation		1,272,779

Net income (loss)		4,311,546

Shareholders’ equity, at September 30, 2017	$	7,581,464

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENT OF CASH FLOWS

(unaudited)


	January 13, 2017 (Inception) through September 30, 2017
Cash flow from operating activities
Net income (loss)	$	4,311,546
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		(1,161,600	)
Decrease (Increase) in receivable on futures contracts		(42,870	)
Decrease (Increase) in Limitation by Sponsor		(2,484	)
Change in offering cost		(71,150	)
Increase (Decrease) in payable for offering costs		148,400

Net cash provided by (used in) operating activities		3,181,842

Cash flow from financing activities
Proceeds from addition of shares		29,606,619
Payment on shares redeemed		(26,336,701	)

Net cash provided by (used in) financing activities		3,269,918

Net increase (decrease) in cash		6,451,760
Cash, beginning of period		—

Cash, end of period	$	6,451,760

*	Since the Fund’s inception date was January 13, 2017, the Statement of Cash Flows for the nine months ended September 30, 2016 has not been provided. See Note 1.

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	1,771,889	$	971,442
Segregated cash balances with brokers for futures contracts		6,724,079		7,612,770
Short-term U.S. government and agency obligations (Note 3) (cost $42,918,384 and $36,183,384, respectively)		42,919,932		36,183,648

Total assets		51,415,900		44,767,860

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		319,094		1,528,005
Brokerage commissions and fees payable		—		433
Payable to Sponsor		37,189		36,036

Total liabilities		356,283		1,564,474

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		51,059,617		43,203,386

Total liabilities and shareholders’ equity	$	51,415,900	$	44,767,860

Shares outstanding		5,842,169		2,292,169

Net asset value per share	$	8.74	$	18.85

Market value per share (Note 2)	$	8.80	$	18.96

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (84% of shareholders’ equity)
U.S. Treasury Bills^^:
1.108% due 10/12/17	$	2,000,000	$	1,999,478
1.013% due 10/19/17		3,000,000		2,998,697
0.992% due 10/26/17		7,000,000		6,995,637
1.013% due 11/02/17		5,000,000		4,995,888
1.023% due 11/09/17		2,000,000		1,997,973
0.987% due 12/14/17		7,000,000		6,986,373
1.001% due 01/11/18		9,000,000		8,974,624
1.040% due 02/01/18		8,000,000		7,971,262

Total short-term U.S. government and agency obligations (cost $42,918,384)			$	42,919,932

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas—NYMEX, expires November 2017		3,396	$	102,117,720	$	(971,690	)

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

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	93,039		$	18,114		$	199,874		$	45,257

Expenses
Management fee		110,894			85,894			318,839			229,760
Brokerage commissions and fees		24,919			25,652			71,984			98,016

Total expenses		135,813			111,546			390,823			327,776

Net investment income (loss)		(42,774	)		(93,432	)		(190,949	)		(282,519	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(2,014,548	)		1,964,411			(21,040,313	)		6,591,697
Short-term U.S. government and agency obligations		(454	)		264			(1,126	)		(405	)

Net realized gain (loss)		(2,015,002	)		1,964,675			(21,041,439	)		6,591,292

Change in net unrealized appreciation/depreciation on
Futures contracts		(1,078,511	)		(8,409,834	)		(3,508,410	)		(7,752,693	)
Short-term U.S. government and agency obligations		1,692			2,064			1,284			1,913

Change in net unrealized appreciation/depreciation		(1,076,819	)		(8,407,770	)		(3,507,126	)		(7,750,780	)

Net realized and unrealized gain (loss)		(3,091,821	)		(6,443,095	)		(24,548,565	)		(1,159,488	)

Net income (loss)	$	(3,134,595	)	$	(6,536,527	)	$	(24,739,514	)	$	(1,442,007	)

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	43,203,386
Addition of 6,600,000 shares		66,608,730
Redemption of 3,050,000 shares		(34,012,985	)

Net addition (redemption) of 3,550,000 shares		32,595,745

Net investment income (loss)		(190,949	)
Net realized gain (loss)		(21,041,439	)
Change in net unrealized appreciation/depreciation		(3,507,126	)

Net income (loss)		(24,739,514	)

Shareholders’ equity, at September 30, 2017	$	51,059,617

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(24,739,514	)	$	(1,442,007	)
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		888,691			1,947,056
Purchases of short-term U.S. government and agency obligations		(172,712,634	)		(89,354,690	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		166,176,382			90,362,175
Net amortization and accretion on short-term U.S government and agency obligations		(199,874	)		(45,257	)
Net realized gain (loss) on investments		1,126			405
Change in unrealized appreciation/depreciation on investments		(1,284	)		(1,913	)
Decrease (Increase) in receivable on futures contracts		—			3,065,769
Increase (Decrease) in payable to Sponsor		1,153			3,356
Increase (Decrease) in brokerage commissions and fees payable		(433	)		(1,236	)
Increase (Decrease) in payable on futures contracts		(1,208,911	)		1,073,868

Net cash provided by (used in) operating activities		(31,795,298	)		5,607,526

Cash flow from financing activities
Proceeds from addition of shares		66,608,730			24,550,026
Payment on shares redeemed		(34,012,985	)		(30,208,996	)

Net cash provided by (used in) financing activities		32,595,745			(5,658,970	)

Net increase (decrease) in cash		800,447			(51,444	)
Cash, beginning of period		971,442			1,411,137

Cash, end of period	$	1,771,889		$	1,359,693

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	188,166	$	1,262,351
Segregated cash balances with brokers for futures contracts		10,780		13,200
Short-term U.S. government and agency obligations (Note 3) (cost $101,893,747 and $95,356,703, respectively)		101,900,580		95,356,621

Total assets		102,099,526		96,632,172

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		3,980,452		—
Payable on open futures contracts		780		1,280
Payable to Sponsor		76,924		72,585
Unrealized depreciation on forward agreements		8,453,427		4,431,107

Total liabilities		12,511,583		4,504,972

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		89,587,943		92,127,200

Total liabilities and shareholders’ equity	$	102,099,526	$	96,632,172

Shares outstanding		2,250,000		2,800,000

Net asset value per share	$	39.82	$	32.90

Market value per share (Note 2)	$	39.60	$	33.20

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (114% of shareholders’ equity)
U.S. Treasury Bills^^:
1.018% due 10/05/17	$	16,000,000	$	15,999,013
1.046% due 10/12/17†		30,000,000		29,992,167
1.013% due 10/19/17†		12,000,000		11,994,787
1.079% due 11/09/17†		10,000,000		9,989,867
1.023% due 12/07/17†		10,000,000		9,981,942
0.987% due 12/14/17†		12,000,000		11,976,639
1.001% due 01/11/18		12,000,000		11,966,165

Total short-term U.S. government and agency obligations (cost $101,893,747)			$	101,900,580

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures—COMEX, expires December 2017		2	$	256,960	$	9,520

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		1.80	%		10/05/17	$	44,400	$	56,984,292	$	(2,994,458	)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		1.91			10/05/17		38,120		48,923,589		(2,118,074	)
Forward agreements with Societe Generale based on 0.995 Fine Troy Ounce Gold		1.91			10/05/17		18,000		23,101,380		(1,015,643	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		1.85			10/05/17		38,900		49,924,649		(2,325,252	)

										$	(8,453,427	)

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

^	The positions and counterparties herein are as of September 30, 2017. 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 September 30, 2017 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

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	231,647		$	72,710		$	531,782		$	178,730

Expenses
Management fee		224,583			245,192			692,340			665,265
Brokerage commissions and fees		10			8			39			33

Total expenses		224,593			245,200			692,379			665,298

Net investment income (loss)		7,054			(172,490	)		(160,597	)		(486,568	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		600			7,280			(5,221	)		45,880
Forward agreements		5,462,318			12,622,611			23,367,970			33,658,090
Short-term U.S. government and agency obligations		(61	)		193			487			296

Net realized gain (loss)		5,462,857			12,630,084			23,363,236			33,704,266

Change in net unrealized appreciation/depreciation on
Futures contracts		6,520			(9,380	)		28,480			3,400
Forward agreements		(555,941	)		(13,407,534	)		(4,022,320	)		(207,534	)
Short-term U.S. government and agency obligations		3,100			(6,051	)		6,915			(4,093	)

Change in net unrealized appreciation/depreciation		(546,321	)		(13,422,965	)		(3,986,925	)		(208,227	)

Net realized and unrealized gain (loss)		4,916,536			(792,881	)		19,376,311			33,496,039

Net income (loss)	$	4,923,590		$	(965,371	)	$	19,215,714		$	33,009,471

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	92,127,200
Addition of 400,000 shares		14,435,007
Redemption of 950,000 shares		(36,189,978	)

Net addition (redemption) of (550,000) shares		(21,754,971	)

Net investment income (loss)		(160,597	)
Net realized gain (loss)		23,363,236
Change in net unrealized appreciation/depreciation		(3,986,925	)

Net income (loss)		19,215,714

Shareholders’ equity, at September 30, 2017	$	89,587,943

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	19,215,714		$	33,009,471
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		2,420			(3,630	)
Decrease (Increase) in segregated cash balances with brokers for forward agreements		—			(394,000	)
Purchases of short-term U.S. government and agency obligations		(364,397,565	)		(268,415,817	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		358,392,755			238,529,754
Net amortization and accretion on short-term U.S government and agency obligations		(531,747	)		(178,730	)
Net realized gain (loss) on investments		(487	)		(296	)
Change in unrealized appreciation/depreciation on investments		4,015,405			211,627
Decrease (Increase) in receivable on futures contracts		—			80
Increase (Decrease) in payable to Sponsor		4,339			21,293
Increase (Decrease) in payable on futures contracts		(500	)		1,780

Net cash provided by (used in) operating activities		16,700,334			2,781,532

Cash flow from financing activities
Proceeds from addition of shares		14,435,007			6,445,287
Payment on shares redeemed		(32,209,526	)		(9,370,304	)

Net cash provided by (used in) financing activities		(17,774,519	)		(2,925,017	)

Net increase (decrease) in cash		(1,074,185	)		(143,485	)
Cash, beginning of period		1,262,351			251,524

Cash, end of period	$	188,166		$	108,039

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	2,616,377	$	1,664,601
Segregated cash balances with brokers for futures contracts		12,980		14,300
Short-term U.S. government and agency obligations (Note 3) (cost $270,613,725 and $295,296,440, respectively)		270,629,525		295,300,799

Total assets		273,258,882		296,979,700

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		2,070		2,290
Payable to Sponsor		207,828		221,281
Unrealized depreciation on forward agreements		28,243,802		20,976,189

Total liabilities		28,453,700		21,199,760

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		244,805,182		275,779,940

Total liabilities and shareholders’ equity	$	273,258,882	$	296,979,700

Shares outstanding		7,196,526		8,246,526

Net asset value per share	$	34.02	$	33.44

Market value per share (Note 2)	$	33.15	$	32.09

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (111% of shareholders’ equity)
U.S. Treasury Bills^^:
1.015% due 10/05/17	$	23,000,000	$	22,998,581
1.056% due 10/12/17†		31,000,000		30,991,906
1.013% due 10/19/17†		20,000,000		19,991,312
1.036% due 10/26/17†		26,000,000		25,983,794
1.076% due 11/02/17†		11,000,000		10,990,954
1.079% due 11/09/17†		13,000,000		12,986,827
0.977% due 11/16/17†		7,000,000		6,991,644
0.962% due 11/30/17†		12,000,000		11,980,629
1.004% due 12/07/17†		40,000,000		39,927,768
0.987% due 12/14/17†		50,000,000		49,902,665
1.002% due 01/04/18		9,000,000		8,976,030
1.001% due 01/11/18		15,000,000		14,957,706
1.040% due 02/01/18		14,000,000		13,949,709

Total short-term U.S. government and agency obligations (cost $270,613,725)			$	270,629,525

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures—COMEX, expires December 2017		2	$	166,760	$	(4,940	)

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		1.90	%		10/05/17	$	9,604,000	$	161,967,618	$	(9,405,158	)
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		2.03			10/05/17		7,795,800		131,471,490		(7,478,422	)
Forward agreements with Societe Generale based on 0.999 Fine Troy Ounce Silver		2.04			10/05/17		3,784,000		63,815,268		(3,531,263	)
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		2.03			10/05/17		7,836,000		132,149,438		(7,828,959	)

										$(28,243,802)

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

^	The positions and counterparties herein are as of September 30, 2017. 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 September 30, 2017, 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

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	612,838		$	277,478		$	1,497,007		$	587,744

Expenses
Management fee		612,285			978,671			1,971,071			2,300,935
Brokerage commissions and fees		10			9			49			36

Total expenses		612,295			978,680			1,971,120			2,300,971

Net investment income (loss)		543			(701,202	)		(474,113	)		(1,713,227	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		2,157			15,260			(18,669	)		50,360
Forward agreements		1,062,113			119,357,106			20,345,685			174,820,159
Short-term U.S. government and agency obligations		(722	)		336			(524	)		2,562

Net realized gain (loss)		1,063,548			119,372,702			20,326,492			174,873,081

Change in net unrealized appreciation/depreciation on
Futures contracts		(2,560	)		(10,650	)		22,420			10,510
Forward agreements		7,162,153			(88,229,820	)		(7,267,613	)		9,815,906
Short-term U.S. government and agency obligations		4,781			4,068			11,441			17,811

Change in net unrealized appreciation/depreciation		7,164,374			(88,236,402	)		(7,233,752	)		9,844,227

Net realized and unrealized gain (loss)		8,227,922			31,136,300			13,092,740			184,717,308

Net income (loss)	$	8,228,465		$	30,435,098		$	12,618,627		$	183,004,081

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	275,779,940
Addition of 950,000 shares		31,641,699
Redemption of 2,000,000 shares		(75,235,084	)

Net addition (redemption) of (1,050,000) shares		(43,593,385	)

Net investment income (loss)		(474,113	)
Net realized gain (loss)		20,326,492
Change in net unrealized appreciation/depreciation		(7,233,752	)

Net income (loss)		12,618,627

Shareholders’ equity, at September 30, 2017	$	244,805,182

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	12,618,627		$	183,004,081
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		1,320			5,610
Decrease (Increase) in segregated cash balances with brokers for forward agreements		—			(2,561,000	)
Purchases of short-term U.S. government and agency obligations		(1,281,165,030	)		(980,153,795	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		1,307,344,193			837,326,976
Net amortization and accretion on short-term U.S government and agency obligations		(1,496,972	)		(587,744	)
Net realized gain (loss) on investments		524			(2,562	)
Change in unrealized appreciation/depreciation on investments		7,256,172			(9,833,717	)
Decrease (Increase) in receivable on futures contracts		—			(260	)
Increase (Decrease) in payable to Sponsor		(13,453	)		112,343
Increase (Decrease) in payable on futures contracts		(220	)		(1,875	)

Net cash provided by (used in) operating activities		44,545,161			27,308,057

Cash flow from financing activities
Proceeds from addition of shares		31,641,699			55,483,218
Payment on shares redeemed		(75,235,084	)		(82,652,813	)

Net cash provided by (used in) financing activities		(43,593,385	)		(27,169,595	)

Net increase (decrease) in cash		951,776			138,462
Cash, beginning of period		1,664,601			243,900

Cash, end of period	$	2,616,377		$	382,362

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	2,929,230	$	606,393
Short-term U.S. government and agency obligations (Note 3) (cost $10,995,458 and $11,891,729, respectively)		10,995,765		11,891,831
Unrealized appreciation on foreign currency forward contracts		82,079		2,548

Total assets		14,007,074		12,500,772

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		10,027		9,629
Unrealized depreciation on foreign currency forward contracts		291,439		576,558

Total liabilities		301,466		586,187

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		13,705,608		11,914,585

Total liabilities and shareholders’ equity	$	14,007,074	$	12,500,772

Shares outstanding		800,000		850,000

Net asset value per share	$	17.13	$	14.02

Market value per share (Note 2)	$	17.10	$	14.09

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (80% of shareholders’ equity)
U.S. Treasury Bills^^:
1.025% due 10/12/17†	$	6,000,000	$	5,998,434
1.070% due 10/19/17†		5,000,000		4,997,331

Total short-term U.S. government and agency obligations (cost $10,995,458)			$	10,995,765

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		10/06/17		11,961,025		$	14,138,996		$	(136,124	)
Euro with UBS AG		10/06/17		17,574,000			20,774,032			(155,315	)

									$	(291,439	)

Contracts to Sell
Euro with Goldman Sachs International		10/06/17		(1,663,500	)	$	(1,966,405	)	$	33,031
Euro with UBS AG		10/06/17		(4,680,700	)		(5,533,004	)		49,048

									$	82,079

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

^	The positions and counterparties herein are as of September 30, 2017. 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.

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	30,171		$	6,257		$	69,923		$	18,054

Expenses
Management fee		31,427			22,916			95,974			71,859

Total expenses		31,427			22,916			95,974			71,859

Net investment income (loss)		(1,256	)		(16,659	)		(26,051	)		(53,805	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		1,259,663			46,252			2,666,172			1,155,961
Short-term U.S. government and agency obligations		(13	)		6			134			153

Net realized gain (loss)		1,259,650			46,258			2,666,306			1,156,114

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(519,273	)		118,030			364,650			(654,504	)
Short-term U.S. government and agency obligations		(331	)		(1,819	)		205			(452	)

Change in net unrealized appreciation/depreciation		(519,604	)		116,211			364,855			(654,956	)

Net realized and unrealized gain (loss)		740,046			162,469			3,031,161			501,158

Net income (loss)	$	738,790		$	145,810		$	3,005,110		$	447,353

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	11,914,585
Addition of 1,200,000 shares		18,469,355
Redemption of 1,250,000 shares		(19,683,442	)

Net addition (redemption) of (50,000) shares		(1,214,087	)

Net investment income (loss)		(26,051	)
Net realized gain (loss)		2,666,306
Change in net unrealized appreciation/depreciation		364,855

Net income (loss)		3,005,110

Shareholders’ equity, at September 30, 2017	$	13,705,608

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	3,005,110		$	447,353
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		(40,818,978	)		(36,177,928	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		41,785,306			38,263,779
Net amortization and accretion on short-term U.S government and agency obligations		(69,923	)		(18,054	)
Net realized gain (loss) on investments		(134	)		(153	)
Change in unrealized appreciation/depreciation on investments		(364,855	)		654,956
Increase (Decrease) in payable to Sponsor		398			(2,532	)

Net cash provided by (used in) operating activities		3,536,924			3,167,421

Cash flow from financing activities
Proceeds from addition of shares		18,469,355			831,691
Payment on shares redeemed		(19,683,442	)		(4,027,778	)

Net cash provided by (used in) financing activities		(1,214,087	)		(3,196,087	)

Net increase (decrease) in cash		2,322,837			(28,666	)
Cash, beginning of period		606,393			227,310

Cash, end of period	$	2,929,230		$	198,644

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	1,542,516	$	604,691
Short-term U.S. government and agency obligations (Note 3) (cost $4,662,497 and $5,283,104, respectively)		4,662,411		5,282,879
Unrealized appreciation on foreign currency forward contracts		12,351		379

Total assets		6,217,278		5,887,949

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		4,698		4,537
Unrealized depreciation on foreign currency forward contracts		407,660		342,455

Total liabilities		412,358		346,992

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		5,804,920		5,540,957

Total liabilities and shareholders’ equity	$	6,217,278	$	5,887,949

Shares outstanding		99,970		99,970

Net asset value per share	$	58.07	$	55.43

Market value per share (Note 2)	$	58.17	$	55.52

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(80% of shareholders’ equity)
U.S. Treasury Bills^^:
1.089% due 10/12/17†	$	673,000	$	672,824
0.962% due 11/30/17		2,000,000		1,996,771
1.040% due 02/01/18		2,000,000		1,992,816

Total short-term U.S. government and agency obligations (cost $4,662,497)			$	4,662,411

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		10/06/17		735,730,100		$	6,539,365		$	(218,377	)
Yen with UBS AG		10/06/17		652,357,100			5,798,323			(189,283	)

									$	(407,660	)

Contracts to Sell
Yen with Goldman Sachs International		10/06/17		(23,286,700	)	$	(206,978	)	$	1,919
Yen with UBS AG		10/06/17		(57,172,300	)		(508,163	)		10,432

									$	12,351

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

^	The positions and counterparties herein are as of September 30, 2017. 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.

See accompanying notes to financial statements.

100

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Investment Income
Interest	$	10,221		$	4,659		$	21,407		$	11,808

Expenses
Management fee		14,387			17,545			42,356			47,356

Total expenses		14,387			17,545			42,356			47,356

Net investment income (loss)		(4,166	)		(12,886	)		(20,949	)		(35,548	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(4,492	)		955,047			338,091			2,273,130
Short-term U.S. government and agency obligations		(53	)		72			(85	)		72

Net realized gain (loss)		(4,545	)		955,119			338,006			2,273,202

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(52,440	)		(764,447	)		(53,233	)		(268,290	)
Short-term U.S. government and agency obligations		(332	)		679			139			716

Change in net unrealized appreciation/depreciation		(52,772	)		(763,768	)		(53,094	)		(267,574	)

Net realized and unrealized gain (loss)		(57,317	)		191,351			284,912			2,005,628

Net income (loss)	$	(61,483	)	$	178,465		$	263,963		$	1,970,080

See accompanying notes to financial statements.

101

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	5,540,957
Net investment income (loss)		(20,949	)
Net realized gain (loss)		338,006
Change in net unrealized appreciation/depreciation		(53,094	)

Net income (loss)		263,963

Shareholders’ equity, at September 30, 2017	$	5,804,920

See accompanying notes to financial statements.

102

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	263,963		$	1,970,080
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		(16,968,160	)		(19,949,134	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		17,610,089			17,932,716
Net amortization and accretion on short-term U.S government and agency obligations		(21,407	)		(11,808	)
Net realized gain (loss) on investments		85			(72	)
Change in unrealized appreciation/depreciation on investments		53,094			267,574
Increase (Decrease) in payable to Sponsor		161			1,405

Net cash provided by (used in) operating activities		937,825			210,761

Cash flow from financing activities
Payment on shares redeemed		—			(199	)

Net cash provided by (used in) financing activities		—			(199	)

Net increase (decrease) in cash		937,825			210,562
Cash, beginning of period		604,691			147,371

Cash, end of period	$	1,542,516		$	357,933

See accompanying notes to financial statements.

103

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION


	September 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	59,037,500	$	39,482,473
Segregated cash balances with brokers for futures contracts		378,413,556		180,212,984
Segregated cash balances with brokers for forward agreements		738,500		—
Short-term U.S. government and agency obligations (Note 3) (cost $3,181,464,501 and $3,038,837,465, respectively)		3,181,660,408		3,038,848,441
Unrealized appreciation on swap agreements		40,796,900		55,358,571
Unrealized appreciation on forward agreements		5,114,038		4,417,812
Unrealized appreciation on foreign currency forward contracts		14,377,002		33,392,354
Receivable from capital shares sold		17,433,038		—
Receivable on open futures contracts		58,287,553		41,862,862
Offering costs (Note 5)		142,300		—
Limitation by Sponsor		37,387		—

Total assets		3,756,038,182		3,393,575,497

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		118,627,346		71,525,035
Payable on open futures contracts		25,331,097		3,972,621
Brokerage commissions and fees payable		—		2,909
Payable to Sponsor		2,926,556		2,722,696
Payable for offering costs		296,800		—
Unrealized depreciation on swap agreements		13,678,377		12,206,881
Unrealized depreciation on forward agreements		36,697,229		25,407,296
Unrealized depreciation on foreign currency forward contracts		1,835,099		1,400,572

Total liabilities		199,392,504		117,238,010

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		3,556,645,678		3,276,337,487

Total liabilities and shareholders’ equity	$	3,756,038,182	$	3,393,575,497

Shares outstanding		118,168,916		90,235,707

See accompanying notes to financial statements.

104

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016*			2017			2016*
Investment Income
Interest	$	7,808,931		$	2,361,927		$	16,997,031		$	6,523,319

Expenses
Management fee		8,239,003			8,874,154			23,059,129			26,210,756
Brokerage commissions and fees		2,698,871			1,837,843			6,069,898			5,741,230
Offering costs		74,810			—			154,500			—
Limitation by Sponsor		(12,787	)		—			(37,387	)		—
Reduction in Limitation by Sponsor		5,818			—			—			—

Total expenses		11,005,715			10,711,997			29,246,140			31,951,986

Net investment income (loss)		(3,196,784	)		(8,350,070	)		(12,249,109	)		(25,428,667	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		44,960,735			(616,625,175	)		(340,387,543	)		(1,157,016,680	)
Swap agreements		20,685,901			(152,532,535	)		(72,778,431	)		(154,872,473	)
Forward agreements		3,415,938			106,840,064			30,057,907			151,948,518
Foreign currency forward contracts		(24,318,202	)		(38,012,183	)		(59,859,325	)		(143,336,227	)
Short-term U.S. government and agency obligations		(11,633	)		16,487			(60,265	)		(24,164	)

Net realized gain (loss)		44,732,739			(700,313,342	)		(443,027,657	)		(1,303,301,026	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(4,409,373	)		120,520,628			(8,069,381	)		(10,191,565	)
Swap agreements		73,621,267			95,697,940			(16,033,167	)		120,033,888
Forward agreements		6,515,522			(82,379,401	)		(10,593,707	)		5,120,239
Foreign currency forward contracts		9,447,911			19,906,042			(19,449,879	)		43,519,287
Short-term U.S. government and agency obligations		119,011			136,969			184,931			279,499

Change in net unrealized appreciation/depreciation		85,294,338			153,882,178			(53,961,203	)		158,761,348

Net realized and unrealized gain (loss)		130,027,077			(546,431,164	)		(496,988,860	)		(1,144,539,678	)

Net income (loss)	$	126,830,293		$	(554,781,234	)	$	(509,237,969	)	$	(1,169,968,345	)

*	The operations include the activity of ProShares Managed Futures Strategy through March 30, 2016, and ProShares Ultra Commodity Fund and ProShares UltraShort Commodity Fund through September 1, 2016 (dates of liquidation). See Note 1.

See accompanying notes to financial statements.

105

PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	3,276,337,487
Addition of 196,810,016 shares		7,589,000,140
Redemption of 168,876,807 shares		(6,799,453,980	)

Net addition (redemption) of 27,933,209 shares		789,546,160

Net investment income (loss)		(12,249,109	)
Net realized gain (loss)		(443,027,657	)
Change in net unrealized appreciation/depreciation		(53,961,203	)

Net income (loss)		(509,237,969	)

Shareholders’ equity, at September 30, 2017	$	3,556,645,678

See accompanying notes to financial statements.

106

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

(unaudited)


	Nine Months Ended September 30,
	2017			2016*
Cash flow from operating activities
Net income (loss)	$	(509,237,969	)	$	(1,169,968,345	)
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		(198,200,572	)		114,083,793
Decrease (Increase) in segregated cash balances with brokers for swap agreements		—			(27,493,000	)
Decrease (Increase) in segregated cash balances with brokers for forward agreements		(738,500	)		(12,334,000	)
Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts		—			(17,077,000	)
Purchases of short-term U.S. government and agency obligations		(15,422,910,140	)		(14,039,604,848	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		15,297,219,736			13,684,559,003
Net amortization and accretion on short-term U.S government and agency obligations		(16,996,897	)		(6,517,397	)
Net realized gain (loss) on investments		60,265			24,164
Change in unrealized appreciation/depreciation on investments		45,891,822			(168,952,913	)
Decrease (Increase) in receivable from counterparty		—			(17,625,333	)
Decrease (Increase) in receivable on futures contracts		(16,424,691	)		19,610,507
Decrease (Increase) in Limitation by Sponsor		(37,387	)		—
Change in offering cost		(142,300	)		—
Increase (Decrease) in payable to Sponsor		203,860			24,225
Increase (Decrease) in brokerage commissions and fees payable		(2,909	)		(24,694	)
Increase (Decrease) in payable for counterparty		—			1,736,880
Increase (Decrease) in payable on futures contracts		21,358,476			30,601,598
Increase (Decrease) in payable for offering costs		296,800			—

Net cash provided by (used in) operating activities		(799,660,406	)		(1,608,957,360	)

Cash flow from financing activities
Proceeds from addition of shares		7,571,567,102			8,446,268,126
Payment on shares redeemed		(6,752,351,669	)		(6,848,020,624	)

Net cash provided by (used in) financing activities		819,215,433			1,598,247,502

Net increase (decrease) in cash		19,555,027			(10,709,858	)
Cash, beginning of period		39,482,599			48,049,225

Cash, end of period	$	59,037,626		$	37,339,367

*	The operations include the activity of ProShares Managed Futures Strategy through March 30, 2016, and ProShares Ultra Commodity Fund and ProShares UltraShort Commodity Fund through September 1, 2016 (dates of liquidation). See Note 1.

See accompanying notes to financial statements.

107

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

September 30, 2017

(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 September 30, 2017, 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 Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF , 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.

The Trust had no operations prior to November 24, 2008, other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.

Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks.

References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

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.

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.

108

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, 2016 and during

nine months ended September 30, 2017. 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 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 split	July 25, 2016
ProShares UltraShort Bloomberg Crude Oil	January 11, 2017	2-for-1 Share split	January 12, 2017
ProShares Ultra Bloomberg Crude Oil	January 11, 2017	1-for-2 reverse Share split	January 12, 2017
ProShares Ultra VIX Short-Term Futures ETF	January 11, 2017	1-for-5 reverse Share split	January 12, 2017
ProShares Short VIX Short-Term Futures ETF	July 12, 2017	2-for-1 Share split	July 17, 2017
ProShares VIX Short-Term Futures ETF	July 14, 2017	1-for-4 reverse Share split	July 17, 2017
ProShares Ultra VIX Short-Term Futures ETF	July 14, 2017	1-for-4 reverse Share split	July 17, 2017

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.

109

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow the investment company accounting and reporting guidance. The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and

with the instructions for Form 10-Q and the rules and regulations of the 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, 2016, as filed with the SEC on March 1, 2017.

Use of Estimates & Indemnifications

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.

Basis of Presentation

Pursuant to rules and regulations of the U.S. Securities and Exchange Commission (“SEC”), financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of one Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Shares in that Fund.

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated September 30, 2017, and represents non-segregated cash with the custodian and does not include short-term investments.

110

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 nine months ended September 30, 2017 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.

September 30, 2017

UltraShort Gold, Ultra Gold

9:30 a.m.

10:00 a.m.

September 30, 2017

UltraShort Bloomberg Crude Oil,

Ultra Bloomberg Crude Oil

2:00 p.m.

2:30 p.m.

September 30, 2017

UltraPro 3x Short Crude Oil ETF

UltraPro 3x Crude Oil ETF

UltraShort Bloomberg Natural Gas,

Ultra Bloomberg Natural Gas

2:00 p.m.

2:30 p.m.

September 30, 2017

UltraShort Australian Dollar

3:00 p.m.

4:00 p.m.

September 30, 2017

Short Euro

3:00 p.m.

4:00 p.m.

September 30, 2017

UltraShort Euro,

Ultra Euro

UltraShort Yen,

Ultra Yen

3:00 p.m.

4:00 p.m.

September 30, 2017

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.

September 30, 2017

VIX Mid-Term Futures ETF

2:00 p.m.

4:15 p.m.

September 30, 2017

*	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 nine months ended September 30, 2017.

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 nine months ended September 30, 2017.

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

111

value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. When market closing prices are not available, the Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

Fair value pricing may require subjective determinations about the value of an investment. While the Funds’ policies are intended to result in a calculation of its respective Fund’s NAV that fairly reflects investment values as of the time of pricing, such Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by such Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

Fair Value of Financial Instruments

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:

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

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

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

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.

112

The following table summarizes the valuation of investments at September 30, 2017 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	$	186,716,429	$	(18,329,321	)	$	—		$	—		$	—		$	168,387,108
VIX Mid-Term Futures ETF		35,955,278		(1,941,640	)		—			—			—			34,013,638
Short VIX Short-Term Futures ETF		770,134,521		94,244,035			—			—			—			864,378,556
Ultra VIX Short-Term Futures ETF		521,315,100		(101,763,031	)		—			—			—			419,552,069
UltraShort Bloomberg Crude Oil		246,666,306		(5,367,489	)		—			—			(13,678,377	)		227,620,440
UltraPro 3X Short Crude Oil ETF		—		(2,423,370	)		—			—			—			(2,423,370	)
UltraShort Bloomberg Natural Gas		2,998,697		348,521			—			—			—			3,347,218
UltraShort Gold		34,940,087		(9,540	)		2,961,605			—			—			37,892,152
UltraShort Silver		17,966,229		4,940			2,152,433			—			—			20,123,602
Short Euro		5,998,433		106,206			—			—			—			6,104,639
UltraShort Australian Dollar		7,997,911		379,490			—			—			—			8,377,401
UltraShort Euro		219,684,550		—			—			3,899,693			—			223,584,243
UltraShort Yen		137,818,917		—			—			9,246,879			—			147,065,796
Ultra Bloomberg Crude Oil		562,359,737		13,817,653			—			—			40,796,900			616,974,290
UltraPro 3X Crude Oil ETF		—		1,272,779			—			—			—			1,272,779
Ultra Bloomberg Natural Gas		42,919,932		(971,690	)		—			—			—			41,948,242
Ultra Gold		101,900,580		9,520			(8,453,427	)		—			—			93,456,673
Ultra Silver		270,629,525		(4,940	)		(28,243,802	)		—			—			242,380,783
Ultra Euro		10,995,765		—			—			(209,360	)		—			10,786,405
Ultra Yen		4,662,411		—			—			(395,309	)		—			4,267,102

Total Trust	$	3,181,660,408	$	(20,627,877	)	$	(31,583,191	)	$	12,541,903		$	27,118,523		$	3,169,109,766

*	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 September 30, 2017, 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 September 30, 2017, 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.

113

The following table summarizes the valuation of investments at December 31, 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	$	147,991,233	$	(468,652	)	$	—		$	—		$	—		$	147,522,581
VIX Mid-Term Futures ETF		45,486,235		(1,288,245	)		—			—			—			44,197,990
Short VIX Short-Term Futures ETF		170,396,436		(10,309,611	)		—			—			—			160,086,825
Ultra VIX Short-Term Futures ETF		434,671,795		(7,972,237	)		—			—			—			426,699,558
UltraShort Bloomberg Crude Oil		205,694,385		(1,426,815	)		—			—			(12,206,881	)		192,060,689
UltraShort Bloomberg Natural Gas		2,899,151		(482,031	)		—			—			—			2,417,120
UltraShort Gold		60,540,555		18,980			3,033,566			—			—			63,593,101
UltraShort Silver		21,550,319		27,310			1,384,246			—			—			22,961,875
Short Euro		13,164,828		132,900			—			—			—			13,297,728
UltraShort Australian Dollar		12,909,619		1,182,340			—			—			—			14,091,959
UltraShort Euro		337,375,787		—			—			16,162,931			—			353,538,718
UltraShort Yen		257,102,313		—			—			16,744,937			—			273,847,250
Ultra Bloomberg Crude Oil		885,050,007		5,537,165			—			—			55,358,571			945,945,743
Ultra Bloomberg Natural Gas		36,183,648		2,536,720			—			—			—			38,720,368
Ultra Gold		95,356,621		(18,960	)		(4,431,107	)		—			—			90,906,554
Ultra Silver		295,300,799		(27,360	)		(20,976,189	)		—			—			274,297,250
Ultra Euro		11,891,831		—			—			(574,010	)		—			11,317,821
Ultra Yen		5,282,879		—			—			(342,076	)		—			4,940,803

Total Trust	$	3,038,848,441	$	(12,558,496	)	$	(20,989,484	)	$	31,991,782		$	43,151,690		$	3,080,443,933

*	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, 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 December 31, 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.

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.

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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 would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed. The Sponsor is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

Federal Income Tax

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

Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., 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.

New Accounting Pronouncements

In November 2016, the FASB issued Accounting Standards Update No. 2016-18, “Statement of Cash Flows (Topic 230): Restricted

Cash” (“ASU 2016-18”), which amends ASC 230 to provide guidance on the classification and presentation of changes in restricted

cash and restricted cash equivalents on the statement of cash flows. The ASU is effective for annual periods beginning after

December 15, 2017, and interim periods within those annual periods. At this time, management is evaluating the implications of these

changes on the financial statements.

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.

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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 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.

116

Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by a Matching VIX Fund or an Ultra Fund, the Matching VIX Fund or Ultra Fund would be entitled to settlement payments in the event the level of the benchmark increases and would be required to make payments to the swap counterparties in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by a Short Fund or an UltraShort Fund, the Short Fund or UltraShort Fund would be required to make payments to the swap counterparties in the event the level of the benchmark increases and would be entitled to settlement payments in the event the level of the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.

The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each uncleared swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each uncleared swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by the 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 September 30, 2017 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

117

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 September 30, 2017, 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.

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 September 30, 2017, 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.

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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.

119

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 September 30, 2017

Assets Derivatives

Liability Derivatives

Derivatives not

Statements of

accounted for

Financial

as hedging

Condition

Unrealized

Condition

Unrealized

instruments

Location

Fund

Appreciation

Location

Fund

Depreciation

VIX Futures Contracts

Receivables on open futures contracts

ProShares Short VIX Short-Term Futures ETF

94,244,035*

Payable on open futures contracts

ProShares VIX Short-Term Futures ETF

18,329,321*

ProShares VIX Mid-Term Futures ETF

1,941,640*

ProShares Ultra VIX Short-Term Futures ETF

101,763,031*

Commodities Contracts

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

ProShares UltraShort Bloomberg Natural Gas

348,521*

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

ProShares UltraShort Bloomberg Crude Oil

19,045,866*

ProShares UltraShort Gold

2,961,605

ProShares UltraPro 3X Short Crude Oil ETF

2,423,370*

ProShares UltraShort Silver

2,157,373*

ProShares UltraShort Gold

9,540*

ProShares Ultra Bloomberg Crude Oil

54,614,553*

ProShares Ultra Bloomberg Natural Gas

971,690*

ProShares UltraPro 3X Crude Oil ETF

1,272,779*

ProShares Ultra Gold

8,453,427

ProShares Ultra Gold

9,520*

ProShares Ultra Silver

28,248,742*

Foreign Exchange Contracts

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

ProShares Short Euro

106,206*

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

ProShares UltraShort Euro

565,859

ProShares UltraShort Australian Dollar

379,490*

ProShares UltraShort Yen

570,141

ProShares UltraShort Euro

4,465,552

ProShares Ultra Euro

291,439

ProShares UltraShort Yen

9,817,020

ProShares Ultra Yen

407,660

ProShares Ultra Euro

82,079

ProShares Ultra Yen

12,351

Total Trust

170,471,084*

Total Trust

183,021,726*

*	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, 2016

Assets 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 Short-Term Futures ETF

2,273,874

Payable on open futures contracts

ProShares VIX Short-Term Futures ETF

2,742,526

ProShares VIX Mid-Term Futures ETF

68,375

ProShares VIX Mid-Term Futures ETF

1,356,620

ProShares Ultra VIX Short-Term Futures ETF

13,594,875

ProShares Short VIX Short-Term Futures ETF

10,309,611

ProShares Ultra VIX Short-Term Futures ETF

21,567,112

Commodities Contracts

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

ProShares UltraShort Gold

3,052,546

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

ProShares UltraShort Bloomberg Crude Oil

13,633,696

ProShares UltraShort Silver

1,411,556

ProShares UltraShort Bloomberg Natural Gas

482,031

ProShares Ultra Bloomberg Crude Oil

60,895,736

ProShares Ultra Gold

4,450,067

ProShares Ultra Bloomberg Natural Gas

2,536,720

ProShares Ultra Silver

21,003,549

Foreign Exchange Contracts

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

ProShares Short Euro

132,900

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

ProShares UltraShort Euro

356,139

ProShares UltraShort Australian Dollar

1,182,340

ProShares UltraShort Yen

125,420

ProShares UltraShort Euro

16,519,070

ProShares Ultra Euro

576,558

ProShares UltraShort Yen

16,870,357

ProShares Ultra Yen

342,455

ProShares Ultra Euro

2,548

ProShares Ultra Yen

379

Total Trust

118,541,276

Total Trust

76,945,784

*	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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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2017


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	$	(27,447,205	)	$	(17,219,461	)
		ProShares VIX Mid-Term Futures ETF		(3,965,084	)		364,615
		ProShares Short VIX Short-Term Futures ETF		188,300,727			100,033,466
		ProShares Ultra VIX Short-Term Futures ETF		(126,532,816	)		(95,515,562	)
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 Crude Oil		(9,418,807	)		(30,456,798	)
		ProShares UltraPro 3X Short Crude Oil ETF		(1,540,337	)		(2,178,096	)
		ProShares UltraShort Bloomberg Natural Gas		(151,368	)		615,201
		ProShares UltraShort Gold		(2,644,155	)		299,106
		ProShares UltraShort Silver		(467,171	)		(393,756	)
		ProShares Ultra Bloomberg Crude Oil		45,497,245			112,823,127
		ProShares UltraPro 3X Crude Oil ETF		4,971,742			694,326
		ProShares Ultra Bloomberg Natural Gas		(2,014,548	)		(1,078,511	)
		ProShares Ultra Gold		5,462,918			(549,421	)
		ProShares Ultra Silver		1,064,270			7,159,593
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		(599,482	)		291,787
		ProShares UltraShort Australian Dollar		(1,453,355	)		837,800
		ProShares UltraShort Euro		(24,505,520	)		10,103,133
		ProShares UltraShort Yen		(1,067,853	)		(83,509	)
		ProShares Ultra Euro		1,259,663			(519,273	)
		ProShares Ultra Yen		(4,492	)		(52,440	)

		Total Trust	$	44,744,372		$	85,175,327

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2016


						Change in
						Unrealized Appreciation/
Derivatives not accounted	Location of Gain (Loss) on Derivatives		Realized Gain (Loss) on Derivatives			Depreciation on Derivatives
for as hedging instruments	Recognized in Income	Fund	Recognized in Income			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	$	(101,785,229	)	$	6,786,934
		ProShares VIX Mid-Term Futures ETF		(4,899,530	)		(1,149,750	)
		ProShares Short VIX Short-Term Futures ETF		277,246,086			(51,813,012	)
		ProShares Ultra VIX Short-Term Futures ETF		(745,101,700	)		138,973,918
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 Crude Oil		50,281,494			(32,976,232	)
		ProShares UltraShort Bloomberg Natural Gas		(101,997	)		712,984
		ProShares UltraShort Gold		(10,296,533	)		9,770,795
		ProShares UltraShort Silver		(14,865,870	)		9,507,258
		ProShares Ultra Bloomberg Crude Oil		(246,218,628	)		165,582,895
		ProShares Ultra Bloomberg Natural Gas		1,964,411			(8,409,834	)
		ProShares Ultra Gold		12,629,891			(13,416,914	)
		ProShares Ultra Silver		119,372,366			(88,240,470	)
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		327,212			(488,475	)
		ProShares UltraShort Australian Dollar		(318,842	)		(971,687	)
		ProShares UltraShort Euro		(5,537,097	)		(2,518,631	)
		ProShares UltraShort Yen		(33,476,385	)		23,071,090
		ProShares Ultra Euro		46,252			118,030
		ProShares Ultra Yen		955,047			(764,447	)

		Total Trust	$	(699,779,052	)	$	153,774,452

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The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2017


						Change in
						Unrealized Appreciation/
Derivatives not accounted	Location of Gain (Loss) on Derivatives		Realized Gain (Loss) on Derivatives			Depreciation on Derivatives
for as hedging instruments	Recognized in Income	Fund	Recognized in Income			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	$	(126,202,705	)	$	(17,860,669	)
		ProShares VIX Mid-Term Futures ETF		(19,180,135	)		(653,395	)
		ProShares Short VIX Short-Term Futures ETF		471,128,319			104,553,646
		ProShares Ultra VIX Short-Term Futures ETF		(646,036,987	)		(93,790,794	)
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 Crude Oil		49,807,530			(5,412,170	)
		ProShares UltraPro 3X Short Crude Oil ETF		232,006			(2,423,370	)
		ProShares UltraShort Bloomberg Natural Gas		1,756,252			830,552
		ProShares UltraShort Gold		(10,938,952	)		(100,481	)
		ProShares UltraShort Silver		(2,693,320	)		745,817
		ProShares Ultra Bloomberg Crude Oil		(123,511,840	)		(6,281,183	)
		ProShares UltraPro 3X Crude Oil ETF		3,137,907			1,272,779
		ProShares Ultra Bloomberg Natural Gas		(21,040,313	)		(3,508,410	)
		ProShares Ultra Gold		23,362,749			(3,993,840	)
		ProShares Ultra Silver		20,327,016			(7,245,193	)
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		(1,334,988	)		(26,694	)
		ProShares UltraShort Australian Dollar		(1,920,606	)		(802,850	)
		ProShares UltraShort Euro		(45,334,575	)		(12,263,238	)
		ProShares UltraShort Yen		(17,529,013	)		(7,498,058	)
		ProShares Ultra Euro		2,666,172			364,650
		ProShares Ultra Yen		338,091			(53,233	)

		Total Trust	$	(442,967,392	)	$	(54,146,134	)

124

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2016


						Change in
						Unrealized Appreciation/
Derivatives not accounted	Location of Gain (Loss) on Derivatives		Realized Gain (Loss) on Derivatives			Depreciation on Derivatives
for as hedging instruments	Recognized in Income	Fund	Recognized in Income			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	$	(134,345,928	)	$	(8,475,358	)
		ProShares VIX Mid-Term Futures ETF		(5,248,725	)		(1,917,790	)
		ProShares Short VIX Short-Term Futures ETF		263,024,643			16,663,427
		ProShares Ultra VIX Short-Term Futures ETF		(1,269,233,467	)		(51,163,549	)
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 Crude Oil		(36,896,214	)		(29,823,971	)
		ProShares UltraShort Bloomberg Natural Gas		455,516			2,803,566
		ProShares UltraShort Gold		(29,965,169	)		(231,807	)
		ProShares UltraShort Silver		(26,655,192	)		(4,267,196	)
		ProShares Ultra Bloomberg Crude Oil		(132,872,456	)		190,316,382
		ProShares Ultra Bloomberg Natural Gas		6,591,697			(7,752,693	)
		ProShares Ultra Gold		33,703,970			(204,134	)
		ProShares Ultra Silver		174,870,519			9,826,416
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		(199,588	)		(270,444	)
		ProShares UltraShort Australian Dollar		(2,462,334	)		(495,700	)
		ProShares UltraShort Euro		(60,591,547	)		30,435,313
		ProShares UltraShort Yen		(86,173,771	)		14,006,768
		ProShares Ultra Euro		1,155,961			(654,504	)
		ProShares Ultra Yen		2,273,130			(268,290	)

		Total Trust	$	(1,302,568,955	)	$	158,526,436

125

Offsetting Assets and Liabilities

Each Fund is subject to master netting agreements or similar arrangements that allow for amounts owed between each Fund and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statements of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2017.


Fair Values of Derivative Instruments as of September 30, 2017
	Assets						Liabilities
	Gross Amounts of Recognized Assets presented in the Statements of Financial Condition		Gross Amounts Offset in the 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 Crude Oil
Swap agreements	$	—	$	—	$	—	$	13,678,377	$	—	$	13,678,377
ProShares UltraShort Gold
Forward agreements		2,961,605		—		2,961,605		—		—		—
ProShares UltraShort Silver
Forward agreements		2,152,433		—		2,152,433		—		—		—
ProShares UltraShort Euro
Foreign currency forward contracts		4,465,552		—		4,465,552		565,859		—		565,859
ProShares UltraShort Yen
Foreign currency forward contracts		9,817,020		—		9,817,020		570,141		—		570,141
ProShares Ultra Bloomberg Crude Oil
Swap agreements		40,796,900		—		40,796,900		—		—		—
ProShares Ultra Gold
Forward agreements		—		—		—		8,453,427		—		8,453,427
ProShares Ultra Silver
Forward agreements		—		—		—		28,243,802		—		28,243,802
ProShares Ultra Euro
Foreign currency forward contracts		82,079		—		82,079		291,439		—		291,439
ProShares Ultra Yen
Foreign currency forward contracts		12,351		—		12,351		407,660		—		407,660

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2017. 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”.

126


Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2017
	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 Crude Oil
Citibank, N.A.	$	(6,092,070	)	$	6,092,070		$	—		$	—
Goldman Sachs International		(3,900,635	)		3,900,635			—			—
Societe Generale		(514,835	)		514,835			—			—
UBS AG		(3,170,837	)		3,170,837			—			—
ProShares UltraShort Gold
Citibank, N.A.		1,045,390			—			—			1,045,390
Goldman Sachs International		835,086			(692,611	)		—			142,475
Societe Generale		267,146			(267,146	)		—			—
UBS AG		813,983			—			(660,000	)		153,983
ProShares UltraShort Silver
Citibank, N.A.		775,445			—			—			775,445
Goldman Sachs International		671,956			—			—			671,956
Societe Generale		143,987			—			—			143,987
UBS AG		561,045			—			(350,000	)		211,045
ProShares UltraShort Euro
Goldman Sachs International		2,034,015			(2,034,015	)		—			—
UBS AG		1,865,678			—			(1,865,678	)		—
ProShares UltraShort Yen
Goldman Sachs International		4,588,344			(4,588,344	)		—			—
UBS AG		4,658,535			—			(4,550,000	)		108,535
ProShares Ultra Bloomberg Crude Oil
Citibank, N.A.		13,855,515			—			—			13,855,515
Goldman Sachs International		11,965,958			(11,930,988	)		—			34,970
Societe Generale		4,548,744			(4,548,744	)		—			—
UBS AG		10,426,683			—			(9,900,000	)		526,683
ProShares Ultra Gold
Citibank, N.A.		(2,994,458	)		2,994,458			—			—
Goldman Sachs International		(2,118,074	)		2,118,074			—			—
Societe Generale		(1,015,643	)		1,015,643			—			—
UBS AG		(2,325,252	)		2,325,252			—			—
ProShares Ultra Silver
Citibank, N.A.		(9,405,158	)		9,405,158			—			—
Goldman Sachs International		(7,478,422	)		7,478,422			—			—
Societe Generale		(3,531,263	)		3,531,263			—			—
UBS AG		(7,828,959	)		7,828,959			—			—
ProShares Ultra Euro
Goldman Sachs International		(103,093	)		103,093			—			—
UBS AG		(106,267	)		106,267			—			—
ProShares Ultra Yen
Goldman Sachs International		(216,458	)		216,458			—			—
UBS AG		(178,851	)		27,993			—			(150,858	)

127

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, 2016:


Fair Values of Derivative Instruments as of December 31, 2016
	Assets						Liabilities
	Gross Amounts of Recognized Assets presented in the Statements of Financial Condition		Gross Amounts Offset in the 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 Crude Oil
Swap agreements	$	—	$	—	$	—	$	12,206,881	$	—	$	12,206,881
ProShares UltraShort Gold
Forward agreements		3,033,566		—		3,033,566		—		—		—
ProShares UltraShort Silver
Forward agreements		1,384,246		—		1,384,246		—		—		—
ProShares UltraShort Euro
Foreign currency forward contracts		16,519,070		—		16,519,070		356,139		—		356,139
ProShares UltraShort Yen
Foreign currency forward contracts		16,870,357		—		16,870,357		125,420		—		125,420
ProShares Ultra Bloomberg Crude Oil
Swap agreements		55,358,571		—		55,358,571		—		—		—
ProShares Ultra Gold
Forward agreements		—		—		—		4,431,107		—		4,431,107
ProShares Ultra Silver
Forward agreements		—		—		—		20,976,189		—		20,976,189
ProShares Ultra Euro
Foreign currency forward contracts		2,548		—		2,548		576,558		—		576,558
ProShares Ultra Yen
Foreign currency forward contracts		379		—		379		342,455		—		342,455

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 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”.

128


Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 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 Crude Oil
Citibank, N.A.	$	(4,742,191	)	$	4,742,191		$	—		$	—
Goldman Sachs International		(3,061,395	)		3,061,395			—			—
Societe Generale		(1,050,699	)		1,050,699			—			—
UBS AG		(3,352,596	)		3,352,596			—			—
ProShares UltraShort Gold
Citibank, N.A.		1,147,811			—			—			1,147,811
Goldman Sachs International		881,454			(874,948	)		—			6,506
Societe Generale		393,006			(393,006	)		—			—
UBS AG		611,295			—			(611,295	)		—
ProShares UltraShort Silver
Citibank, N.A.		610,478			—			—			610,478
Goldman Sachs International		323,829			(323,829	)		—			—
Societe Generale		86,543			(86,543	)		—			—
UBS AG		363,396			—			(363,396	)		—
ProShares UltraShort Euro
Goldman Sachs International		8,109,067			(8,109,067	)		—			—
UBS AG		8,053,864			—			(8,053,864	)		—
ProShares UltraShort Yen
Goldman Sachs International		8,256,779			(7,771,819	)		—			484,960
UBS AG		8,488,158			—			(7,980,000	)		508,158
ProShares Ultra Bloomberg Crude Oil
Citibank, N.A.		18,427,009			—			—			18,427,009
Goldman Sachs International		14,016,906			(14,016,906	)		—			—
Societe Generale		8,661,821			(8,661,821	)		—			—
UBS AG		14,252,835			—			(14,252,835	)		—
ProShares Ultra Gold
Citibank, N.A.		(1,464,982	)		1,464,982			—			—
Goldman Sachs International		(1,112,916	)		1,112,916			—			—
Societe Generale		(643,587	)		643,587			—			—
UBS AG		(1,209,622	)		1,209,622			—			—
ProShares Ultra Silver
Citibank, N.A.		(6,946,009	)		6,946,009			—			—
Goldman Sachs International		(5,869,092	)		5,869,092			—			—
Societe Generale		(2,532,729	)		2,532,729			—			—
UBS AG		(5,628,359	)		5,628,359			—			—
ProShares Ultra Euro
Goldman Sachs International		(239,256	)		239,256			—			—
UBS AG		(334,754	)		334,754			—			—
ProShares Ultra Yen
Goldman Sachs International		(219,736	)		219,736			—			—
UBS AG		(122,340	)		122,340			—			—

129

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 and will reimburse 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.

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 that are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds.

The Administrator

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.

130

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.

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.

131

Transaction fees for the three and nine months ended September 30, 2017 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 September 30, 2017		Nine Months Ended September 30, 2017
VIX Short-Term Futures ETF	$	49,381	$	115,876
VIX Mid-Term Futures ETF		5,298		8,510
Short VIX Short-Term Futures ETF		337,623		763,477
Ultra VIX Short-Term Futures ETF		385,071		837,558
UltraShort Bloomberg Crude Oil		54,276		172,684
UltraPro 3X Short Crude Oil ETF		4,627		7,826
UltraShort Bloomberg Natural Gas		1,138		1,903
UltraShort Gold		1,537		13,526
UltraShort Silver		—		—
Short Euro		—		—
UltraShort Australian Dollar		—		—
UltraShort Euro		—		—
UltraShort Yen		—		—
Ultra Bloomberg Crude Oil		135,612		531,483
UltraPro 3X Crude Oil ETF		9,352		18,464
Ultra Bloomberg Natural Gas		3,499		10,369
Ultra Gold		1,755		11,130
Ultra Silver		6,058		23,746
Ultra Euro		—		—
Ultra Yen		—		—

Total Trust	$	995,227	$	2,516,552

132

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended September 30, 2017:

For the Three Months Ended September 30, 2017 (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 Crude Oil			UltraPro 3X Short Crude Oil ETF
Net asset value, at June 30, 2017	$	42.69		$	27.46		$	80.11		$	39.32		$	43.43		$	26.46
Net investment income (loss)		(0.01	)		(0.01	)		(0.13	)		(0.09	)		0.00	⁽¹⁾		(0.07	)
Net realized and unrealized gain (loss)#		(10.11	)		(2.25	)		13.70			(18.59	)		(9.83	)		(8.87	)
Change in net asset value from operations		(10.12	)		(2.26	)		13.57			(18.68	)		(9.83	)		(8.94	)
Net asset value, at September 30, 2017	$	32.57		$	25.20		$	93.68		$	20.64		$	33.60		$	17.52
Market value per share, at June 30, 2017†	$	42.52		$	27.43		$	80.64		$	38.96		$	43.21		$	26.24
Market value per share, at September 30, 2017†	$	32.53		$	25.17		$	93.75		$	20.60		$	33.73		$	17.63
Total Return, at net asset value^		(23.7	)%		(8.2	)%		16.9	%		(47.5	)%		(22.6	)%		(33.8	)%
Total Return, at market value^		(23.5	)%		(8.2	)%		16.3	%		(47.1	)%		(21.9	)%		(32.8	)%
Ratios to Average Net Assets**
Expense ratio		0.98	%		0.92	%		1.50	%		2.00	%		0.99	%		1.31	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.14	)%		(0.17	)%		(0.66	)%		(1.21	)%		(0.03	)%		(1.31	)%

*	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 September 30, 2017.

**	Percentages are annualized.

⁽¹⁾	Amount represents less than $0.005.

133

For the Three Months Ended September 30, 2017 (unaudited)


Per Share Operating Performance	UltraShort Bloomberg Natural Gas			UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro
Net asset value, at June 30, 2017	$	33.16		$	76.30		$	34.75		$	41.74		$	47.90		$	23.12
Net investment income (loss)		(0.06	)		(0.00	)⁽²⁾		(0.00	)⁽²⁾		(0.01	)		(0.01	)		0.00	⁽¹⁾
Net realized and unrealized gain (loss)#		0.77			(5.02	)		(2.76	)		(1.26	)		(2.26	)		(1.43	)
Change in net asset value from operations		0.71			(5.02	)		(2.76	)		(1.27	)		(2.27	)		(1.43	)
Net asset value, at September 30, 2017	$	33.87		$	71.28		$	31.99		$	40.47		$	45.63		$	21.69
Market value per share, at June 30, 2017†	$	33.33		$	76.37		$	34.09		$	41.71		$	47.80		$	23.12
Market value per share, at September 30, 2017†	$	33.64		$	71.55		$	32.78		$	40.56		$	45.85		$	21.68
Total Return, at net asset value^		2.1	%		(6.6	)%		(7.9	)%		(3.0	)%		(4.7	)%		(6.2	)%
Total Return, at market value^		0.9	%		(6.3	)%		(3.8	)%		(2.8	)%		(4.1	)%		(6.2	)%
Ratios to Average Net Assets**
Expense ratio		1.34	%		0.95	%		0.95	%		0.96	%		1.01	%		0.95	%
Expense ratio, excluding brokerage commissions		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.73	)%		(0.01	)%		(0.05	)%		(0.14	)%		(0.13	)%		0.04	%

#	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 September 30, 2017.

**	Percentages are annualized.

⁽¹⁾	Amount represents less than $0.005.

⁽²⁾	Amount represents less than $(0.005).

134

For the Three Months Ended September 30, 2017 (unaudited)


Per Share Operating Performance	UltraShort Yen			Ultra Bloomberg Crude Oil			UltraPro 3X Crude Oil ETF			Ultra Bloomberg Natural Gas			Ultra Gold			Ultra Silver
Net asset value, at June 30, 2017	$	74.07		$	14.80		$	19.52		$	9.77		$	37.75		$	33.23
Net investment income (loss)		0.01			(0.00	)⁽²⁾		(0.07	)		(0.01	)		0.00	⁽¹⁾		0.00	⁽¹⁾
Net realized and unrealized gain (loss)#		0.18			3.10			5.82			(1.02	)		2.07			0.79
Change in net asset value from operations		0.19			3.10			5.75			(1.03	)		2.07			0.79
Net asset value, at September 30, 2017	$	74.26		$	17.90		$	25.27		$	8.74		$	39.82		$	34.02
Market value per share, at June 30, 2017†	$	74.05		$	14.86		$	19.68		$	9.74		$	37.68		$	33.82
Market value per share, at September 30, 2017†	$	74.21		$	17.82		$	25.09		$	8.80		$	39.60		$	33.15
Total Return, at net asset value^		0.3	%		20.9	%		29.5	%		(10.5	)%		5.5	%		2.4	%
Total Return, at market value^		0.2	%		19.9	%		27.5	%		(9.7	)%		5.1	%		(2.0	)%
Ratios to Average Net Assets**
Expense ratio		0.95	%		0.97	%		1.24	%		1.16	%		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)		0.03	%		(0.01	)%		(1.24	)%		(0.37	)%		0.03	%		0.00	%⁽³⁾

#	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 September 30, 2017.

**	Percentages are annualized.

⁽¹⁾	Amount represents less than $0.005.

⁽²⁾	Amount represents less than $(0.005).

⁽³⁾	Amount represents less than 0.005%.

135

For the Three Months Ended September 30, 2017 (unaudited)


Per Share Operating Performance	Ultra Euro			Ultra Yen
Net asset value, at June 30, 2017	$	16.16		$	58.68
Net investment income (loss)		(0.00	)⁽²⁾		(0.04	)
Net realized and unrealized gain (loss)#		0.97			(0.57	)
Change in net asset value from operations		0.97			(0.61	)
Net asset value, at September 30, 2017	$	17.13		$	58.07
Market value per share, at June 30, 2017†	$	16.17		$	58.68
Market value per share, at September 30, 2017†	$	17.10		$	58.17
Total Return, at net asset value^		6.0	%		(1.0	)%
Total Return, at market value^		5.8	%		(0.9	)%
Ratios to Average Net Assets**
Expense ratio		0.95	%		0.95	%
Expense ratio, excluding brokerage commissions		0.95	%		0.95	%
Net investment income (loss)		(0.04	)%		(0.28	)%

#	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 September 30, 2017.

**	Percentages are annualized.

⁽²⁾	Amount represents less than $(0.005).

136

Selected data for a Share outstanding throughout the three months ended September 30, 2016:

For the Three Months Ended September 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 Crude Oil*			UltraShort Bloomberg Natural Gas
Net asset value, at June 30, 2016	$	180.57		$	51.98		$	24.92		$	912.60		$	40.97		$	34.09
Net investment income (loss)		(0.24	)		(0.09	)		(0.09	)		(1.64	)		(0.09	)		(0.13	)
Net realized and unrealized gain (loss)#		(66.20	)		(6.14	)		11.49			(572.92	)		(0.88	)		2.36
Change in net asset value from operations		(66.44	)		(6.23	)		11.40			(574.56	)		(0.97	)		2.23
Net asset value, at September 30, 2016	$	114.13		$	45.75		$	36.32		$	338.04		$	40.00		$	36.32
Market value per share, at June 30, 2016†	$	183.20		$	52.53		$	24.53		$	943.00		$	40.81		$	34.06
Market value per share, at September 30, 2016†	$	113.32		$	45.69		$	36.61		$	333.00		$	40.45		$	36.14
Total Return, at net asset value^		(36.8	)%		(12.0	)%		45.7	%		(63.0	)%		(2.4	)%		6.5	%
Total Return, at market value^		(38.1	)%		(13.0	)%		49.2	%		(64.7	)%		(0.9	)%		6.1	%
Ratios to Average Net Assets**
Expense ratio		0.99	%		0.94	%		1.42	%		1.59	%		1.01	%		1.58	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.73	)%		(0.70	)%		(1.17	)%		(1.36	)%		(0.75	)%		(1.40	)%

*	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 September 30, 2016.

**	Percentages are annualized.

137

For the Three Months Ended September 30, 2016 (unaudited)


Per Share Operating Performance	UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen
Net asset value, at June 30, 2016	$	70.31		$	33.16		$	42.81		$	53.47		$	24.32		$	63.53
Net investment income (loss)		(0.12	)		(0.05	)		(0.08	)		(0.10	)		(0.04	)		(0.11	)
Net realized and unrealized gain (loss)#		(0.58	)		(5.17	)		(0.51	)		(3.69	)		(0.50	)		(2.74	)
Change in net asset value from operations		(0.70	)		(5.22	)		(0.59	)		(3.79	)		(0.54	)		(2.85	)
Net asset value, at September 30, 2016	$	69.61		$	27.94		$	42.22		$	49.68		$	23.78		$	60.68
Market value per share, at June 30, 2016†	$	70.00		$	31.65		$	42.81		$	53.47		$	24.32		$	63.53
Market value per share, at September 30, 2016†	$	70.19		$	28.41		$	42.22		$	49.67		$	23.76		$	60.64
Total Return, at net asset value^		(1.0	)%		(15.8	)%		(1.4	)%		(7.1	)%		(2.2	)%		(4.5	)%
Total Return, at market value^		0.3	%		(10.2	)%		(1.4	)%		(7.1	)%		(2.3	)%		(4.5	)%
Ratios to Average Net Assets**
Expense ratio		0.95	%		0.95	%		0.96	%		1.02	%		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)		(0.69	)%		(0.70	)%		(0.75	)%		(0.75	)%		(0.69	)%		(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 September 30, 2016.

**	Percentages are annualized.

138

For the Three Months Ended September 30, 2016 (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 June 30, 2016	$	24.33		$	17.75		$	44.80		$	45.53		$	15.89		$	72.67
Net investment income (loss)		(0.04	)		(0.04	)		(0.08	)		(0.09	)		(0.03	)		(0.13	)
Net realized and unrealized gain (loss)#		(3.27	)		(3.23	)		(0.30	)		3.56			0.27			1.92
Change in net asset value from operations		(3.31	)		(3.27	)		(0.38	)		3.47			0.24			1.79
Net asset value, at September 30, 2016	$	21.02		$	14.48		$	44.42		$	49.00		$	16.13		$	74.46
Market value per share, at June 30, 2016†	$	24.44		$	17.65		$	45.03		$	47.67		$	15.86		$	72.71
Market value per share, at September 30, 2016†	$	20.76		$	14.58		$	44.01		$	48.11		$	16.12		$	74.48
Total Return, at net asset value^		(13.6	)%		(18.4	)%		(0.8	)%		7.6	%		1.5	%		2.5	%
Total Return, at market value^		(15.1	)%		(17.4	)%		(2.3	)%		0.9	%		1.6	%		2.4	%
Ratios to Average Net Assets**
Expense ratio		1.00	%		1.23	%		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)		(0.75	)%		(1.03	)%		(0.67	)%		(0.68	)%		(0.69	)%		(0.70	)%

*	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 September 30, 2016.

**	Percentages are annualized.

139

Selected data for a Share outstanding throughout the nine months ended September 30, 2017:

For the Nine Months Ended September 30, 2017 (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 Crude Oil			UltraPro 3X Short Crude Oil ETF⁺
Net asset value, at December 31, 2016	$	84.86		$	42.14		$	45.62		$	173.93		$	31.70		$	25.00
Net investment income (loss)		(0.11	)		(0.07	)		(0.45	)		(0.43	)		(0.08	)		(0.16	)
Net realized and unrealized gain (loss)#		(52.18	)		(16.87	)		48.51			(152.86	)		1.98			(7.32	)
Change in net asset value from operations		(52.29	)		(16.94	)		48.06			(153.29	)		1.90			(7.48	)
Net asset value, at September 30, 2017	$	32.57		$	25.20		$	93.68		$	20.64		$	33.60		$	17.52
Market value per share, at December 31, 2016†	$	85.04		$	42.34		$	45.49		$	175.00		$	31.65		$	25.00
Market value per share, at September 30, 2017†	$	32.53		$	25.17		$	93.75		$	20.60		$	33.73		$	17.63
Total Return, at net asset value^		(61.6	)%		(40.2	)%		105.3	%		(88.1	)%		6.0	%		(29.9	)%
Total Return, at market value^		(61.7	)%		(40.6	)%		106.1	%		(88.2	)%		6.6	%		(29.5	)%
Ratios to Average Net Assets**
Expense ratio		0.97	%		0.89	%		1.52	%		1.88	%		0.99	%		1.34	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.30	)%		(0.30	)%		(0.80	)%		(1.28	)%		(0.29	)%		(1.34	)%

*	See Note 1 of these Notes to Financial Statements.

⁺	From commencement of operations, March 24, 2017 through September 30, 2017.

#	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. For ProShares UltraPro 3x Short Crude Oil ETF, the returns of shares outstanding for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.00.

^	Percentages are not annualized for the period ended September 30, 2017.

**	Percentages are annualized.

140

For the Nine Months Ended September 30, 2017 (unaudited)


Per Share Operating Performance	UltraShort Bloomberg Natural Gas			UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro
Net asset value, at December 31, 2016	$	23.10		$	91.33		$	37.31		$	45.06		$	55.38		$	27.08
Net investment income (loss)		(0.20	)		(0.13	)		(0.06	)		(0.12	)		(0.15	)		(0.04	)
Net realized and unrealized gain (loss)#		10.97			(19.92	)		(5.26	)		(4.47	)		(9.60	)		(5.35	)
Change in net asset value from operations		10.77			(20.05	)		(5.32	)		(4.59	)		(9.75	)		(5.39	)
Net asset value, at September 30, 2017	$	33.87		$	71.28		$	31.99		$	40.47		$	45.63		$	21.69
Market value per share, at December 31, 2016†	$	23.05		$	90.54		$	38.76		$	45.12		$	55.24		$	27.08
Market value per share, at September 30, 2017†	$	33.64		$	71.55		$	32.78		$	40.56		$	45.85		$	21.68
Total Return, at net asset value^		46.6	%		(22.0	)%		(14.3	)%		(10.2	)%		(17.6	)%		(19.9	)%
Total Return, at market value^		45.9	%		(21.0	)%		(15.4	)%		(10.1	)%		(17.0	)%		(19.9	)%
Ratios to Average Net Assets**
Expense ratio		1.32	%		0.95	%		0.95	%		0.96	%		1.01	%		0.95	%
Expense ratio, excluding brokerage commissions		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.83	)%		(0.23	)%		(0.27	)%		(0.37	)%		(0.42	)%		(0.23	)%

#	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 September 30, 2017.

**	Percentages are annualized.

141

For the Nine Months Ended September 30, 2017 (unaudited)


Per Share Operating Performance	UltraShort Yen			Ultra Bloomberg Crude Oil			UltraPro 3X Crude Oil ETF⁺			Ultra Bloomberg Natural Gas			Ultra Gold			Ultra Silver
Net asset value, at December 31, 2016	$	80.24		$	23.34		$	25.00		$	18.85		$	32.90		$	33.44
Net investment income (loss)		(0.14	)		(0.03	)		(0.14	)		(0.05	)		(0.06	)		(0.06	)
Net realized and unrealized gain (loss)#		(5.84	)		(5.41	)		0.41			(10.06	)		6.98			0.64
Change in net asset value from operations		(5.98	)		(5.44	)		0.27			(10.11	)		6.92			0.58
Net asset value, at September 30, 2017	$	74.26		$	17.90		$	25.27		$	8.74		$	39.82		$	34.02
Market value per share, at December 31, 2016†	$	80.25		$	23.36		$	25.00		$	18.96		$	33.20		$	32.09
Market value per share, at September 30, 2017†	$	74.21		$	17.82		$	25.09		$	8.80		$	39.60		$	33.15
Total Return, at net asset value^		(7.5	)%		(23.3	)%		1.1	%		(53.6	)%		21.0	%		1.7	%
Total Return, at market value^		(7.5	)%		(23.7	)%		0.4	%		(53.6	)%		19.3	%		3.3	%
Ratios to Average Net Assets**
Expense ratio		0.95	%		0.97	%		1.26	%		1.16	%		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)		(0.26	)%		(0.24	)%		(1.26	)%		(0.57	)%		(0.22	)%		(0.23	)%

⁺	From commencement of operations, March 24, 2017 through September 30, 2017.

#	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. For ProShares UltraPro 3x Crude Oil ETF, the returns of shares outstanding for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.00.

^	Percentages are not annualized for the period ended September 30, 2017.

The returns of shares outstanding for the period from commencement of operations through September 30, 2017 are calculated based on the initial offering price upon commencement of operations of $25.0000 for ProShares UltraPro 3X Crude Oil ETF.

**	Percentages are annualized.

142

For the Nine Months Ended September 30, 2017 (unaudited)


Per Share Operating Performance	Ultra Euro			Ultra Yen
Net asset value, at December 31, 2016	$	14.02		$	55.43
Net investment income (loss)		(0.03	)		(0.21	)
Net realized and unrealized gain (loss)#		3.14			2.85
Change in net asset value from operations		3.11			2.64
Net asset value, at September 30, 2017	$	17.13		$	58.07
Market value per share, at December 31, 2016†	$	14.09		$	55.52
Market value per share, at September 30, 2017†	$	17.10		$	58.17
Total Return, at net asset value^		22.2	%		4.8	%
Total Return, at market value^		21.4	%		4.8	%
Ratios to Average Net Assets**
Expense ratio		0.95	%		0.95	%
Expense ratio, excluding brokerage commissions		0.95	%		0.95	%
Net investment income (loss)		(0.26	)%		(0.47	)%

#	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 September 30, 2017.

**	Percentages are annualized.

143

Selected data for a Share outstanding throughout the nine months ended September 30, 2016:

For the Nine Months Ended September 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 Crude Oil*			UltraShort Bloomberg Natural Gas
Net asset value, at December 31, 2015	$	264.84		$	53.96		$	25.41		$	2,808.40		$	66.60		$	46.53
Net investment income (loss)		(1.03	)		(0.28	)		(0.21	)		(9.40	)		(0.31	)		(0.57	)
Net realized and unrealized gain (loss)#		(149.68	)		(7.93	)		11.12			(2,460.96	)		(26.29	)		(9.64	)
Change in net asset value from operations		(150.71	)		(8.21	)		10.91			(2,470.36	)		(26.60	)		(10.21	)
Net asset value, at September 30, 2016	$	114.13		$	45.75		$	36.32		$	338.04		$	40.00		$	36.32
Market value per share, at December 31, 2015†	$	266.60		$	53.99		$	25.23		$	2,835.00		$	66.82		$	46.55
Market value per share, at September 30, 2016†	$	113.32		$	45.69		$	36.61		$	333.00		$	40.45		$	36.14
Total Return, at net asset value^		(56.9	)%		(15.2	)%		42.9	%		(88.0	)%		(39.9	)%		(22.0	)%
Total Return, at market value^		(57.5	)%		(15.4	)%		45.1	%		(88.3	)%		(39.5	)%		(22.4	)%
Ratios to Average Net Assets**
Expense ratio		1.01	%		0.93	%		1.36	%		1.56	%		1.04	%		1.68	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.78	)%		(0.71	)%		(1.13	)%		(1.33	)%		(0.79	)%		(1.46	)%

*	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 September 30, 2016.

**	Percentages are annualized.

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For the Nine Months Ended September 30, 2016 (unaudited)


Per Share Operating Performance	UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen
Net asset value, at December 31, 2015	$	115.88		$	64.58		$	43.78		$	58.46		$	25.54		$	87.94
Net investment income (loss)		(0.42	)		(0.21	)		(0.25	)		(0.33	)		(0.13	)		(0.38	)
Net realized and unrealized gain (loss)#		(45.85	)		(36.43	)		(1.31	)		(8.45	)		(1.63	)		(26.88	)
Change in net asset value from operations		(46.27	)		(36.64	)		(1.56	)		(8.78	)		(1.76	)		(27.26	)
Net asset value, at September 30, 2016	$	69.61		$	27.94		$	42.22		$	49.68		$	23.78		$	60.68
Market value per share, at December 31, 2015†	$	115.83		$	64.55		$	43.74		$	58.15		$	25.53		$	87.89
Market value per share, at September 30, 2016†	$	70.19		$	28.41		$	42.22		$	49.67		$	23.76		$	60.64
Total Return, at net asset value^		(39.9	)%		(56.7	)%		(3.6	)%		(15.0	)%		(6.9	)%		(31.0	)%
Total Return, at market value^		(39.4	)%		(56.0	)%		(3.5	)%		(14.6	)%		(6.9	)%		(31.0	)%
Ratios to Average Net Assets**
Expense ratio		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	%
Net investment income (loss)		(0.71	)%		(0.71	)%		(0.78	)%		(0.80	)%		(0.70	)%		(0.74	)%

#	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 September 30, 2016.

**	Percentages are annualized.

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For the Nine Months Ended September 30, 2016 (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, 2015	$	25.15		$	18.57		$	29.73		$	27.06		$	15.51		$	54.75
Net investment income (loss)		(0.12	)		(0.12	)		(0.21	)		(0.21	)		(0.08	)		(0.36	)
Net realized and unrealized gain (loss)#		(4.01	)		(3.97	)		14.90			22.15			0.70			20.07
Change in net asset value from operations		(4.13	)		(4.09	)		14.69			21.94			0.62			19.71
Net asset value, at September 30, 2016	$	21.02		$	14.48		$	44.42		$	49.00		$	16.13		$	74.46
Market value per share, at December 31, 2015†	$	25.08		$	18.48		$	29.73		$	27.08		$	15.51		$	54.70
Market value per share, at September 30, 2016†	$	20.76		$	14.58		$	44.01		$	48.11		$	16.12		$	74.48
Total Return, at net asset value^		(16.4	)%		(22.0	)%		49.4	%		81.1	%		4.0	%		36.0	%
Total Return, at market value^		(17.2	)%		(21.1	)%		48.0	%		77.7	%		3.9	%		36.2	%
Ratios to Average Net Assets**
Expense ratio		1.02	%		1.36	%		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)		(0.78	)%		(1.17	)%		(0.69	)%		(0.71	)%		(0.71	)%		(0.71	)%

*	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 September 30, 2016.

**	Percentages are annualized.

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NOTE 8 – RISK

Correlation and Compounding Risk

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ from the inverse (-1x), two times the inverse (-2x), or two times (2x) of the return of the Geared Fund’s benchmark for the period. A Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short and UltraShort Funds), as a result of daily rebalancing, the benchmark’s volatility and compounding. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time.

Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra Fund with a 2x multiple should be approximately two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of a Short or UltraShort Fund is designed to return the inverse (-1x) or two times the inverse (-2x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present different risks than other funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Daily objective geared funds, if used properly and in conjunction with the investor’s view on the future direction and volatility of the markets, can be useful tools for investors who want to manage their exposure to various markets and market segments and who are willing to monitor and/or periodically rebalance their portfolios. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds expect to meet their investment objectives, several factors may affect their ability to do so. Among these factors are: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding instruments traded in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, overweighting or underweighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions or extreme market volatility will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -1x, -2x or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.

147

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 2016 may specify a January 2017 expiration. As that contract nears expiration, it may be replaced by selling the January 2017 contract and purchasing the contract expiring in March 2017. 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 2017 contract would take place at a price that is higher than the price at which the March 2017 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 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.

149

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. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.

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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 September 30, 2017, 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 Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF, 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.

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 ten Shares at an aggregate purchase price of $350 in each of the following Funds: ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.

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.

151

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 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”).

ProShares UltraShort Bloomberg Crude Oil, ProShares UltraPro 3x Short Crude Oil ETF, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, ProShares UltraPro 3x Crude Oil ETF 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.

152

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the NAV of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements 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 nine months ended September 30, 2017 and 2016, each of the Funds earned interest income as follows:

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Interest Income


Fund	Interest Income Three Months Ended September 30, 2017		Interest Income Three Months Ended September 30, 2016		Interest Income Nine Months Ended September 30, 2017		Interest Income Nine Months Ended September 30, 2016
ProShares VIX Short-Term Futures ETF	$	379,082	$	144,244	$	786,305	$	324,819
ProShares VIX Mid-Term Futures ETF		71,551		29,706		164,138		63,804
ProShares Short VIX Short-Term Futures ETF		2,102,194		248,974		3,484,888		848,132
ProShares Ultra VIX Short-Term Futures ETF		866,857		400,731		1,833,411		1,227,394
ProShares UltraShort Bloomberg Crude Oil		458,896		112,015		998,438		345,514
ProShares UltraPro 3X Short Crude Oil ETF		—		—		—		—
ProShares UltraShort Bloomberg Natural Gas		11,436		2,395		25,909		16,513
ProShares UltraShort Gold		85,802		44,515		202,149		118,780
ProShares UltraShort Silver		44,411		22,794		103,317		71,536
ProShares Short Euro		18,865		8,177		57,345		22,846
ProShares UltraShort Australian Dollar		23,090		12,198		58,614		32,241
ProShares UltraShort Euro		559,862		248,831		1,452,945		765,698
ProShares UltraShort Yen		389,160		155,603		1,072,691		328,442
ProShares Ultra Bloomberg Crude Oil		1,819,809		547,630		4,436,888		1,497,225
ProShares UltraPro 3X Crude Oil ETF		—		—		—		—
ProShares Ultra Bloomberg Natural Gas		93,039		18,114		199,874		45,257
ProShares Ultra Gold		231,647		72,710		531,782		178,730
ProShares Ultra Silver		612,838		277,478		1,497,007		587,744
ProShares Ultra Euro		30,171		6,257		69,923		18,054
ProShares Ultra Yen		10,221		4,659		21,407		11,808

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).

154

Market Risk

Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying the Fund’s benchmark at a specified date and price, should it hold such derivatives contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.

For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q.

Credit Risk

When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.

The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.

Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.

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.

155

Off-Balance Sheet Arrangements and Contractual Obligations

As of November 2, 2017, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the amount of payments that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party.

Critical Accounting Policies

The Trust’s and the Funds’ critical accounting policies are as follows:

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.

Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures, forward contracts or foreign currency forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.

The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

For financial reporting purposes, the 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 nine months ended September 30, 2017.

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.

156

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.

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. The Sponsor is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

157

Results of Operations for the Three Months Ended September 30, 2017 Compared to the Three Months Ended September 30, 2016

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	162,053,094		$	190,955,944
NAV end of period	$	191,364,819		$	227,819,218
Percentage change in NAV		18.1	%		19.3	%
Shares outstanding beginning of period		3,796,113			1,057,491
Shares outstanding end of period		5,876,317			1,996,113
Percentage change in shares outstanding		54.8	%		88.8	%
Shares created		3,106,250			1,151,250
Shares redeemed		1,026,046			212,628
Per share NAV beginning of period	$	42.69		$	180.57
Per share NAV end of period	$	32.57		$	114.13
Percentage change in per share NAV		(23.7	)%		(36.8	)%
Percentage change in benchmark		(23.4	)%		(36.8	)%
Benchmark annualized volatility		65.8	%		55.1	%

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 3,796,113 outstanding Shares at June 30, 2017 to 5,876,317 outstanding Shares at September 30, 2017. 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 September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,057,491 outstanding Shares at June 30, 2016 to 1,996,113 outstanding Shares at September 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.

For the three months ended September 30, 2017 and 2016, 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 23.7% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 36.8% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $45.92 per Share and reached its low for the period on September 29, 2017 at $32.56 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $179.80 per Share and reached its low for the period on September 28, 2016 at $110.88 per Share.

The benchmark’s decline of 23.4% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 36.8% for the three months ended September 30, 2016, can be attributed to a lesser decline in prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2017.

158

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	(61,284	)	$	(407,697	)
Management fee		381,123			474,982
Brokerage commissions		59,243			76,959
Net realized gain (loss)		(27,446,786	)		(101,781,283	)
Change in net unrealized appreciation/depreciation		(17,216,367	)		6,811,763
Net income (loss)	$	(44,724,437	)	$	(95,377,217	)

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2017.

*	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 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 September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	30,550,943		$	42,224,892
NAV end of period	$	45,047,423		$	58,894,811
Percentage change in NAV		47.5	%		39.5	%
Shares outstanding beginning of period		1,112,403			812,403
Shares outstanding end of period		1,787,403			1,287,403
Percentage change in shares outstanding		60.7	%		58.5	%
Shares created		675,000			525,000
Shares redeemed		—			50,000
Per share NAV beginning of period	$	27.46		$	51.98
Per share NAV end of period	$	25.20		$	45.75
Percentage change in per share NAV		(8.2	)%		(12.0	)%
Percentage change in benchmark		(8.0	)%		(11.7	)%
Benchmark annualized volatility		27.0	%		20.2	%

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 1,112,403 outstanding Shares at June 30, 2017 to 1,787,403 outstanding Shares at September 30, 2017. 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 September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 812,403 outstanding Shares at June 30, 2016 to 1,287,403 outstanding Shares at September 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.

For the three months ended September 30, 2017 and 2016, 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 8.2% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 12.0% for the three months ended September 30, 2016 was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

159

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $28.23 per Share and reached its low for the period on August 1, 2017 at $24.92 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $52.33 per Share and reached its low for the period on September 28, 2016 at $45.62 per Share.

The benchmark’s decline of 8.0% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 11.7% for the three months ended September 30, 2016, 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 September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	(15,787	)	$	(89,667	)
Management fee		80,574			108,438
Brokerage commissions		6,764			10,935
Net realized gain (loss)		(3,965,084	)		(4,899,386	)
Change in net unrealized appreciation/depreciation		365,957			(1,141,385	)
Net income (loss)	$	(3,614,914	)	$	(6,130,438	)

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, 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 September 30, 2017.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	793,060,423		$	687,712,265
NAV end of period	$	1,039,873,910		$	504,798,665
Percentage change in NAV		31.1	%		(26.6	)%
Shares outstanding beginning of period		9,900,000			27,600,000
Shares outstanding end of period		11,100,000			13,900,000
Percentage change in shares outstanding		12.1	%		(49.6	)%
Shares created		17,750,000			18,500,000
Shares redeemed		16,550,000			32,200,000
Per share NAV beginning of period	$	80.11		$	24.92
Per share NAV end of period	$	93.68		$	36.32
Percentage change in per share NAV		16.9	%		45.7	%
Percentage change in benchmark		(23.4	)%		(36.8	)%
Benchmark annualized volatility		65.8	%		55.1	%

160

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 9,900,000 outstanding Shares at June 30, 2017 to 11,100,000 outstanding Shares at September 30, 2017. 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 S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 27,600,000 outstanding Shares at June 30, 2016 to 13,900,000 outstanding Shares at September 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 the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 16.9% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 45.7% for the three months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 29, 2017 at $93.68 per Share and reached its low for the period on August 18, 2017 at $70.05 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $39.58 per Share and reached its low for the period on July 5, 2016 at $25.02 per Share.

The benchmark’s decline of 23.4% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 36.8% for the three months ended September 30, 2016, can be attributed to a lesser decline of the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	(1,640,811	)	$	(1,171,428	)
Management fee		2,376,444			951,001
Brokerage commissions		1,366,561			469,401
Net realized gain (loss)		188,307,524			277,233,576
Change in net unrealized appreciation/depreciation		100,090,454			(51,779,349	)
Net income (loss)	$	286,757,167		$	224,282,799

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a decrease in the prices of near-term futures contracts on the VIX futures curve, in conjunction with an increase in shares outstanding, during the three months ended September 30, 2017.

*	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 Short VIX Short-Term Futures ETF.

161

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	378,714,636		$	839,613,853
NAV end of period	$	535,095,732		$	738,749,800
Percentage change in NAV		41.3	%		(12.0	)%
Shares outstanding beginning of period		9,631,952			920,025
Shares outstanding end of period		25,927,238			2,185,383
Percentage change in shares outstanding		169.2	%		137.5	%
Shares created		33,400,000			2,356,500
Shares redeemed		17,104,14			1,091,142
Per share NAV beginning of period	$	39.32		$	912.60
Per share NAV end of period	$	20.64		$	338.04
Percentage change in per share NAV		(47.5	)%		(63.0	)%
Percentage change in benchmark		(23.4	)%		(36.8	)%
Benchmark annualized volatility		65.8	%		55.1	%

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 9,631,952 outstanding Shares at June 30, 2017 to 25,927,238 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 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 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 920,025 outstanding Shares at June 30, 2016 to 2,185,383 outstanding Shares at September 30, 2016.

For the three months ended September 30, 2017 and 2016, 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 47.5% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 63.0% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 11, 2017 at $43.94 per Share and reached its low for the period on September 29, 2017 at $20.64 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $904.80 per Share and reached its low for the period on September 28, 2016 at $319.60 per Share.

162

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	(1,324,516	)	$	(2,326,627	)
Management fee		1,040,567			1,625,260
Brokerage commissions		1,150,806			1,102,098
Net realized gain (loss)		(126,538,682	)		(745,085,668	)
Change in net unrealized appreciation/depreciation		(95,494,039	)		139,001,218
Net income (loss)	$	(223,357,237	)	$	(608,411,077	)

*	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 Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	121,175,298		$	165,504,746
NAV end of period	$	238,227,025		$	189,577,580
Percentage change in NAV		96.6	%		14.5	%
Shares outstanding beginning of period		2,789,884			4,039,884
Shares outstanding end of period		7,089,884			4,739,884
Percentage change in shares outstanding		154.1	%		17.3	%
Shares created		5,400,000			3,100,000
Shares redeemed		1,100,000			2,400,000
Per share NAV beginning of period	$	43.43		$	40.97
Per share NAV end of period	$	33.60		$	40.00
Percentage change in per share NAV		(22.6	)%		(2.4	)%
Percentage change in benchmark		11.2	%		(5.0	)%
Benchmark annualized volatility		25.6	%		40.5	%

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,789,884 outstanding Shares at June 30, 2017 to 7,089,884 outstanding Shares at September 30, 2017. 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 three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 4,039,884 outstanding Shares at June 30, 2016 to 4,739,884 outstanding Shares at September 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 inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the three months ended September 30, 2017 and 2016, 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 22.6% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 2.4% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

163

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 7, 2017 at $46.80 per Share and reached its low for the period on September 25, 2017 at $32.91 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $60.42 per Share and reached its low for the period on July 1, 2016 at $39.90 per Share.

The benchmark’s rise of 11.2% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 5.0% for the three months ended September 30, 2016, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	(15,678	)	$	(321,432	)
Management fee		456,582			405,879
Brokerage commissions		17,992			27,568
Net realized gain (loss)		(9,418,914	)		50,285,292
Change in net unrealized appreciation/depreciation		(30,446,676	)		(32,963,803	)
Net income (loss)	$	(39,881,268	)	$	17,000,057

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

*	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 Crude Oil.

ProShares UltraPro 3x Short Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the three months ended September 30, 2016 have not been provided.

The following table provides summary performance information for the Fund for the three months ended September 30, 2017:


	Three Months Ended September 30, 2017
NAV beginning of period	$	5,292,315
NAV end of period	$	15,768,728
Percentage change in NAV		198.0	%
Shares outstanding beginning of period		200,008
Shares outstanding end of period		900,008
Percentage change in shares outstanding		350.0	%
Shares created		700,000
Shares redeemed		—
Per share NAV beginning of period	$	26.46
Per share NAV end of period	$	17.52
Percentage change in per share NAV		(33.8	)%
Percentage change in benchmark		11.2	%
Benchmark annualized volatility		25.6	%

164

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 200,008 outstanding Shares at June 30, 2017 to 900,008 outstanding Shares at September 30, 2017. 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 3x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the three months ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 7, 2017 at $29.47 per Share and reached its low for the period on September 25, 2017 at $17.00 per Share.

The benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017:


	Three Months Ended September 30, 2017
Net investment income (loss)	$	(34,013	)
Brokerage commissions		9,395
Offering costs		37,405
Limitation by Sponsor		(12,787	)
Net realized gain (loss)		(1,540,337	)
Change in net unrealized appreciation/depreciation		(2,178,096	)
Net income (loss)	$	(3,752,446	)

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016 :


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	7,455,967		$	2,550,965
NAV end of period	$	5,921,434		$	6,349,132
Percentage change in NAV		(20.6	)%		148.9	%
Shares outstanding beginning of period		224,832			74,832
Shares outstanding end of period		174,832			174,832
Percentage change in shares outstanding		(22.2	)%		133.6	%
Shares created		150,000			400,000
Shares redeemed		200,000			300,000
Per share NAV beginning of period	$	33.16		$	34.09
Per share NAV end of period	$	33.87		$	36.32
Percentage change in per share NAV		2.1	%		6.5	%
Percentage change in benchmark		(4.1	)%		(8.0	)%
Benchmark annualized volatility		29.6	%		36.5	%

165

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 224,832 outstanding Shares at June 30, 2017 to 174,832 outstanding Shares at September 30, 2017. 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 Bloomberg Natural Gas Subindex^SM. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 74,832 outstanding Shares at June 30, 2016 to 174,832 outstanding Shares at September 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 inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.1% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 6.5% for the three months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on August 4, 2017 at $38.35 per Share and reached its low for the period on September 18, 2017 at $30.27 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $41.18 per Share and reached its low for the period on September 21, 2016 at $31.43 per Share.

The benchmark’s decline of 4.1%for the three months ended September 30, 2017, as compared to the benchmark’s decline of 8.0% for the three months ended September 30, 2016, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	(13,899	)	$	(19,256	)
Management fee		18,019			13,043
Brokerage commissions		7,316			8,608
Net realized gain (loss)		(151,443	)		(101,563	)
Change in net unrealized appreciation/depreciation		615,756			712,823
Net income (loss)	$	450,414		$	592,004

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decrease in the price of Henry Hub Natural Gas, during the three months ended September 30, 2017.

166

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016 :


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	37,919,363		$	56,037,110
NAV end of period	$	35,426,783		$	76,364,786
Percentage change in NAV		(6.6	)%		36.3	%
Shares outstanding beginning of period		496,978			796,978
Shares outstanding end of period		496,978			1,096,978
Percentage change in shares outstanding		0.0	%		37.6	%
Shares created		50,000			300,000
Shares redeemed		50,000			—
Per share NAV beginning of period	$	76.30		$	70.31
Per share NAV end of period	$	71.28		$	69.61
Percentage change in per share NAV		(6.6	)%		(1.0	)%
Percentage change in benchmark		3.3	%		0.1	%
Benchmark annualized volatility		10.6	%		10.8	%

During the three months ended September 30, 2017, the decrease in the Fund’s NAV 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. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 796,978 outstanding Shares at June 30, 2016 to 1,096,978 outstanding Shares at September 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 gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

For the three months ended September 30, 2017 and 2016, 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 6.6% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.0% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 11, 2017 at $80.26 per Share and reached its low for the period on September 8, 2017 at $64.79 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 31, 2016 at $71.19 per Share and reached its low for the period on July 6, 2016 at $65.63 per Share.

The benchmark’s rise of 3.3% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 0.1% for the three months ended September 30, 2016, can be attributed to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.

167

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	(974	)	$	(119,115	)
Management fee		86,766			163,622
Brokerage commissions		10			8
Net realized gain (loss)		(2,644,251	)		(10,296,369	)
Change in net unrealized appreciation/depreciation		300,334			9,773,255
Net income (loss)	$	(2,344,891	)	$	(642,229	)

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	23,175,549		$	32,067,220
NAV end of period	$	22,933,677		$	39,589,348
Percentage change in NAV		(1.0	)%		23.5	%
Shares outstanding beginning of period		666,976			966,976
Shares outstanding end of period		716,976			1,416,976
Percentage change in shares outstanding		7.5	%		46.5	%
Shares created		200,000			600,000
Shares redeemed		150,000			150,000
Per share NAV beginning of period	$	34.75		$	33.16
Per share NAV end of period	$	31.99		$	27.94
Percentage change in per share NAV		(7.9	)%		(15.7	)%
Percentage change in benchmark		2.4	%		5.4	%
Benchmark annualized volatility		23.7	%		30.1	%

During the three months ended September 30, 2017, 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 666,976 outstanding Shares at June 30, 2017 to 716,976 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 966,976 outstanding Shares at June 30, 2016 to 1,416,976 outstanding Shares at September 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 silver bullion as measured by the London Silver Price.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.9% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.7% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

168

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $40.39 per Share and reached its low for the period on September 8, 2017 at $27.55 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 25, 2016 at $31.18 per Share and reached its low for the period on August 2, 2016 at $25.21 per Share.

The benchmark’s rise of 2.4% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 5.4% for the three months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	(2,336	)	$	(64,078	)
Management fee		46,737			86,864
Brokerage commissions		10			8
Net realized gain (loss)		(467,217	)		(14,865,805	)
Change in net unrealized appreciation/depreciation		(393,727	)		9,509,304
Net income (loss)	$	(863,280	)	$	(5,420,579	)

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	10,433,992		$	17,125,648
NAV end of period	$	8,093,438		$	14,775,779
Percentage change in NAV		(22.4	)%		(13.7	)%
Shares outstanding beginning of period		250,000			400,000
Shares outstanding end of period		200,000			350,000
Percentage change in shares outstanding		(20.0	)%		(12.5	)%
Shares created		—			—
Shares redeemed		50,000			50,000
Per share NAV beginning of period	$	41.74		$	42.81
Per share NAV end of period	$	40.47		$	42.22
Percentage change in per share NAV		(3.0	)%		(1.4	)%
Percentage change in benchmark		3.5	%		1.2	%
Benchmark annualized volatility		7.3	%		5.9	%

169

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,000 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 30, 2017. 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 three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,000 outstanding Shares at June 30, 2016 to 350,000 outstanding Shares at September 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.

For the three months ended September 30, 2017 and 2016, 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 3.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.4% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $42.03 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $43.21 per Share and reached its low for the period on August 18, 2016 at $41.73 per Share.

The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	(3,071	)	$	(29,155	)
Management fee		21,606			36,752
Brokerage commissions		330			580
Net realized gain (loss)		(599,589	)		327,210
Change in net unrealized appreciation/depreciation		292,113			(487,210	)
Net income (loss)	$	(310,547	)	$	(189,155	)

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

170

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	11,974,974		$	18,713,405
NAV end of period	$	9,125,205		$	17,389,549
Percentage change in NAV		(23.8	)%		(7.1	)%
Shares outstanding beginning of period		250,000			350,000
Shares outstanding end of period		200,000			350,000
Percentage change in shares outstanding		(20.0	)%		0.0	%
Shares created		—			—
Shares redeemed		50,000			—
Per share NAV beginning of period	$	47.90		$	53.47
Per share NAV end of period	$	45.63		$	49.68
Percentage change in per share NAV		(4.7	)%		(7.1	)%
Percentage change in benchmark		2.1	%		2.7	%
Benchmark annualized volatility		7.3	%		9.7	%

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,000 outstanding Shares at June 30, 2017 to 200,000 outstanding Shares at September 30, 2017. 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 three months ended September 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 Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.

For the three months ended September 30, 2017 and 2016, 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 4.7% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 7.1% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 6, 2017 at $49.09 per Share and reached its low for the period on September 8, 2017 at $43.35 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $53.31 per Share and reached its low for the period on September 28, 2016 at $49.42 per Share.

The benchmark’s rise of 2.1% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 2.7% for the three months ended September 30, 2016, can be attributed to a lesser rise in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2017.

171

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	(3,456	)	$	(33,889	)
Management fee		24,991			42,820
Brokerage commissions		1,555			3,267
Net realized gain (loss)		(1,453,377	)		(318,841	)
Change in net unrealized appreciation/depreciation		837,786			(971,126	)
Net income (loss)	$	(619,047	)	$	(1,323,856	)

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser rise in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2017.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	237,012,906		$	386,660,905
NAV end of period	$	226,620,904		$	370,915,586
Percentage change in NAV		(4.4	)%		(4.1	)%
Shares outstanding beginning of period		10,250,000			15,900,000
Shares outstanding end of period		10,450,000			15,600,000
Percentage change in shares outstanding		2.0	%		(1.9	)%
Shares created		1,350,000			200,000
Shares redeemed		1,150,000			500,000
Per share NAV beginning of period	$	23.12		$	24.32
Per share NAV end of period	$	21.69		$	23.78
Percentage change in per share NAV		(6.2	)%		(2.2	)%
Percentage change in benchmark		3.5	%		1.2	%
Benchmark annualized volatility		7.3	%		5.9	%

During the three months ended September 30, 2017, 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 euro versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 10,250,000 outstanding Shares at June 30, 2017 to 10,450,000 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 15,900,000 outstanding Shares at June 30, 2016 to 15,600,000 outstanding Shares at September 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.

For the three months ended September 30, 2017 and 2016, 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 6.2% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 2.2% for the three months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

172

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 5, 2017 at $23.45 per Share and reached its low for the period on September 8, 2017 at $20.91 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $24.88 per Share and reached its low for the period on August 18, 2016 at $23.21 per Share.

The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	22,669		$	(657,657	)
Management fee		537,193			906,488
Net realized gain (loss)		(24,506,914	)		(5,535,442	)
Change in net unrealized appreciation/depreciation		10,108,092			(2,516,227	)
Net income (loss)	$	(14,376,153	)	$	(8,709,326	)

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	170,316,152		$	193,732,080
NAV end of period	$	148,459,101		$	263,899,544
Percentage change in NAV		(12.8	)%		36.2	%
Shares outstanding beginning of period		2,299,290			3,049,290
Shares outstanding end of period		1,999,290			4,349,290
Percentage change in shares outstanding		(13.0	)%		42.6	%
Shares created		150,000			1,300,000
Shares redeemed		450,000			—
Per share NAV beginning of period	$	74.07		$	63.53
Per share NAV end of period	$	74.26		$	60.68
Percentage change in per share NAV		0.3	%		(4.5	)%
Percentage change in benchmark		—^			1.8	%
Benchmark annualized volatility		8.3	%		13.4	%

^	Amount represents less than (0.05%)

173

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,299,290 outstanding Shares at June 30, 2017 to 1,999,290 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 3,049,290 outstanding Shares at June 30, 2016 to 4,349,290 outstanding Shares at September 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.

For the three months ended September 30, 2017 and 2016, 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 0.3% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 4.5% for the three months ended September 30, 2016, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $76.16 per Share and reached its low for the period on September 8, 2017 at $68.10 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $67.95 per Share and reached its low for the period on August 18, 2016 at $59.02 per Share.

The benchmark’s decline of 0.03% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.8% for the three months ended September 30, 2016, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	12,821		$	(408,214	)
Management fee		376,339			563,817
Net realized gain (loss)		(1,068,934	)		(33,476,429	)
Change in net unrealized appreciation/depreciation		(79,932	)		23,085,942
Net income (loss)	$	(1,136,045	)	$	(10,798,701	)

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.

174

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	958,703,511		$	898,563,742
NAV end of period	$	622,142,765		$	979,757,506
Percentage change in NAV		(35.1	)%		9.0	%
Shares outstanding beginning of period		64,761,317			36,938,933
Shares outstanding end of period		34,761,317			46,613,933
Percentage change in shares outstanding		(46.3	)%		26.2	%
Shares created		4,400,000			17,800,000
Shares redeemed		34,400,000			8,125,000
Per share NAV beginning of period	$	14.80		$	24.33
Per share NAV end of period	$	17.90		$	21.02
Percentage change in per share NAV		20.9	%		13.6	%
Percentage change in benchmark		11.2	%		(5.0	)%
Benchmark annualized volatility		25.6	%		40.5	%

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 64,761,317 outstanding Shares at June 30, 2017 to 34,761,317 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 36,938,933 outstanding Shares at June 30, 2016 to 46,613,933 outstanding Shares at September 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.

For the three months ended September 30, 2017 and 2016, 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 20.9% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 13.6% for the three months ended September 30, 2016, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 25, 2017 at $18.28 per Share and reached its low for the period on July 7, 2017 at $13.57 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $24.96 per Share and reached its low for the period on August 2, 2016 at $15.56 per Share.

175

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	(19,527	)	$	(1,683,430	)
Management fee		1,798,486			2,118,318
Brokerage commissions		40,850			112,742
Net realized gain (loss)		45,488,493			(246,216,521	)
Change in net unrealized appreciation/depreciation		112,829,499			165,591,081
Net income (loss)	$	158,298,465		$	(82,308,870	)

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to an increase in the price of WTI Crude Oil during the three months ended September 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 ProShares Ultra Bloomberg Crude Oil.

ProShares UltraPro 3x Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the three months ended September 30, 2016 have not been provided.

The following table provides summary performance information for the Fund for the three months ended September 30, 2017:


	Three Months Ended September 30, 2017
NAV beginning of period	$	20,499,886
NAV end of period	$	7,581,464
Percentage change in NAV		(63.0	)%
Shares outstanding beginning of period		1,050,008
Shares outstanding end of period		300,008
Percentage change in shares outstanding		(71.4	)%
Shares created		250,000
Shares redeemed		1,000,000
Per share NAV beginning of period	$	19.52
Per share NAV end of period	$	25.27
Percentage change in per share NAV		29.5	%
Percentage change in benchmark		11.2	%
Benchmark annualized volatility		25.6	%

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 1,050,008 outstanding Shares at June 30, 2017 to 300,008 outstanding Shares at September 30, 2017. 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 3x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the three months ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 25, 2017 at $26.10 per Share and reached its low for the period on July 7, 2017 at $17.04 per Share.

176

The benchmark’s rise of 11.2% for the three months ended September 30, 2017, can be attributed to an increase in the price of WTI Crude Oil during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017:


	Three Months Ended September 30, 2017
Net investment income (loss)	$	(56,323	)
Brokerage commissions		13,100
Offering costs		37,405
Reduction to Limitation by Sponsor		5,818
Net realized gain (loss)		4,971,742
Change in net unrealized appreciation/depreciation		694,326
Net income (loss)	$	5,609,745

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	43,886,614		$	43,355,961
NAV end of period	$	51,059,617		$	31,750,207
Percentage change in NAV		16.3	%		(26.8	)%
Shares outstanding beginning of period		4,492,169			2,442,169
Shares outstanding end of period		5,842,169			2,192,169
Percentage change in shares outstanding		30.1	%		(10.2	)%
Shares created		2,600,000			700,000
Shares redeemed		1,250,000			950,000
Per share NAV beginning of period	$	9.77		$	17.75
Per share NAV end of period	$	8.74		$	14.48
Percentage change in per share NAV		(10.5	)%		(18.4	)%
Percentage change in benchmark		(4.1	)%		(8.0	)%
Benchmark annualized volatility		29.6	%		36.5	%

During the three months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 4,492,169 outstanding Shares at June 30, 2017 to 5,842,169 outstanding Shares at September 30, 2017. 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 three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,442,169 outstanding Shares at June 30, 2016 to 2,192,169 outstanding Shares at September 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 Bloomberg Natural Gas Subindex^SM.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.5% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 18.4% for the three months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

177

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 18, 2017 at $9.98 per Share and reached its low for the period on August 4, 2017 at $8.09 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $18.52 per Share and reached its low for the period on August 19, 2016 at $13.41 per Share.

The benchmark’s decline of 4.1% for the three months ended September 30, 2017, as compared to the benchmark’s decline of 8.0% for the three months ended September 30, 2016, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	(42,774	)	$	(93,432	)
Management fee		110,894			85,894
Brokerage commissions		24,919			25,652
Net realized gain (loss)		(2,015,002	)		1,964,675
Change in net unrealized appreciation/depreciation		(1,076,819	)		(8,407,770	)
Net income (loss)	$	(3,134,595	)	$	(6,536,527	)

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2017.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	88,717,834		$	100,789,893
NAV end of period	$	89,587,943		$	99,949,269
Percentage change in NAV		1.0	%		(0.8	)%
Shares outstanding beginning of period		2,350,000			2,250,000
Shares outstanding end of period		2,250,000			2,250,000
Percentage change in shares outstanding		(4.3	)%		0.0	%
Shares created		50,000			50,000
Shares redeemed		150,000			50,000
Per share NAV beginning of period	$	37.75		$	44.80
Per share NAV end of period	$	39.82		$	44.42
Percentage change in per share NAV		5.5	%		(0.8	)%
Percentage change in benchmark		3.3	%		0.1	%
Benchmark annualized volatility		10.6	%		10.8	%

During the three months ended September 30, 2017, 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 2,350,000 outstanding Shares at June 30, 2017 to 2,250,000 outstanding Shares at September 30, 2017. By comparison, during the three months ended September 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 daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.

178

For the three months ended September 30, 2017 and 2016, 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 5.5% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended September 30, 2016 was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $43.95 per Share and reached its low for the period on July 11, 2017 at $35.83 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on September 16, 2016 at $43.55 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	7,054		$	(172,490	)
Management fee		224,583			245,192
Brokerage commissions		10			8
Net realized gain (loss)		5,462,857			12,630,084
Change in net unrealized appreciation/depreciation		(546,321	)		(13,422,965	)
Net income (loss)	$	4,923,590		$	(965,371	)

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2017.

179

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	245,798,564		$	386,838,399
NAV end of period	$	244,805,182		$	372,251,128
Percentage change in NAV		(0.4	)%		(3.8	)%
Shares outstanding beginning of period		7,396,526			8,496,526
Shares outstanding end of period		7,196,526			7,596,526
Percentage change in shares outstanding		(2.7	)%		(10.6	)%
Shares created		300,000			150,000
Shares redeemed		500,000			1,050,000
Per share NAV beginning of period	$	33.23		$	45.53
Per share NAV end of period	$	34.02		$	49.00
Percentage change in per share NAV		2.4	%		7.6	%
Percentage change in benchmark		2.4	%		5.4	%
Benchmark annualized volatility		23.7	%		30.1	%

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 7,396,526 outstanding Shares at June 30, 2017 to 7,196,526 outstanding Shares at September 30, 2017. 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 silver bullion as measured by the London Silver Price. By comparison, during the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 8,496,526 outstanding Shares at June 30, 2016 to 7,596,526 outstanding Shares at September 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 silver bullion as measured by the London Silver Price.

For the three months ended September 30, 2017 and 2016, 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 2.4% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 7.6% for the three months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $39.85 per Share and reached its low for the period on July 10, 2017 at $28.26 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on August 25, 2016 at $45.25 per Share.

180

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017		Three Months Ended September 30, 2016
Net investment income (loss)	$	543	$	(701,202	)
Management fee		612,285		978,671
Brokerage commissions		10		9
Net realized gain (loss)		1,063,548		119,372,702
Change in net unrealized appreciation/depreciation		7,164,374		(88,236,402	)
Net income (loss)	$	8,228,465	$	30,435,098

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2017.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	12,928,079		$	9,532,904
NAV end of period	$	13,705,608		$	9,678,714
Percentage change in NAV		6.0	%		1.5	%
Shares outstanding beginning of period		800,000			600,000
Shares outstanding end of period		800,000			600,000
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		450,000			—
Shares redeemed		450,000			—
Per share NAV beginning of period	$	16.16		$	15.89
Per share NAV end of period	$	17.13		$	16.13
Percentage change in per share NAV		6.0	%		1.5	%
Percentage change in benchmark		3.5	%		1.2	%
Benchmark annualized volatility		7.3	%		5.9	%

During the three months ended September 30, 2017, 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 euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017. By comparison, during the three months ended September 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 euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 1.5% for the three months ended September 30, 2016, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

181

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $17.79 per Share and reached its low for the period on July 5, 2017 at $15.93 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $16.58 per Share and reached its low for the period on July 22, 2016 at $15.50 per Share.

The benchmark’s rise of 3.5% for the three months ended September 30, 2017, as compared to the benchmark’s rise of 1.2% for the three months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	(1,256	)	$	(16,659	)
Management fee		31,427			22,916
Net realized gain (loss)		1,259,650			46,258
Change in net unrealized appreciation/depreciation		(519,604	)		116,211
Net income (loss)	$	738,790		$	145,810

The Fund’s net income increased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2017.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
NAV beginning of period	$	5,866,403		$	7,265,264
NAV end of period	$	5,804,920		$	7,443,729
Percentage change in NAV		(1.0	)%		2.5	%
Shares outstanding beginning of period		99,970			99,970
Shares outstanding end of period		99,970			99,970
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	58.68		$	72.67
Per share NAV end of period	$	58.07		$	74.46
Percentage change in per share NAV		(1.0	)%		2.5	%
Percentage change in benchmark		—^			1.8	%
Benchmark annualized volatility		8.3	%		13.4	%

^	Amount represents less than (0.05%)

182

During the three months ended September 30, 2017, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2017 to September 30, 2017. By comparison, during the three months ended September 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 June 30, 2016 to September 30, 2016.

For the three months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.0% for the three months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 2.5% for the three months ended September 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended September 30, 2017.

During the three months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $63.45 per Share and reached its low for the period on July 10, 2017 at $57.04 per Share. By comparison, during the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on July 20, 2016 at $67.53 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2017 and 2016:


	Three Months Ended September 30, 2017			Three Months Ended September 30, 2016
Net investment income (loss)	$	(4,166	)	$	(12,886	)
Management fee		14,387			17,545
Net realized gain (loss)		(4,545	)		955,119
Change in net unrealized appreciation/depreciation		(52,772	)		(763,768	)
Net income (loss)	$	(61,483	)	$	178,465

The Fund’s net income decreased for the three months ended September 30, 2017, as compared to the three months ended September 30, 2016, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2017.

183

Results of Operations for the Nine Months Ended September 30, 2017 Compared to the Nine Months Ended September 30, 2016

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	174,160,146		$	105,272,823
NAV end of period	$	191,364,819		$	227,819,218
Percentage change in NAV		9.9	%		116.4	%
Shares outstanding beginning of period		2,052,363			397,491
Shares outstanding end of period		5,876,317			1,996,113
Percentage change in shares outstanding		186.3	%		402.2	%
Shares created		6,125,000			2,497,500
Shares redeemed		2,301,046			898,878
Per share NAV beginning of period	$	84.86		$	264.84
Per share NAV end of period	$	32.57		$	114.13
Percentage change in per share NAV		(61.6	)%		(56.9	)%
Percentage change in benchmark		(61.5	)%		(56.7	)%
Benchmark annualized volatility		53.1	%		78.7	%

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,052,363 outstanding Shares at December 31, 2016 to 5,876,317 outstanding Shares at September 30, 2017. 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 nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 397,491 outstanding Shares at December 31, 2015 to 1,996,113 outstanding Shares at September 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.

For the nine months ended September 30, 2017 and 2016, 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 61.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 56.9% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $78.33 per Share and reached its low for the period on September 29, 2017 at $32.56 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $391.88 per Share and reached its low for the period on September 28, 2016 at $110.88 per Share.

The benchmark’s decline of 61.5% for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.

184

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(356,273	)	$	(1,116,018	)
Management fee		1,004,091			1,210,844
Brokerage commission		138,487			229,993
Net realized gain (loss)		(126,203,648	)		(134,339,691	)
Change in net unrealized appreciation/depreciation		(17,854,285	)		(8,439,809	)
Net income (loss)	$	(144,414,206	)	$	(143,895,518	)

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in the futures prices and benchmark volatility during the nine months ended September 30, 2017.

*	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 nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	45,818,914		$	27,650,638
NAV end of period	$	45,047,423		$	58,894,811
Percentage change in NAV		(1.7	)%		113.0	%
Shares outstanding beginning of period		1,087,403			512,404
Shares outstanding end of period		1,787,403			1,287,403
Percentage change in shares outstanding		64.4	%		151.2	%
Shares created		850,000			950,000
Shares redeemed		150,000			175,001
Per share NAV beginning of period	$	42.14		$	53.96
Per share NAV end of period	$	25.20		$	45.75
Percentage change in per share NAV		(40.2	)%		(15.2	)%
Percentage change in benchmark		(39.7	)%		(14.5	)%
Benchmark annualized volatility		21.3	%		36.6	%

During the nine months ended September 30, 2017, 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 1,087,403 outstanding Shares at December 31, 2016 to 1,787,403 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 512,404 outstanding Shares at December 31, 2015 to 1,287,403 outstanding Shares at September 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.

185

For the nine months ended September 30, 2017 and 2016, 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 40.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.2% for the nine months ended September 30, 2016 was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $40.96 per Share and reached its low for the period on August 1, 2017 at $24.92 per Share. By comparison, during the nine months ended September 30, 2016, 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 September 28, 2016 at $45.62 per Share.

The benchmark’s decline of 39.7% for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 14.5% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(83,495	)	$	(210,903	)
Management fee		235,818			251,163
Brokerage commission		11,815			23,544
Net realized gain (loss)		(19,180,662	)		(5,248,593	)
Change in net unrealized appreciation/depreciation		(651,228	)		(1,908,048	)
Net income (loss)	$	(19,915,385	)	$	(7,367,544	)

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in futures prices during the nine months ended September 30, 2017.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	228,075,387		$	642,811,361
NAV end of period	$	1,039,873,910		$	504,798,665
Percentage change in NAV		355.9	%		(21.5	)%
Shares outstanding beginning of period		5,000,000			25,300,080
Shares outstanding end of period		11,100,000			13,900,000
Percentage change in shares outstanding		122.0	%		(45.1	)%
Shares created		46,750,000			88,100,000
Shares redeemed		40,650,000			99,500,080
Per share NAV beginning of period	$	45.62		$	25.41
Per share NAV end of period	$	93.68		$	36.32
Percentage change in per share NAV		105.3	%		42.9	%
Percentage change in benchmark		(61.5	)%		(56.7	)%
Benchmark annualized volatility		53.1	%		78.7	%

186

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 5,000,000 outstanding Shares at December 31, 2016 to 11,100,000 outstanding Shares at September 30, 2017. 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 S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 25,300,080 outstanding Shares at December 31, 2015 to 13,900,000 outstanding Shares at September 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 the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2017 and 2016, 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 105.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 42.9% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 29, 2017 at $93.68 per Share and reached its low for the period on January 3, 2017 at $49.10 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $39.58 per Share and reached its low for the period on February 11, 2016 at $15.75 per Share.

The benchmark’s decline of 61.5%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline of the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(3,913,203	)	$	(4,236,471	)
Management fee		4,636,720			3,561,744
Brokerage commission		2,761,371			1,522,859
Net realized gain (loss)		471,123,858			262,990,607
Change in net unrealized appreciation/depreciation		104,609,483			16,725,819
Net income (loss)	$	571,820,138		$	275,479,955

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decline in futures prices during the nine months ended September 30, 2017.

*	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 Short VIX Short-Term Futures ETF.

187

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	515,758,754		$	547,708,740
NAV end of period	$	535,095,732		$	738,749,800
Percentage change in NAV		3.7	%		34.9	%
Shares outstanding beginning of period		2,965,383			195,025
Shares outstanding end of period		25,927,238			2,185,383
Percentage change in shares outstanding		774.3	%		1,020.6	%
Shares created		51,185,000			3,857,000
Shares redeemed		28,223,145			1,866,642
Per share NAV beginning of period	$	173.93		$	2,808.40
Per share NAV end of period	$	20.64		$	338.04
Percentage change in per share NAV		(88.1	)%		(88.0	)%
Percentage change in benchmark		(61.5	)%		(56.7	)%
Benchmark annualized volatility		53.1	%		78.7	%

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,965,383 outstanding Shares at December 31, 2016 to 25,927,238 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 195,025 outstanding Shares at December 31, 2015 to 2,185,383 outstanding Shares at September 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 S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2017 and 2016, 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 88.1% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 88.0% for the nine months ended September 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $147.20 per Share and reached its low for the period on September 29, 2017 at $20.64 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $5,715.40 per Share and reached its low for the period on September 28, 2016 at $319.60 per Share.

The benchmark’s decline of 61.5%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 56.7% for the nine months ended September 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2017.

188

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(3,866,250	)	$	(7,007,927	)
Management fee		2,880,339			5,006,558
Brokerage commission		2,819,322			3,228,763
Net realized gain (loss)		(646,063,604	)		(1,269,208,841	)
Change in net unrealized appreciation/depreciation		(93,756,755	)		(51,154,812	)
Net income (loss)	$	(743,686,609	)	$	(1,327,371,580	)

*	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 Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	200,958,303		$	95,897,894
NAV end of period	$	238,227,025		$	189,577,580
Percentage change in NAV		18.5	%		97.7	%
Shares outstanding beginning of period		6,339,884			1,439,888
Shares outstanding end of period		7,089,884			4,739,884
Percentage change in shares outstanding		11.8	%		229.2	%
Shares created		10,700,000			13,100,000
Shares redeemed		9,950,000			9,800,004
Per share NAV beginning of period	$	31.70		$	66.60
Per share NAV end of period	$	33.60		$	40.00
Percentage change in per share NAV		6.0	%		(39.9	)%
Percentage change in benchmark		(9.4	)%		(0.3	)%
Benchmark annualized volatility		25.4	%		47.3	%

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 6,339,884 outstanding Shares at December 31, 2016 to 7,089,884 outstanding Shares at September 30, 2017. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,439,888 outstanding Shares at December 31, 2015 to 4,739,884 outstanding Shares at September 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 inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.0% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 39.9% for the nine months ended September 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

189

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $51.13 per Share and reached its low for the period on January 6, 2017 at $31.36 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 20, 2016 at $116.11 per Share and reached its low for the period on June 8, 2016 at $37.22 per Share.

The benchmark’s decline of 9.4%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 0.3% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(426,772	)	$	(1,070,888	)
Management fee		1,374,438			1,291,075
Brokerage commission		50,772			125,327
Net realized gain (loss)		49,805,940			(36,901,010	)
Change in net unrealized appreciation/depreciation		(5,398,492	)		(29,797,685	)
Net income (loss)	$	43,980,676		$	(67,769,583	)

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2017.

*	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 Crude Oil.

ProShares UltraPro 3x Short Crude Oil ETF

Fund Performance

Since the Fund commenced investment operations on March 24, 2017, comparisons of the Fund’s results of operations for the period ended September 30, 2016 have not been provided. In addition, since the Fund commenced operations on March 24, 2017, the Fund’s results of operations for the period ended September 30, 2017 may not be meaningful.

190

The following table provides summary performance information for the Fund from commencement of operations to September 30, 2017:


	March 24, 2017 (Commencement of Operations) through September 30, 2017
NAV beginning of period	$	200
NAV end of period	$	15,768,728
Percentage change in NAV		NM
Shares outstanding beginning of period		8
Shares outstanding end of period		900,008
Percentage change in shares outstanding		NM
Shares created		1,050,008
Shares redeemed		150,000
Per share NAV beginning of period	$	25.00
Per share NAV end of period	$	17.52
Percentage change in per share NAV		(29.9	)%
Percentage change in benchmark		(4.8	)%
Benchmark annualized volatility		26.1	%

NM — Not Meaningful

During the period ended September 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 8 outstanding Shares at March 24, 2017 to 900,008 outstanding Shares at September 30, 2017. 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 3x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the period ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the inverse of the daily performance of its benchmark.

During the period ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on June 21, 2017 at $33.88 per Share and reached its low for the period on September 25, 2017 at $17.00 per Share.

The benchmark’s decline of 4.8% for the period ended September 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to September 30, 2017:


	March 24, 2017 (Commencement of Operations) through September 30, 2017
Net investment income (loss)	$	(59,643	)
Brokerage commission		17,296
Offering costs		77,250
Limitation by Sponsor		(34,903	)
Net realized gain (loss)		232,006
Change in net unrealized appreciation/depreciation		(2,423,370	)
Net income (loss)	$	(2,251,007	)

191

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	4,038,794		$	10,462,856
NAV end of period	$	5,921,434		$	6,349,132
Percentage change in NAV		46.6	%		(39.3	)%
Shares outstanding beginning of period		174,832			224,856
Shares outstanding end of period		174,832			174,832
Percentage change in shares outstanding		0.0	%		(22.2	)%
Shares created		300,000			850,000
Shares redeemed		300,000			900,024
Per share NAV beginning of period	$	23.10		$	46.53
Per share NAV end of period	$	33.87		$	36.32
Percentage change in per share NAV		46.6	%		(21.9	)%
Percentage change in benchmark		(27.9	)%		(5.9	)%
Benchmark annualized volatility		34.64	%		39.6	%

During the nine months ended September 30, 2017, 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 Bloomberg Natural Gas Subindex^SM. There was no net change in the Fund’s outstanding Shares from December 31, 2016 to September 30, 2017. By comparison, during the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,856 outstanding Shares at December 31, 2015 to 174,832 outstanding Shares at September 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 Bloomberg Natural Gas Subindex^SM.

For the nine months ended September 30, 2017 and 2016, 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 46.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 21.9% for the nine months ended September 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the nine months September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on February 22, 2017 at $39.72 per Share and reached its low for the period on January 26, 2017 at $25.38 per Share. By comparison, during the nine months ended September 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 September 21, 2016 at $31.43 per Share.

The benchmark’s decline of 27.9%for the nine months ended September 30, 2017, as compared to the benchmark’s decline of 5.9% for the nine months ended September 30, 2016, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2017.

192

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(44,874	)	$	(107,463	)
Management fee		51,110			70,066
Brokerage commission		19,673			53,910
Net realized gain (loss)		1,755,918			458,954
Change in net unrealized appreciation/depreciation		830,801			2,803,491
Net income (loss)	$	2,541,845		$	3,154,982

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater decrease in the price of Henry Hub Natural Gas, in conjunction with a significant decline in average shares outstanding during the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	63,653,647		$	74,971,764
NAV end of period	$	35,426,783		$	76,364,786
Percentage change in NAV		(44.3	)%		1.9	%
Shares outstanding beginning of period		696,978			646,978
Shares outstanding end of period		496,978			1,096,978
Percentage change in shares outstanding		(28.7	)%		69.6	%
Shares created		300,000			1,000,000
Shares redeemed		500,000			550,000
Per share NAV beginning of period	$	91.33		$	115.88
Per share NAV end of period	$	71.28		$	69.61
Percentage change in per share NAV		(22.0	)%		(39.9	)%
Percentage change in benchmark		12.0	%		24.8	%
Benchmark annualized volatility		11.7	%		17.0	%

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 696,978 outstanding Shares at December 31, 2016 to 496,978 outstanding Shares at September 30, 2017. 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 nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 646,978 outstanding Shares at December 31, 2015 to 1,096,978 outstanding Shares at September 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 gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

For the nine months ended September 30, 2017 and 2016, 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 22.0% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 39.9% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

193

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $90.53 per Share and reached its low for the period on September 8, 2017 at $64.79 per Share. By comparison, during the nine months ended September 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 July 6, 2016 at $65.63 per Share.

The benchmark’s rise of 12.0%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 24.8% for the nine months ended September 30, 2016, can be attributed to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(66,015	)	$	(350,865	)
Management fee		268,125			469,612
Brokerage commission		39			33
Net realized gain (loss)		(10,940,120	)		(29,965,948	)
Change in net unrealized appreciation/depreciation		(99,988	)		(225,049	)
Net income (loss)	$	(11,106,123	)	$	(30,541,862	)

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2017.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	23,017,656		$	55,987,938
NAV end of period	$	22,933,677		$	39,589,348
Percentage change in NAV		(0.4	)%		(29.3	)%
Shares outstanding beginning of period		616,976			866,978
Shares outstanding end of period		716,976			1,416,976
Percentage change in shares outstanding		16.2	%		63.4	%
Shares created		700,000			1,600,000
Shares redeemed		600,000			1,050,002
Per share NAV beginning of period	$	37.31		$	64.58
Per share NAV end of period	$	31.99		$	27.94
Percentage change in per share NAV		(14.3	)%		(56.7	)%
Percentage change in benchmark		3.8	%		40.0	%
Benchmark annualized volatility		19.6	%		27.1	%

194

During the nine months ended September 30, 2017, 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 616,976 outstanding Shares at December 31, 2016 to 716,976 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 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 866,978 outstanding Shares at December 31, 2015 to 1,416,976 outstanding Shares at September 30, 2016.

For the nine months ended September 30, 2017 and 2016, 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 nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 56.7% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on July 10, 2017 at $40.39 per Share and reached its low for the period on September 8, 2017 at $27.55 per Share. By comparison, during the nine months ended September 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 August 2, 2016 at $25.21 per Share.

The benchmark’s rise of 3.8%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 40.0% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(40,264	)	$	(210,102	)
Management fee		143,542			281,605
Brokerage commission		39			33
Net realized gain (loss)		(2,693,510	)		(26,657,499	)
Change in net unrealized appreciation/depreciation		745,784			(4,263,685	)
Net income (loss)	$	(1,987,990	)	$	(31,131,286	)

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

195

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	15,770,088		$	17,510,898
NAV end of period	$	8,093,438		$	14,775,779
Percentage change in NAV		(48.7	)%		(15.6	)%
Shares outstanding beginning of period		350,000			400,005
Shares outstanding end of period		200,000			350,000
Percentage change in shares outstanding		(42.9	)%		(12.5	)%
Shares created		—			50,000
Shares redeemed		150,000			100,005
Per share NAV beginning of period	$	45.06		$	43.78
Per share NAV end of period	$	40.47		$	42.22
Percentage change in per share NAV		(10.2	)%		(3.6	)%
Percentage change in benchmark		12.3	%		3.4	%
Benchmark annualized volatility		7.4	%		8.3	%

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 30, 2017. 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 nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 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.

For the nine months ended September 30, 2017 and 2016, 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 10.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 3.6% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $45.65 per Share and reached its low for the period on September 8, 2017 at $39.73 per Share. By comparison, during the nine months ended September 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.

The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

196

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(36,347	)	$	(95,407	)
Management fee		92,259			116,244
Brokerage commission		1,433			2,009
Net realized gain (loss)		(1,335,372	)		(199,557	)
Change in net unrealized appreciation/depreciation		(26,290	)		(268,792	)
Net income (loss)	$	(1,398,009	)	$	(563,756	)

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar and a higher asset base during the nine months ended September 30, 2017.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	16,613,473		$	20,460,679
NAV end of period	$	9,125,205		$	17,389,549
Percentage change in NAV		(45.1	)%		(15.0	)%
Shares outstanding beginning of period		300,000			350,005
Shares outstanding end of period		200,000			350,000
Percentage change in shares outstanding		(33.3	)%		—^
Shares created		—			—
Shares redeemed		100,000			5
Per share NAV beginning of period	$	55.38		$	58.46
Per share NAV end of period	$	45.63		$	49.68
Percentage change in per share NAV		(17.6	)%		(15.0	)%
Percentage change in benchmark		8.7	%		5.1	%
Benchmark annualized volatility		7.7	%		12.1	%

^	Amount represents less than 0.05%

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2016 to 200,000 outstanding Shares at September 30, 2017. 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 nine months ended September 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 September 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.

For the nine months ended September 30, 2017 and 2016, 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 17.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 15.0% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

197

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $55.24 per Share and reached its low for the period on September 8, 2017 at $43.35 per Share. By comparison, during the nine months ended September 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.

The benchmark’s rise of 8.7%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 5.1% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(42,311	)	$	(115,076	)
Management fee		94,837			136,306
Brokerage commission		6,088			11,011
Net realized gain (loss)		(1,920,783	)		(2,462,114	)
Change in net unrealized appreciation/depreciation		(802,007	)		(493,626	)
Net income (loss)	$	(2,765,101	)	$	(3,070,816	)

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the Australian dollar versus the U.S. dollar, in conjunction with a significant decline in shares outstanding, during the nine months ended September 30, 2017.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	349,392,650		$	522,306,518
NAV end of period	$	226,620,904		$	370,915,586
Percentage change in NAV		(35.1	)%		(29.0	)%
Shares outstanding beginning of period		12,900,000			20,450,014
Shares outstanding end of period		10,450,000			15,600,000
Percentage change in shares outstanding		(19.0	)%		(23.7	)%
Shares created		1,800,000			650,000
Shares redeemed		4,250,000			5,500,014
Per share NAV beginning of period	$	27.08		$	25.54
Per share NAV end of period	$	21.69		$	23.78
Percentage change in per share NAV		(19.9	)%		(6.9	)%
Percentage change in benchmark		12.3	%		3.4	%
Benchmark annualized volatility		7.4	%		8.3	%

198

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 12,900,000 outstanding Shares at December 31, 2016 to 10,450,000 outstanding Shares at September 30, 2017. 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 nine months ended September 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 15,600,000 outstanding Shares at September 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.

For the nine months ended September 30, 2017 and 2016, 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 19.9% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 6.9% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $27.74 per Share and reached its low for the period on September 8, 2017 at $20.91 per Share. By comparison, during the nine months ended September 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.

The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(461,825	)	$	(2,129,104	)
Management fee		1,914,770			2,894,802
Net realized gain (loss)		(45,338,431	)		(60,591,510	)
Change in net unrealized appreciation/depreciation		(12,255,062	)		30,468,759
Net income (loss)	$	(58,055,318	)	$	(32,251,855	)

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

199

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	276,781,747		$	237,372,900
NAV end of period	$	148,459,101		$	263,899,544
Percentage change in NAV		(46.4	)%		11.2	%
Shares outstanding beginning of period		3,449,290			2,699,294
Shares outstanding end of period		1,999,290			4,349,290
Percentage change in shares outstanding		(42.0	)%		61.1	%
Shares created		900,000			2,100,000
Shares redeemed		2,350,000			450,004
Per share NAV beginning of period	$	80.24		$	87.94
Per share NAV end of period	$	74.26		$	60.68
Percentage change in per share NAV		(7.5	)%		(31.0	)%
Percentage change in benchmark		3.9	%		18.5	%
Benchmark annualized volatility		8.7	%		13.0	%

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,449,290 outstanding Shares at December 31, 2016 to 1,999,290 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,699,294 outstanding Shares at December 31, 2015 to 4,349,290 outstanding Shares at September 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.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.5% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 31.0% for the nine months ended September 30, 2016, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $81.40 per Share and reached its low for the period on September 8, 2017 at $68.10 per Share. By comparison, during the nine months ended September 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 August 18, 2016 at $59.02 per Share.

The benchmark’s rise of 3.9%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 18.5% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.

200

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(396,084	)	$	(1,133,789	)
Management fee		1,468,775			1,462,231
Net realized gain (loss)		(17,532,916	)		(86,179,609	)
Change in net unrealized appreciation/depreciation		(7,490,982	)		14,046,211
Net income (loss)	$	(25,419,982	)	$	(73,267,187	)

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	933,731,860		$	783,922,475
NAV end of period	$	622,142,765		$	979,757,506
Percentage change in NAV		(33.4	)%		25.0	%
Shares outstanding beginning of period		40,013,933			31,163,934
Shares outstanding end of period		34,761,317			46,613,933
Percentage change in shares outstanding		(13.1	)%		49.6	%
Shares created		65,600,000			50,475,000
Shares redeemed		70,852,616			35,025,001
Per share NAV beginning of period	$	23.34		$	25.15
Per share NAV end of period	$	17.90		$	21.02
Percentage change in per share NAV		(23.3	)%		(16.4	)%
Percentage change in benchmark		(9.4	)%		(0.3	)%
Benchmark annualized volatility		25.4	%		47.3	%

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 40,013,933 outstanding Shares at December 31, 2016 to 34,761,317 outstanding Shares at September 30, 2017. 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 WTI Crude Oil Subindex^SM. By comparison, during the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 31,163,934 outstanding Shares at December 31, 2015 to 46,613,933 outstanding Shares at September 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.

For the nine months ended September 30, 2017 and 2016, 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 23.3% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 16.4% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

201

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 6, 2017 at $23.49 per Share and reached its low for the period on June 21, 2017 at $12.64 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on June 8, 2016 at $28.16 per Share and reached its low for the period on February 11, 2016 at $12.02 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(1,483,954	)	$	(4,978,159	)
Management fee		5,773,725			6,031,448
Brokerage commission		147,117			443,936
Net realized gain (loss)		(123,526,841	)		(132,886,039	)
Change in net unrealized appreciation/depreciation		(6,245,549	)		190,350,573
Net income (loss)	$	(131,256,344	)	$	52,486,375

*	See Note 1 of the Notes to Financial Statements in Item 1 of part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for ProShares Ultra Bloomberg Crude Oil.

ProShares UltraPro 3x Crude Oil ETF

Fund Performance

202

The following table provides summary performance information for the Fund from commencement of operations to September 30, 2017:


	March 24, 2017 (Commencement of Operations) through September 30, 2017
NAV beginning of period	$	200
NAV end of period	$	7,581,464
Percentage change in NAV		NM
Shares outstanding beginning of period		8
Shares outstanding end of period		300,008
Percentage change in shares outstanding		NM
Shares created		1,400,008
Shares redeemed		1,100,000
Per share NAV beginning of period	$	25.00
Per share NAV end of period	$	25.27
Percentage change in per share NAV		1.1	%
Percentage change in benchmark		(4.8	)%
Benchmark annualized volatility		26.1	%

NM – Not Meaningful

During the period ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 8 outstanding Shares at March 24, 2017 to 300,008 outstanding Shares at September 30, 2017. 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 3x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the period ended September 30, 2017, the Fund’s daily performance had a statistical correlation over 0.99 to 3x of the daily performance of its benchmark.

During the period ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 11, 2017 at $34.26 per Share and reached its low for the period on June 21, 2017 at $15.44 per Share.

The benchmark’s decline of 4.8% for the period ended September 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to September 30, 2017:


	March 24, 2017 (Commencement of Operations) through September 30, 2017
Net investment income (loss)	$	(99,140	)
Brokerage commission		24,374
Offering costs		77,250
Limitation by Sponsor		(2,484	)
Net realized gain (loss)		3,137,907
Change in net unrealized appreciation/depreciation		1,272,779
Net income (loss)	$	4,311,546

203

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	43,203,386		$	38,851,184
NAV end of period	$	51,059,617		$	31,750,207
Percentage change in NAV		18.2	%		(18.3	)%
Shares outstanding beginning of period		2,292,169			2,092,170
Shares outstanding end of period		5,842,169			2,192,169
Percentage change in shares outstanding		154.9	%		4.8	%
Shares created		6,600,000			2,200,000
Shares redeemed		3,050,000			2,100,001
Per share NAV beginning of period	$	18.85		$	18.57
Per share NAV end of period	$	8.74		$	14.48
Percentage change in per share NAV		(53.6	)%		(22.0	)%
Percentage change in benchmark		(27.9	)%		(5.9	)%
Benchmark annualized volatility		34.6	%		39.6	%

During the nine months ended September 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,292,169 outstanding Shares at December 31, 2016 to 5,842,169 outstanding Shares at September 30, 2017. 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 nine months ended September 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 daily performance of the Bloomberg Natural Gas Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 2,092,170 outstanding Shares at December 31, 2015 to 2,192,169 outstanding Shares at September 30, 2016.

For the nine months ended September 30, 2017 and 2016, 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 53.6% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV decrease of 22.0% for the nine months ended September 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on January 17, 2017 at $15.76 per Share and reached its low for the period on August 4, 2017 at $8.09 per Share. By comparison, during the nine months ended September 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.

204

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(190,949	)	$	(282,519	)
Management fee		318,839			229,760
Brokerage commission		71,984			98,016
Net realized gain (loss)		(21,041,439	)		6,591,292
Change in net unrealized appreciation/depreciation		(3,507,126	)		(7,750,780	)
Net income (loss)	$	(24,739,514	)	$	(1,442,007	)

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	92,127,200		$	69,864,815
NAV end of period	$	89,587,943		$	99,949,269
Percentage change in NAV		(2.8	)%		43.1	%
Shares outstanding beginning of period		2,800,000			2,350,014
Shares outstanding end of period		2,250,000			2,250,000
Percentage change in shares outstanding		(19.6	)%		(4.3	)%
Shares created		400,000			150,000
Shares redeemed		950,000			250,014
Per share NAV beginning of period	$	32.90		$	29.73
Per share NAV end of period	$	39.82		$	44.42
Percentage change in per share NAV		21.0	%		49.4	%
Percentage change in benchmark		12.0	%		24.8	%
Benchmark annualized volatility		11.6	%		17.0	%

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,800,000 outstanding Shares at December 31, 2016 to 2,250,000 outstanding Shares at September 30, 2017. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the nine months ended September 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 2,350,014 outstanding Shares at December 31, 2015 to 2,250,000 outstanding Shares at September 30, 2016.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 21.0% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 49.4% for the nine months ended September 30, 2016 was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

205

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $43.95 per Share and reached its low for the period on January 3, 2017 at $33.18 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on January 5, 2016 at $30.67 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(160,597	)	$	(486,568	)
Management fee		692,340			665,265
Brokerage commission		39			33
Net realized gain (loss)		23,363,236			33,704,266
Change in net unrealized appreciation/depreciation		(3,986,925	)		(208,227	)
Net income (loss)	$	19,215,714		$	33,009,471

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to lesser increase in the price of spot gold in U.S. dollar terms in conjunction with share transactions during the nine months ended September 30, 2017.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	275,779,940		$	216,416,642
NAV end of period	$	244,805,182		$	372,251,128
Percentage change in NAV		(11.2	)%		72.0	%
Shares outstanding beginning of period		8,246,526			7,996,533
Shares outstanding end of period		7,196,526			7,596,526
Percentage change in shares outstanding		(12.7	)%		(5.0	)%
Shares created		950,000			1,500,000
Shares redeemed		2,000,000			1,900,007
Per share NAV beginning of period	$	33.44		$	27.06
Per share NAV end of period	$	34.02		$	49.00
Percentage change in per share NAV		1.7	%		81.1	%
Percentage change in benchmark		3.8	%		40.0	%
Benchmark annualized volatility		19.6	%		27.1	%

206

During the nine months ended September 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 8,246,526 outstanding Shares at December 31, 2016 to 7,196,526 outstanding Shares at September 30, 2017. 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 silver bullion as measured by the London Silver Price. By comparison, during the nine months ended September 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 silver bullion as measured by the London Silver Price. The increase in the Fund’s NAV was offset by a decrease from 7,996,533 outstanding Shares at December 31, 2015 to 7,596,526 outstanding Shares at September 30, 2016.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.7% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 81.1% for the nine months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 13, 2017 at $42.76 per Share and reached its low for the period on July 10, 2017 at $28.26 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on January 28, 2016 at $25.96 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(474,113	)	$	(1,713,227	)
Management fee		1,971,071			2,300,935
Brokerage commission		49			36
Net realized gain (loss)		20,326,492			174,873,081
Change in net unrealized appreciation/depreciation		(7,233,752	)		9,844,227
Net income (loss)	$	12,618,627		$	183,004,081

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2017.

207

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	11,914,585		$	10,857,730
NAV end of period	$	13,705,608		$	9,678,714
Percentage change in NAV		15.0	%		(10.9	)%
Shares outstanding beginning of period		850,000			700,014
Shares outstanding end of period		800,000			600,000
Percentage change in shares outstanding		(5.9	)%		(14.3	)%
Shares created		1,200,000			50,000
Shares redeemed		1,250,000			150,014
Per share NAV beginning of period	$	14.02		$	15.51
Per share NAV end of period	$	17.13		$	16.13
Percentage change in per share NAV		22.2	%		4.0	%
Percentage change in benchmark		12.3	%		3.4	%
Benchmark annualized volatility		7.4	%		8.3	%

During the nine months ended September 30, 2017, 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 euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 850,000 outstanding Shares at December 31, 2016 to 800,000 outstanding Shares at September 30, 2017. By comparison, during the nine months ended September 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 September 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.

For the nine months ended September 30, 2017 and 2016, 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 22.2% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 4.0% for the nine months ended September 30, 2016, was primarily due to a greater appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on September 8, 2017 at $17.79 per Share and reached its low for the period on January 3, 2017 at $13.68 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on April 1, 2016 at $16.89 per Share and reached its low for the period on April 14, 2016 at $13.95 per Share.

The benchmark’s rise of 12.3%for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 3.4% for the nine months ended September 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

208

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(26,051	)	$	(53,805	)
Management fee		95,974			71,859
Net realized gain (loss)		2,666,306			1,156,114
Change in net unrealized appreciation/depreciation		364,855			(654,956	)
Net income (loss)	$	3,005,110		$	447,353

The Fund’s net income increased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2017.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
NAV beginning of period	$	5,540,957		$	5,473,848
NAV end of period	$	5,804,920		$	7,443,729
Percentage change in NAV		4.8	%		36.0	%
Shares outstanding beginning of period		99,970			99,974
Shares outstanding end of period		99,970			99,970
Percentage change in shares outstanding		—^			—^
Shares created		—			—
Shares redeemed		—			4
Per share NAV beginning of period	$	55.43		$	54.75
Per share NAV end of period	$	58.07		$	74.46
Percentage change in per share NAV		4.8	%		36.0	%
Percentage change in benchmark		3.9	%		18.5	%
Benchmark annualized volatility		8.7	%		13.0	%

^	Amount represents less than 0.05%

During the nine months ended September 30, 2017, 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 December 31, 2016 to September 30, 2017. By comparison, during the nine months ended September 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 in the Fund’s NAV was offset by a decrease from 99,974 outstanding Shares at December 31, 2015 to 99,970 outstanding Shares at September 30, 2016.

For the nine months ended September 30, 2017 and 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.8% for the nine months ended September 30, 2017, as compared to the Fund’s per Share NAV increase of 36.0% for the nine months ended September 30, 2016, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the nine months ended September 30, 2017.

209

During the nine months ended September 30, 2017, the Fund’s per Share NAV reached its high for the period on April 18, 2017 at $63.59 per Share and reached its low for the period on January 3, 2017 at $54.62 per Share. By comparison, during the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on January 29, 2016 at $53.85 per Share.

The benchmark’s rise of 3.9% for the nine months ended September 30, 2017, as compared to the benchmark’s rise of 18.5% for the nine months ended September 30, 2016, can be attributed to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2017 and 2016:


	Nine Months Ended September 30, 2017			Nine Months Ended September 30, 2016
Net investment income (loss)	$	(20,949	)	$	(35,548	)
Management fee		42,356			47,356
Net realized gain (loss)		338,006			2,273,202
Change in net unrealized appreciation/depreciation		(53,094	)		(267,574	)
Net income (loss)	$	263,963		$	1,970,080

The Fund’s net income decreased for the nine months ended September 30, 2017, as compared to the nine months ended September 30, 2016, primarily due to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2017.

210

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 September 30, 2017 and 2016, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF:

As of September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2017


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Long		October 2017		9,373	$	11.68		1,000	$	109,429,775
VIX Futures (CBOE)		Long		November 2017		6,252		13.03		1,000		81,432,300

Futures Positions as of September 30, 2016


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Long		October 2016		8,392	$	15.78		1,000	$	132,383,800
VIX Futures (CBOE)		Long		November 2016		5,601		16.95		1,000		94,936,950

The September 30, 2017 and 2016 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, 2016 filed with the U.S. Securities and Exchange Commission (the “SEC”) on March 1, 2017 ( the “Form 10-K”) for additional information regarding performance for periods longer than a single day.

ProShares VIX Mid-Term Futures ETF:

As of September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to equity market volatility risk.

211

Futures Positions as of September 30, 2017


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Long		January 2018		582	$	14.78		1,000	$	8,599,050
VIX Futures (CBOE)		Long		February 2018		971		15.23		1,000		14,783,475
VIX Futures (CBOE)		Long		March 2018		971		15.80		1,000		15,341,800
VIX Futures (CBOE)		Long		April 2018		388		16.28		1,000		6,314,700

Futures Positions as of September 30, 2016


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Long		January 2017		614	$	18.50		1,000	$	11,359,000
VIX Futures (CBOE)		Long		February 2017		1,024		19.05		1,000		19,507,200
VIX Futures (CBOE)		Long		March 2017		1,023		19.40		1,000		19,846,200
VIX Futures (CBOE)		Long		April 2017		409		19.98		1,000		8,169,775

The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Short VIX Short-Term Futures ETF:

As of September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2017


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Short		October 2017		51,224	$	11.68		1,000	$	(598,040,200	)
VIX Futures (CBOE)		Short		November 2017		34,126		13.03		1,000		(444,491,150	)

Futures Positions as of September 30, 2016


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Short		October 2016		18,688	$	15.78		1,000	$	(294,803,200	)
VIX Futures (CBOE)		Short		November 2016		12,445		16.95		1,000		(210,942,750	)

212

The September 30, 2017 and 2016 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 September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to equity market volatility risk.


Futures Positions as of September 30, 2017

Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Long		October 2017		52,495	$	11.68		1,000	$	612,879,125
VIX Futures (CBOE)		Long		November 2017		35,008		13.03		1,000		455,979,200

Futures Positions as of September 30, 2016

Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Long		October 2016		54,497	$	15.78		1,000	$	859,690,175
VIX Futures (CBOE)		Long		November 2016		36,351		16.95		1,000		616,149,450

The September 30, 2017 and 2016 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.

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 September 30, 2017 and 2016, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

213

ProShares UltraShort Bloomberg Crude Oil:

As of September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Short

November 2017

1,894

51.67

1,000

(97,862,980

)


Swap Agreements as of September 30, 2017

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Citibank, N.A.	Short	$	76.1424	$	(149,040,494	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		76.1424		(109,832,549	)
Bloomberg WTI Crude Oil Subindex	Societe Generale	Short		76.1424		(12,927,229	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		76.1424		(106,765,884	)

Futures Positions as of September 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Short

November 2016

2,093

48.24

1,000

(100,966,320

)


Swap Agreements as of September 30, 2016

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Citibank, N.A.	Short	$	79.0094	$	(110,835,497	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		79.0094		(78,877,241	)
Bloomberg WTI Crude Oil Subindex	Societe Generale	Short		79.0094		(8,278,478	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		79.0094		(80,182,717	)

The September 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 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.

214

ProShares UltraPro 3x Short Crude Oil ETF:

As of September 30, 2017, the ProShares UltraPro 3x Short Crude Oil ETF 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 table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Short

November 2017

916

51.67

1,000

(47,329,720

)

The September 30, 2017 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, 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 $3.00 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 one day.

ProShares UltraShort Bloomberg Natural Gas:

As of September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Short

November 2017

394

3.01

10,000

(11,847,580

)

Futures Positions as of September 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Short

November 2016

437

2.91

10,000

(12,699,220

)

The September 30, 2017 and 2016 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.

215

ProShares UltraShort Gold:

As of September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Short

December 2017

1,284.80

100

(256,960

)


Forward Agreements as of September 30, 2017

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Citibank, N.A.	Short	$	1,283.43	$	(20,663,223	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,283.41		(21,687,062	)
0.995 Fine Troy Ounce Gold	Societe Generale	Short		1,283.41		(6,160,368	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,283.41		(22,138,823	)

Futures Positions as of September 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Short

December 2016

1,317.10

100

(263,420

)


Forward Agreements as of September 30, 2016

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Citibank, N.A.	Short	$	1,322.72	$	(29,893,472	)
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short		1,322.80		(73,018,560	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,322.70		(21,689,635	)
0.995 Fine Troy Ounce Gold	Societe Generale	Short		1,322.71		(5,290,840	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,322.71		(22,552,206	)

The September 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

216

ProShares UltraShort Silver:

As of September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Short

December 2017

16.68

5,000

(166,760

)


Forward Agreements as of September 30, 2017

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Citybank, N.A.	Short	$	16.8646	$	(16,071,964	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		16.8644		(13,263,851	)
0.999 Fine Troy Ounce Silver	Societe Generale	Short		16.8645		(2,630,862	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		16.8644		(13,727,622	)

Futures Positions as of September 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Short

December 2016

19.21

5,000

(192,140

)


Forward Agreements as of September 30, 2016

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Citibank, N.A.	Short	$	19.3535	$	(11,979,817	)
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short		19.3551		(41,536,045	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		19.3535		(12,976,522	)
0.999 Fine Troy Ounce Silver	Societe Generale	Short		19.3537		(3,019,177	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		19.3535		(9,463,862	)

The September 30, 2017 and 2016 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

217

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 September 30, 2017 and 2016, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional
Amount at Value

Euro Fx Currency Futures (CME)

Short

December 2017

1.19

125,000

(8,156,844

)

Futures Positions as of September 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional
Amount at Value

Euro Fx Currency Futures (CME)

Short

December 2016

105

1.13

125,000

(14,801,063

)

The September 30, 2017 and 2016 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 September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional
Amount at Value

Australian Dollar Fx Currency Futures (CME)

Short

December 2017

232

78.36

1,000

(18,179,520

)

218

Futures Positions as of September 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional
Amount at Value

Australian Dollar Fx Currency Futures (CME)

Short

December 2016

456

76.49

1,000

(34,879,440

)

The September 30, 2017 and 2016 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 September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to exchange rate price risk.


Foreign Currency Forward Contracts as of September 30, 2017

Reference Currency	Counterparty	Long or Short	Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		10/06/17		3,175,800			1.1821	$	3,754,078
Euro	UBS AG	Long		10/06/17		35,067,900			1.1821		41,453,378
Euro	Goldman Sachs International	Short		10/06/17		(194,781,925	)		1.1821		(230,249,569	)
Euro	UBS AG	Short		10/06/17		(226,747,400	)		1.1821		(268,035,604	)

Foreign Currency Forward Contracts as of September 30, 2016

Reference Currency	Counterparty	Long or Short	Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		10/07/16		11,861,500			1.1236	$	13,327,034
Euro	UBS AG	Long		10/07/16		18,134,300			1.1236		20,374,863
Euro	Goldman Sachs International	Short		10/07/16		(344,672,125	)		1.1236		(387,257,692	)
Euro	UBS AG	Short		10/07/16		(345,543,400	)		1.1236		(388,236,616	)

The September 30, 2017 and 2016 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.

219

ProShares UltraShort Yen:

As of September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to exchange rate price risk.


Foreign Currency Forward Contracts as of September 30, 2017

Reference Currency	Counterparty	Long or Short	Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		10/06/17		571,833,200			0.008888	$	5,082,606
Yen	UBS AG	Long		10/06/17		2,539,647,800			0.008888		22,573,065
Yen	Goldman Sachs International	Short		10/06/17		(17,548,070,400	)		0.008888		(155,971,917	)
Yen	UBS AG	Short		10/06/17		(18,981,034,100	)		0.008888		(168,708,480	)

Foreign Currency Forward Contracts as of September 30, 2016

Reference Currency	Counterparty	Long or Short	Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		10/07/16		812,107,700			0.009863	$	8,009,961
Yen	UBS AG	Long		10/07/16		4,484,904,300			0.009863		44,235,400
Yen	Goldman Sachs International	Short		10/07/16		(27,401,188,900	)		0.009863		(270,262,747	)
Yen	UBS AG	Short		10/07/16		(31,384,937,700	)		0.009863		(309,555,163	)

The September 30, 2017 and 2016 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

220

ProShares Ultra Bloomberg Crude Oil:

As of September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Long

November 2017

5,855

51.67

1,000

302,527,850

Swap Agreements as of September 30, 2017

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at
Value

Bloomberg WTI Crude Oil Subindex

Citibank, N.A.

Long

76.1424

332,458,695

Bloomberg WTI Crude Oil Subindex

Goldman Sachs International

Long

76.1424

242,703,814

Bloomberg WTI Crude Oil Subindex

Societe Generale

Long

76.1424

115,090,880

Bloomberg WTI Crude Oil Subindex

UBS AG

Long

76.1424

251,436,908

Futures Positions as of September 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Long

November 2016

8,345

48.24

1,000

402,562,800

Swap Agreements as of September 30, 2016

Reference Index

Counterparty

Long or
Short

Index
Close

Notional
Amount at
Value

Bloomberg WTI Crude Oil Subindex

Citibank, N.A.

Long

79.0094

566,152,847

Bloomberg WTI Crude Oil Subindex

Goldman Sachs International

Long

79.0094

454,062,414

Bloomberg WTI Crude Oil Subindex

Societe Generale

Long

79.0094

100,430,739

Bloomberg WTI Crude Oil Subindex

UBS AG

Long

79.0094

436,225,560

The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 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.

221

ProShares UltraPro 3x Crude Oil ETF:

As of September 30, 2017, the ProShares UltraPro 3x Crude Oil ETF 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 table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2017, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Long

November 2017

440

51.67

1,000

22,734,800

The September 30, 2017 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount 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 amount, 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 $3.00 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 one day.

ProShares Ultra Bloomberg Natural Gas:

As of September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Long

November 2017

3,396

3.01

10,000

102,117,720

Futures Positions as of September 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Long

November 2016

2,185

2.91

10,000

63,496,100

The September 30, 2017 and 2016 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.

222

ProShares Ultra Gold:

As of September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

December 2017

1,284.80

100

256,960

Forward Agreements as of September 30, 2017

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Citibank, N.A.

Long

1,283.43

56,984,292

0.995 Fine Troy Ounce Gold

Goldman Sachs International

Long

1,283.41

48,923,589

0.995 Fine Troy Ounce Gold

Societe Generale

Long

1,283.41

23,101,380

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,283.41

49,924,649

Futures Positions as of September 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

December 2016

1,317.10

100

263,420

Forward Agreements as of September 30, 2016

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Citibank, N.A.

Long

1,322.72

55,818,784

0.995 Fine Troy Ounce Gold

Deutsche Bank AG

Long

1,322.80

42,461,880

0.995 Fine Troy Ounce Gold

Goldman Sachs International

Long

1,322.70

48,305,004

0.995 Fine Troy Ounce Gold

Societe Generale

Long

1,322.71

20,369,734

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,322.71

32,670,937

The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 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.

223

ProShares Ultra Silver:

As of September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

December 2017

16.68

5,000

166,760

Forward Agreements as of September 30, 2017

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Citibank, N.A.

Long

16.8646

161,967,618

0.999 Fine Troy Ounce Silver

Goldman Sachs International

Long

16.8644

131,471,490

0.999 Fine Troy Ounce Silver

Societe Generale

Long

16.8645

63,815,268

0.999 Fine Troy Ounce Silver

UBS AG

Long

16.8644

132,149,438

Futures Positions as of September 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

December 2016

19.21

5,000

192,140

Forward Agreements as of September 30, 2016

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Citibank, N.A.

Long

19.3535

216,797,907

0.999 Fine Troy Ounce Silver

Deutsche Bank AG

Long

19.3551

110,726,656

0.999 Fine Troy Ounce Silver

Goldman Sachs International

Long

19.3535

188,634,694

0.999 Fine Troy Ounce Silver

Societe Generale

Long

19.3537

67,428,291

0.999 Fine Troy Ounce Silver

UBS AG

Long

19.3535

160,692,111

The September 30, 2017 and 2016 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2017 and 2016 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.

224

Exchange Rate Sensitivity

ProShares Ultra Euro:

As of September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2017


Reference Currency	Counterparty	Long or Short		Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International		Long		10/06/17		11,961,025			1.1821	$	14,138,996
Euro	UBS AG		Long		10/06/17		17,574,000			1.1821		20,774,032
Euro	Goldman Sachs International		Short		10/06/17		(1,663,500	)		1.1821		(1,966,405	)
Euro	UBS AG		Short		10/06/17		(4,680,700	)		1.1821		(5,533,004	)

Foreign Currency Forward Contracts as of September 30, 2016

Reference

Currency

Counterparty

Long or
Short

Settlement
Date

Euro

Forward
Rate

Market Value
USD

Euro

Goldman Sachs International

Long

10/07/16

9,020,825

1.1236

10,135,383

Euro

UBS AG

Long

10/07/16

8,385,200

1.1236

9,421,224

Euro

UBS AG

Short

10/07/16

(169,500

)

1.1236

(190,442

)

The September 30, 2017 and 2016 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 September 30, 2017 and 2016, 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 September 30, 2017 and 2016, which were sensitive to exchange rate price risk.

225

Foreign Currency Forward Contracts as of September 30, 2017


Reference Currency	Counterparty	Long or Short		Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International		Long		10/06/17		735,730,100			0.008888	$	6,539,365
Yen	UBS AG		Long		10/06/17		652,357,100			0.008888		5,798,323
Yen	Goldman Sachs International		Short		10/06/17		(23,286,700	)		0.008888		(206,978	)
Yen	UBS AG		Short		10/06/17		(57,172,300	)		0.008888		(508,163	)

Foreign Currency Forward Contracts as of September 30, 2016


Reference Currency	Counterparty	Long or Short		Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International		Long		10/07/16		1,029,857,000			0.009863	$	10,157,661
Yen	UBS AG		Long		10/07/16		524,705,100			0.009863		5,175,259
Yen	Goldman Sachs International		Short		10/07/16		(34,119,100	)		0.009863		(336,523	)
Yen	UBS AG		Short		10/07/16		(11,065,500	)		0.009863		(109,141	)

The September 30, 2017 and 2016 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 in 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 investment objectives both over a single day and over time.

226

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.

As described above in Item 2 in 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.

227

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.

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 may also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

228

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 December 31, 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 September 30, 2017 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.

229

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, 2016, filed on March 1, 2017.

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 reallocated 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 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

230

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 posteffective amendment to two Form S-1 registration statements (File Nos. 333-188215 and 333-185288). On July 30, 2014, a Registration Statement on Form S-3 (File No. 333-196885) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro and partially terminated registered and unissued Shares of ProShares Ultra Gold, ProShares Ultra Silver and ProShares UltraShort Silver. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-189967). Through the July 30, 2014 filings, ProShares Short VIX Short-Term Futures ETF was transferred from the Form S-1 to the Form S-3. On September 29, 2014, a Registration Statement on Form S-1 (File No. 333-198189) was declared effective, which registered a new offering of the Managed Futures Fund and acted as a post-effective amendment to the Form S-1 Registration Statement (File No. 333-196884). On November 25, 2014, a Registration Statement on Form S-1 (File No. 333-199642) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Silver. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-198189) and the Form S-3 registration statement (333-196885). On November 25, 2014, a Registration Statement on Form S-3 (File No. 333-199641) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-196885). Through the November 25, 2014 filings, ProShares UltraShort Silver was transferred from the Form S-3 to the Form S-1. On March 31, 2015, a Registration Statement on Form S-1 (File No. 333-202724) was declared effective, which registered additional Shares for ProShares VIX Mid-Term Futures ETF, ProShares Managed Futures Strategy, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Silver, ProShares Ultra Australian Dollar, ProShares UltraShort Australian Dollar, ProShares Ultra Euro, ProShares Short Euro and ProShares Ultra Yen. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-199642). On March 31, 2015, a Registration Statement on Form S-3 (File No. 333-202725) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-199641). 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

231

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. On March 1, 2017, a Registration Statement on Form S-3 (File No. 333-215930) was declared effective which removed ProShares UltraShort Gold from the Registration Statement on Form S-3 (File No. 333-213918); no additional Shares for any Fund were registered with that filing. On March 1, 2017, a Registration Statement on Form S-1 (File No. 333-215929) was declared effective which registered Shares for ProShares UltraShort Gold that were previously registered on the Registration Statement on Form S-3 (File No. 333-213918). Through the two March 1, 2017 filings, ProShares UltraShort Gold was transferred from the Form S-3 to a Form S-1. On March 22, 2017, a Registration Statement on Form S-1 (File No. 333-214904) was declared effective which registered Shares for ProShares UltraPro Bloomberg Crude Oil and ProShares UltraPro Short Bloomberg Crude Oil. On June 30, 2017, the Trust had four effective registration statements outstanding: (1) a Form S-1 Registration Statement (No. 333-215929); (2) a Form S-1 Registration Statement (No. 333-214904); (3) a Form S-1 Registration Statement (No. 333-202724); and (4) a Form S-3 Registration Statement (No. 333-215930).

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.

232


Title of Securities Registered	Amount Registered As of September 30, 2017		Shares Sold For the Three Months Ended September 30, 2017		Sale Price of Shares Sold For the Three Months Ended September 30, 2017
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest		1,878,742,424		3,106,250	$	119,114,643
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest		555,231,376		675,000		18,111,394
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest		9,178,056,779		17,750,000		1,373,345,679
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest		10,862,875,118		33,400,000		988,812,355
ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest		2,167,514,328		5,400,000		201,007,302
ProShares UltraPro 3X Short Crude Oil ETF Common Units of Beneficial Interest		1,020,000,000		700,000		14,228,859
ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest		344,275,705		150,000		4,692,571
ProShares UltraShort Gold Common Units of Beneficial Interest		312,159,711		50,000		3,415,569
ProShares UltraShort Silver Common Units of Beneficial Interest		1,950,297,178		200,000		5,866,605
ProShares Short Euro Common Units of Beneficial Interest		153,418,934		—		—
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest		172,771,084		—		—
ProShares UltraShort Euro Common Units of Beneficial Interest		1,916,296,347		1,350,000		29,240,662
ProShares UltraShort Yen Common Units of Beneficial Interest		951,478,689		150,000		11,021,193
ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest		5,508,543,310		4,400,000		65,521,323
ProShares UltraPro 3X Crude Oil ETF Common Units of Beneficial Interest		1,020,000,000		250,000		4,957,138
ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest		427,459,640		2,600,000		22,195,648
ProShares Ultra Gold Common Units of Beneficial Interest		328,071,127		50,000		1,958,848
ProShares Ultra Silver Common Units of Beneficial Interest		1,388,553,846		300,000		9,317,745
ProShares Ultra Euro Common Units of Beneficial Interest		119,594,796		450,000		7,734,814
ProShares Ultra Yen Common Units of Beneficial Interest		138,726,333		—	$	—
Total:	$	40,394,066,725

233

(b) From July 1, 2017 through September 30, 2017, 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*
07/01/17 to 07/31/17		151,046	$	39.08
08/01/17 to 08/31/17		775,000	$	45.45
09/01/17 to 09/30/17		100,000	$	39.51
ProShares VIX Mid-Term Futures ETF
07/01/17 to 07/31/17		—	$	—
08/01/17 to 08/31/17		—	$	—
09/01/17 to 09/30/17		—	$	—
ProShares Short VIX Short-Term Futures ETF*
07/01/17 to 07/31/17		6,350,000	$	86.46
08/01/17 to 08/31/17		2,200,000	$	75.67
09/01/17 to 09/30/17		8,000,000	$	87.22
ProShares Ultra VIX Short-Term Futures ETF*
07/01/17 to 07/31/17		2,354,714	$	31.97
08/01/17 to 08/31/17		10,150,000	$	39.90
09/01/17 to 09/30/17		4,600,000	$	28.01
ProShares UltraShort Bloomberg Crude Oil
07/01/17 to 07/31/17		100,000	$	42.69
08/01/17 to 08/31/17		900,000	$	40.50
09/01/17 to 09/30/17		100,000	$	33.59
ProShares UltraPro 3X Short Crude Oil ETF
07/01/17 to 07/31/17		—	$	—
08/01/17 to 08/31/17		—	$	—
09/01/17 to 09/30/17		—	$	—
ProShares UltraShort Bloomberg Natural Gas
07/01/17 to 07/31/17		50,000	$	33.97
08/01/17 to 08/31/17		—	$	—
09/01/17 to 09/30/17		150,000	$	33.19
ProShares UltraShort Gold
07/01/17 to 07/31/17		—	$	—
08/01/17 to 08/31/17		—	$	—
09/01/17 to 09/30/17		50,000	$	71.27
ProShares UltraShort Silver
07/01/17 to 07/31/17		100,000	$	36.69
08/01/17 to 08/31/17		50,000	$	31.53
09/01/17 to 09/30/17		—	$	—
ProShares Short Euro
07/01/17 to 07/31/17		—	$	—
08/01/17 to 08/31/17		50,000	$	40.60
09/01/17 to 09/30/17		—	$	—
ProShares UltraShort Australian Dollar
07/01/17 to 07/31/17		—	$	—
08/01/17 to 08/31/17		50,000	$	44.61
09/01/17 to 09/30/17		—	$	—
ProShares UltraShort Euro
07/01/17 to 07/31/17		500,000	$	22.66
08/01/17 to 08/31/17		350,000	$	21.53
09/01/17 to 09/30/17		300,000	$	21.31
ProShares UltraShort Yen
07/01/17 to 07/31/17		—	$	—
08/01/17 to 08/31/17		400,000	$	70.07
09/01/17 to 09/30/17		50,000	$	74.26
ProShares Ultra Bloomberg Crude Oil
07/01/17 to 07/31/17		18,300,000	$	15.77
08/01/17 to 08/31/17		4,250,000	$	16.42
09/01/17 to 09/30/17		11,850,000	$	17.05

234


Fund	Total Number of Shares Redeemed		Average Price Per Share
ProShares UltraPro 3X Crude Oil ETF
07/01/17 to 07/31/17		150,000	$	22.74
08/01/17 to 08/31/17		150,000	$	22.66
09/01/17 to 09/30/17		700,000	$	23.82
ProShares Ultra Bloomberg Natural Gas
07/01/17 to 07/31/17		350,000	$	9.72
08/01/17 to 08/31/17		350,000	$	9.23
09/01/17 to 09/30/17		550,000	$	9.55
ProShares Ultra Gold
07/01/17 to 07/31/17		—	$	—
08/01/17 to 08/31/17		50,000	$	40.64
09/01/17 to 09/30/17		100,000	$	39.80
ProShares Ultra Silver
07/01/17 to 07/31/17		—	$	—
08/01/17 to 08/31/17		250,000	$	35.67
09/01/17 to 09/30/17		250,000	$	38.49
ProShares Ultra Euro
07/01/17 to 07/31/17		150,000	$	16.49
08/01/17 to 08/31/17		100,000	$	17.17
09/01/17 to 09/30/17		200,000	$	17.53
ProShares Ultra Yen
07/01/17 to 07/31/17		—	$	—
08/01/17 to 08/31/17		—	$	—
09/01/17 to 09/30/17		—	$	—

*	See Note 1 of the Notes to Financial Statements in this Quarterly Report on Form 10-Q regarding the reverse Share splits for ProShares VIX Short-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF and the Share split for ProShares Short VIX Short-Term Futures ETF.

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

235

Item 6. Exhibits.


Exhibit No.		Description of Document
31.1		Certification by Principal Executive Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)

31.2		Certification by Principal Financial Officer of the Trust Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended (1)

32.1		Certification by Principal Executive Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)

32.2		Certification by Principal Financial Officer of the Trust Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (1)

101.INS		XBRL Instance Document (1)

101.SCH		XBRL Taxonomy Extension Schema (1)

101.CAL		XBRL Taxonomy Extension Calculation Linkbase (1)

101.DEF		XBRL Taxonomy Extension Definition Linkbase (1)

101.LAB		XBRL Taxonomy Extension Label Linkbase (1)

101.PRE		XBRL Taxonomy Extension Presentation Linkbase (1)

(1)	Filed herewith.

236

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: November 9, 2017

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial Officer

Date: November 9, 2017

237